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) .


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install.packages("FastGaSP")

0.5.1 by Mengyang Gu, 5 months ago


Browse source code at https://github.com/cran/FastGaSP


Authors: Mengyang Gu [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp, RobustGaSP

Depends on methods

Linking to Rcpp, RcppEigen


See at CRAN