So much to read:
http://rses.anu.edu.au/cadi/Whiteconference/papers/CressieMassiveData.pdf
http://www.stat.ucla.edu/~nchristo/statistics_c173_c273/cressie_FRK.pdf
http://arxiv.org/pdf/1512.09327v1.pdf
My brother wrote a tutorial, feedback welcome: