Construct_W0_matern_5_2

sigma2

lambda

<p>This function computes covariance of the stationary distribution of the state when kernel is the Matern covariance with roughness parameter 2.5.</p>

internal

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 (2017),  <arXiv:1711.11501>.

Mengyang Gu

FastGaSP

Fast and Exact Computation of Gaussian Stochastic Process

Construct_W0_matern_5_2 function

covariance of the stationary distribution of the state when kernel is the Matern covariance with roughness parameter 2.5. — Construct_W0_matern_5_2

covariance of the stationary distribution of the state when kernel is the Matern covariance with roughness parameter 2.5.

Construct_W0_matern_5_2: covariance of the stationary distribution of the state when kernel is the Matern covariance with roughness parameter 2.5.

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