Adjustments to Computer Models via Projected Kernel Calibration

DOI10.1137/17M1128769zbMATH Open1430.62261arXiv1705.03422OpenAlexW2963876824WikidataQ127945253 ScholiaQ127945253MaRDI QIDQ5237166FDOQ5237166

Rui Tuo

Publication date: 17 October 2019

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: Identification of model parameters in computer simulations is an important topic in computer experiments. We propose a new method, called the projected kernel calibration method, to estimate these model parameters. The proposed method is proven to be asymptotic normal and semi-parametric efficient. As a frequentist method, the proposed method is as efficient as the $L_2$ calibration method proposed by Tuo and Wu [Ann. Statist. 43 (2015) 2331-2352]. On the other hand, the proposed method has a natural Bayesian version, which the $L_2$ method does not have. This Bayesian version allows users to calculate the credible region of the calibration parameters without using a large sample approximation. We also show that, the inconsistency problem of the calibration method proposed by Kennedy and O'Hagan [J. R. Stat. Soc. Ser. B. Stat. Methodol. 63 (2001) 425-464] can be rectified by a simple modification of the kernel matrix.

Full work available at URL: https://arxiv.org/abs/1705.03422

zbMATH Keywords

computer experimentsuncertainty quantificationsemiparametric methods

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30) Foundations and philosophical topics in statistics (62A01)

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Cited In (16)

• A model calibration procedure for count response
• A new \(L_2\) calibration procedure of computer models based on the smoothing spline ANOVA
• Semi-parametric adjustment to computer models
• Robust calibration of computer models based on Huber loss
• Robust estimators of functional single index models for longitudinal data
• Penalized Projected Kernel Calibration for Computer Models
• A review on computer model calibration
• Fast Calibration for Computer Models with Massive Physical Observations
• Calibration of Inexact Computer Models with Heteroscedastic Errors
• Screening the Discrepancy Function of a Computer Model
• A Reproducing Kernel Hilbert Space Approach to Functional Calibration of Computer Models
• Bayesian Projected Calibration of Computer Models
• On the Improved Rates of Convergence for Matérn-Type Kernel Ridge Regression with Application to Calibration of Computer Models
• Effective model calibration via sensible variable identification and adjustment with application to composite fuselage simulation
• Efficient calibration of computer models with multivariate output
• Calibration for computer experiments with binary responses and application to cell adhesion study

Uses Software

• gss

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