initChol.spam: Compute initial Cholesky decomposition for Bayesian Trend...

initChol.spamR Documentation

Compute initial Cholesky decomposition for Bayesian Trend Filtering

Description

Computes the Cholesky decomposition for the quadratic term in the (Gaussian) posterior of the Bayesian Trend Filtering coefficients. The sparsity pattern will not change during the MCMC, so we can save computation time by computing this up front.

Usage

initChol.spam(T, D = 1)

Arguments

T

number of time points

D

degree of differencing (D = 1 or D = 2)


drkowal/dsp documentation built on July 19, 2023, 11:42 a.m.