Construct_G_exp {FastGaSP} | R Documentation |
The coefficient matrix in the dynamic linear model when kernel is the exponential covariance
Description
The coefficient matrix in the dynamic linear model when kernel is the exponential covariance.
Usage
Construct_G_exp(delta_x,lambda)
Arguments
delta_x |
the distance between the sorted input. |
lambda |
the transformed range parameter. |
Value
GG 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.