CMLA

doc: kernel_matern

Matern covariance function for $\nu \in \{ \frac 1 2, \frac 3 2, \frac 5 2\}$

Syntax

 K = kernel_matern(X,'diag',s,ells,nu)
 K = kernel_matern(X,Y,s,ells,nu)

Arguments

  • X matrix (nx, d) where nx is the number of data points and d is the dimension
  • Y matrix (ny, d) or 'diag' for diagonal self covariance
  • s scalar (1,1) for covariance scale
  • ells vector (1,d) of covariance length-scales
  • nu scalar (1,1) for Matern parameter $2\nu$, available values are 1, 3 and 5

Outputs

  • K matrix (nx, ny) or diagonal (nx, 1)

See also

kernel_se