ConservativeEstimates: ConservativeEstimates package

In dazzimonti/ConservativeEstimates: Conservative estimates for excursion sets

Description

Conservative estimation of excursion sets under Gaussian models.

Details

Package: ConservativeEstimates
Type: Package
Version: 0.2.0
Date: 2016-10-04

Author(s)

Dario Azzimonti ([e-mail]) . Thanks to David Ginsbourger for the fruitful discussions and his help in testing and improving the package.

References

Azzimonti, D. and Ginsbourger, D. (2016). Estimating orthant probabilities of high dimensional Gaussian vectors with an application to set estimation. Preprint at hal-01289126

Bolin, D. and Lindgren, F. (2015). Excursion and contour uncertainty regions for latent Gaussian models. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 77(1):85–106.

Chevalier, C. (2013). Fast uncertainty reduction strategies relying on Gaussian process models. PhD thesis, University of Bern.

Dickmann, F. and Schweizer, N. (2014). Faster comparison of stopping times by nested conditional Monte Carlo. arXiv preprint arXiv:1402.0243.

Genz, A. (1992). Numerical computation of multivariate normal probabilities. Journal of Computational and Graphical Statistics, 1(2):141–149.

Genz, A. and Bretz, F. (2009). Computation of Multivariate Normal and t Probabilities. Lecture Notes in Statistics 195. Springer-Verlag.

Horrace, W. C. (2005). Some results on the multivariate truncated normal distribution. Journal of Multivariate Analysis, 94(1):209–221.

Robert, C. P. (1995). Simulation of truncated normal variables. Statistics and Computing, 5(2):121–125.

dazzimonti/ConservativeEstimates documentation built on May 15, 2019, 1:19 a.m.