From 756e28f7b7d42a709704f9c5e438797763a1b0c2 Mon Sep 17 00:00:00 2001 From: Carl Boettiger Date: Thu, 19 Mar 2020 21:55:45 -0700 Subject: [PATCH] fix log likelihood term http://www.gaussianprocess.org/gpml/chapters/RW2.pdf see eq 2.29 / ht Catalina Anghel for spotting this. --- R/gp_mcmc.R | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/R/gp_mcmc.R b/R/gp_mcmc.R index bfd9887..036a765 100644 --- a/R/gp_mcmc.R +++ b/R/gp_mcmc.R @@ -33,7 +33,7 @@ gp_mcmc <- function(x, y, init_pars = c(l=1, sigma.n=1), n = 1e4, d.p = c(5,5), K <- cov(x, x) loglik <- - 0.5 * t(y) %*% solve(K + sigma.n^2 * I) %*% y - - log(det(K + sigma.n^2*I)) - + 0.5 * log(det(K + sigma.n^2*I)) - length(y) * log(2 * pi) / 2 loglik + lpriors(pars)