Construct_W0_exp_one_dim: covariance of the stationary distribution of the state when...
In SKFCPD: Fast Online Changepoint Detection for Temporally Correlated Data
Construct_W0_exp_one_dim R Documentation
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_one_dim(lambda)
Arguments
lambda
the transformed range parameter.
Value
W0 matrix.
Author(s)
Hanmo Li [aut, cre],
Yuedong Wang [aut],
Mengyang Gu [aut]
Maintainer: Hanmo Li <hanmo@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.
SKFCPD documentation built on June 22, 2024, 11:06 a.m.
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| Construct_W0_exp_one_dim | R Documentation |
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_one_dim(lambda)
Arguments
lambda |
the transformed range parameter. |
Value
W0 matrix.
Author(s)
Hanmo Li [aut, cre], Yuedong Wang [aut], Mengyang Gu [aut]
Maintainer: Hanmo Li <hanmo@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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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