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Copyright 2012 Erlend Aune
THIS LIBRARY IS NO LONGER MAINTAINED.
It will be integrated into SHOGUN:
(https://github.com/shogun-toolbox/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
on http://crd.lbl.gov/~dhbailey/mpdist/.
It depends on Eigen (http://eigen.tuxfamily.org/index.php)
for blas-type functions and sparse matrix-vector products.
On ColPack (http://www.cscapes.org/coloringpage/software.htm)
for graph colouring.
On boost (http://www.boost.org/) for computing IID normal
samples.
and on cusp (http://code.google.com/p/cusp-library/) 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:
@ARTICLE{aunsimp_par_est,
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},
}
@ARTICLE{aun_samp_stco_2012,
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}
}
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