55 citations · 59 across the 4 of their papers we have counts for
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math.PR2016
Gaussian process emulators for computer experiments with inequality constraints
Hassan Maatouk, Xavier Bay
Physical phenomena are observed in many fields (sciences and engineering) and are often studied by time-consuming computer codes. These codes are analyzed with statistical models,…
q-fin.CP2016★ 55 cited
Kriging of financial term-structures
Areski Cousin, Hassan Maatouk, Didier Rullière
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-…
math.PR2016
Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation
Xavier Bay, Laurence Grammont, Hassan Maatouk
In this paper, we extend the correspondence between Bayes' estimation and optimal interpolation in a Reproducing Kernel Hilbert Space (RKHS) to the case of linear inequality constr…