Estimation of Spatially Varying Parameters with Application to Hyperbolic SPDES

Algorithm 2

KBF likelihood with MH.

Require:, , , , , and .

Ensure:.

1: fortodo

2: Draw .

3: Compute .

4: forto, do

5:  Run a single-step KBF prediction mean

6:  Run a single-step KBF prediction covariance

7:  Run a single-step KBF analysis mean

8:  Run a single-step KBF analysis covariance

9: end for

10: Metropolis-Hastings

11: Compute

12: Compute

13: ifthen

14:  

15: else

16:  

17: end if

18: end for