English

Precision and Cholesky Factor Estimation for Gaussian Processes

Statistics Theory 2025-03-25 v2 Numerical Analysis Numerical Analysis Statistics Theory

Abstract

This paper studies the estimation of large precision matrices and Cholesky factors obtained by observing a Gaussian process at many locations. Under general assumptions on the precision and the observations, we show that the sample complexity scales poly-logarithmically with the size of the precision matrix and its Cholesky factor. The key challenge in these estimation tasks is the polynomial growth of the condition number of the target matrices with their size. For precision estimation, our theory hinges on an intuitive local regression technique on the lattice graph which exploits the approximate sparsity implied by the screening effect. For Cholesky factor estimation, we leverage a block-Cholesky decomposition recently used to establish complexity bounds for sparse Cholesky factorization.

Keywords

Cite

@article{arxiv.2412.08820,
  title  = {Precision and Cholesky Factor Estimation for Gaussian Processes},
  author = {Jiaheng Chen and Daniel Sanz-Alonso},
  journal= {arXiv preprint arXiv:2412.08820},
  year   = {2025}
}

Comments

30 pages

R2 v1 2026-06-28T20:31:43.382Z