Efficient calibration for imperfect computer models

DOI10.1214/15-AOS1314zbMATH Open1326.62228arXiv1507.07280OpenAlexW2963045461MaRDI QIDQ892237FDOQ892237

Rui Tuo, C. F. Jeff Wu

Publication date: 18 November 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Many computer models contain unknown parameters which need to be estimated using physical observations. Kennedy and O'Hagan (2001) shows that the calibration method based on Gaussian process models proposed by Kennedy and O'Hagan (2001) may lead to unreasonable estimate for imperfect computer models. In this work, we extend their study to calibration problems with stochastic physical data. We propose a novel method, called the $L_2$ calibration, and show its semiparametric efficiency. The conventional method of the ordinary least squares is also studied. Theoretical analysis shows that it is consistent but not efficient. Numerical examples show that the proposed method outperforms the existing ones.

Full work available at URL: https://arxiv.org/abs/1507.07280

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zbMATH Keywords

computer experimentsreproducing kernel Hilbert spacesemiparametric efficiencyuncertainty quantification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics in engineering and industry; control charts (62P30) Foundations and philosophical topics in statistics (62A01)

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