Efficient Gaussian Copula Density Computation for Large-Scale Spatial Data: A Matérn-like GMRF Approach with Circulant and Folded Circulant Approximations

Introduction

Problem Formulation

Consider a spatial field on a regular \(n_1 \times n_2\) grid. Our objective is to compute the Gaussian copula density efficiently for this field. This computation involves:

1. Specifying an \(n_1 n_2 \times n_1 n_2\) precision matrix \(\mathbf{Q}\) that represents the spatial dependence structure.
2. Ensuring the implied covariance matrix \(\mathbf{\Sigma} = \mathbf{Q}^{-1}\) has unit diagonal elements.
3. Computing the log determinant, \(\log |\mathbf Q|\), and the quadratic form \(z^T \mathbf Q z\) where \(z_i = \Phi^{-1}(f_i(y_i))\)

Review

Gaussian Markov Random Fields (GMRFs) and copulas are two powerful statistical tools, each offering unique strengths in modeling complex data structures. GMRFs excel in capturing spatial and temporal dependencies, particularly in fields such as environmental science, epidemiology, and image analysis (Havard Rue and Held 2005; Knorr-Held 2000; Håvard Rue, Martino, and Chopin 2009). Their ability to represent local dependencies through sparse precision matrices makes them computationally attractive for high-dimensional problems. Copulas, on the other hand, provide a flexible framework for modeling multivariate dependencies, allowing separate specification of marginal distributions and their joint behavior (Sklar 1959; Joe 1997; Nelsen 2006).

The Gaussian copula, in particular, has gained popularity due to its interpretability and connection to the multivariate normal distribution. However, combining GMRFs with copulas has historically been computationally challenging, limiting their joint application to smaller datasets or simpler models.

Let \(\mathbf{X} = (X_1, X_2, \ldots, X_n)\) be a multivariate random vector with marginal distribution functions \(F_i\) for \(i = 1, 2, \ldots, n\). The joint distribution function of \(\mathbf{X}\) can be written as:

\[ F_{\mathbf{X}}(\mathbf{x}) = C(F_1(x_1), F_2(x_2), \ldots, F_n(x_n)), \]

where \(C\) is the Gaussian copula defined by the GMRF precision matrix \(\mathbf{Q}\). The Gaussian copula \(C\) is given by:

\[ C(u_1, u_2, \ldots, u_n) = \Phi_\mathbf{Q}(\Phi^{-1}(u_1), \Phi^{-1}(u_2), \ldots, \Phi^{-1}(u_n)), \]

where \(\Phi_\mathbf{Q}\) is the joint cumulative distribution function of a multivariate normal distribution with mean vector \(\mathbf{0}\) and precision matrix \(\mathbf{Q}\), and \(\Phi^{-1}\) is the inverse of the standard normal cumulative distribution function.

A critical requirement for the precision matrix \(\mathbf{Q}\) governing the GMRF copula \(C\) is that \(\mathbf{\Sigma} = \mathbf{Q}^{-1}\) should have a unit diagonal, i.e. the marginal variance is equal to one everywhere. This ensures it operates on the same scale as the transformed data, \(\Phi^{-1}(u_i)\). However, this can be challenging as GMRFs are typically defined in terms of precision matrices that often imply non-unit marginal variances. While related scaling issues have been addressed in spatial statistics literature (Sørbye and Rue 2014; Riebler et al. 2016), their focus was on scaling for use in priors for the BYM2 model, aiming for a consistent interpretation of the precision parameter across different graph structures. In contrast, our work requires exact unit marginal variance at each point, a more stringent condition necessitated by the copula framework.

Similarly to Håvard Rue (2005), this paper proposes a way to efficiently calculate the marginal variances in GMRFs, but instead of working with the Cholesky decomposition of any general GMRF precision matrix, we work with a family of precision matrices that are similar to the sparse approximation to the Gaussian field with Matérn coveriance defined in Lindgren, Rue, and Lindström (2011). The precision matrices are defined as

\[ \mathbf{Q} = \left( \mathbf{Q}_{\rho_1} \otimes \mathbf{I_{n_2}} + \mathbf{I_{n_1}} \otimes \mathbf{Q}_{\rho_2}\right)^{\nu+1}, \]

where \(\mathbf{Q}_\rho\) is the precision matrix of a standardized one-dimensional AR(1) process with correlation \(\rho\), \(\nu\) is a smoothness parameter, and \(\otimes\) denotes the Kronecker product.

By focusing on this type of matrix, we can utilize known results on the eigendecomposition of \(\mathbf Q\) and how it relates directly to the eigendecompositions of \(\mathbf{Q}_{\rho_1}\) and \(\mathbf{Q}_{\rho_2}\). This lets us avoid explicit formation and inversion of the large precision matrix \(\mathbf{Q}\), making it particularly suitable for high-dimensional spatial data. In addition to the exact method, we show how the precision matrix can be approximated by a folded circulant matrix wich gives a large speed-up while preserving suitable boundary conditions (Kent and Mardia 2022; Mondal 2018; Besag and Mondal 2005).

Methods

Gaussian Copula Density Computation

The Gaussian copula density for a random vector \(\mathbf{U} = (U_1, ..., U_n)\) with \(U_i \sim \text{Uniform}(0,1)\) is given by:

\[ c(\mathbf{u}) = |\mathbf{Q}|^{1/2} \exp\left(-\frac{1}{2}\mathbf{z}^T(\mathbf{Q} - \mathbf{I})\mathbf{z}\right) \]

where \(\mathbf{z} = (z_1, ..., z_n)\) with \(z_i = \Phi^{-1}(u_i)\), \(\mathbf{Q}\) is the precision matrix, and \(\mathbf{I}\) is the identity matrix.

The log-density can be expressed as:

\[ \log c(\mathbf{u}) = \frac{1}{2}\log|\mathbf{Q}| - \frac{1}{2}\mathbf{z}^T\mathbf{Q}\mathbf{z} + \frac{1}{2}\mathbf{z}^T\mathbf{z} \]

Our goal is to efficiently compute this log-density for large spatial fields.

Precision Matrix Structure

Similarly to the GMRF approximation to a Matérn process in (Lindgren, Rue, and Lindström 2011), we define the precision matrix \(\mathbf{Q}\) as:

\[ \mathbf{Q} = (\mathbf{Q}_{\rho_1} \otimes \mathbf{I_{n_2}} + \mathbf{I_{n_1}} \otimes \mathbf{Q}_{\rho_2})^{(\nu + 1)}, \quad \nu \in \{0, 1, 2\} \]

where \(\mathbf{Q}_\rho\) is the precision matrix of a one-dimensional AR(1) process with correlation \(\rho\):

\[ \mathbf{Q}_\rho = \frac{1}{1-\rho^2} \begin{bmatrix} 1 & -\rho & 0 & \cdots & 0 \\ -\rho & 1+\rho^2 & -\rho & \cdots & 0 \\ 0 & -\rho & 1+\rho^2 & \cdots & 0 \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ 0 & 0 & 0 & \cdots & 1 \end{bmatrix}. \]

The matrix, \(\mathbf Q\), is then scaled so that its inverse, \(\mathbf \Sigma = \mathbf Q^{-1}\) is a correlation matrix, i.e. \(\mathbf \Sigma_{ii} = 1\).

Computation Process

Step 1: Eigendecomposition of \(\mathbf{Q}_{\rho}\)

We first compute the eigendecomposition of both \(\mathbf{Q}_{\rho}\):

\[ \mathbf{Q}_{\rho} = \mathbf{V_{\rho}}\mathbf{A_\rho}\mathbf{V_\rho}^T \]

where \(\mathbf{V_\rho}\) is the matrix of eigenvectors and \(\mathbf{A_\rho}\) is the diagonal matrix of eigenvalues. Then, because of how \(Q\) is defined, its eigendecomposition is (see for example (“Matrix Analysis for Scientists and Engineers | SIAM Publications Library,” n.d.)):

\[ \mathbf{Q} = (\mathbf{V_{\rho_1}} \otimes \mathbf{V_{\rho_2}})(\mathbf{A_{\rho_1}} \otimes \mathbf{I} + \mathbf{I} \otimes \mathbf{A_{\rho_2}})^{(\nu + 1)}(\mathbf{V_{\rho_1}} \otimes \mathbf{V_{\rho_2}})^T. \]

We don’t work with the full eigendecomposition, but rather utilize the fact that the eigenvalues of \(\mathbf Q\) are \(\left\{\lambda_{\rho_1}\right\}_i + \left\{\lambda_{\rho_2}\right\}_j\) and their corresponding eigenvectors are \(\left\{\mathbf{v}_{\rho_1}\right\}_i \otimes \left\{\mathbf{v}_{\rho_2}\right\}_j\) to iterate over each value and vector pair to compute the density without forming the larger matrix.

Step 2: Computation of Marginal Standard Deviations

In order to scale \(\mathbf Q\) so that its inverse is a correlation matrix, we first calculate \(\sigma_i = \sqrt\Sigma_{ii}\), \(i = 1, \dots, n_1n_2\). We then use these marginal standard deviations to scale the eigenvectors and values. The inverse of \(Q\) is given by:

\[ \boldsymbol \Sigma = \mathbf Q^{-1} = (\mathbf{V}\mathbf{A}\mathbf{V}^T)^{-1} = \mathbf{V}\mathbf{A}^{-1}\mathbf{V} \]

The diagonal elements, \(\boldsymbol \Sigma_{ii}\), are given by:

\[ \Sigma_{ii} = \sum_{k=1}^{n_1n_2} v_{ik} \frac{1}{\lambda_k} (v^T)_{ki} = \sum_{k=1}^{n_1n_2} v_{ik} \frac{1}{\lambda_k} v_{ik} = \sum_{k=1}^{n_1n_2} v_{ik}^2 \frac{1}{\lambda_k} \]

This means that the \(i\)’th marginal variance, \(\sigma_i^2\), is a weighted sum of the reciprocals of the eigenvalues of \(\mathbf Q\) where the weights are the squares of the \(i\)’th value in each eigenvector.

Thus, we can calculate the marginal standard deviations by iterating over the eigenvalues and -vectors of \(Q_{\rho_1}\) and \(Q_{\rho_2}\), cumulating their values according to

\[ \boldsymbol \sigma^2 = \sum_{i = 1}^{n_1} \sum_{j=1}^{n_2} \frac{\left(\left\{\mathbf{v}_{\rho_1}\right\}_i \otimes \left\{\mathbf{v}_{\rho_2}\right\}_j\right)^{2}}{\quad\left(\left\{\lambda_{\rho_1}\right\}_i + \left\{\lambda_{\rho_2}\right\}_j\right)^{\nu+1}}, \]

where \(\boldsymbol \sigma^2\) and \(\left(\left\{\mathbf{v}_{\rho_1}\right\}_i \otimes \left\{\mathbf{v}_{\rho_2}\right\}_j\right)^{2}\) are \(n_1n_2 \times 1\) vectors. We can then calculate the marginal standard deviations by taking element-wise square roots, \(\sigma_{i} = \sqrt{\sigma^2_{i}}\)

Step 3: Scaling the Eigendecomposition

To scale the eigendecomposition of \(\mathbf{Q}\) using the marginal standard deviations, we define a diagonal matrix \(\mathbf{D}\), where \(D_{ii} = \sigma_i\) and scale the precision matrix as:

\[ \begin{aligned} \mathbf{\widetilde Q} &= \mathbf{D}\mathbf{Q}^{\nu+1}\mathbf{D} \\ &= \mathbf{D}\mathbf{V}\mathbf{A}^{\nu+1}\mathbf{V}^T\mathbf{D} \\ &= \mathbf{\widetilde V}\mathbf{\widetilde A}\mathbf{\widetilde V}^T. \end{aligned} \]

In practice, we don’t scale the whole eigendecomposition. Instead, we rescale each value/vector pair individually as we iterate over the eigenvectors and values of \(Q_{\rho_1}\) and \(Q_{\rho_2}\) to create the corresponding values and vectors for the larger matrix.

Step 4: Efficient Computation of Log-Density

Without scaling of \(\mathbf Q\) we get

\[ \log|\mathbf{Q}| = \sum_{k=1}^{n_1n_2}\log\lambda_k = \sum_{i=1}^{n_1}\sum_{j=2}^{n_2} \log\left[\left(\left\{\lambda_{\rho_1}\right\}_i + \left\{\lambda_{\rho_2}\right\}_j\right)^{\nu + 1}\right] \]

\[ \mathbf{z}^T\mathbf{Q}\mathbf{z} = \sum_{k=1}^{n_1n_2}\lambda_k \left(v_k^T\mathbf z\right)^2 = \sum_{i=1}^{n_1}\sum_{j=2}^{n_2} \left(\left\{\lambda_{\rho_1}\right\}_i + \left\{\lambda_{\rho_2}\right\}_j\right) \left[\left(\left\{\mathbf{v}_{\rho_1}\right\}_i \otimes \left\{\mathbf{v}_{\rho_2}\right\}_j\right)^T\mathbf z\right]^2 \]

Let \(\lambda = \left(\left\{\lambda_{\rho_1}\right\}_i + \left\{\lambda_{\rho_2}\right\}_j\right)^{\nu + 1}\) and \(\mathbf v = \left\{\mathbf{v}_{\rho_1}\right\}_i \otimes \left\{\mathbf{v}_{\rho_2}\right\}_j\). Inside each iteration over \((i, j)\), we normalise \(\mathbf v\) and \(\lambda\) with

\[ \begin{gathered} \widetilde{\mathbf{v}} = \frac{\sigma \odot \mathbf{v}}{\vert\vert \sigma \odot\mathbf{v}\vert\vert_2}, \qquad \widetilde{\lambda} = \vert\vert \sigma \odot\mathbf{v}\vert\vert_2^2 \cdot \lambda \end{gathered} \]

Then \(\widetilde{\mathbf{v}}\) and \(\widetilde{\lambda}\) are an eigenvector/value pair of the scaled precision matrix \(\mathbf{\widetilde{Q}}\) and we can calculate the density as

\[ \log|\mathbf{\widetilde{Q}}| = \sum_{k=1}^{n_1n_2}\log\lambda_k = \sum_{i=1}^{n_1}\sum_{j=2}^{n_2} \log\widetilde\lambda_{ij} \]

\[ \mathbf{z}^T\mathbf{\widetilde Q}\mathbf{z} = \sum_{k=1}^{n_1n_2}\lambda_k \left(v_k^T\mathbf z\right)^2 = \sum_{i=1}^{n_1}\sum_{j=2}^{n_2} \widetilde\lambda_{ij} \left[\mathbf{\widetilde{v}}\mathbf z\right]^2 \]

This approach allows us to calculate the density of the spatial copula by calculating and iterating over the spectral decomposition of the smaller matrices, avoiding the formation of \(\mathbf Q\) alltogether.

Circulant and Folded Circulant Approximations

While the eigendecomposition method provides an exact solution, it can be computationally expensive for very large spatial fields. To address this, we introduce circulant and folded circulant approximations that offer computational efficiency and speed.

Circulant Matrices

A circulant matrix \(C\) is a special kind of matrix where each row is a cyclic shift of the row above it. It can be fully specified by its first row or column, called the base \(c\):

\[ C = \begin{pmatrix} c_0 & c_1 & c_2 & \cdots & c_{n-1} \\ c_{n-1} & c_0 & c_1 & \cdots & c_{n-2} \\ c_{n-2} & c_{n-1} & c_0 & \cdots & c_{n-3} \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ c_1 & c_2 & c_3 & \cdots & c_0 \end{pmatrix} = (c_{j-i \mod n}) \]

The base vector \(c\) completely determines the circulant matrix and plays a crucial role in efficient computations. In particular:

1. The eigenvalues of \(C\) are given by the Discrete Fourier Transform (DFT) of \(c\): \[ \lambda = \text{DFT}(c) \]

2. Matrix-vector multiplication can be performed using the FFT: \[ Cv = \text{DFT}(\text{DFT}(c) \odot \text{IDFT}(v)) \]

3. When \(C\) is non singular, then the inverse is circulant and thus determined by its base:

\[ \frac1n \text{IDFT}(\text{DFT}(c)^{-1}). \]

These properties allow for much faster computations than for general matrices. For more reading on applications of circulant matrices to GMRFs see (Havard Rue and Held 2005; Gray 2006).

Block Circulant Matrices

For two-dimensional spatial fields, we use block circulant matrices with circulant blocks (BCCB). An \(Nn \times Nn\) matrix C is block circulant if it has the form:

\[ C = \begin{pmatrix} C_0 & C_1 & C_2 & \cdots & C_{N-1} \\ C_{N-1} & C_0 & C_1 & \cdots & C_{N-2} \\ C_{N-2} & C_{N-1} & C_0 & \cdots & C_{N-3} \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ C_1 & C_2 & C_3 & \cdots & C_0 \end{pmatrix} = (C_{j-i \mod N}) \]

where each \(C_i\) is itself a circulant \(n \times n\) matrix.

For a BCCB matrix, we define a base matrix \(\mathbf c\), which is an \(n \times N\) matrix where each column is the base vector of the corresponding circulant block. This base matrix \(\mathbf c\) completely determines the BCCB matrix and is central to efficient computations:

1. The eigenvalues of \(C\) are given by the 2D DFT of \(\mathbf c\).

2. Matrix-vector multiplication can be performed using the 2D FFT.

3. When \(C\) is non singular, then the inverse is also a BCCB matrix and thus determined by its base matrix.

Approximations for \(Q_{\rho}\)

Let \(Q_{\rho}\) be the precision matrix of a one-dimensional AR(1) process with correlation \(\rho\). The exact form of \(Q_{\rho}\) is:

\[ \mathbf{Q}_\rho = \frac{1}{1-\rho^2} \begin{bmatrix} 1 & -\rho & 0 & \cdots & 0 \\ -\rho & 1+\rho^2 & -\rho & \cdots & 0 \\ 0 & -\rho & 1+\rho^2 & \cdots & 0 \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ 0 & 0 & 0 & \cdots & 1 \end{bmatrix} \]

Circulant Approximation

The circulant approximation to \(Q_\rho\), denoted as \(\mathbf{Q}_\rho^{(circ)}\), is:

\[ \mathbf{Q}_\rho^{(circ)} = \frac{1}{1-\rho^2} \begin{bmatrix} 1+\rho^2 & -\rho & 0 & \cdots & 0 & -\rho \\ -\rho & 1+\rho^2 & -\rho & \cdots & 0 & 0 \\ 0 & -\rho & 1+\rho^2 & \cdots & 0 & 0 \\ \vdots & \vdots & \vdots & \ddots & \vdots & \vdots \\ -\rho & 0 & 0 & \cdots & -\rho & 1+\rho^2 \end{bmatrix} \]

This approximation treats the first and last observations as neighbors, effectively wrapping the data around a circle.

Folded Circulant Approximation

The folded circulant approximation, \(\mathbf{Q}_\rho^{(fold)}\), is based on a reflected version of the data (Kent and Mardia 2022; Mondal 2018; Besag and Mondal 2005). We double the data by reflecting it, giving us the data \(x_1, \dots, x_n, x_n, \dots, x_1\). We then model this doubled data with a \(2n \times 2n\) circulant matrix. If written out as an \(n \times n\) matrix, it takes the form:

\[ \mathbf{Q}_\rho^{(fold)} = \frac{1}{1-\rho^2} \begin{bmatrix} 1-\rho+\rho^2 & -\rho & 0 & \cdots & 0 & 0 \\ -\rho & 1+\rho^2 & -\rho & \cdots & 0 & 0 \\ 0 & -\rho & 1+\rho^2 & \cdots & 0 & 0 \\ \vdots & \vdots & \vdots & \ddots & \vdots & \vdots \\ 0 & 0 & 0 & \cdots & -\rho & 1-\rho+\rho^2 \end{bmatrix} \]

This approximation modifies the first and last diagonal elements to account for the reflection of the data. As \(x_1\) now is the first and last data point, then we avoid the circular dependence from the regular circulant approximation.

Extension to the Full Q Matrix

For a two-dimensional spatial field on an \(n_1 \times n_2\) grid, we construct the full precision matrix Q using a Kronecker sum:

\[ \mathbf{Q} = \left( \mathbf{Q}_{\rho_1} \otimes \mathbf{I_{n_2}} + \mathbf{I_{n_1}} \otimes \mathbf{Q}_{\rho_2} \right)^{(\nu + 1)}, \quad \nu \in \{0, 1, 2\} \]

where \(\otimes\) denotes the Kronecker product, \(I_n\) is the \(n \times n\) identity matrix, and \(\nu\) is a smoothness parameter.

When we approximate \(Q_\rho\) with a circulant matrix, this Kronecker sum results in a block-circulant matrix with circulant blocks (BCCB). To see this, let’s consider the case where \(\nu = 0\) for simplicity:

\[ \mathbf{Q} = \mathbf{Q}_{\rho_1} \otimes \mathbf{I_{n_2}} + \mathbf{I_{n_1}} \otimes \mathbf{Q}_{\rho_2} \]

Now, let the two AR(1) matrices be approximated by circulant matrices, \(\mathbf C_\rho\), with base vectors \(\mathbf c_\rho = \frac{1}{1-\rho^2}\left[1+\rho^2, -\rho, 0, ..., 0, -\rho \right]\). Then:

\[ \mathbf{Q}_{\rho_1} \approx \mathbf{C_{\rho_1}} = \frac{1}{1-\rho_1^2} \begin{bmatrix} 1+\rho_1^2 & -\rho_1 & 0 & \cdots & 0 & -\rho_1 \\ -\rho_1 & 1+\rho_1^2 & -\rho_1 & \cdots & 0 & 0 \\ 0 & -\rho_1 & 1+\rho_1^2 & \cdots & 0 & 0 \\ \vdots & \vdots & \vdots & \ddots & \vdots & \vdots \\ -\rho_1 & 0 & 0 & \cdots & -\rho_1 & 1+\rho_1^2 \end{bmatrix}, \]

and \(C_{\rho_2}\) is defined similarly. The Kronecker product \(\mathbf C_{\rho_1} \otimes \mathbf I_{n_2}\) results in a block matrix where each block is a scalar multiple of \(I_{n_2}\):

\[ \mathbf{C_{\rho_1}} \otimes \mathbf{I_{n_2}} = \frac{1}{1-\rho_1^2} \begin{pmatrix} (1+\rho_1^2)\mathbf{I_{n_2}} & -\rho_1\mathbf{I_{n_2}} & \dots & \cdots & -\rho_1\mathbf{I_{n_2}} \\ -\rho_1\mathbf{I_{n_2}} & (1+\rho_1^2)\mathbf{I_{n_2}} & -\rho_1 \mathbf{I_{n_2}} & \cdots & \vdots \\ \vdots & \ddots & \ddots & \ddots & \vdots \\ \vdots & \ddots & -\rho_1\mathbf{I_{n_2}} & (1+\rho_1^2)\mathbf{I_{n_2}} & -\rho_1 \mathbf{I_{n_2}} \\ -\rho_1\mathbf{I_{n_2}} & \dots & \cdots & -\rho_1 \mathbf{I_{n_2}} & (1+\rho_1^2)\mathbf{I_{n_2}} \end{pmatrix}. \]

Similarly, \(\mathbf I_{n_1} \otimes \mathbf C_{\rho_2}\) results in a block diagonal matrix where each block is a copy of \(C_{\rho_2}\):

\[ \mathbf{I_{n_1}} \otimes \mathbf{C_{\rho_2}} = \begin{pmatrix} \mathbf{C_{\rho_2}} & \mathbf{0} & \cdots & \mathbf{0} \\ \mathbf{0} & \mathbf{C_{\rho_2}} & \cdots & \mathbf{0} \\ \vdots & \vdots & \ddots & \vdots \\ \mathbf{0} & \mathbf{0} & \cdots & \mathbf{C_{\rho_2}} \end{pmatrix}. \]

The sum of these two matrices is a block-circulant matrix with circulant blocks:

\[ \mathbf{Q} \approx \mathbf C_{\rho_1} \otimes \mathbf I_{n_2} + \mathbf I_{n_1} \otimes \mathbf C_{\rho_2} = \begin{pmatrix} \mathbf{B}_0 & \mathbf{B}_1 & \cdots & \mathbf{B}_{n_1-1} \\ \mathbf{B}_{n_1-1} & \mathbf{B}_0 & \cdots & \mathbf{B}_{n_1-2} \\ \vdots & \vdots & \ddots & \vdots \\ \mathbf{B}_1 & \mathbf{B}_2 & \cdots & \mathbf{B}_0 \end{pmatrix} \]

where each \(\mathbf{B_i}\) is a circulant matrix. Specifically, each \(\mathbf B_i = \mathbf 0\) except for

\[ \begin{aligned} \mathbf{B_0} &= \frac{(1+\rho_1^2)}{(1 - \rho_1^2)}\mathbf{I_{n_2}} + \mathbf C_{\rho_2}, \quad \text{and} \\ \mathbf{B_1} &= \mathbf{B_{n_1 - 1}} = \frac{-\rho_1}{(1 - \rho_1^2)}\mathbf{I_{n_2}}. \end{aligned} \]

This BCCB structure allows us to use 2D FFT for efficient computations. The base matrix \(\mathbf c\) for this BCCB structure is:

\[ \mathbf{c} = \begin{bmatrix} \frac{(1+\rho_1^2)}{(1 - \rho_1^2)} + \frac{(1+\rho_2^2)}{(1 - \rho_2^2)} & \frac{-\rho_1}{(1 - \rho_1^2)} & 0 & \cdots & \frac{-\rho_1}{(1 - \rho_1^2)} \\ \frac{-\rho_2}{(1 - \rho_2^2)} & 0 & 0 & \cdots & 0 \\ 0 & 0 & 0 & \cdots & 0 \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ \frac{-\rho_2}{(1 - \rho_2^2)} & 0 & 0 & \cdots & 0 \end{bmatrix} \]

This base matrix \(c\) captures the structure of the precision matrix \(\mathbf Q\) and allows for efficient computation of eigenvalues using the 2D Fast Fourier Transform (FFT), enabling rapid calculation of the log-determinant and quadratic forms needed for the Gaussian copula density.

Computation with Circulant Approximation

When using the circulant approximation, we leverage the efficient computation properties of block circulant matrices with circulant blocks (BCCB). This approach significantly reduces the computational complexity, especially for large spatial fields. Here’s the step-by-step process:

1. Construct the Base Matrix

First, we construct the base matrix \(\mathbf c\) for our BCCB approximation of \(\mathbf Q\). For an \(n_1 \times n_2\) grid, \(\mathbf c\) is an \(n_2 \times n_1\) matrix:

\[ \mathbf{c} = \begin{bmatrix} \frac{(1+\rho_1^2)}{(1 - \rho_1^2)} + \frac{(1+\rho_2^2)}{(1 - \rho_2^2)} & \frac{-\rho_1}{(1 - \rho_1^2)} & 0 & \cdots & \frac{-\rho_1}{(1 - \rho_1^2)} \\ \frac{-\rho_2}{(1 - \rho_2^2)} & 0 & 0 & \cdots & 0 \\ 0 & 0 & 0 & \cdots & 0 \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ \frac{-\rho_2}{(1 - \rho_2^2)} & 0 & 0 & \cdots & 0 \end{bmatrix} \]

This base matrix encapsulates the structure of our Matérn-like precision matrix.

2. Compute Initial Eigenvalues

We compute the initial eigenvalues of \(\mathbf Q\) using the 2D Fast Fourier Transform (FFT) of \(\mathbf c\):

\[ \boldsymbol{A} = \text{FFT2}(\mathbf{c})^{\nu+1} \]

where ν is the smoothness parameter.

3. Compute Marginal Variance and Rescale Eigenvalues

An important property of Block Circulant with Circulant Blocks (BCCB) matrices is that the inverse of a BCCB matrix is also a BCCB matrix, and the marginal variance is the first element in its first circulant block. We use this to efficiently compute the marginal variance and rescale the eigenvalues:

1. Compute the element-wise inverse of \(\boldsymbol{A}\): \(\mathbf{A^{inv}} = 1 / \boldsymbol{A}\)
2. Compute the base of \(\mathbf Q^{-1}\) using inverse 2D FFT: \(\mathbf{c_{inv}} = \text{IFFT2}(\mathbf{{A^{inv}}})\)
3. The marginal variance is given by the first element of \(\mathbf{c^{inv}}\): \(\sigma^2 = \mathbf{c^{inv}}_{(0,0)}\)
4. Rescale the eigenvalues: \(\boldsymbol{\widetilde A} = \sigma^2 \boldsymbol{A}\)

This process ensures that the resulting precision matrix will have unit marginal variances, as required for the Gaussian copula.

4. Compute Log-Determinant

The log-determinant of the scaled \(\mathbf{\widetilde Q}\) can be efficiently calculated as the sum of the logarithms of the scaled eigenvalues:

\[ \log|\mathbf{Q}| = \sum_{i,j} \log(\widetilde A_{ij}) \]

5. Compute Quadratic Form

To compute the quadratic form \(\mathbf{z}^T\mathbf{Q}\mathbf{z}\), we use the following steps:

1. Compute the 2D FFT of z: \(\mathbf{\hat{z}} = \text{FFT2}(\mathbf{z})\)
2. Multiply element-wise with the scaled eigenvalues: \(\mathbf{\hat{y}} = \boldsymbol{\widetilde A} \odot \mathbf{\hat{z}}\)
3. Compute the inverse 2D FFT: \(\mathbf{y} = \text{IFFT2}(\mathbf{\hat{y}})\)
4. Compute the dot product: \(\mathbf{z}^T\mathbf{Q}\mathbf{z} = \mathbf{z}^T\mathbf{y}\)

6. Compute the Log-Density

Finally, we can compute the log-density of the Gaussian copula:

\[ \log c(\mathbf{u}) = \frac{1}{2}\log|\mathbf{Q}| - \frac{1}{2}\mathbf{z}^T\mathbf{Q}\mathbf{z} + \frac{1}{2}\mathbf{z}^T\mathbf{z} \]

where \(\mathbf{z} = \Phi^{-1}(\mathbf{u})\).

Computation with Folded Circulant Approximation

The folded circulant approximation offers an alternative approach that can provide better accuracy near the edges of the spatial field. This method is based on the idea of reflecting the data along each coordinate axis, effectively doubling the size of the field. Other than that, the algorithmic implementation is the same except that the circulant approximation matrices to \(\mathbf Q_{\rho}\) are now \(2n \times 2n\).

First, we reflect the data along each coordinate axis. For a 2D spatial field represented by an \(n \times n\) matrix, the reflected data takes the form:

\[ \begin{bmatrix} x_{11} & \cdots & x_{1n_2} & x_{1n_2} & \cdots & x_{11} \\ \vdots & \ddots & \vdots & \vdots & \ddots & \vdots \\ x_{n_11} & \cdots & x_{n_1n_2} & x_{n_1n_2} & \cdots & x_{n_11} \\ x_{n_11} & \cdots & x_{n_1n_2} & x_{n_1n_2} & \cdots & x_{n_11} \\ \vdots & \ddots & \vdots & \vdots & \ddots & \vdots \\ x_{11} & \cdots & x_{1n_2} & x_{1n_2} & \cdots & x_{11} \end{bmatrix} \]

This reflection creates a \(2n_1 \times 2n_2\) matrix. The matrix is then stacked in lexicographic order before entering into the quadratic forms.

Results

Computational Efficiency

Table 1 presents the results of a benchmark comparing the time it takes to evaluate the gaussian copula density described above. For each grid size, we report the computation time for the exact method and the two approximations, along with the speed-up factor relative to the exact method. Each calculation was performed twenty times and the median times are shown in the table. The Cholesky method is described in the appendix.

Benchmarking how long it takes to evaluate the density of a Mátern(\(\nu\))-like field with correlation parameter \(\rho\), either unscaled or scaled to have unit marginal variance

	Unscaled			Scaled
Grid	Cholesky	Eigen		Eigen	Circulant		Folded
		Time	Relative		Time	Relative	Time	Relative
20x20	312.56µs	155.88µs	49.9%	235.59µs	36.2µs	15.4%	115.09µs	48.9%
40x40	1.77ms	543.76µs	30.7%	1.65ms	115.8µs	7.0%	300.9µs	18.3%
60x60	6.33ms	1.8ms	28.5%	7.1ms	188.48µs	2.7%	609.71µs	8.6%
80x80	17.98ms	5.17ms	28.8%	21.96ms	338.15µs	1.5%	1.26ms	5.7%
100x100	38.58ms	11.48ms	29.8%	48.44ms	445.14µs	0.9%	2.37ms	4.9%
120x120	81.1ms	22.74ms	28.0%	88.45ms	719.55µs	0.8%	2.82ms	3.2%
140x140	145.26ms	32.55ms	22.4%	168.38ms	965.71µs	0.6%	5.39ms	3.2%
160x160	233.03ms	54.51ms	23.4%	260.7ms	1.27ms	0.5%	5.33ms	2.0%
180x180	359.21ms	97.4ms	27.1%	482.93ms	1.61ms	0.3%	10.22ms	2.1%
200x200	567.01ms	147.51ms	26.0%	676.53ms	1.84ms	0.3%	8.62ms	1.3%
220x220	791.13ms	206.13ms	26.1%	994.11ms	2.59ms	0.3%	13.55ms	1.4%
240x240	1.07s	287ms	26.8%	1.34s	2.82ms	0.2%	14.77ms	1.1%

Source: Article Notebook

References

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Appendix

Cholesky Methods

Standard methods of evaluating multivariate normal densities using the Cholesky decomposition were implemented to compare with the new methods for benchmarking.

Unscaled Precision Matrix

Precision Matrix Construction

We start by constructing the precision matrix \(Q\) for a 2D Matérn field on a grid of size \(d_x \times d_y\):

\[ Q = Q_1 \otimes I_{d_y} + I_{d_x} \otimes Q_2 \]

where \(\otimes\) denotes the Kronecker product, \(Q_1\) and \(Q_2\) are 1D precision matrices for the x and y dimensions respectively (typically AR(1)-like structures), and \(I_{d_x}\) and \(I_{d_y}\) are identity matrices of appropriate sizes.

Density Computation

For a Matérn field with smoothness parameter \(\nu\), we need to work with \(Q^{\nu+1}\). We can efficiently compute the log-determinant, \(\log|Q^{\nu+1}|\), and the quadratic form, \(x^T Q^{\nu+1} x\), without explicitly forming \(Q^{\nu+1}\). To do this, we compute the Cholesky decomposition, \(Q = LL^T\), where L is a lower triangular matrix, and make use of the following equations:

\[ \log|Q^{\nu+1}| = (\nu+1)\log|Q| = 2(\nu+1)\sum_{i}\log(L_{ii}), \]

\[ \begin{aligned} x^T Q x &= x^T L L^T x = ||L^T x||_2^2 \\ x^T Q^2 x &= x^T L L^T L L^T x = ||LL^T x||_2^2 \\ x^T Q^3 x &= x^T L L^T L L^T L L^T x = ||L^TLL^T x||_2^2. \end{aligned} \]

Algorithm

1. Construct \(Q = Q_1 \otimes I_{d_y} + I_{d_x} \otimes Q_2\)
2. Compute Cholesky decomposition \(Q = LL^T\)
3. Compute log-determinant: \(\log|Q^{\nu+1}| = 2(\nu+1)\sum_{i}\log(L_{ii})\)
4. For each observation \(x\):
   1. Initialize \(y = x\)
   2. For \(j\) from 0 to \(\nu\):
      • If \(j\) is even: \(y = L^T y\)
      • If \(j\) is odd: \(y = L y\)
   3. Compute quadratic form \(q = y^Ty\)
5. Compute log-density: \(\log p(x) = -\frac{1}{2}(d\log(2\pi) + \log|Q^{\nu+1}| + q)\)

Scaled Precision Matrix

Precision Matrix Construction

We start by constructing the precision matrix \(Q\) for a 2D Matérn field on a grid of size \(d_x \times d_y\):

\[ Q = Q_1 \otimes I_{d_y} + I_{d_x} \otimes Q_2 \]

where \(\otimes\) denotes the Kronecker product, \(Q_1\) and \(Q_2\) are 1D precision matrices for the x and y dimensions respectively (typically AR(1)-like structures), and \(I_{d_x}\) and \(I_{d_y}\) are identity matrices of appropriate sizes. We will then have to work with the matrix \(Q^{\nu + 1}\).

To ensure unit marginal variances, we need to scale this precision matrix. Let \(D\) be a diagonal matrix where \(D_{ii} = \sqrt{\Sigma_{ii}}\), and \(\Sigma = (Q^{\nu+1})^{-1}\). The scaled precision matrix is then: \[ \tilde{Q} = DQ^{\nu+1}D \]

Efficient Computation of Scaling Matrix D

1. Compute the Cholesky decomposition of the original \(Q = LL^T\)
2. Compute \(R = L^{-1}\), so that \(S = Q^{-1} = R^TR\).
3. We then calculate the entries in \(D\) using the following steps:
   1. For \(\nu = 0\), \(D_{ii} = \sqrt{\Sigma_{ii}} = \sqrt{\sum_j (R_{ji})^2}\), the column-wise norm of \(R\).
   2. For \(\nu = 1\), we use the column-wise norm of \(R^TR\)
   3. For \(\nu = 2\), we use the column-wise norm of \(RR^TR\)

Log determinant

1. First, note that \(\log|\tilde{Q}| = \log|DQ^{\nu+1}D| = 2\log|D| + \log|Q^{\nu+1}|\)
2. We can compute \(\log|D|\) directly from the diagonal elements of D, i.e. \(\log|D| = \sum_i \log(D_{ii})\)
3. For \(\log|Q^{\nu+1}|\), we can use the properties of the Cholesky decomposition: \(\log|Q^{\nu+1}| = (\nu+1)\log|Q| = (\nu+1)\log|LL^T| = 2(\nu+1)\sum_i \log(L_{ii})\)
4. Combining these, we get \(\log|\tilde{Q}| = 2\sum_i \log(D_{ii}) + 2(\nu+1)\sum_i \log(L_{ii})\)

Quadratic Form

1. First, note that \(z^T\tilde{Q}z = z^TDQ^{\nu+1}Dz = (Dz)^TQ^{\nu+1}(Dz)\)
2. Let \(y = Dz\). We can compute this element-wise as \(y_i = D_{ii}z_i\)
3. Now we compute \(y^TQ^{\nu+1}y\) as in the unscaled case.

Algorithm

Putting it all together, here’s the algorithm for computing the log-density of the Gaussian copula using the scaled precision matrix:

1. Construct \(Q = Q_1 \otimes I_{d_y} + I_{d_x} \otimes Q_2\)
2. Compute Cholesky decomposition \(Q = LL^T\)
3. Compute \(R = L^{-1}\) and use it to compute D as described earlier
4. Compute log-determinant: \(\log|\tilde{Q}| = 2\sum_i \log(D_{ii}) + 2(\nu+1)\sum_i \log(L_{ii})\)
5. For each observation \(z = \Phi^{-1}(u)\):
   1. Compute \(y = Dz\)
   2. Compute \(y^TQ^{\nu+1}y\) as in the unscaled case.
6. Compute log-density: \(\log c(u) = -\frac{1}{2}(d\log(2\pi) + \log|\tilde{Q}| + q - z^Tz)\)