Description Usage Arguments Value References
The function selectEq
selects the active dimensions for the computation of p_q with an heuristic method.
1 2 |
q |
either the fixed number of active dimensions or the range where the number of active dimensions is chosen with |
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
|
verb |
level of verbosity: 0 returns nothing, 1 returns minimal info |
A vector of integers denoting the chosen active dimensions of the vector mu.
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.
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