SuperGauss (Q99398)
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Superfast Likelihood Inference for Stationary Gaussian Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | SuperGauss |
Superfast Likelihood Inference for Stationary Gaussian Time Series |
Statements
Yun Ling
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10 September 2025
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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.
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