Correlation function of selected type, supporting both isotropic and product forms
cov_gen(X1, X2 = NULL, theta, type = c("Gaussian", "Matern5_2", "Matern3_2"))matrix of design locations, one point per row
matrix of design locations if correlation is calculated between X1 and X2 (otherwise calculated between X1 and itself)
vector of lengthscale parameters (either of size one if isotropic or of size d if anisotropic)
one of "Gaussian", "Matern5_2", "Matern3_2"
Definition of univariate correlation function and hyperparameters:
"Gaussian": \(c(x, y) = exp(-(x-y)^2/theta)\)
"Matern5_2": \(c(x, y) = (1+sqrt(5)/theta * abs(x-y) + 5/(3*theta^2)(x-y)^2) * exp(-sqrt(5)*abs(x-y)/theta)\)
"Matern3_2": \(c(x, y) = (1+sqrt(3)/theta * abs(x-y)) * exp(-sqrt(3)*abs(x-y)/theta)\)
Multivariate correlations are product of univariate ones.