Construct_W0_matern_5_2 {FastGaSP} | R Documentation |
covariance of the stationary distribution of the state when kernel is the Matern covariance with roughness parameter 2.5.
Description
This function computes covariance of the stationary distribution of the state when kernel is the Matern covariance with roughness parameter 2.5.
Usage
Construct_W0_matern_5_2(sigma2,lambda)
Arguments
sigma2 |
the variance parameter. |
lambda |
the transformed range parameter. |
Value
W0 matrix.
Author(s)
Mengyang Gu [aut, cre], Xinyi Fang [aut], Yizi Lin [aut]
Maintainer: Mengyang Gu <mengyang@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.