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A dynamic modelling strategy for bayesian computer model emulation

Publication ,  Journal Article
Liu, F; West, M
Published in: Bayesian Analysis
December 1, 2009

Computer model evaluation studies build statistical models of deterministic simulation-based predictions of field data to then assess and criticize the computer model and suggest refinements. Computer models are often expensive computationally: statistical models that adequately emulate their key features can be very much more efficient. Gaussian process models are often used as emulators, but the resulting computations lack the ability to scale to higher-dimensional, time-dependent or functional outputs. For some such problems, especially for contexts of time series outputs, building emulators using dynamic linear models provides a computationally attractive alternative as well as a flexible modelling approach capable of emulating a broad range of stochastic structures underlying the input-output simulations. We describe this here, combining Bayesian multivariate dynamic linear models with Gaussian process modelling in an effective manner, and illustrate the approach with data from a hydrological simulation model. The general strategy will be useful for other computer model evaluation studies with time series or functional outputs. © 2009 International Society for Bayesian Analysis.

Duke Scholars

Published In

Bayesian Analysis

DOI

EISSN

1931-6690

ISSN

1936-0975

Publication Date

December 1, 2009

Volume

4

Issue

2

Start / End Page

393 / 412

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 0104 Statistics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Liu, F., & West, M. (2009). A dynamic modelling strategy for bayesian computer model emulation. Bayesian Analysis, 4(2), 393–412. https://doi.org/10.1214/09-BA415
Liu, F., and M. West. “A dynamic modelling strategy for bayesian computer model emulation.” Bayesian Analysis 4, no. 2 (December 1, 2009): 393–412. https://doi.org/10.1214/09-BA415.
Liu F, West M. A dynamic modelling strategy for bayesian computer model emulation. Bayesian Analysis. 2009 Dec 1;4(2):393–412.
Liu, F., and M. West. “A dynamic modelling strategy for bayesian computer model emulation.” Bayesian Analysis, vol. 4, no. 2, Dec. 2009, pp. 393–412. Scopus, doi:10.1214/09-BA415.
Liu F, West M. A dynamic modelling strategy for bayesian computer model emulation. Bayesian Analysis. 2009 Dec 1;4(2):393–412.

Published In

Bayesian Analysis

DOI

EISSN

1931-6690

ISSN

1936-0975

Publication Date

December 1, 2009

Volume

4

Issue

2

Start / End Page

393 / 412

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 0104 Statistics