function [pr,sdev]=gp2_iden_schur_r(p,M,y,N) % GP2_IDEN_SCHUR_R This function computes the Gaussian Process Prediction % and Standard Deviation given the following inputs, for time-series ONLY. % % This is a fast algorithm using Generalised Schur algorithm to perform % computation task, impossible by standard MATLAB command. The Schur % algorithm includes Hyperbolic rotation. % % [pr,sdev] = GP2_IDEN_SCHUR_R(p,M,y,N) % % Inputs: p : hyperparameters, [a g v] % M : one-dimensional input column vector % y : one-dimensional output column vector % N : one-dimensional input prediction column vector % % Outputs: pr = prediction % sdev = standard deviation % % % (C) Gaussian Process Schur Toolbox 1.0 % (C) Copyright 2005-2007, Keith Neo % http://www.hamilton.ie G=get_eigen_block_iden3b(M,N,y,p); [pr,sd1]=schur_iden3b_r(G,y); sdev=sqrt(p(1)-sd1);