selectActiveDims {anMC}  R Documentation 
Select active dimensions for small dimensional estimate
Description
The function selectActiveDims
selects the active dimensions for the computation of p_q
with an heuristic method.
Usage
selectActiveDims(
q = NULL,
E,
threshold,
mu,
Sigma,
pn = NULL,
method = 1,
verb = 0,
pmvnorm_usr = pmvnorm
)
Arguments
q 
either the fixed number of active dimensions or the range where the number of active dimensions is chosen with 
E 
discretization design for the field. 
threshold 
threshold. 
mu 
mean vector. 
Sigma 
covariance matrix. 
pn 
coverage probability function based on 
method 
integer chosen between

verb 
level of verbosity: 0 returns nothing, 1 returns minimal info 
pmvnorm_usr 
function to compute core probability on active dimensions. Inputs:
returns a the probability value with attribute "error", the absolute error. Default is the function 
Value
A vector of integers denoting the chosen active dimensions of the vector mu.
References
Azzimonti, D. and Ginsbourger, D. (2018). Estimating orthant probabilities of high dimensional Gaussian vectors with an application to set estimation. Journal of Computational and Graphical Statistics, 27(2), 255267. Preprint at hal01289126
Azzimonti, D. (2016). Contributions to Bayesian set estimation relying on random field priors. PhD thesis, University of Bern.
Chevalier, C. (2013). Fast uncertainty reduction strategies relying on Gaussian process models. PhD thesis, University of Bern.
Genz, A. (1992). Numerical computation of multivariate normal probabilities. Journal of Computational and Graphical Statistics, 1(2):141–149.