NuggetKriging::logLikelihoodFun

Description

Compute the Profile Log-Likelihood of a NuggetKriging Model for given Vector \(\boldsymbol{\theta}\) of Correlation Ranges and a given Ratio of Variances \(\texttt{GP} / (\texttt{GP} + \texttt{nugget})\)

Usage

  • Python

    # k = NuggetKriging(...)
    k.logLikelihoodFun(theta_alpha, grad = FALSE)
    
  • R

    # k = NuggetKriging(...)
    k$logLikelihoodFun(theta_alpha, grad = FALSE)
    
  • Matlab/Octave

    % k = NuggetKriging(...)
    k.logLikelihoodFun(theta_alpha, grad = FALSE)
    

Arguments

Argument

Description

theta_alpha

A numeric vector of (positive) range parameters and variance over nugget + variance at which the log-likelihood will be evaluated.

grad

Logical. Should the function return the gradient?

Details

Consider the log-likelihood function \(\ell(\boldsymbol{\theta}, \, \sigma^2, \, \tau^2, \,\boldsymbol{\beta})\) where \(\sigma^2\) and \(\tau^2\) are the variances of the GP and the nugget components. A re-parameterization can be used with the two variances replaced by \(\nu^2 := \sigma^2 + \tau^2\) and \(\alpha := \sigma^2 / (\sigma^2 + \tau^2)\). The profile log-likelihood is then obtained by replacing the variance \(\nu^2 := \sigma^2 + \tau^2\) and the vector \(\boldsymbol{\beta}\) of trend coefficients by their ML estimates \(\widehat{\nu}^2\) and \(\widehat{\boldsymbol{\beta}}\) which are obtained by Generalized Least Squares. See here for more details.

Value

The value of the profile log-likelihood \(\ell_{\texttt{prof}}(\boldsymbol{\theta},\,\alpha)\) for the given vector \(\boldsymbol{\theta}\) of correlation ranges and the given variance ratio \(\alpha := \sigma^2 / (\sigma^2 + \tau^2)\) where \(\sigma^2\) and \(\tau^2\) stand for the GP and the nugget variance. The parameters must be such that \(\theta_k >0\) for \(k=1\), \(\dots\), \(d\) and \(0 < \alpha < 1\).

Examples

f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
set.seed(123)
X <- as.matrix(runif(10))
y <- f(X) + 0.1 * rnorm(nrow(X))

k <- NuggetKriging(y, X, kernel = "matern3_2")
print(k)

# theta0 = k$theta()
# ll_alpha <- function(alpha) k$logLikelihoodFun(cbind(theta0,alpha))$logLikelihood
# a <- seq(from = 0.9, to = 1.0, length.out = 101)
# plot(a, Vectorize(ll_alpha)(a), type = "l",xlim=c(0.9,1))
# abline(v = k$sigma2()/(k$sigma2()+k$nugget()), col = "blue")
# 
# alpha0 = k$sigma2()/(k$sigma2()+k$nugget())
# ll_theta <- function(theta) k$logLikelihoodFun(cbind(theta,alpha0))$logLikelihood
# t <- seq(from = 0.001, to = 2, length.out = 101)
# plot(t, Vectorize(ll_theta)(t), type = 'l')
# abline(v = k$theta(), col = "blue")

ll <- function(theta_alpha) k$logLikelihoodFun(theta_alpha)$logLikelihood
a <- seq(from = 0.9, to = 1.0, length.out = 31)
t <- seq(from = 0.001, to = 2, length.out = 101)
contour(t,a,matrix(ncol=length(a),ll(expand.grid(t,a))),xlab="theta",ylab="sigma2/(sigma2+nugget)")
points(k$theta(),k$sigma2()/(k$sigma2()+k$nugget()),col='blue')

Results

* data: 10x[0.0455565,0.940467] -> 10x[0.149491,0.940566]
* trend constant (est.): 0.488124
* variance (est.): 0.0788813
* covariance:
  * kernel: matern3_2
  * range (est.): 0.275004
  * nugget (est.): 0.00347449
  * fit:
    * objective: LL
    * optim: BFGS