ConservativeEstimates

ConservativeEstimates is a R package to efficiently compute conservative estimates of excursion sets of functions under Gaussian random field priors. It implements an efficient estimator for orthant probabilites of high-dimensional Gaussian vectors. See the paper Azzimonti, D. and Ginsbourger D. (2016) for more details.

Features

The package main functions are:

• conservativeEstimate : the main function for conservative estimates computation. Requires the mean and covariance of the posterior field at a discretization design.

• ProbaMax: the main function for high dimensional othant probabilities. Computes P(max X > t), where X is a Gaussian vector and t is the selected threshold. The function computes the probability with the decomposition explained here. It implements both the GMC and GANMC algorithms.

Installation

To install the package run the following code from a R console:

if (!require("devtools"))
  install.packages("devtools")
devtools::install_github("dazzimonti/ConservativeEstimates")

References

Azzimonti, D. and Ginsbourger, D. (2016). Estimating orthant probabilities of high dimensional Gaussian vectors with an application to set estimation. Preprint at hal-01289126