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Cases for the nugget in modeling computer experiments. (English) Zbl 1252.62098

Summary: Most surrogate models for computer experiments are interpolators, and the most common interpolator is a Gaussian process (GP) that deliberately omits a small-scale (measurement) error term called the nugget. The explanation is that computer experiments are, by definition, “deterministic”, and so there is no measurement error. We think this is too narrow a focus for a computer experiment and a statistically inefficient way to model them. We show that estimating a (non-zero) nugget can lead to surrogate models with better statistical properties, such as predictive accuracy and coverage, in a variety of common situations.

MSC:

62M99 Inference from stochastic processes
62P99 Applications of statistics
68U99 Computing methodologies and applications

Software:

tgp
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References:

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