Brownian Integrated Covariance Functions for Gaussian Process Modeling: Sigmoidal Versus Localized Basis Functions

Ning Zhang and Daniel W. Apley

Journal of the American Statistical Association, 2016, vol. 111, issue 515, 1182-1195

Abstract: Gaussian process modeling, or kriging, is a popular method for modeling data from deterministic computer simulations, and the most common choices of covariance function are Gaussian, power exponential, and Matérn. A characteristic of these covariance functions is that the basis functions associated with their corresponding response predictors are localized, in the sense that they decay to zero as the input location moves away from the simulated input sites. As a result, the predictors tend to revert to the prior mean, which can result in a bumpy fitted response surface. In contrast, a fractional Brownian field model results in a predictor with basis functions that are nonlocalized and more sigmoidal in shape, although it suffers from drawbacks such as inability to represent smooth response surfaces. We propose a class of Brownian integrated covariance functions obtained by incorporating an integrator (as in the white noise integral representation of a fractional Brownian field) into any stationary covariance function. Brownian integrated covariance models result in predictor basis functions that are nonlocalized and sigmoidal, but they are capable of modeling smooth response surfaces. We discuss fundamental differences between Brownian integrated and other covariance functions, and we illustrate by comparing Brownian integrated power exponential with regular power exponential kriging models in a number of examples. Supplementary materials for this article are available online.

Date: 2016
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DOI: 10.1080/01621459.2015.1077711

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