Vecchia approximations of Gaussian-process predictions

Gaussian processes (GPs) are highly flexible function estimators used for geospatial analysis, nonparametric regression, and machine learning, but they are computationally infeasible for large datasets. Vecchia approximations of GPs have been used to enable fast evaluation of the likelihood for parameter inference. Here, we study Vecchia approximations of spatial predictions at observed and unobserved locations, including obtaining joint predictive distributions at large sets of locations. We propose a general Vecchia framework for GP predictions, which contains some novel and some existing special cases. We study the accuracy and computational properties of these approaches theoretically and numerically. We show that our new approaches exhibit linear computational complexity in the total number of spatial locations. We also apply our methods to a satellite dataset of chlorophyll fluorescence.