Efficient Kriging via Fast Matrix-Vector Products

Interpolating scattered data points is a problem of wide ranging interest. Ordinary kriging is an optimal scattered data estimator, widely used in geosciences and remote sensing. A generalized version of this technique, called cokriging, can be used for image fusion of remotely sensed data. However, it is computationally very expensive for large data sets. We demonstrate the time efficiency and accuracy of approximating ordinary kriging through the use of fast matrix-vector products combined with iterative methods. We used methods based on the fast Multipole methods and nearest neighbor searching techniques for implementations of the fast matrix-vector products.