initChol.spam | R Documentation |
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.
initChol.spam(T, D = 1)
T |
number of time points |
D |
degree of differencing (D = 1 or D = 2) |
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