vecchia_Linv: Entries of inverse Cholesky approximation

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

Entries of inverse Cholesky approximation

Description

This function returns the entries of the inverse Cholesky factor of the covariance matrix implied by Vecchia's approximation. For return matrix Linv, Linv[i,] contains the non-zero entries of row i of the inverse Cholesky matrix. The columns of the non-zero entries are specified in NNarray[i,].

Usage

vecchia_Linv(covparms, covfun_name, locs, NNarray, start_ind = 1L)

Arguments

covparms	A vector of covariance parameters appropriate for the specified covariance function
covfun_name	See GpGp for information about covariance functions.
locs	matrix of locations. Row i of locs specifies the location of element i of y, and so the length of y should equal the number of rows of locs.
NNarray	A matrix of indices, usually the output from find_ordered_nn. Row i contains the indices of the observations that observation i conditions on. By convention, the first element of row i is i.
start_ind	Compute entries of Linv only for rows start_ind until the last row.

Value

matrix containing entries of inverse Cholesky

Examples

n1 <- 40
n2 <- 40
n <- n1*n2
locs <- as.matrix( expand.grid( (1:n1)/n1, (1:n2)/n2 ) )
covparms <- c(2, 0.2, 0.75, 0)
NNarray <- find_ordered_nn(locs,20)
Linv <- vecchia_Linv(covparms, "matern_isotropic", locs, NNarray)

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