sampleFastGaussian: Sample a Gaussian vector using the fast sampler of...

In drkowal/dsp: Dynamic Shrinkage Processes

Sample a Gaussian vector using the fast sampler of BHATTACHARYA et al.

Description

Sample from N(mu, Sigma) where Sigma = solve(crossprod(Phi) + solve(D)) and mu = Sigma*crossprod(Phi, alpha):

Usage

sampleFastGaussian(Phi, Ddiag, alpha)

Arguments

Phi	n x p matrix (of predictors)
Ddiag	p x 1 vector of diagonal components (of prior variance)
alpha	n x 1 vector (of data, scaled by variance)

Value

Draw from N(mu, Sigma), which is p x 1, and is computed in O(n^2*p)

Note

Assumes D is diagonal, but extensions are available

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