getX

An \(N\) by \(d\) matrix of samples from the target

samples

An \(N\) by \(d\) matrix of derivatives of the log target with respect to the parameters

derivatives

polyorder

The function <code>getX</code> is used to get the matrix of covariates for the regression based on a specified polynomial order.

Zero-variance control variates (ZV-CV, Mira et al. (2013) <doi:10.1007/s11222-012-9344-6>) is a post-processing method to reduce the variance of Monte Carlo estimators of expectations using the derivatives of the log target. Once the derivatives are available, the only additional computational effort is in solving a linear regression problem. Recently, this method has been extended to higher dimensions using regularisation (South et al., 2018 <arXiv:1811.05073>). This package can be used to easily perform ZV-CV or regularised ZV-CV when a set of samples, derivatives and function evaluations are available. Additional functions for applying ZV-CV to two estimators for the normalising constant of the posterior distribution in Bayesian statistics are also supplied.

getX: The function `getX` is used to get the matrix of covariates for the regression based on a specified polynomial order.

Description

Usage

Arguments

Value