FastGaSP (version 0.5.2)

Construct_G_exp: The coefficient matrix in the dynamic linear model when kernel is the exponential covariance

Description

The coefficient matrix in the dynamic linear model when kernel is the exponential covariance.

Usage

Construct_G_exp(delta_x,lambda)

Arguments

delta_x

the distance between the sorted input.

lambda

the transformed range parameter.

Value

GG matrix.

References

Hartikainen, J. and Sarkka, S. (2010). Kalman filtering and smoothing solutions to temporal gaussian process regression models. Machine Learning for Signal Processing (MLSP), 2010 IEEE International Workshop, 379-384.

M. Gu, Y. Xu (2019), fast nonseparable Gaussian stochastic process with application to methylation level interpolation. Journal of Computational and Graphical Statistics, In Press, arXiv:1711.11501.

Campagnoli P, Petris G, Petrone S. (2009), Dynamic linear model with R. Springer-Verlag New York.