Orthogonal polynomials

[jstriaukas]

Create a function that computes Legendre & Gegenbauer polynomials.

Examples:
https://github.com/jstriaukas/midasml/blob/master/R/midas.polynomials.R

[slim-patchy]

Let me start on this issue first

[slim-patchy]

Code for orthogonal polynomials added to codebase, now at https://github.com/jstriaukas/midasmlpy/blob/master/midasmlpy/midas_polynomials.py. Will add test cases next.

[jeremylhour]

Hi, I think there is a bug in the lb function particulalry at

midasmlpy/midasmlpy/src/midas_polynomials.py

Line 44 in 9d35a40

Psi[:, i] = np.sqrt((2*i + 1) / (b-a)) @ P[:, i]

You will likely get a dimension error because a scalar multiplies a vectors with @ instead of * Psi[:, i] = np.sqrt((2*i + 1) / (b-a)) @ P[:, i]

[jstriaukas]

Thanks a lot, Jeremy. We will try to fix it ASAP.

[krisstern]

Bug fixed.

See:

midasmlpy/midasmlpy/src/midas_polynomials.py

Line 44 in 3d69833

Psi[:, i] = np.sqrt((2*i + 1) / (b-a)) * P[:, i]