VecchiaMLE.jl documentation

Overview

This package computes an approximate Cholesky factorization of a covariance matrix using a Maximum Likelihood Estimation (MLE) approach. The Cholesky factor is computed via the Vecchia approximation, which is sparse and approximately banded, making it highly efficient for large-scale problems.

Installation

julia> ]
pkg> add https://github.com/exanauts/VecchiaMLE.jl.git
pkg> test VecchiaMLE