Project CEMAPRE internal
|Title||Uncertainty Quantification Using a Discrepancy Term with a Gaussian Process Prior: An Example from Macroeconomics|
|Participants||Rui Paulo (Principal Investigator), Ivo Tavares|
|Summary||Using a simple DSGE model from economic theory, we will show how researchers may quantify|
uncertainty in a state-space model using a discrepancy term with a Gaussian process prior. This
method will also show how one may account for the possibility of misspecification in the scientific
model, and even in some cases how to correct for it.