Let
be a set of functions defined on the interval (
a,
b); also let
w(
x) be a given positive function (a
weight function) on (
a,
b). The functions
fi(
x),
are said to be orthogonal with respect to the interval (
a,
b) and weight function
w(
x), if
If, for
i =
j,
then the functions are said to be
orthonormal.
A similar property is defined when (a,b) is replaced by the set of points
and the integral is replaced by a sum,
Orthogonal functions play an important part in the approximation of functions and data.