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Gaussian process and climate model in Matlab
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[QUOTE="LogarithmLuke, post: 6258160, member: 549985"] I'll admit I am very new to Gaussian processes, but from what I know a Gaussian process is completely determined by a mean vector E(Y(θ)) and a covariance function Cov[Y(θ1), Y(θ2)]. E(Y(θ)) is given, and we have the correlation, which is just the covariance divided by Var(θ1)*Var(θ2).The dimension of the mean vector and covariance matrix I believe is 51 (equal to the number of unknown parameter values). So it seems I have everything I need, but I don't know how to go about computing these things in Matlab. We were given the following algorithm by our lecturer:[CODE]1. calculate Cholesky decomposition Σ = LLT 2. for i = 1...n 3. draw zi ∼ N(0,1) 4. end 5. set ⃗x = μ⃗ + L⃗z[/CODE] Here ⃗x is a draw from Nn(μ⃗, Σ). However I am not sure how to use this to calculate the information requested in a) and b). [/QUOTE]
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Gaussian process and climate model in Matlab
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