Package: FastGaSP 0.5.3

FastGaSP: Fast and Exact Computation of Gaussian Stochastic Process

Implements fast and exact computation of Gaussian stochastic process with the Matern kernel using forward filtering and backward smoothing algorithm. It allows for the cases with or without a noise. See the reference: Mengyang Gu and Yanxun Xu, 2020, Journal of Computational and Graphical Statistics.

Authors:Mengyang Gu [aut, cre]

FastGaSP_0.5.3.tar.gz
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FastGaSP.pdf |FastGaSP.html✨
FastGaSP/json (API)

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16 exports 0.49 score 2 dependencies 1 dependents 19 scripts 904 downloads

Last updated 5 months agofrom:074c32c608. Checks:OK: 9. Indexed: yes.

Exports:Construct_G_expConstruct_G_matern_5_2Construct_W_expConstruct_W_matern_5_2Construct_W0_expConstruct_W0_matern_5_2fgaspGet_C_R_K_QGet_L_inv_yGet_log_det_S2Kalman_smootherlog_likpredictSample_KFSample_KF_postshow

Dependencies:RcppRcppEigen