View source: R/Covariance_functions.R
cov_gen | R Documentation |
Correlation function of selected type, supporting both isotropic and product forms
cov_gen(X1, X2 = NULL, theta, type = c("Gaussian", "Matern5_2", "Matern3_2"))
X1 |
matrix of design locations, one point per row |
X2 |
matrix of design locations if correlation is calculated between |
theta |
vector of lengthscale parameters (either of size one if isotropic or of size d if anisotropic) |
type |
one of " |
Definition of univariate correlation function and hyperparameters:
"Gaussian
": c(x, y) = exp(-(x-y)^2/theta)
"Matern5_2
": c(x, y) = (1+sqrt(5)/theta * abs(x-y) + 5/(3*theta^2)(x-y)^2) * exp(-sqrt(5)*abs(x-y)/theta)
"Matern3_2
": c(x, y) = (1+sqrt(3)/theta * abs(x-y)) * exp(-sqrt(3)*abs(x-y)/theta)
Multivariate correlations are product of univariate ones.
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