/covariance_modeling

Primary LanguageJupyter Notebook

Covariance modeling

This repository implements different concepts for modeling covariances of stochastic processes.

Dependencies

  1. Eigen3
  2. Sophus
  3. matplotlibcpp (for visualization within c++ code)
  4. matplotlib
  5. plotly

project organization

  • core modules -
    • basic stochastic processes,
    • differentials and integrals,
    • stochastic linear systems,
    • non-linear systems,
    • stochastic processes on manifolds.
    • simulation,
    • visualization

  • python bindings

  • visualization
  • examples

Compiling the code

stochastic process models

Brownian motion

Pink noise models