Rapid Approximation Prediction for Kriging
Exact Kriging and conditional simulation (CS) for uncertainty quantification are computationally infeasible for modern spatial analyses with large numbers of observations and dense prediction grids. We present a rapid approximation to the Kriging prediction step for stationary Gaussian processes for a regular prediction grid by approximating each off-grid covariance vector by a sparse linear combination of on-grid covariances within a local $L$-order neighborhood of $M = (2L)^2$ neighboring grid points. This reformulation reduces complexity from $O(N n^3)$ to $O(N \log N + nM + M^3)$ while preserving accuracy. A factorial study shows that approximation error decreases systematically with increased Matérn smoothness, neighbor order $L$, and grid resolution, aligning with bounds from kernel approximation theory. In a North American summer-rainfall application ($n=1368$), our method produces predictions visually indistinguishable from exact Kriging with point-wise errors on the order of $10^{-5}$ inches and achieves more than $150$ times speedups at a $350\times350$ grid, also outperforming Vecchia and LatticeKrig predictions. Embedded in a fast CS scheme, the approach reproduces Kriging standard errors and scales favorably with both $n$ and $N$. We recommend a practical workflow that uses a fast method for parameter estimation followed by our rapid predictor for fine-grid mapping and uncertainty quantification.