Objective Bayesian Analysis of a Cokriging Model for Hierarchical Multifidelity Codes

@article{Ma2020ObjectiveBA,
  title={Objective Bayesian Analysis of a Cokriging Model for Hierarchical Multifidelity Codes},
  author={Pulong Ma},
  journal={SIAM/ASA J. Uncertain. Quantification},
  year={2020},
  volume={8},
  pages={1358-1382}
}
  • P. Ma
  • Published 22 October 2019
  • Computer Science
  • SIAM/ASA J. Uncertain. Quantification
Autoregressive cokriging models have been widely used to emulate multiple computer models with different levels of fidelity. The dependence structures are modeled via Gaussian processes at each level of fidelity, where covariance structures are often parameterized up to a few parameters. The predictive distributions typically require intensive Monte Carlo approximations in previous works. This article derives new closed-form formulas to compute the means and variances of predictive… 

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