The ORCHID Project – Converting most stationary covariance functions to state-space form

Converting most stationary covariance functions to state-space form

Created on 3 October 2014, 16:59, by Steve Reece

For all you keen latent force modellers out there who want to convert arbitrary
(but non-periodic) stationary covariance functions to state-space form, check out
Hyndman’s paper below:

http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9892.1993.tb00145.x/abstract

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