medianTune {ZVCV}

Median heuristic

Description

This function calculates the median heuristic for use in e.g. the Gaussian, Matern and rational quadratic kernels.

Usage

medianTune(samples, Z = NULL)

Arguments

samples

An N by d matrix of samples from the target

Z

(optional) An NxN matrix of square norms, which can be calculated using squareNorm, as long as the nystrom_inds are NULL.

Value

The median heuristic, which can then be used as the length-scale parameter in the Gaussian, Matern and rational quadratic kernels

Author(s)

Leah F. South

References

Garreau, D., Jitkrittum, W. and Kanagawa, M. (2017). Large sample analysis of the median heuristic. https://arxiv.org/abs/1707.07269

See Also

See medianTune and K0_fn for functions which use this.