Construct_W_matern_5_2_one_dim: The conditional covariance matrix for matern covariance with...

View source: R/RcppExports.R

Construct_W_matern_5_2_one_dimR 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_one_dim(delta_x,lambda)

Arguments

delta_x

a value of the distance between the sorted input.

lambda

the transformed range parameter.

Value

W 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.