Optimal design for correlated processes with input-dependent noise

  title={Optimal design for correlated processes with input-dependent noise},
  author={Alexis Boukouvalas and Dan Cornford and Milan Stehl{\'i}k},
  journal={Computational Statistics & Data Analysis},
Optimal design for parameter estimation in Gaussian process regression models with input-dependent noise is examined. The motivation stems from the area of computer experiments, where computationally demanding simulators are approximated using Gaussian process emulators to act as statistical surrogates. In the case of stochastic simulators, which produce a random output for a given set of model inputs, repeated evaluations are useful, supporting the use of replicate observations in the… CONTINUE READING
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