ARCokrig: Autoregressive Cokriging Models for Multifidelity Codes

For emulating multifidelity computer models. The major methods include univariate autoregressive cokriging and multivariate autoregressive cokriging. The autoregressive cokriging methods are implemented for both hierarchically nested design and non-nested design. For hierarchically nested design, the model parameters are estimated via standard optimization algorithms; For non-nested design, the model parameters are estimated via Monte Carlo expectation-maximization (MCEM) algorithms. In both cases, the priors are chosen such that the posterior distributions are proper. Notice that the uniform priors on range parameters in the correlation function lead to improper posteriors. This should be avoided when Bayesian analysis is adopted. The development of objective priors for autoregressive cokriging models can be found in Pulong Ma (2019) <arXiv:1910.10225>. The development of the multivariate autoregressive cokriging models with possibly non-nested design can be found in Pulong Ma, Georgios Karagiannis, Bledar A Konomi, Taylor G Asher, Gabriel R Toro, and Andrew T Cox (2019) <arXiv:1909.01836>.

Version: 0.1.1
Depends: R (≥ 3.5.0)
Imports: Rcpp, mvtnorm (≥ 1.0-10), stats, methods, ggplot2
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Suggests: testthat
Published: 2020-07-08
Author: Pulong Ma [aut, cre]
Maintainer: Pulong Ma <mpulong at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: ARCokrig citation info
CRAN checks: ARCokrig results


Reference manual: ARCokrig.pdf
Package source: ARCokrig_0.1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel: not available
macOS binaries: r-release: ARCokrig_0.1.1.tgz, r-oldrel: ARCokrig_0.1.1.tgz


Please use the canonical form to link to this page.