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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.InverseGaussianProcess
public class InverseGaussianProcess
The inverse Gaussian process is a non-decreasing process
where the increments are additive and are given by the
inverse gaussian distribution,
InverseGaussianDist
.
With parameters δ and γ, the
time increments are given by
InverseGaussianDist
(δdt/γ, δ2dt2).
[We here use the inverse gaussian distribution parametrized with IGDist (μ, λ), where μ = δ/γ and λ = δ2. If we instead used the parametrization IGDist1#1(δ, γ), then the increment distribution of our process would have been written more simply as IGDist[tex2html_wrap_inline160](δdt, γ).]
The increments are generated by using
the inversion of the cumulative distribution function.
It therefore uses only one RandomStream
.
Subclasses of this class use different generating methods and some need
two RandomStream
's.
The initial value of this process is the initial observation time.
Constructor Summary | |
---|---|
InverseGaussianProcess(double s0,
double delta,
double gamma,
RandomStream stream)
Constructs a new InverseGaussianProcess. |
Method Summary | |
---|---|
double[] |
generatePath()
Generates, returns, and saves the sample path {X(t0), X(t1),…, X(td)}. |
double[] |
generatePath(double[] uniforms01)
Instead of using the internal stream to generate the path, uses an array of uniforms U[0, 1). |
double[] |
generatePath(double[] uniforms01,
double[] uniforms01b)
This method does not work for this class, but will be useful for the subclasses that require two streams. |
double |
getAnalyticAverage(double time)
Returns the analytic average which is δt/γ, with t = time. |
double |
getAnalyticVariance(double time)
Returns the analytic variance which is (δt)2, with t = time. |
double |
getDelta()
Returns δ. |
double |
getGamma()
Returns γ. |
int |
getNumberOfRandomStreams()
Returns the number of random streams of this process. |
RandomStream |
getStream()
Returns the random stream of the underlying generator. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
void |
setParams(double delta,
double gamma)
Sets the parameters. |
void |
setStream(RandomStream stream)
Resets the random stream of the underlying generator to stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
---|
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 InverseGaussianProcess(double s0, double delta, double gamma, RandomStream stream)
Method Detail |
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public double[] generatePath()
StochasticProcess
generatePath
in class StochasticProcess
public double[] generatePath(double[] uniforms01)
NormalInverseGaussianProcess
.
public double[] generatePath(double[] uniforms01, double[] uniforms01b)
public double nextObservation()
StochasticProcess
nextObservation
in class StochasticProcess
public void setParams(double delta, double gamma)
public double getDelta()
public double getGamma()
public double getAnalyticAverage(double time)
public double getAnalyticVariance(double time)
public RandomStream getStream()
StochasticProcess
getStream
in class StochasticProcess
public void setStream(RandomStream stream)
StochasticProcess
setStream
in class StochasticProcess
public int getNumberOfRandomStreams()
InverseGaussianProcess
.
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