GP: Specify dynamic Gaussian processes

In mvgam: Multivariate (Dynamic) Generalized Additive Models

Specify dynamic Gaussian processes

Description

Set up low-rank approximate Gaussian Process trend models using Hilbert basis expansions in mvgam. This function does not evaluate its arguments – it exists purely to help set up a model with particular GP trend models.

Usage

GP(...)

Arguments

...

unused

Details

A GP trend is estimated for each series using Hilbert space approximate Gaussian Processes. In mvgam, latent squared exponential GP trends are approximated using by default 20 basis functions and using a multiplicative factor of c = 5/4, which saves computational costs compared to fitting full GPs while adequately estimating GP alpha and rho parameters.

Value

An object of class mvgam_trend, which contains a list of arguments to be interpreted by the parsing functions in mvgam

See Also

gp

mvgam documentation built on Sept. 11, 2024, 8:55 p.m.