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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.GammaProcess
umontreal.iro.lecuyer.stochprocess.GammaProcessPCA
umontreal.iro.lecuyer.stochprocess.GammaProcessPCABridge
public class GammaProcessPCABridge
Same as GammaProcessPCA, but the generated uniforms
correspond to a bridge transformation of the BrownianMotionPCA
instead of a sequential transformation.
| Constructor Summary | |
|---|---|
GammaProcessPCABridge(double s0,
double mu,
double nu,
RandomStream stream)
Constructs a new GammaProcessPCABridge with parameters μ = |
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| 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 inner BrownianMotionPCA. |
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. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcessPCA |
|---|
nextObservation, nextObservation, setStream |
| 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 GammaProcessPCABridge(double s0,
double mu,
double nu,
RandomStream stream)
| Method Detail |
|---|
public 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 GammaProcessPCApublic double[] generatePath()
GammaProcessRandomStream stream
or the RandomStream included
in the GammaGen Ggen.
generatePath in class GammaProcessPCA
public void setParams(double s0,
double mu,
double nu)
GammaProcessPCABrownianMotionPCA to ν.
setParams in class GammaProcessPCA
public void setObservationTimes(double[] t,
int d)
GammaProcessPCAGammaProcessPCA and the
BrownianMotionPCA.
setObservationTimes in class GammaProcessPCApublic BrownianMotionPCA getBMPCA()
BrownianMotionPCA.
getBMPCA in class GammaProcessPCA
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