FastGaSP: 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), <arXiv:1711.11501>.

Package details

AuthorMengyang Gu [aut, cre]
MaintainerMengyang Gu <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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FastGaSP documentation built on Sept. 5, 2021, 5:36 p.m.