The Vecchia Gaussian Process Approximation Explained

I recently found myself wanting to use the Vecchia GP approximation for a problem at work where low-rank approximation methods were a poor fit. I had vaguely heard about this approximation from a conversation with Marcus Noack , and I understood that it was a sparse approximation to the GP covariance. I always assumed this meant rounding near-zero entries in a GP covariance matrix to be exactly…