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Heteroscedastic noise support

Open jbect opened this issue 3 years ago • 0 comments

Experimental support for parametric heteroscedastic models has been introduced in STK 2.6.0:

  • the stk_gaussiannoise_het0 class provides a simple example of heteroscedactic noise model, derived from the base class stk_gaussiannoise_,
  • stk_example_misc05 demonstrates the use of noise model objects to estimate the dispersion parameter in an heteroscedatic case.

(original ticket on Sourceforge: https://sourceforge.net/p/kriging/tickets/38/)

This ticket is created to keep track of further developments in this direction, including:

  • Polishing / documenting the existing "parametric" approach,
  • Implementing other approches from the literature (see, e.g., https://arxiv.org/abs/1611.05902).

jbect avatar Aug 24 '20 12:08 jbect