Phi_fn {ZVCV} | R Documentation |
Phi matrix calculation
Description
This function calculates the \Phi
matrix, which is a second order Stein operator applied
to a polynomial. See South et al (2020) for further details. This function is not required for
estimation but may be useful when evaluation samples are not initially available since
estimators using heldout samples are of the form mean(f - f_hat) + b[1]
where f_hat = K0*a + Phi*b
for heldout K0 and Phi matrices.
Usage
Phi_fn(samples, derivatives, polyorder = NULL, apriori = NULL)
Arguments
samples |
An |
derivatives |
An |
polyorder |
(optional) The order of the polynomial to be used in the parametric component, with a default of |
apriori |
(optional) A vector containing the subset of parameter indices to use in the polynomial. Typically this argument would only be used if the dimension of the problem is very large or if prior information about parameter dependencies is known. The default is to use all parameters |
Value
An N
by Q
matrix (where Q is determined by the polynomial order and the apriori).
Author(s)
Leah F. South
References
South, L. F., Karvonen, T., Nemeth, C., Girolami, M. and Oates, C. J. (2020). Semi-Exact Control Functionals From Sard's Method. https://arxiv.org/abs/2002.00033