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I have been looking into using multi-output Gaussian Processes as a way to emulate a complex mathematical simulator. I have looked at papers by Conti & O'Hagan (2010) and Alvarez & Lawrence (2009, 2011).

Are there any packages available in Matlab or R that are able to implement these or any alternative approaches? The two outputs I have are correlated, and there are 400 observations.

MCur
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  • I don't know if there's any, but there's a CRAN taskview page for Bayesian statistics which could help you https://cran.r-project.org/web/views/Bayesian.html – anymous.asker Sep 23 '21 at 15:12
  • I'm not sure if it's what you want because different sub-fields tend to have different terms for all of these methods. But you may want to look at the mice package in R (https://cran.r-project.org/web/packages/mice/index.html)? Its purpose is multiple imputation for validating Bayesian models. Reference paper is here: https://www.jstatsoft.org/article/view/v045i03 – Wesley Sep 23 '21 at 18:26
  • Please edit the question to limit it to a specific problem with enough detail to identify an adequate answer. – Community Sep 25 '21 at 01:33

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