Functionality for spatiotemporal modeling of large data sets is provided. A Gaussian process in space and time is defined through a stochastic partial differential equation (SPDE). The SPDE is solved in the spectral space, and after discretizing in time and space, a linear Gaussian state space model is obtained. When doing inference, the main computational difficulty consists in evaluating the likelihood and in sampling from the full conditional of the spectral coefficients, or equivalently, the latent spacetime process. In comparison to the traditional approach of using a spatiotemporal covariance function, the spectral SPDE approach is computationally advantageous. This package aims at providing tools for two different modeling approaches. First, the SPDE based spatiotemporal model can be used as a component in a customized hierarchical Bayesian model (HBM). The functions of the package then provide parameterizations of the process part of the model as well as computationally efficient algorithms needed for doing inference with the HBM. Alternatively, the adaptive MCMC algorithm implemented in the package can be used as an algorithm for doing inference without any additional modeling. The MCMC algorithm supports data that follow a Gaussian or a censored distribution with point mass at zero. Covariates can be included in the model through a regression term.
Package details 


Author  Fabio Sigrist, Hans R. Kuensch, Werner A. Stahel 
Date of publication  20160829 19:29:37 
Maintainer  Fabio Sigrist <sigrist@stat.math.ethz.ch> 
License  GPL2 
Version  1.5 
Package repository  View on CRAN 
Installation 
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