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stat.CO2024
Fast Adaptive Fourier Integration for Spectral Densities of Gaussian Processes
Paul G. Beckman, Christopher J. Geoga
The specification of a covariance function is of paramount importance when employing Gaussian process models, but the requirement of positive definiteness severely limits those use…
math.NA2024
Fast Machine-Precision Spectral Likelihoods for Stationary Time Series
Christopher J. Geoga
We provide in this work an algorithm for approximating a very broad class of symmetric Toeplitz matrices to machine precision in time with applications to f…