FastGP

R package FastGP: Efficiently Using Gaussian Processes with Rcpp and RcppEigen. Contains Rcpp and RcppEigen implementations of matrix operations useful for Gaussian process models, such as the inversion of a symmetric Toeplitz matrix, sampling from multivariate normal distributions, evaluation of the log-density of a multivariate normal vector, and Bayesian inference for latent variable Gaussian process models with elliptical slice sampling (Murray, Adams, and MacKay 2010).

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References in zbMATH (referenced in 1 article )

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  1. Giri Gopalan, Luke Bornn: FastGP: An R Package for Gaussian Processes (2015) arXiv