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", "2.0.4")



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 2.0.4, https://cran.r-project.org/web/packages/SuperGauss. Accessed 27 Oct. 2026.
Previous versions and publish date:
(2026-07-09 08:27), 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), 2.0.3 (2022-02-24 21:40)
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

Today's Hot Picks in Authors and Packages

r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
SGB  
Simplicial Generalized Beta Regression
Main properties and regression procedures using a generalization of the Dirichlet distribution calle ...
Download / Learn more Package Citations See dependency  
usemodels  
Boilerplate Code for 'Tidymodels' Analyses
Code snippets to fit models using the tidymodels framework can be easily created for a given data se ...
Download / Learn more Package Citations See dependency  
spanish  
Translate Quantities from Strings to Integer and Back. Misc Functions on Spanish Data
Character vector to numerical translation in Euros from Spanish spelled monetary quantities. Reverse ...
Download / Learn more Package Citations See dependency  
exams2learnr  
Interface for 'exams' Exercises in 'learnr' Tutorials
Automatic generation of quizzes or individual questions for 'learnr' tutorials based on 'R/exams' ex ...
Download / Learn more Package Citations See dependency  

29,218

R Packages

247,686

Dependencies

77,281

Author Associations

29,219

Publication Badges

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