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