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>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: ChangeLog
CRAN checks: FastGaSP results


Reference manual: FastGaSP.pdf


Package source: FastGaSP_0.5.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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


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