| Safe Haskell | Safe-Inferred |
|---|---|
| Language | Haskell2010 |
LazyPPL.Distributions.GP
Description
Gaussian processes in the LazyPPL library.
Gaussian processes are random functions. We provide the Wiener process (wiener) and a generic Gaussian process (gp).
Although the implementation uses hidden state, it is still safe, i.e. statistically commutative and discardable.
For illustrations, see the Gaussian process regression or Wiener process regression. The latter also illustrates composing the Wiener process function to get jump diffusion.
Documentation
wiener :: Prob (Double -> Double) Source #
Wiener process (Brownian motion).
This is a random function.
The Wiener process is implemented by using a Brownian bridge and a hidden memo table.
Arguments
| :: (Double -> Double -> Double) | Covariance function |
| -> Prob (Double -> Double) | Returns a random function |
Gaussian process with given covariance function.
This is a random function.
The function is defined by using linear algebra and a hidden memo table. Although it uses hidden state, it is still safe, i.e. statistically commutative and discardable. -