Construct_W0_exp: covariance of the stationary distribution of the state when...

In FastGaSP: Fast and Exact Computation of Gaussian Stochastic Process

covariance of the stationary distribution of the state when kernel is the exponential covariance.

Description

This function computes the covariance of the stationary distribution of the state when kernel is the exponential covariance.

Usage

Construct_W0_exp(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 <[e-mail]>

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.

FastGaSP documentation built on April 4, 2025, 5:16 a.m.