Get_C_R_K_Q

This function computes the required values for the inverse covariance matrix.

internal

Implements fast and exact computation of Gaussian stochastic process with the Matern kernel using forward filtering and backward smoothing algorithm. It includes efficient implementations of the inverse Kalman filter, with applications such as estimating particle interaction functions. These tools support models with or without noise. Additionally, the package offers algorithms for fast parameter estimation in latent factor models, where the factor loading matrix is orthogonal, and latent processes are modeled by Gaussian processes. See the references: 1) Mengyang Gu and Yanxun Xu (2020), Journal of Computational and Graphical Statistics; 2) Xinyi Fang and Mengyang Gu (2024), <doi:10.48550/arXiv.2407.10089>; 3) Mengyang Gu and Weining Shen (2020), Journal of Machine Learning Research; 4) Yizi Lin, Xubo Liu, Paul Segall and Mengyang Gu (2025), <doi:10.48550/arXiv.2501.01324>.

Mengyang Gu

FastGaSP

Fast and Exact Computation of Gaussian Stochastic Process

Xinyi Fang

Yizi Lin

Get_C_R_K_Q function

<dl> <dt>index</dt>
<dd>a vector of integer of 0 and 1. 0 means no observation at that input and 1 means there is observations at that input.</dd></dl>

<dl> <dt>GG</dt>
<dd>a list of matrices defined in the dynamic linear model.</dd> <dt>W</dt>
<dd>a list of matrices defined in the dynamic linear model.</dd> <dt>C0</dt>
<dd>a matrix defined in the dynamic linear model.</dd> <dt>VV</dt>
<dd>a numerical value for the nugget.</dd></dl>

Arguments

tools:::Rd_package_author("FastGaSP")
Maintainer: tools:::Rd_package_maintainer("FastGaSP")

Author

matrices and vectors for the inverse covariance in the predictive distribution — Get_C_R_K_Q

<dl>

 <dt>index</dt>
<dd>a vector of integer of 0 and 1. 0 means no observation at that input and 1 means there is observations at that input.</dd>

</dl>

<dl>

 <dt>GG</dt>
<dd>a list of matrices defined in the dynamic linear model.</dd>

 <dt>W</dt>
<dd>a list of matrices defined in the dynamic linear model.</dd>

 <dt>C0</dt>
<dd>a matrix defined in the dynamic linear model.</dd>

 <dt>VV</dt>
<dd>a numerical value for the nugget.</dd>

</dl>

Get_C_R_K_Q: matrices and vectors for the inverse covariance in the predictive distribution

Description

Usage

Value

Arguments

Author

References