construct_rgasp: Robust GaSP constructor after estimating the parameters

Description Usage Arguments Value Author(s)

Description

This function constructs the Robust GaSP model if the range and noise-variance ratio parameters are given or have been estimated.

Usage

1
construct_rgasp(beta, nu, R0, X, zero_mean, output, kernel_type, alpha)

Arguments

beta

inverse-range parameters.

nu

noise-variance ratio parameter.

R0

A List of matrix where the j-th matrix is an absolute difference matrix of the j-th input vector.

X

The mean basis function i.e. the trend function.

zero_mean

The mean basis function is zero or not.

output

the output vector.

kernel_type

Type of kernel. matern_3_2 and matern_5_2 are Matern kernel with roughness parameter 3/2 and 5/2 respectively. pow_exp is power exponential kernel with roughness parameter alpha. If pow_exp is to be used, one needs to specify its roughness parameter alpha.

alpha

Roughness parameters in the kernel functions.

Value

A list. The first element is a lower triangular matrix L, a cholesky decomposition of R, i.e. LL^t=R and R is the correlation matrix. The second element is lower triangular matrix LX a cholesky decomposition of X^tR^{-1}X . The third element is a vector theta_hat, the mean (trend) parameters. The last element is numeric valued sigma2_hat, which is the estimated variance parameter.

Author(s)

Mengyang Gu [aut, cre], Jesus Palomo [aut], James Berger [aut]

Maintainer: Mengyang Gu <[email protected]>


RobustGaSP documentation built on June 6, 2019, 1:02 a.m.