14,623 research outputs found
An Interpretation of the Dual Problem of the THREE-like Approaches
Spectral estimation can be preformed using the so called THREE-like approach.
Such method leads to a convex optimization problem whose solution is
characterized through its dual problem. In this paper, we show that the dual
problem can be seen as a new parametric spectral estimation problem. This
interpretation implies that the THREE-like solution is optimal in terms of
closeness to the correlogram over a certain parametric class of spectral
densities, enriching in this way its meaningfulness
Gaussian process single-index models as emulators for computer experiments
A single-index model (SIM) provides for parsimonious multi-dimensional
nonlinear regression by combining parametric (linear) projection with
univariate nonparametric (non-linear) regression models. We show that a
particular Gaussian process (GP) formulation is simple to work with and ideal
as an emulator for some types of computer experiment as it can outperform the
canonical separable GP regression model commonly used in this setting. Our
contribution focuses on drastically simplifying, re-interpreting, and then
generalizing a recently proposed fully Bayesian GP-SIM combination, and then
illustrating its favorable performance on synthetic data and a real-data
computer experiment. Two R packages, both released on CRAN, have been augmented
to facilitate inference under our proposed model(s).Comment: 23 pages, 9 figures, 1 tabl
- …