fit_model: Estimate mean and covariance parameters

In joeguinness/GpGp: Fast Gaussian Process Computation Using Vecchia's Approximation

Estimate mean and covariance parameters

Description

Given a response, set of locations, (optionally) a design matrix, and a specified covariance function, return the maximum Vecchia likelihood estimates, obtained with a Fisher scoring algorithm.

Usage

fit_model(
  y,
  locs,
  X = NULL,
  covfun_name = "matern_isotropic",
  NNarray = NULL,
  start_parms = NULL,
  reorder = TRUE,
  group = TRUE,
  m_seq = c(10, 30),
  max_iter = 40,
  fixed_parms = NULL,
  silent = FALSE,
  st_scale = NULL,
  convtol = 1e-04
)

Arguments

y	response vector
locs	matrix of locations. Each row is a single spatial or spatial-temporal location. If using one of the covariance functions for data on a sphere, the first column should be longitudes (-180,180) and the second column should be latitudes (-90,90). If using a spatial-temporal covariance function, the last column should contain the times.
X	design matrix. Each row contains covariates for the corresponding observation in y. If not specified, the function sets X to be a matrix with a single column of ones, that is, a constant mean function.
covfun_name	string name of a covariance function. See GpGp for information about supported covariance funtions.
NNarray	Optionally specified array of nearest neighbor indices, usually from the output of find_ordered_nn. If NULL, fit_model will compute the nearest neighbors. We recommend that the user not specify this unless there is a good reason to (e.g. if doing a comparison study where one wants to control NNarray across different approximations).
start_parms	Optionally specified starting values for parameters. If NULL, fit_model will select default starting values.
reorder	TRUE/FALSE indicating whether maxmin ordering should be used (TRUE) or whether no reordering should be done before fitting (FALSE). If you want to use a customized reordering, then manually reorder y, locs, and X, and then set reorder to FALSE. A random reordering is used when nrow(locs) > 1e5.
group	TRUE/FALSE for whether to use the grouped version of the approximation (Guinness, 2018) or not. The grouped version is used by default and is always recommended.
m_seq	Sequence of values for number of neighbors. By default, a 10-neighbor approximation is maximized, then a 30-neighbor approximation is maximized using the 10 neighbor estimates as starting values. However, one can specify any sequence of numbers of neighbors, e.g. m_seq = c(10,30,60,90).
max_iter	maximum number of Fisher scoring iterations
fixed_parms	Indices of covariance parameters you would like to fix at specific values. If you decide to fix any parameters, you must specify their values in start_parms, along with the starting values for all other parameters. For example, to fix the nugget at zero in exponential_isotropic, set fixed_parms to c(3), and set start_parms to c(4.7,3.1,0). The last element of start_parms (the nugget parameter) is set to zero, while the starting values for the other two parameters are 4.7 and 3.1.
silent	TRUE/FALSE for whether to print some information during fitting.
st_scale	Scaling for spatial and temporal ranges. Only applicable for spatial-temporal models, where it is used in distance calculations when selecting neighbors. st_scale must be specified when covfun_name is a spatial-temporal covariance. See Argo vignette for an example.
convtol	Tolerance for exiting the optimization. Fisher scoring is stopped when the dot product between the step and the gradient is less than convtol.

Details

fit_model is a user-friendly model fitting function that automatically performs many of the auxiliary tasks needed for using Vecchia's approximation, including reordering, computing nearest neighbors, grouping, and optimization. The likelihoods use a small penalty on small nuggets, large spatial variances, and small smoothness parameter.

The Jason-3 windspeed vignette and the Argo temperature vignette are useful sources for a use-cases of the fit_model function for data on sphere. The example below shows a very small example with a simulated dataset in 2d.

Value

An object of class GpGp_fit, which is a list containing covariance parameter estimates, regression coefficients, covariance matrix for mean parameter estimates, as well as some other information relevant to the model fit.

Examples

n1 <- 20
n2 <- 20
n <- n1*n2
locs <- as.matrix( expand.grid( (1:n1)/n1, (1:n2)/n2 ) )
covparms <- c(2,0.1,1/2,0)
y <- 7 + fast_Gp_sim(covparms, "matern_isotropic", locs)
X <- as.matrix( rep(1,n) )
## not run
# fit <- fit_model(y, locs, X, "matern_isotropic")
# fit

joeguinness/GpGp documentation built on Feb. 22, 2024, 9:43 a.m.