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 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>.

Version:	0.6.0
Depends:	methods
Imports:	Rcpp, rstiefel
LinkingTo:	Rcpp, RcppEigen
Published:	2025-02-12
DOI:	10.32614/CRAN.package.FastGaSP
Author:	Mengyang Gu [aut, cre], Xinyi Fang [aut], Yizi Lin [aut]
Maintainer:	Mengyang Gu <mengyang at pstat.ucsb.edu>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation:	yes
Materials:	ChangeLog
CRAN checks:	FastGaSP results

Documentation:

Reference manual:

FastGaSP.pdf

Downloads:

Package source:	FastGaSP_0.6.0.tar.gz
Windows binaries:	r-devel: FastGaSP_0.6.0.zip, r-release: FastGaSP_0.6.0.zip, r-oldrel: FastGaSP_0.6.0.zip
macOS binaries:	r-devel (arm64): FastGaSP_0.6.0.tgz, r-release (arm64): FastGaSP_0.6.0.tgz, r-oldrel (arm64): FastGaSP_0.6.0.tgz, r-devel (x86_64): FastGaSP_0.6.0.tgz, r-release (x86_64): FastGaSP_0.6.0.tgz, r-oldrel (x86_64): FastGaSP_0.6.0.tgz
Old sources:	FastGaSP archive

Reverse dependencies:

Reverse depends:

SKFCPD

Linking:

Please use the canonical form https://CRAN.R-project.org/package=FastGaSP to link to this page.