Trans-Gaussian Kriging in a Bayesian framework : a case study

In the context of Gaussian Process Regression or Kriging, we propose a full-Bayesian solution to deal with hyperparameters of the covariance function. This solution can be extended to the Trans-Gaussian Kriging framework, which makes it possible to deal with spatial data sets that violate assumptions required for Kriging. It is shown to be both elegant and efficient. We propose an application to computer experiments in the field of nuclear safety, where it is necessary to model non-destructive testing procedures based on eddy currents to detect possible wear in steam generator tubes.