Covariance modeling

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

Dependencies

Eigen3
Sophus
matplotlibcpp (for visualization within c++ code)
matplotlib
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