Asymptotic Behavior of the Likelihood Function of Covariance Matrices of Spatial Gaussian Processes

Abstract EN

The covariance structure of spatial Gaussian predictors (aka Kriging predictors) is generally modeled by parameterized covariance functions; the associated hyperparameters in turn are estimated via the method of maximum likelihood.

In this work, the asymptotic behavior of the maximum likelihood of spatial Gaussian predictor models as a function of its hyperparameters is investigated theoretically.

Asymptotic sandwich bounds for the maximum likelihood function in terms of the condition number of the associated covariance matrix are established.

As a consequence, the main result is obtained: optimally trained nondegenerate spatial Gaussian processes cannot feature arbitrary ill-conditioned correlation matrices.

The implication of this theorem on Kriging hyperparameter optimization is exposed.

A nonartificial example is presented, where maximum likelihood-based Kriging model training is necessarily bound to fail.