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Biometrika Advance Access published online on June 30, 2009
Biometrika, doi:10.1093/biomet/asp028
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© 2009 Biometrika Trust

Article

Gaussian process emulation of dynamic computer codes

S. Conti

Centre for Infections, Health Protection Agency, 61 Colindale Ave., London, NW9 5EQ, U.K. stefano.conti{at}hpa.org.uk

J. P. Gosling

Central Science Laboratory, Department for Environment, Food and Rural Affairs, Sand Hutton, York, YO41 1LZ, U.K. jp.gosling{at}csl.gov.uk

J. E. Oakley and A. O'hagan

Department of Probability and Statistics, University of Sheffield, Sheffield, S3 7RH, U.K. j.oakley{at}sheffield.ac.uk a.ohagan{at}sheffield.ac.uk

Received for publication 1 June 2007. Revision received 1 November 2008.
  Abstract

Computer codes are used in scientific research to study and predict the behaviour of complex systems. Their run times often make uncertainty and sensitivity analyses impractical because of the thousands of runs that are conventionally required, so efficient techniques have been developed based on a statistical representation of the code. The approach is less straightforward for dynamic codes, which represent time-evolving systems. We develop a novel iterative system to build a statistical model of dynamic computer codes, which is demonstrated on a rainfall-runoff simulator.

Key Words: Bayesian inference • Computer experiment • Dynamic simulator • Emulation • Gaussian process • Iterative modelling


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