# Piecewise 2D Gaussian process (pw_normal)#

## Description#

The function pw_normal simulates a 2D signal of Gaussian i.i.d. random variables with zero mean and covariance matrix alternating between $$[[1, 0.9], [0.9, 1]]$$ and $$[[1, -0.9], [-0.9, 1]]$$ at every change point.

Top and middle: 2D signal example. Bottom: Scatter plot for each regime type

## Usage#

import numpy as np