KMS Of Academy of mathematics and systems sciences, CAS
UNCERTAINTY QUANTIFICATION WITH alpha-STABLE-PROCESS MODELS | |
Tuo, Rui | |
2018-04-01 | |
发表期刊 | STATISTICA SINICA |
ISSN | 1017-0405 |
卷号 | 28期号:2页码:553-576 |
摘要 | In this article we consider using a class of alpha-stable processes, which can be regarded as generalizations of the Gaussian processes, as the surrogate models for uncertainty quantification. We introduce a class of alpha-stable processes, whose finite-dimensional distributions can be represented using independent stable random variables. This representation allows for Bayesian inference for the proposed statistical model. We can obtain the posterior distributions for the untried points as well as the model parameters through an MCMC algorithm. The computation for the representation requires some geometrical information given by the design points. We propose an efficient algorithm to solve this computational geometry problem. Two examples are given to illustrate the proposed method and its potential advantages. |
关键词 | Computer experiments kriging Levy processes stable distributions |
语种 | 英语 |
资助项目 | NSFC[11501551] ; NSFC[11271355] ; NSFC[11671386] ; National Center for Mathematics and Interdisciplinary Sciences, CAS ; NSF[DMS 1007574] |
WOS研究方向 | Mathematics |
WOS类目 | Statistics & Probability |
WOS记录号 | WOS:000450211500002 |
出版者 | STATISTICA SINICA |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/31743 |
专题 | 系统科学研究所 |
通讯作者 | Tuo, Rui |
作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
推荐引用方式 GB/T 7714 | Tuo, Rui. UNCERTAINTY QUANTIFICATION WITH alpha-STABLE-PROCESS MODELS[J]. STATISTICA SINICA,2018,28(2):553-576. |
APA | Tuo, Rui.(2018).UNCERTAINTY QUANTIFICATION WITH alpha-STABLE-PROCESS MODELS.STATISTICA SINICA,28(2),553-576. |
MLA | Tuo, Rui."UNCERTAINTY QUANTIFICATION WITH alpha-STABLE-PROCESS MODELS".STATISTICA SINICA 28.2(2018):553-576. |
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