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The effect of the nugget on Gaussian process emulators of computer models

Andrianakis, Ioannis; Challenor, Peter G.. 2012 The effect of the nugget on Gaussian process emulators of computer models. Computational Statistics & Data Analysis, 56 (12). 4215-4228. 10.1016/j.csda.2012.04.020

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Abstract/Summary

The effect of a Gaussian process parameter known as the nugget, on the development of computer model emulators is investigated. The presence of the nugget results in an emulator that does not interpolate the data and attaches a non-zero uncertainty bound around them. The limits of this approximation are investigated theoretically, and it is shown that they can be as large as those of a least squares model with the same regression functions as the emulator, regardless of the nugget’s value. The likelihood of the correlation function parameters is also studied and two mode types are identified. Type I modes are characterised by an approximation error that is a function of the nugget and can therefore become arbitrarily small, effectively yielding an interpolating emulator. Type II modes result in emulators with a constant approximation error. Apart from a theoretical investigation of the limits of the approximation error, a practical method for automatically imposing restrictions on its extent is introduced. This is achieved by means of a penalty term that is added to the likelihood function, and controls the amount of unexplainable variability in the computer model. The main findings are illustrated on data from an Energy Balance climate model.

Item Type: Publication - Article
Digital Object Identifier (DOI): 10.1016/j.csda.2012.04.020
Programmes: NOC Programmes
ISSN: 01679473
Additional Keywords: Computer experiments; Ill conditioning; Interpolation; Approximation; Kriging
Date made live: 01 Oct 2012 15:49 +0 (UTC)
URI: http://nora.nerc.ac.uk/id/eprint/443348

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