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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.GammaProcess
umontreal.iro.lecuyer.stochprocess.GammaProcessPCA
public class GammaProcessPCA
Represents a gamma process sampled using the principal
component analysis (PCA). To simulate the gamma process at times
t0 < t1 < ... < td by PCA sampling, a Brownian
motion
{W(t), t >= 0} with mean 0 and variance parameter ν is
first generated at times
t0 < t1 < ... < td
by PCA sampling (see class BrownianMotionPCA).
The independent increments
W(tj) - W(tj-1) of this process
are then transformed into independent U(0, 1) random variates Vj via
| Constructor Summary | |
|---|---|
GammaProcessPCA(double s0,
double mu,
double nu,
GammaGen Ggen)
Constructs a new GammaProcessPCA with parameters μ = |
|
GammaProcessPCA(double s0,
double mu,
double nu,
RandomStream stream)
Constructs a new GammaProcessPCA with parameters μ = |
|
| Method Summary | |
|---|---|
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)}. |
BrownianMotionPCA |
getBMPCA()
Returns the BrownianMotionPCA that is included in the
GammaProcessPCA object. |
double |
nextObservation()
This method is not implemented in this class since the path cannot be generated sequentially. |
double |
nextObservation(double nextT)
This method is not implemented in this class since the path cannot be generated sequentially. |
void |
setObservationTimes(double[] t,
int d)
Sets the observation times of the GammaProcessPCA and the
BrownianMotionPCA. |
void |
setParams(double s0,
double mu,
double nu)
Sets the parameters s0, μ and ν to new values, and sets the variance parameters of the BrownianMotionPCA to ν. |
void |
setStream(RandomStream stream)
Resets the RandomStream
of the gamma generator and the
RandomStream of
the inner BrownianMotionPCA to
stream. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcess |
|---|
getMu, getNu, getStream |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
|---|
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public GammaProcessPCA(double s0,
double mu,
double nu,
RandomStream stream)
RandomStream
is used for the GammaProcessPCA and for the
BrownianMotionPCA included in this class. Both the
GammaProcessPCA and the BrownianMotionPCA are generated by
inversion.
public GammaProcessPCA(double s0,
double mu,
double nu,
GammaGen Ggen)
RandomStream
included in the GammaGen
Ggen. Note that the parameters of the
GammaGen object
are not important since the implementation forces the generator
to use the correct parameters (as defined above).
| Method Detail |
|---|
public double[] generatePath()
GammaProcessRandomStream stream
or the RandomStream included
in the GammaGen Ggen.
generatePath in class GammaProcesspublic double[] generatePath(double[] uniform01)
GammaProcessRandomStream 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 GammaProcesspublic double nextObservation()
nextObservation in class GammaProcesspublic double nextObservation(double nextT)
nextObservation in class GammaProcesspublic BrownianMotionPCA getBMPCA()
BrownianMotionPCA that is included in the
GammaProcessPCA object.
public void setObservationTimes(double[] t,
int d)
GammaProcessPCA and the
BrownianMotionPCA.
setObservationTimes in class StochasticProcess
public void setParams(double s0,
double mu,
double nu)
BrownianMotionPCA to ν.
setParams in class GammaProcesspublic void setStream(RandomStream stream)
RandomStream
of the gamma generator and the
RandomStream of
the inner BrownianMotionPCA to
stream.
setStream in class GammaProcess
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