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Valid estimation and prediction inference in analysis of a computer model

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dc.contributor.author Nagy, Béla
dc.date.accessioned 2008-08-28T18:42:17Z
dc.date.available 2008-08-28T18:42:17Z
dc.date.copyright 2008 en
dc.date.issued 2008-08-28T18:42:17Z
dc.identifier.uri http://hdl.handle.net/2429/1561
dc.description.abstract Computer models or simulators are becoming increasingly common in many fields in science and engineering, powered by the phenomenal growth in computer hardware over the past decades. Many of these simulators implement a particular mathematical model as a deterministic computer code, meaning that running the simulator again with the same input gives the same output. Often running the code involves some computationally expensive tasks, such as solving complex systems of partial differential equations numerically. When simulator runs become too long, it may limit their usefulness. In order to overcome time or budget constraints by making the most out of limited computational resources, a statistical methodology has been proposed, known as the "Design and Analysis of Computer Experiments". The main idea is to run the expensive simulator only at a relatively few, carefully chosen design points in the input space, and based on the outputs construct an emulator (statistical model) that can emulate (predict) the output at new, untried locations at a fraction of the cost. This approach is useful provided that we can measure how much the predictions of the cheap emulator deviate from the real response surface of the original computer model. One way to quantify emulator error is to construct pointwise prediction bands designed to envelope the response surface and make assertions that the true response (simulator output) is enclosed by these envelopes with a certain probability. Of course, to be able to make such probabilistic statements, one needs to introduce some kind of randomness. A common strategy that we use here is to model the computer code as a random function, also known as a Gaussian stochastic process. We concern ourselves with smooth response surfaces and use the Gaussian covariance function that is ideal in cases when the response function is infinitely differentiable. In this thesis, we propose Fast Bayesian Inference (FBI) that is both computationally efficient and can be implemented as a black box. Simulation results show that it can achieve remarkably accurate prediction uncertainty assessments in terms of matching coverage probabilities of the prediction bands and the associated reparameterizations can also help parameter uncertainty assessments. en
dc.format.extent 780407 bytes
dc.format.mimetype application/pdf
dc.language.iso eng en
dc.publisher University of British Columbia
dc.subject Computer experiment en
dc.subject Bayesian inference en
dc.subject Gaussian process en
dc.subject Prediction uncertainty en
dc.title Valid estimation and prediction inference in analysis of a computer model en
dc.type Electronic Thesis or Dissertation
dc.degree.name Doctor of Philosophy - PhD en
dc.degree.discipline Statistics en
dc.degree.grantor University of British Columbia
dc.date.graduation 2008-11 en
dc.degree.campus UBCV en


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