cov_gen: Correlation function of selected type, supporting both...

In hetGP: Heteroskedastic Gaussian Process Modeling and Design under Replication

Correlation function of selected type, supporting both isotropic and product forms

Description

Correlation function of selected type, supporting both isotropic and product forms

Usage

cov_gen(X1, X2 = NULL, theta, type = c("Gaussian", "Matern5_2", "Matern3_2"))

Arguments

X1	matrix of design locations, one point per row
X2	matrix of design locations if correlation is calculated between X1 and X2 (otherwise calculated between X1 and itself)
theta	vector of lengthscale parameters (either of size one if isotropic or of size d if anisotropic)
type	one of "Gaussian", "Matern5_2", "Matern3_2"

Details

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.

hetGP documentation built on Oct. 3, 2023, 1:07 a.m.