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Copyright 2012 Erlend Aune
It will be integrated into SHOGUN:
and future progress will be found there.
The Krylov statistics library (KRYLSTAT) is free C++ software
under the LGPL license. It is designed to facilitate sampling
from high dimensional Gaussian distributions using rational
approximations and Krylov methods and computing log-determinants
using the same methods with the addition of graph colouring.
The code depends on ARPREC for computing high-precision Jacobi
elliptic functions. The libRatApp.a-file includes this, but
the header file for arprec is needed. The library can be found
It depends on Eigen (
for blas-type functions and sparse matrix-vector products.
On ColPack (
for graph colouring.
On boost ( for computing IID normal
and on cusp ( for
GPU implementations.
Additionally, OpenMP is required for parallel computations.
Citing this software may be done by citing one or both of
the following bibtex entries:
author = {Erlend Aune and Daniel P. Simpson and Jo Eidsvik},
title = {Parameter estimation in high dimensional Gaussian distributions},
journal = {Statistics and Computing},
year = {2013},
volume = {To appear},
pages = {NA},
author = {Erlend Aune and Jo Eidsvik and Yvo Pokern},
title = {terative Numerical Methods for Sampling from High Dimensional Gaussian Distributions},
journal = {Statistics and Computing},
year = {2012},
volume = {To appear},
pages = {NA}