ConservativeEstimates is a R package to efficiently compute conservative estimates of excursion sets of functions under Gaussian random field priors. It implements an efficient estimator for orthant probabilites of high-dimensional Gaussian vectors. See the paper Azzimonti, D. and Ginsbourger D. (2016) for more details.
The package main functions are:
conservativeEstimate
: the main function for conservative estimates computation. Requires the mean and covariance of the posterior field at a discretization design.
ProbaMax
: the main function for high dimensional othant probabilities. Computes P(max X > t), where X is a Gaussian vector and t is the selected threshold. The function computes the probability with the decomposition explained here. It implements both the GMC
and GANMC
algorithms.
To install the package run the following code from a R console:
if (!require("devtools"))
install.packages("devtools")
devtools::install_github("dazzimonti/ConservativeEstimates")
Azzimonti, D. and Ginsbourger, D. (2016). Estimating orthant probabilities of high dimensional Gaussian vectors with an application to set estimation. Preprint at hal-01289126
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