FastGP

Authors Giri Gopalan, Luke Bornn

Last update 20 September 2026

Copyright license GNU General Public License, version 2.0

Software version identifier 1.2, 1.0, 1.1.2, 1.1, 1.3, PACKAGES.rds, 1.4

Official website https://cran.r-project.org/web/packages/FastGP/index.html

Source code repository https://github.com/cran/FastGP

Description

Contains Rcpp and RcppEigen implementations of matrix operations useful for Gaussian process models, such as the inverse and determinant of a symmetric and positive-definite 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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