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 (2017) .


Reference manual

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0.5.1 by Mengyang Gu, 2 years ago

Browse source code at

Authors: Mengyang Gu [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp, RobustGaSP

Depends on methods

Linking to Rcpp, RcppEigen

See at CRAN