selectEq: Select active dimensions for small dimensional estimate

In dazzimonti/ConservativeEstimates: Conservative estimates for excursion sets

Description

The function selectEq selects the active dimensions for the computation of p_q with an heuristic method.

Usage

selectEq(q = NULL, E, Thresh, mu, Sigma, pn = NULL, method = 1,
  verb = 0)

Arguments

q	either the fixed number of active dimensions or the range where the number of active dimensions is chosen with selectQdims. If NULL the function selectQdims is called.
E	discretization design for the field.
Thresh	threshold.
mu	mean vector.
Sigma	covariance matrix.
pn	coverage function (if NULL it is computed).
method	integer chosen between 0 selects by taking equally spaced indexes in mu; 1 samples from pn; 2 samples from pn*(1-pn); 3 samples from pn adjusting for the distance (tries to explore all modes); 4 samples from pn*(1-pn) adjusting for the distance (tries to explore all modes); 5 samples with uniform probabilities.
verb	level of verbosity: 0 returns nothing, 1 returns minimal info

Value

A vector of integers denoting the chosen active dimensions of the vector mu.

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

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

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

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