TY - JOUR
T1 - On the second-order random walk model for irregular locations
AU - Lindgren, Finn
AU - Rue, H.
PY - 2008/12
Y1 - 2008/12
N2 - The second-order random walk (RW2) model is commonly used for smoothing data and for modelling response functions. It is computationally efficient due to the Markov properties of the joint (intrinsic) Gaussian density. For evenly spaced locations the RW2 model is well established, whereas for irregularly spaced locations there is no well established construction in the literature. By considering the RW2 model as the solution of a stochastic differential equation (SDE), a discretely observed integrated Wiener process, it is possible to derive the density preserving the Markov properties by augmenting the state-space with the velocities. Here, we derive a computationally more efficient RW2 model for irregular locations using a Galerkin approximation to the solution of the SDE without the need of augmenting the state-space. Numerical comparison with the exact solution demonstrates that the error in the Galerkin approximation is small and negligible in applications.
AB - The second-order random walk (RW2) model is commonly used for smoothing data and for modelling response functions. It is computationally efficient due to the Markov properties of the joint (intrinsic) Gaussian density. For evenly spaced locations the RW2 model is well established, whereas for irregularly spaced locations there is no well established construction in the literature. By considering the RW2 model as the solution of a stochastic differential equation (SDE), a discretely observed integrated Wiener process, it is possible to derive the density preserving the Markov properties by augmenting the state-space with the velocities. Here, we derive a computationally more efficient RW2 model for irregular locations using a Galerkin approximation to the solution of the SDE without the need of augmenting the state-space. Numerical comparison with the exact solution demonstrates that the error in the Galerkin approximation is small and negligible in applications.
UR - http://www.scopus.com/inward/record.url?scp=55849090666&partnerID=8YFLogxK
UR - http://dx.doi.org/10.1111/j.1467-9469.2008.00610.x
U2 - 10.1111/j.1467-9469.2008.00610.x
DO - 10.1111/j.1467-9469.2008.00610.x
M3 - Article
AN - SCOPUS:55849090666
SN - 0303-6898
VL - 35
SP - 691
EP - 700
JO - Scandinavian Journal of Statistics
JF - Scandinavian Journal of Statistics
IS - 4
ER -