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). Please see an eprint at http://arxiv.org/pdf/1507.06055.pdf for more details.

Fast and Exact Computation of Gaussian Stochastic Process
Implements fast and exact computation of Gaussian stochastic process with the Matern kernel using forward filtering and backward smoothing algorithm. It allows for the cases with or without a noise.  See the reference: Mengyang Gu and Yanxun Xu (2017) <arXiv:1711.11501>.

Implements fast and exact computation of Gaussian stochastic process with the Matern kernel using forward filtering and backward smoothing algorithm. It allows for the cases with or without a noise.  See the reference: Mengyang Gu and Yanxun Xu (2017),  <arXiv:1711.11501>.

R package to compute the FastHCS outlyingness index.
The FastHCS outlyingness index is a method for finding outliers in high dimensional data-sets.
person("Kaveh", "Vakili", email =
"kaveh.vakili@wis.kuleuven.be", role = c("aut", "cre"))

FastHCS Robust Algortihm for Principal Component Analysis
The FastHCS algorithm of Schmitt and Vakili (2014) for high-dimensional, robust PCA modelling and associated outlier detection and diagnostic tools.
person("Kaveh", "Vakili", email =  "vakili.kaveh.email@gmail.com", role = c("aut", "cre"))

Robust Algorithm for Principal Component Analysis

FastHCS Robust Algorithm for Principal Component Analysis
The FastHCS algorithm of Schmitt and Vakili (2014) <doi:10.1007/s11222-015-9602-5> for high-dimensional, robust PCA modelling and associated outlier detection and diagnostic tools.

The FastHCS algorithm of Schmitt and Vakili (2015) for high-dimensional, robust PCA modelling and associated outlier detection and diagnostic tools.