Friday, October 10, 2008

Heteroskedastic Spatial Models with Applications in Computer Experiments

Jay Breidt
(Colorado State University and ENSAI)

Abstract: We consider modeling a deterministic computer response as a realization from a stochastic heteroskedastic process (SHP), which incorporates a spatially-correlated volatility process into the traditional spatially-correlated Gaussian process (GP) model. Unconditionally, the SHP is a stationary non-Gaussian process, with stationary GP as a special case. Conditional on a latent process, the SHP is a non-stationary GP. The sample paths of this process offer more modeling flexibility than those produced by a traditional GP, and can better reflect prediction uncertainty. GP prediction error variances depend only on the locations of inputs, while SHP can reflect local inhomogeneities in a response surface through prediction error variances that depend on both input locations and output responses. We use maximum likelihood for inference, which is complicated by the high dimensionality of the latent process. Accordingly, we develop an importance sampling method for likelihood computation and use a low-rank kriging approximation to reconstruct the latent process. Responses at unobserved locations can be predicted using empirical best predictors or by empirical best linear unbiased predictors. Prediction error variances are also obtained. In examples with simulated and real computer experiment data, the SHP model is superior to traditional GP models. [This is joint work with Ke Wang and Wenying Huang, Colorado State University, and Richard A. Davis, Columbia University]

Friday, October 10, 2008
Time: 11h00
Room: Sala Banco Privado, Edificio Quelhas, ISEG