Gaussian Markov Random Fields over graphs of paths and high relative accuracy
Juan Baz, Pedro Alonso, Juan Manuel Peña, Raúl Pérez‐Fernández · Journal of Computational and Applied Mathematics · 2024
The present paper presents some results that allow us to perform with High Relative Accuracy linear algebra operations with correlation and covariance matrices of Gaussian Markov Random Fields over graphs of paths. Some numerical experiments are carried out showing the computational benefits of this approach.