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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.GammaProcess umontreal.iro.lecuyer.stochprocess.GammaProcessBridge
public class GammaProcessBridge
This class represents a gamma process
{S(t) = G(t;μ, ν) : t >= 0} with mean parameter μ and
variance parameter ν, sampled using the gamma bridge method
(see for example).
This is analogous to the bridge sampling used in
BrownianMotionBridge
.
Note that gamma bridge sampling requires not only gamma variates, but also beta variates. The latter generally take a longer time to generate than the former. The class GammaSymmetricalBridgeProcess provides a faster implementation when the number of observation times is a power of two.
The warning from class BrownianMotionBridge
applies verbatim
to this class.
Constructor Summary | |
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GammaProcessBridge(double s0,
double mu,
double nu,
GammaGen Ggen,
BetaGen Bgen)
Constructs a new GammaProcessBridge. |
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GammaProcessBridge(double s0,
double mu,
double nu,
RandomStream stream)
Constructs a new GammaProcessBridge with parameters μ = |
Method Summary | |
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double[] |
generatePath()
Generates, returns and saves the path {X(t0), X(t1),…, X(td)}. |
double[] |
generatePath(double[] uniform01)
Generates, returns and saves the path {X(t0), X(t1),…, X(td)}. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
double |
nextObservation(double nextT)
Generates and returns the next observation at time tj+1 = |
void |
resetStartProcess()
Resets the observation counter to its initial value j = 0, so that the current observation X(tj) becomes X(t0). |
void |
setStream(RandomStream stream)
Resets the RandomStream
of the GammaGen and
the BetaGen to stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcess |
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getMu, getNu, getStream, setParams |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setObservationTimes, setX0 |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public GammaProcessBridge(double s0, double mu, double nu, RandomStream stream)
public GammaProcessBridge(double s0, double mu, double nu, GammaGen Ggen, BetaGen Bgen)
RandomStream
. Furthermore, the
parameters of the
GammaGen
and
BetaGen
objects are not
important since the implementation forces the generators to use
the correct parameters.
(as defined in).
Method Detail |
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public double nextObservation()
StochasticProcess
nextObservation
in class GammaProcess
public double nextObservation(double nextT)
GammaProcess
nextObservation
in class GammaProcess
public double[] generatePath(double[] uniform01)
GammaProcess
RandomStream
stream nor the
GammaGen
Ggen. It
uses the vector of uniform random numbers U(0, 1) provided by the user
and generates the path by inversion. The vector uniform01 must be of
dimension d.
generatePath
in class GammaProcess
public double[] generatePath()
GammaProcess
RandomStream
stream
or the RandomStream
included
in the GammaGen
Ggen.
generatePath
in class GammaProcess
public void resetStartProcess()
StochasticProcess
nextObservation
, for a new sample path.
resetStartProcess
in class StochasticProcess
public void setStream(RandomStream stream)
RandomStream
of the GammaGen
and
the BetaGen
to stream.
setStream
in class GammaProcess
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