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FastGaSP: Fast and Exact Computation of Gaussian Stochastic Process

Implements fast and exact computation of Gaussian stochastic process with the Matern kernel using forward filtering and backward smoothing algorithm. It allows for the cases with or without a noise. See the reference: Mengyang Gu and Yanxun Xu, 2020, Journal of Computational and Graphical Statistics.

Version: 0.5.3
Depends: methods
Imports: Rcpp
LinkingTo: Rcpp, RcppEigen
Published: 2024-04-26
DOI: 10.32614/CRAN.package.FastGaSP
Author: Mengyang Gu [aut, cre]
Maintainer: Mengyang Gu <mengyang at pstat.ucsb.edu>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: ChangeLog
CRAN checks: FastGaSP results

Documentation:

Reference manual: FastGaSP.pdf

Downloads:

Package source: FastGaSP_0.5.3.tar.gz
Windows binaries: r-devel: FastGaSP_0.5.3.zip, r-release: FastGaSP_0.5.3.zip, r-oldrel: FastGaSP_0.5.3.zip
macOS binaries: r-release (arm64): FastGaSP_0.5.3.tgz, r-oldrel (arm64): FastGaSP_0.5.3.tgz, r-release (x86_64): FastGaSP_0.5.3.tgz, r-oldrel (x86_64): FastGaSP_0.5.3.tgz
Old sources: FastGaSP archive

Reverse dependencies:

Reverse depends: SKFCPD

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.