Low-rank approximations for large stationary covariance matrices, as used in the Bayesian and generalized-least-squares analysis of pulsar-timing data

Abstract

Many data-analysis problems involve large dense matrices that describe the covariance of stationary noise processes; the computational cost of inverting these matrices, or equivalently of solving linear systems that contain them, is often a practical limit for the analysis. We describe two general, practical, and accurate methods to approximate stationary covariance matrices as low-rank matrix products featuring carefully chosen spectral components. These methods can be used to greatly accelerate data-analysis methods in many contexts, such as the Bayesian and generalized-least-squares analysis of pulsar-timing residuals.

arXiv comment6 pages, 3 figures

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