Internal function. Finds the posterior covariance kernel on the fine grid tgrid
(same for every subject); see Section 2 of the referenced article for further details.
1 |
tgrid |
The fine grid of |
tobs |
Row vector of n observation times (in increasing order, same for each subject). |
sigma |
Infinitessimal standard deviation of the tied-down Brownian motion in the prior. |
Sigmahat |
Posterior covariance at the observation times |
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