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Description

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.
Metadata

Version

0.5.3

License

Unknown

Platforms (75)

    Darwin
    FreeBSD
    Genode
    GHCJS
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    MMIXware
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