NonparametricVecchia.jl is a Julia package that approximates the inverse
cholesky factor of a Gaussian process covariance matrix via a nonparametric
optimization process. The nonzero entries of the inverse cholesky, L, are
determined via the Vecchia Approximation. The values of L are recovered via
optimizing the joint probability distribution function (mean zero) to best match
the given samples.
This package is not registered but can be installed and tested through the Julia package manager:
julia> ]
pkg> add https://github.com/exanauts/NonparametricVecchia.jl.git
pkg> test NonparametricVecchia