Enum BasisFunctionType 

pub enum BasisFunctionType {
    Power(usize),
    Hermite(usize),
    Chebyshev(usize),
    Laguerre(usize),
}

Polynomial Basis Functions for Regression

Used to approximate the conditional expectation $\mathbb{E}[Y_{t+1} | X_t]$ via Least Squares Monte Carlo.

Variants

Power(usize)

Standard polynomials: $1, x, x^2, \dots$

Hermite(usize)

Probabilists’ Hermite polynomials: $He_n(x)$. Orthogonal wrt Gaussian measure. Best for Brownian Motion.

Chebyshev(usize)

Chebyshev polynomials (1st kind): $T_n(x)$. Minimax approximation on $[-1, 1]$.

Laguerre(usize)

Laguerre polynomials: $L_n(x)$. Orthogonal for exponential weight $e^{-x}$ on $[0, \infty)$.

Implementations

impl BasisFunctionType

pub fn to_basis<const N: usize>(&self) -> PolynomialBasis

Converts the enum to the new Basis trait object (boxed) or specific struct.

Trait Implementations

impl Clone for BasisFunctionType

fn clone(&self) -> BasisFunctionType

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for BasisFunctionType

impl Debug for BasisFunctionType

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.