Maximum Likelihood Estimation for a Smooth Gaussian Random Field Model

DOI10.1137/15M105358XMaRDI QIDQ5269857zbMATH OpenOpenAlexFDO

Authors Wanting Xu, Michael L. Stein

Publication date 28 June 2017

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

Full work available at URL https://doi.org/10.1137/15m105358x

zbMATH Keywords

cross validationcomputer experimentbest linear predictionsquared exponential covariance function

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Gaussian processes (60G15) Interpolation and approximation (educational aspects) (97N50)

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• Estimating Percentiles of Uncertain Computer Code Outputs
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• Evaluating Derivatives
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Cited in

(12)

• Gaussian process-based dimension reduction for goal-oriented sequential design
• Stable Likelihood Computation for Gaussian Random Fields
• Comment: unreasonable effectiveness of Monte Carlo
• Probabilistic integration: a role in statistical computation?
• Likelihood-based estimation for Gaussian MRFs
• Maximum likelihood estimation and uncertainty quantification for Gaussian process approximation of deterministic functions
• Asymptotic Bounds for Smoothness Parameter Estimates in Gaussian Process Interpolation
• On the inference of applying Gaussian process modeling to a deterministic function
• Selection of a covariance function for a Gaussian random field aimed for modeling global optimization problems
• Maximum likelihood estimation in Gaussian models under total positivity
• Small sample spaces for Gaussian processes
• Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes

Describes a project that uses

Uses Software

• Mathematica

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