STK_EXAMPLE_MISC02 How to use priors on the covariance parameters A Matern covariance in dimension one is considered as an example. A Gaussian prior is used for all three parameters: log-variance, log-regularity and log- inverse-range. The corresponding parameter estimates are Maximum A Posteriori (MAP) estimates or, more precisely, Restricted MAP (ReMAP) estimates. Several values for the variance of the prior are successively considered, to illustrate the effect of this prior variance on the parameter estimates. When the variance is small, the MAP estimate is close to the mode of the prior. On the other hand, when the variance is large, the prior becomes "flat" and the MAP estimate is close to the ReML estimate (see figure b).
Package: stk