| GP {mvgam} | R Documentation |
Specify dynamic Gaussian processes
Description
Set up low-rank approximate Gaussian Process trend models using Hilbert
basis expansions in mvgam. This function does not evaluate its arguments –
it exists purely to help set up a model with particular GP
trend models.
Usage
GP(...)
Arguments
... |
unused |
Details
A GP trend is estimated for each series using
Hilbert space approximate Gaussian Processes.
In mvgam, latent squared exponential GP trends are approximated using by
default 20 basis functions and using a multiplicative factor of c = 5/4,
which saves computational costs compared to fitting full GPs while adequately estimating
GP alpha and rho parameters.
Value
An object of class mvgam_trend, which contains a list of
arguments to be interpreted by the parsing functions in mvgam
See Also
[Package mvgam version 1.1.2 Index]