estimate_sigma2: Estimating Noise

In CVEK: Cross-Validated Kernel Ensemble

Description

An implementation of Gaussian processes for estimating noise.

Usage

estimate_sigma2(Y, X, lambda_hat, y_fixed_hat, alpha_hat, K_hat)

Arguments

Y	(matrix, n*1) The vector of response variable.
X	(matrix, n*d_fix) The fixed effect matrix.
lambda_hat	(numeric) The selected tuning parameter based on the estimated ensemble kernel matrix.
y_fixed_hat	(vector of length n) Estimated fixed effect of the response.
alpha_hat	(vector of length n) Kernel effect estimators of the estimated ensemble kernel matrix.
K_hat	(matrix, n*n) Estimated ensemble kernel matrix.

Value

sigma2_hat

(numeric) The estimated noise of the fixed effect.

Author(s)

Wenying Deng

References

Jeremiah Zhe Liu and Brent Coull. Robust Hypothesis Test for Nonlinear Effect with Gaussian Processes. October 2017.s

CVEK documentation built on Jan. 8, 2021, 5:42 p.m.