Abstract
Because of the full covariance matrices and the computer storage limitations the number of measurements which can be handled by the collocation method simultaneously, is limited. This paper presents a method to compute covariance functions with a finite support yielding sparse covariance matrices. The theoretical background is pointed out and, for the one- and two-dimensional case, special functions are developed which can be combined with the usually used covariance functions to get a “finite covariance function”. Simulated examples to demonstrate the behaviour of different solution methods to solve these special, sparse covariance matrices supplement our investigations.
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Sansò, F., Schuh, W.D. Finite covariance functions. Bull. Geodesique 61, 331–347 (1987). https://doi.org/10.1007/BF02520559
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DOI: https://doi.org/10.1007/BF02520559