Estimation of the volume of an excursion set of a Gaussian process using intrinsic Kriging

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dc.creatorVazquez, Emmanuel
dc.creatorMartinez, Miguel Piera
dc.date2006-11-09
dc.date.accessioned2026-07-07T08:08:22Z
dc.date.available2026-07-07T08:08:22Z
dc.descriptionAssume that a Gaussian process $ξ$ is predicted from $n$ pointwise observations by intrinsic Kriging and that the volume of the excursion set of $ξ$ above a given threshold $u$ is approximated by the volume of the predictor. The first part of this paper gives a bound on the convergence rate of the approximated volume. The second part describes an algorithm that constructs a sequence of points to yield a fast convergence of the approximation. The estimation of the volume of an excursion set is a highly relevant problem for the industrial world since it corresponds to the estimation of the failure probability of a system that is known only through sampled observations.
dc.description11 pages, 1 figure
dc.identifierhttps://arxiv.org/abs/math/0611273
dc.identifierhttp://arxiv.org/abs/math/0611273
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/131243
dc.subjectStatistics Theory
dc.subject62M20; 62K99; 60G15; 60G25; 60G70
dc.titleEstimation of the volume of an excursion set of a Gaussian process using intrinsic Kriging
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