eigenvalues_wiener

Function eigenvalues_wiener 

Source
pub fn eigenvalues_wiener(m: usize) -> Vec<f64>
Expand description

Generate Wiener process eigenvalues.

λ_k = 1/((k - 0.5)π)² for k = 1, …, m

These are the eigenvalues of the covariance kernel K(s,t) = min(s,t).