Construct_G_matern_5_2_fastGP {SKFCPD} | R Documentation |
The coefficient matrix in the dynamic linear model when kernel is the Matern covariance with roughness parameter 2.5.
Description
The coefficient matrix in the dynamic linear model when kernel is the Matern covariance with roughness parameter 2.5.
Usage
Construct_G_matern_5_2_fastGP(delta_x,lambda)
Arguments
delta_x |
A vector of the distance between the sorted input. |
lambda |
the transformed range parameter. |
Value
GG matrix.
Author(s)
Hanmo Li [aut, cre], Yuedong Wang [aut], Mengyang Gu [aut]
Maintainer: Hanmo Li <hanmo@pstat.ucsb.edu>
References
Hartikainen, J. and Sarkka, S. (2010). Kalman filtering and smoothing solutions to temporal gaussian process regression models. Machine Learning for Signal Processing (MLSP), 2010 IEEE International Workshop, 379-384.
M. Gu, Y. Xu (2019), fast nonseparable Gaussian stochastic process with application to methylation level interpolation. Journal of Computational and Graphical Statistics, In Press, arXiv:1711.11501.
Campagnoli P, Petris G, Petrone S. (2009), Dynamic linear model with R. Springer-Verlag New York.