A bridge representation of Gaussian Whittle-Mat\'ern fields on compact metric graphs
TL;DR
A new bridge representation of Gaussian Whittle-Mat\'ern fields in the case of half-integer smoothness parameters, when the fields have Markov properties is developed, which decomposes the field into a finite-dimensional graph component and independent Whittle-Mat\'ern bridge processes on the individual edges.
Abstract
Gaussian Whittle-Mat\'ern fields form a flexible class of Gaussian processes on compact metric graphs, where spatial dependence is governed by the geometry and connectivity of the network through a fractional-order stochastic partial differential equation. This paper develops a new bridge representation of these fields in the case of half-integer smoothness parameters, when the fields have Markov properties. This representation decomposes the field into a finite-dimensional graph component and independent Whittle-Mat\'ern bridge processes on the individual edges. The resulting decomposition leads to efficient likelihood evaluation, kriging prediction, and simulation methods. We show that this improves numerical stability and can greatly reduce computation time compared to previous methods. A simulation study on a Chicago street-network graph illustrates the computational efficiency of the sampling method and an application to Madrid traffic intensity data demonstrates the practical gains for likelihood-based inference and prediction. The methods are implemented in the R package MetricGraph.