Gaussian processes and limiting linear models

DOI10.1016/J.CSDA.2008.06.020zbMATH Open1452.62064arXiv0804.4685OpenAlexW2069176726MaRDI QIDQ1023934FDOQ1023934

Authors: Robert B. Gramacy, Herbert K. H. Lee 

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: Gaussian processes retain the linear model either as a special case, or in the limit. We show how this relationship can be exploited when the data are at least partially linear. However from the perspective of the Bayesian posterior, the Gaussian processes which encode the linear model either have probability of nearly zero or are otherwise unattainable without the explicit construction of a prior with the limiting linear model in mind. We develop such a prior, and show that its practical benefits extend well beyond the computational and conceptual simplicity of the linear model. For example, linearity can be extracted on a per-dimension basis, or can be combined with treed partition models to yield a highly efficient nonstationary model. Our approach is demonstrated on synthetic and real datasets of varying linearity and dimensionality.

Full work available at URL: https://arxiv.org/abs/0804.4685

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Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30)

Cites Work

• Bagging predictors
• Multivariate adaptive regression splines
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• Bayesian calibration of computer models. (With discussion)
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• Bayesian treed models
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Cited In (14)

• \textit{KrigInv}: an efficient and user-friendly implementation of batch-sequential inversion strategies based on kriging
• Calibration of computer models with multivariate output
• Scaling relationships of Gaussian processes
• Finite-dimensional approximation of Gaussian processes with linear inequality constraints and noisy observations
• Title not available (Why is that?)
• Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
• Active learning for efficiently training emulators of computationally expensive mathematical models
• Advanced Lectures on Machine Learning
• A Partially Linear Model Using a Gaussian Process Prior
• Screening the Discrepancy Function of a Computer Model
• Emulation engines: choice and quantification of uncertainty for complex hydrological models
• Cases for the nugget in modeling computer experiments
• Calibration for computer experiments with binary responses and application to cell adhesion study
• Lectures on Gaussian Processes

Uses Software

• R
• tgp

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