Multivariate functional or spatial data are commonly analysed using multivariate Gaussian processes (GP). Two recent approaches extend Gaussian graphical models (GGM) to multivariate Gaussian processes with each node representing an entire GP on a continuous domain and edges representing process-level conditional independence. The functional GGM uses a basis function expansion for a multivariate process and models the vector coefficients of the basis functions using GGM. Graphical GP directly constructs valid multivariate covariance functions by "stitching" univariate GPs, while exactly conforming to a given graphical model and retaining marginal properties. We bridge the two seemingly disconnected paradigms by proving that any partially separable functional GGM with a specific covariance selection model is a graphical GP. We also show that the finite term truncation of functional GGM is equivalent to stitching using a low-rank GP, which are known to oversmooth marginal distributions. The theoretical connections help design new algorithms for functional data that exactly conforms to a given inter-variable graph and also retains marginal distributions.
翻译:多变量功能或空间数据通常使用多变量 Gausian 进程( GP) 来分析多变量功能或空间数据。 两种最近的方法将Gausian 图形模型( GGM) 扩大到多变量化 Gaussian 进程,每个节点代表整个 GP 在连续域和边缘代表整个 GP 在连续域和代表进程级有条件独立性的边缘代表整个 GGP 。 功能GGM 使用多变量化进程的基础函数扩展, 并用 GGGM 模型模拟基础函数的矢量系数。 图形GP 通过“ 切换” 单行式 GPP 直接构建有效的多变量共变量函数, 同时完全符合给定的图形模型并保留边际属性。 我们通过证明任何部分分离功能GGGGM 和特定的共变量选择模型都是图形化的。 我们还表明, 功能GGGGGGGGM 的有限术语解析相当于使用低级别GP 的缝合比边际分布。 理论连接有助于设计功能数据的新算法, 与给定出与给定的跨变量的图表完全一致并保留边际分布 。