Bayesian Heteroskedastic Gaussian Processes.
This repo consists of an in progress interface for the implementation of a Bayesian HetGP
Run R CMD INSTALL bhGP from outside this folder. If already installed and package is updated: remove package, restart R, and then run this install command.
R files include:
functions.R : all functions for log likelihood and Sigma contruction
mcmc.R : Does mcmc and ess sampling for theta, nugget vector, etc.
gibbs.R : Gibbs sampler for MCMC for seperable, iso-tropic, and combination
fit.R : Fits bhGP to the data (X,Y)
predict.R: Predicts at new locations Xp
mcmc_vecchia.R : Does mcmc and ess sampling for theta, nugget vector, w/ vecchia
gibbs_vecchia.R : Gibbs sampler for MCMC for seperable, iso-tropic, and combination w/ vecchia
gibbs_vdims_N.R: Gibbs for full N version w/ variance changing in some dimenstions
predict_vecchia.R: Predicts at new locations Xp w/ vecchia
trim.R: trims mcmc object
plots.R: Trace plots and prediction plots
vecchia.R: Helper vecchia functions
general.R: Helper functions
checks.R : checks initilizations
inits.R: initialization stratergy
src files include:
vecchia.cpp: Vecchia related fucntions
cov.cpp: Builds cov matrices
invdet.c: inv and det fns
general.c: used for invdet
RcppExports.cpp: created for package.