rkriging (version 1.0.2)

Matern52.Kernel: Matern(5/2) Kernel

Description

This function specifies the Matern kernel with smoothness parameter \(\nu\)=5/2.

Usage

Matern52.Kernel(lengthscale)

Value

A Matern(5/2) Kernel Class Object.

Arguments

lengthscale

a vector for the positive length scale parameters

Author

Chaofan Huang and V. Roshan Joseph

Details

The Matern(5/2) kernel is given by $$k(r)=(1+\sqrt{5}r+5r^2/3)\exp(-\sqrt{5}r),$$ where $$r(x,x^{\prime})=\sqrt{\sum_{i=1}^{p}\left(\frac{x_{i}-x_{i}^{\prime}}{l_{i}}\right)^2}$$ is the euclidean distance between \(x\) and \(x^{\prime}\) weighted by the length scale parameters \(l_{i}\)'s.

References

Duvenaud, D. (2014). The kernel cookbook: Advice on covariance functions.

Rasmussen, C. E. & Williams, C. K. (2006). Gaussian Processes for Machine Learning. The MIT Press.

See Also

Matern.Kernel, Get.Kernel, Evaluate.Kernel.

Examples

n <- 5
p <- 3
X <- matrix(rnorm(n*p), ncol=p)
lengthscale <- c(1:p)

# approach 1
kernel <- Matern52.Kernel(lengthscale)
Evaluate.Kernel(kernel, X)

# approach 2
kernel <- Get.Kernel(lengthscale, type="Matern52")
Evaluate.Kernel(kernel, X)