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Add i-times integrated Wiener Kernel #77
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Maybe that would make sense to make separate kernels for each |
@theogf Considering we are using parameterized types right now, would separate kernels make much of a difference in terms of performance? Currently, IMO even the usage seems straight forward. |
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Looking good so far. If you could sort out style as in the other PR, that would be great.
@willtebbutt Do you think this is ready to be merged? |
Fix docstring and Base.show Co-Authored-By: David Widmann <[email protected]>
Co-Authored-By: David Widmann <[email protected]>
Co-Authored-By: David Widmann <[email protected]>
Co-Authored-By: David Widmann <[email protected]>
Co-Authored-By: David Widmann <[email protected]>
@devmotion @theogf @willtebbutt Can this be merged? |
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Other than the style thing, I'm happy for this to be merged.
Issue #44
i-times integrated Wiener process kernel function given by
For i=-1, this is just the white noise covariance, see WhiteKernel.
For i= 0, this is the Wiener process covariance,
for i= 1, this is the integrated Wiener process covariance (velocity),
for i= 2, this is the twice-integrated Wiener process covariance (accel.),
for i= 3, this is the thrice-integrated Wiener process covariance. where
kᵢ
is given byReferences: