uncertainty.confidence.bounds: Computes confidence bounds for 4 statistics (first quartile,...
In jeff-regier/MiniMiniMaxUQ: Mini-Minimax Uncertainty Quantification for Emulators

Description Usage Arguments Examples

Computes confidence bounds for 4 statistics (first quartile, median, third quartile, mean) of the distribution of pointwise uncertainties.

1	uncertainty.confidence.bounds(X, f.X, K.hat, n = 1000, confidence = 0.95)

`X`	a matrix whose rows are points where f is observed
`f.X`	a vector whose values are f evaluated at each row of X
`K.hat`	the empirical Lipschitz constant of f
`n`	the number of samples. Defaults to 1000.
`confidence`	the size of the confidence bounds. Defaults to 0.95.

X <- expand.grid(1:9, 1:9) / 10
f <- function(x) sin(x[1]) + cos(x[2])
f.X <- apply(X, 1, f)
K.hat <- find.K.hat(X, f.X)
uncertainty.confidence.bounds(X, f.X, K.hat)