= Vecchia approximation
{wiki=Vecchia_approximation}
The Vecchia approximation is a technique used in the field of statistical modeling, particularly in Gaussian processes (GPs) and spatial statistics. It is employed to manage the computational challenges that arise when dealing with large datasets. In Gaussian processes, the covariance matrix can become very large and computationally expensive to handle, especially when the number of observations is in the order of thousands or millions. The Vecchia approximation addresses this by approximating the full Gaussian process with a structured (and therefore more manageable) representation.
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