Increasingly large volumes of space–time data are collected everywhere by mobile computing applications, and in many of these cases, temporal data are obtained by registering events, for example, telecommunication or Web traffic data. Having both the spatial and temporal dimensions adds substantial complexity to data analysis and inference tasks. The computational complexity increases rapidly for fitting Bayesian hierarchical models, as such a task involves repeated inversion of large matrices. The primary focus of this paper is on developing space–time autoregressive models under the hierarchical Bayesian setup. To handle large data sets, a recently developed Gaussian predictive process approximation method is extended to include autoregressive terms of latent space–time processes. Specifically, a space–time autoregressive process, supported on a set of a smaller number of knot locations, is spatially interpolated to approximate the original space–time process. The resulting model is specified within a hierarchical Bayesian framework, and Markov chain Monte Carlo techniques are used to make inference. The proposed model is applied for analysing the daily maximum 8-h average ground level ozone concentration data from 1997 to 2006 from a large study region in the Eastern United States. The developed methods allow accurate spatial prediction of a temporally aggregated ozone summary, known as the primary ozone standard, along with its uncertainty, at any unmonitored location during the study period. Trends in spatial patterns of many features of the posterior predictive distribution of the primary standard, such as the probability of noncompliance with respect to the standard, are obtained and illustrated. Copyright © 2012 John Wiley & Sons, Ltd.
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