FastGaSP (version 0.5.2)

Construct_W0_exp: covariance of the stationary distribution of the state when kernel is the exponential covariance.

Description

This function computes the covariance of the stationary distribution of the state when kernel is the exponential covariance.

Usage

Construct_W0_exp(sigma2,lambda)

Arguments

sigma2

the variance parameter.

lambda

the transformed range parameter.

Value

W0 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.