On degeneracy and invariances of random fields paths with applications in Gaussian process modelling

Ginsbourger, David; Roustant, Olivier; Durrande, Nicolas (2016). On degeneracy and invariances of random fields paths with applications in Gaussian process modelling. Journal of statistical planning and inference, 170, pp. 117-128. Elsevier 10.1016/j.jspi.2015.10.002

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We study pathwise invariances and degeneracies of random fields with motivating applications in Gaussian process modelling. The key idea is that a number of structural properties one may wish to impose a priori on functions boil down to degeneracy properties under well-chosen linear operators. We first show in a second order set-up that almost sure degeneracy of random field paths under some class of linear operators defined in terms of signed measures can be controlled through the two first moments. A special focus is then put on the Gaussian case, where these results are revisited and extended to further linear operators thanks to state-of-the-art representations. Several degeneracy properties are tackled, including random fields with symmetric paths, centred paths, harmonic paths, or sparse paths. The proposed approach delivers a number of promising results and perspectives in Gaussian process modelling. In a first numerical experiment, it is shown that dedicated kernels can be used to infer an axis of symmetry. Our second numerical experiment deals with conditional simulations of a solution to the heat equation, and it is found that adapted kernels notably enable improved predictions of non-linear functionals of the field such as its maximum.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Ginsbourger, David

Subjects:

500 Science > 510 Mathematics

ISSN:

0378-3758

Publisher:

Elsevier

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

25 Nov 2015 08:00

Last Modified:

24 Oct 2017 02:30

Publisher DOI:

10.1016/j.jspi.2015.10.002

BORIS DOI:

10.7892/boris.73011

URI:

https://boris.unibe.ch/id/eprint/73011

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