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definition of alpha in GP spectral densities #829

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sbfnk opened this issue Oct 15, 2024 · 3 comments · Fixed by #831
Closed

definition of alpha in GP spectral densities #829

sbfnk opened this issue Oct 15, 2024 · 3 comments · Fixed by #831

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@sbfnk
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sbfnk commented Oct 15, 2024

The vectorised formulation of the Matern 3/2 kernel spectral density in #742 has come with a slight change in definition of alpha - what is now called alpha is actually sqrt(alpha), i.e. the square root of the magnitude.

This has a few consequences:

To fix this we could

  1. update the descriptions and the prior for alpha
  2. change alpha to sqrt(alpha) in the spectral density of the Matern 3/2 kernel

Option (1) would be more computationally efficient at least the Matern 3/2 kernels. The downside is that we've changed a parameter in the model so will have to update the model description (esp. https://github.com/epiforecasts/EpiNow2/blob/main/vignettes/gaussian_process_implementation_details.Rmd) and perhaps issue a note to the user (although I suspect this is not necessarily a parameter many users have been tweaking).

@seabbs
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seabbs commented Oct 15, 2024

I think everywhere it has gone from the variance to the standard deviation (i.e in all kernels)? I agree this needs to be better doc'd if true and if it is a special case in the matern than this needs to be doc'd as well

@sbfnk sbfnk mentioned this issue Oct 16, 2024
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@sbfnk
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sbfnk commented Oct 16, 2024

Looking at this in the context of #831 I realised that we used to model alpha^2 (the square of the magnitude), then briefly switched to alpha (as in the paper), now back to alpha^2, i.e. alpha is indeed on the standard deviation scale.

@sbfnk
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sbfnk commented Oct 17, 2024

Discussion of prior value continued in #834

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2 participants