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SuperGauss
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]
[Scholar Profile | Author Map]
All associated links for this package
10.32614/CRAN.package.SuperGauss . SuperGauss results . SuperGauss.pdf . SuperGauss_2.0.3.tar.gz . SuperGauss_2.0.3.zip . SuperGauss_2.0.3.zip . SuperGauss_2.0.3.zip . SuperGauss_2.0.3.tgz . SuperGauss_2.0.3.tgz . SuperGauss_2.0.3.tgz . SuperGauss_2.0.3.tgz . SuperGauss archive . https://CRAN.R-project.org/package=SuperGauss .
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 30 Apr. 2025.
Previous versions and publish date:
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
Functions, R codes and Examples using
the SuperGauss R package
Some associated functions: Cholesky . Circulant . NormalCirculant . NormalToeplitz . SuperGauss-defunct . SuperGauss-package . Toeplitz . acf2incr . acf2msd . dnormtz . fbm_msd . matern_acf . msd2acf . pex_acf . rnormtz . toep.mult .
Some associated R codes: Cholesky.R . Circulant.R . NormalCirculant.R . NormalToeplitz.R . RcppExports.R . SuperGauss-defunct.R . SuperGauss-package.R . Toep-mult.R . Toeplitz.R . acf2incr.R . acf2msd.R . dnormtz.R . fbm_msd.R . format.R . matern_acf.R . msd2acf.R . pex_acf.R . rnormtz.R . Full SuperGauss package functions and examples
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