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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.GammaProcess
public class GammaProcess
This class represents a gamma process {S(t) = G(t;μ, ν) : t >= 0} with mean parameter μ and variance parameter ν. It is a continuous-time process with stationary, independent gamma increments such that for any Δt > 0,
where X is a random variate from the gamma distribution Gamma (μ2Δt/ν, μ/ν).In this class, the gamma process is sampled sequentially using equation.
Constructor Summary | |
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GammaProcess(double s0,
double mu,
double nu,
GammaGen Ggen)
Constructs a new GammaProcess with parameters μ = |
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GammaProcess(double s0,
double mu,
double nu,
RandomStream stream)
Constructs a new GammaProcess 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 |
getMu()
Returns the value of the parameter μ. |
double |
getNu()
Returns the value of the parameter ν. |
RandomStream |
getStream()
Returns the RandomStream stream. |
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 |
setParams(double s0,
double mu,
double nu)
Sets the parameters S(t0) = |
void |
setStream(RandomStream stream)
Resets the RandomStream
of the GammaGen
to stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, 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 GammaProcess(double s0, double mu, double nu, RandomStream stream)
public GammaProcess(double s0, double mu, double nu, GammaGen Ggen)
GammaGen
object
Ggen are not important since the implementation forces the generator
to use the correct parameters (as defined above).
Method Detail |
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public double nextObservation()
StochasticProcess
nextObservation
in class StochasticProcess
public double nextObservation(double nextT)
public double[] generatePath()
RandomStream
stream
or the RandomStream
included
in the GammaGen
Ggen.
generatePath
in class StochasticProcess
public double[] generatePath(double[] uniform01)
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.
public void setParams(double s0, double mu, double nu)
public double getMu()
public double getNu()
public void setStream(RandomStream stream)
RandomStream
of the GammaGen
to stream.
setStream
in class StochasticProcess
public RandomStream getStream()
RandomStream
stream.
getStream
in class StochasticProcess
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