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Heteroscedastic noise support
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 classstk_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).