Regular Fourier Features for Nonstationary Gaussian Processes

arXiv:2602.23006v2 Announce Type: replace-cross 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 and treating the spectral density as a probability distribution suitable for Monte Carlo approximation. Although this probabilistic interpretation is valid 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 processes to avoid this limitation. Our method discretizes the spectral representation directly, preserving the correlation structure among spectral weights without requiring probability assumptions. Under a finite-spectral-support assumption, this yields an efficient low-rank approximation that is consistent and positive semi-definite by construction. When the spectral density is unknown, the framework extends naturally to kernel learning from data. We demonstrate the method on locally stationary and harmonizable mixture kernels, the latter with a complex-valued spectral density, and apply the kernel-learning extension to real and synthetic data.