pub fn wiener_eigenfunctions(t: &[f64], m: usize) -> Vec<f64>Expand description
Compute Wiener process eigenfunctions on [0,1].
The Wiener (Brownian motion) eigenfunctions are: φ_k(t) = √2 sin((k - 0.5)πt)
These are the eigenfunctions of the covariance kernel K(s,t) = min(s,t).
§Arguments
t- Evaluation points in [0,1]m- Number of eigenfunctions
§Returns
Column-major matrix of size len(t) × m as flat vector