An investigation of Bayesian inference approach to model validation with non-normal data

作者：Jiang Xiaomo^*; Yuan Yong; Mahadevan Sankaran; Liu Xian

来源：Journal of Statistical Computation and Simulation, 2013, 83(10): 1829-1851.

DOI：10.1080/00949655.2012.672572

• Bayesian statistics
• hypothesis testing
• Box-Cox transformation
• model validation
• non-normality

Quantitative model validation is playing an increasingly important role in performance and reliability assessment of a complex system whenever computer modelling and simulation are involved. The foci of this paper are to pursue a Bayesian probabilistic approach to quantitative model validation with non-normality data, considering data uncertainty and to investigate the impact of normality assumption on validation accuracy. The Box-Cox transformation method is employed to convert the non-normality data, with the purpose of facilitating the overall validation assessment of computational models with higher accuracy. Explicit expressions for the interval hypothesis testing-based Bayes factor are derived for the transformed data in the context of univariate and multivariate cases. Bayesian confidence measure is presented based on the Bayes factor metric. A generalized procedure is proposed to implement the proposed probabilistic methodology for model validation of complicated systems. Classic hypothesis testing method is employed to conduct a comparison study. The impact of data normality assumption and decision threshold variation on model assessment accuracy is investigated by using both classical and Bayesian approaches. The proposed methodology and procedure are demonstrated with a univariate stochastic damage accumulation model, a multivariate heat conduction problem and a multivariate dynamic system.

• 出版日期2013-10-1
• 单位同济大学