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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCA
public class VarianceGammaProcessDiffPCA
Same as VarianceGammaProcessDiff
, but the two inner
GammaProcess
'es are of PCA type. Also,
generatePath(double[] uniforms01) distributes
the uniform random variates to the GammaProcessPCA
's according to their
eigenvalues, i.e. the GammaProcessPCA
with the higher eigenvalue
gets the next uniform random number. If one should decide to create a
VarianceGammaProcessDiffPCA
by giving two GammaProcessPCA
's to an
objet of the class VarianceGammaProcessDiff
, the uniform random
numbers would not be given this way
to the GammaProcessPCA
's; this might give less variance reduction when
used with QMC.
Constructor Summary | |
---|---|
VarianceGammaProcessDiffPCA(double s0,
double theta,
double sigma,
double nu,
GammaProcessPCA gpos,
GammaProcessPCA gneg)
Constructs a new VarianceGammaProcessDiffPCA with
parameters
θ = |
|
VarianceGammaProcessDiffPCA(double s0,
double theta,
double sigma,
double nu,
RandomStream stream)
Constructs a new VarianceGammaProcessDiffPCA with
parameters
θ = |
Method Summary | |
---|---|
double[] |
generatePath()
Generates, returns and saves the path. |
double[] |
generatePath(double[] uniform01)
Similar to the usual generatePath(), but here the uniform random numbers used for the simulation must be provided to the method. |
double |
nextObservation()
This method is not implemented is this class since the path cannot be generated sequentially. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff |
---|
getGneg, getGpos, getStream, resetStartProcess, setObservationTimes, setStream |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess |
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getBrownianMotion, getGammaProcess, getNu, getSigma, getTheta, setParams |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
---|
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setX0 |
Methods inherited from class java.lang.Object |
---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public VarianceGammaProcessDiffPCA(double s0, double theta, double sigma, double nu, RandomStream stream)
VarianceGammaProcessDiffPCA
with
parameters
θ = RandomStream
here which is
used for the two inner GammaProcessPCA
's. The other
parameters are set as in VarianceGammaProcessDiff
.
public VarianceGammaProcessDiffPCA(double s0, double theta, double sigma, double nu, GammaProcessPCA gpos, GammaProcessPCA gneg)
VarianceGammaProcessDiffPCA
with
parameters
θ = VarianceGammaProcessDiff
, the
RandomStream
of gneg is replaced by
the one of gpos to avoid any confusion.
Method Detail |
---|
public double nextObservation()
nextObservation
in class VarianceGammaProcessDiff
public double[] generatePath()
VarianceGammaProcessDiff
generatePath
in class VarianceGammaProcessDiff
public double[] generatePath(double[] uniform01)
VarianceGammaProcessDiff
generatePath
in class VarianceGammaProcessDiff
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