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Pré-Publication, Document De Travail Année : 2015

Bayesian spatio-temporal kriging with misspecified black-box

Résumé

We propose a new algorithm for spatio-temporal prediction. At a given time t, we use a Bayesian kriging model for spatial prediction. The temporal evolution from t to t + 1 is given by a deterministic black-box which can be a complex numerical code or a partial differential equation. As often in practice, the black-box is misspecified, in the sense that its parameters are imprecisely known or may be varying randomly over time. At time t, we use the black-box to obtain a rough prediction at time t + 1. When new data are available, the black-box is used to estimate the hyperparameters of the Bayesian kriging at time t + 1 by using Monte Carlo methods. Through a numerical application, we show that our method improves the values predicted by the black-box only.
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Dates et versions

hal-01226169 , version 1 (11-11-2015)

Identifiants

  • HAL Id : hal-01226169 , version 1

Citer

Papa-Abdulaye Faye, Pierre Druilhet, Nourddine Azzaoui, Anne-Françoise Yao. Bayesian spatio-temporal kriging with misspecified black-box. 2015. ⟨hal-01226169⟩
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