28 citations · 29 across the 2 of their papers we have counts for
4 papers
Additive Covariance Kernels for High-Dimensional Gaussian Process Modeling
Nicolas Durrande, David Ginsbourger, Olivier Roustant +1
Gaussian process models -also called Kriging models- are often used as mathematical approximations of expensive experiments. However, the number of observation required for buildin…
ANOVA kernels and RKHS of zero mean functions for model-based sensitivity analysis
Nicolas Durrande, David Ginsbourger, Olivier Roustant +1
Given a reproducing kernel Hilbert space H of real-valued functions and a suitable measure mu over the source space D (subset of R), we decompose H as the sum of a subspace of cent…
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
Laurent Carraro, Nicole El Karoui, Jan Obłój
We study the class of Azéma-Yor processes defined from a general semimartingale with a continuous running maximum process. We show that they arise as unique strong solutions of the…
A Radar-Shaped Statistic for Testing and Visualizing Uniformity Properties in Computer Experiments
Jessica Franco, Laurent Carraro, Olivier Roustant +1
In the study of computer codes, filling space as uniformly as possible is important to describe the complexity of the investigated phenomenon. However, this property is not conserv…