Qymaker: Precision matrix of cumulative Gaussian process Produces the...

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Precision matrix of cumulative Gaussian process Produces the sparse precision matrix of a cumulative Gaussian process

Description

Precision matrix of cumulative Gaussian process Produces the sparse precision matrix of a cumulative Gaussian process

Usage

Qymaker(Qx)

Arguments

Qx	The precision matrix of the Gaussian process to be transformed.

Value

Returns sparse precision matrix of dimension n x n.

Author(s)

Eirik Myrvoll-Nilsen, [e-mail]

See Also

Qsimmer, Qmaker_ar1cum

Examples

n=100
sigma=1
rho=0.8
Q_method1 = Qmaker_ar1cum(n,sigma,rho)
Q_ar1 = Matrix::sparseMatrix(
       i = c(1,n,2:(n-1),1:(n-1)),
       j = c(1,n,2:(n-1),2:n),
       x = 1/(1-rho^2)*1/sigma^2*c(1,1,rep(1+rho^2,n-2),rep(-rho,n-1)),
       symmetric = TRUE
)
Q_method2 = Qymaker(Q_ar1)

eirikmn/bremla documentation built on Jan. 25, 2025, 4:41 a.m.