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Quantifying simulator discrepancy in discrete-time dynamical simulators

Wilkinson, Richard D.; Vrettas, Michael; Cornford, Dan; Oakley, Jeremy E.

Authors

Richard D. Wilkinson r.d.wilkinson@nottingham.ac.uk

Michael Vrettas

Dan Cornford

Jeremy E. Oakley



Abstract

When making predictions with complex simulators it can be important to quantify the various sources of uncertainty. Errors in the structural specification of the simulator, for example due to missing processes or incorrect mathematical specification, can be a major source of uncertainty, but are often ignored. We introduce a methodology for inferring the discrepancy between the simulator and the system in discrete-time dynamical simulators. We assume a structural form for the discrepancy function, and show how to infer the maximum likelihood parameter estimates using a particle filter embedded within a Monte Carlo expectation maximization (MCEM) algorithm. We illustrate the method on a conceptual rainfall runoff simulator (logSPM) used to model the Abercrombie catchment in Australia. We assess the simulator and discrepancy model on the basis of their predictive performance using proper scoring rules.

Journal Article Type Article
Journal Journal of Agricultural, Biological and Environmental Statistics
Electronic ISSN 1085-7117
Publisher Humana Press
Peer Reviewed Peer Reviewed
APA6 Citation Wilkinson, R. D., Vrettas, M., Cornford, D., & Oakley, J. E. Quantifying simulator discrepancy in discrete-time dynamical simulators. Manuscript submitted for publication
Publisher URL http://www.amstat.org/publications/jabes.cfm
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingh.../end_user_agreement.pdf

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Wilkinson_etal_Shortened.pdf (232 Kb)
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Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf


Wilkinson_etal_SupplementalMaterial.pdf (140 Kb)
PDF

Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





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