Other packages > Find by keyword >

SuperGauss  

Superfast Likelihood Inference for Stationary Gaussian Time Series
View on CRAN: Click here


Download and install SuperGauss package within the R console
Install from CRAN:
install.packages("SuperGauss")

Install from Github:
library("remotes")
install_github("cran/SuperGauss")

Install by package version:
library("remotes")
install_version("SuperGauss", "2.0.3")



Attach the package and use:
library("SuperGauss")
Maintained by
Martin Lysy
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-07-06
Latest Update: 2022-02-24
Description:
Likelihood evaluations for stationary Gaussian time series are typically obtained via the Durbin-Levinson algorithm, which scales as O(n^2) in the number of time series observations.This package provides a "superfast" O(n log^2 n) algorithm written in C++, crossing over with Durbin-Levinson around n = 300.Efficient implementations of the score and Hessian functions are also provided, leading to superfast versions of inference algorithms such as Newton-Raphson and Hamiltonian Monte Carlo.The C++ code provides a Toeplitz matrix class packaged as a header-only library, to simplify low-level usage in other packages and outside of R.
How to cite:
Martin Lysy (2017). SuperGauss: Superfast Likelihood Inference for Stationary Gaussian Time Series. R package version 2.0.3, https://cran.r-project.org/web/packages/SuperGauss. Accessed 31 Jan. 2025.
Previous versions and publish date:
1.0.1 (2019-03-12 23:36), 1.0.2 (2020-02-27 13:40), 1.0 (2017-07-06 01:00), 2.0.0 (2020-09-21 20:20), 2.0.1 (2020-10-03 17:20), 2.0.2 (2021-10-19 19:30)
Other packages that cited SuperGauss R package
View SuperGauss citation profile
Other R packages that SuperGauss depends, imports, suggests or enhances
Complete documentation for SuperGauss
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

pim  
Fit Probabilistic Index Models
Fit a probabilistic index model as described in Thas et al, 2012: ...
Download / Learn more Package Citations See dependency  
nlpred  
Estimators of Non-Linear Cross-Validated Risks Optimized for Small Samples
Methods for obtaining improved estimates of non-linear cross-validated risks are obtained using targ ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
GEEmediate  
Mediation Analysis for Generalized Linear Models Using the Difference Method
Causal mediation analysis for a single exposure/treatment and a single mediator, both allowed to be ...
Download / Learn more Package Citations See dependency  

23,580

R Packages

204,057

Dependencies

63,980

Author Associations

23,581

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA