corr_fBM

Construct correlation matrix for fractional Brownian motion.

internal

Uncertainty quantification and inverse estimation by probabilistic generative models from the beginning of the data analysis. An example is a Fourier basis method for inverse estimation in scattering analysis of microscopy videos. It does not require specifying a certain range of Fourier bases and it substantially reduces computational cost via the generalized Schur algorithm. See the reference: Mengyang Gu, Yue He, Xubo Liu and Yimin Luo (2023), <doi:10.48550/arXiv.2309.02468>.

Mengyang Gu

AIUQ

Ab Initio Uncertainty Quantification

Yue He

Xubo Liu

corr_fBM function

<dl><dt>len_t</dt>
<dd>number of time steps</dd>
<dt>H</dt>
<dd>Hurst parameter, value between 0 and 1</dd></dl>

Arguments

Author

Construct correlation matrix for FBM — corr_fBM

<dl>

<dt>len_t</dt>
<dd>number of time steps</dd>


<dt>H</dt>
<dd>Hurst parameter, value between 0 and 1</dd>

</dl>

corr_fBM: Construct correlation matrix for FBM

Description

Usage

Value

Arguments

Author

Examples