Regular Fourier Features for Nonstationary Gaussian Processes
arXiv:2602.23006v1 Announce Type: new Abstract: Simulating a Gaussian process requires sampling from a high-dimensional Gaussian distribution, which scales cubically with the number of sample locations. Spectral methods address this challenge by exploiting the Fourier representation, treating the spectral density as a probability distribution for Monte Carlo approximation. Although this probabilistic interpretation works for stationary processes, it is overly restrictive for the nonstationary case, where spectral densities are generally not probability measures. We propose regular Fourier features for harmonizable […]