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stat.ME2023
Localized covariance estimation: A Bayesian perspective
Robert J. Webber, Matthias Morzfeld
A major problem in numerical weather prediction (NWP) is the estimation of high-dimensional covariance matrices from a small number of samples. Maximum likelihood estimators cannot…
stat.ME2017
Localization for MCMC: sampling high-dimensional posterior distributions with local structure
Matthias Morzfeld, Xin T. Tong, Youssef M. Marzouk
We investigate how ideas from covariance localization in numerical weather prediction can be used in Markov chain Monte Carlo (MCMC) sampling of high-dimensional posterior distribu…