Construct_W_matern_5_2 {FastGaSP} | R Documentation |
The conditional covariance matrix for matern covariance with roughness parameter 2.5
Description
The conditional covariance matrix of the state in the dynamic linear model when kernel is the matern covariance with roughness parameter 2.5.
Usage
Construct_W_matern_5_2(sigma2,delta_x,lambda,W0)
Arguments
sigma2 |
the variance parameter. |
delta_x |
the distance between the sorted input. |
lambda |
the transformed range parameter. |
W0 |
the covariance matrix of the stationary distribution of the state. |
Value
W 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.