pmvt_MLMC {VeccTMVN} | R Documentation |
Applying the multi-level Monte Carlo (MLMC) technique to the pmvt function
The function uses NLevel1 = 1
for m = m2
and the same
exponential tilting parameter as m = m1
to compute one MC estimate.
This MC estimate is used to correct the bias from the Vecchia approximation
Description
Applying the multi-level Monte Carlo (MLMC) technique to the pmvt function
The function uses NLevel1 = 1
for m = m2
and the same
exponential tilting parameter as m = m1
to compute one MC estimate.
This MC estimate is used to correct the bias from the Vecchia approximation
Usage
pmvt_MLMC(
lower,
upper,
delta,
df,
locs = NULL,
covName = "matern15_isotropic",
covParms = c(1, 0.1, 0),
m1 = 30,
m2 = 100,
sigma = NULL,
reorder = 0,
NLevel1 = 12,
NLevel2 = 10000,
verbose = FALSE,
retlog = FALSE,
...
)
Arguments
lower |
lower bound vector for TMVT |
upper |
upper bound vector for TMVT |
delta |
MVT shifting parameter |
df |
degrees of freedom |
locs |
location (feature) matrix n X d |
covName |
covariance function name from the 'GpGp' package |
covParms |
parameters for 'covName' |
m1 |
the smaller Vecchia conditioning set size for Level 1 MC |
m2 |
the bigger Vecchia conditioning set size for Level 2 MC |
sigma |
dense covariance matrix, not needed when 'locs' is not null |
reorder |
whether to reorder integration variables. '0' for no, '1' for FIC-based univariate ordering, and '2' for Vecchia-based univariate ordering |
NLevel1 |
first level Monte Carlo sample size |
NLevel2 |
second level Monte Carlo sample size |
verbose |
verbose or not |
retlog |
TRUE or FALSE for whether to return loglk or not |
... |
could be m_ord for conditioning set size for reordering |
Value
estimated MVT probability and estimation error