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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateBrownianMotion
umontreal.iro.lecuyer.stochprocess.MultivariateBrownianMotionPCA
public class MultivariateBrownianMotionPCA
A multivariate Brownian motion process
{X(t) : t >= 0} sampled
entirely using the principal component decomposition (PCA), as
explained in, page 92. We construct the same matrix
Σ as in MultivariateBrownianMotion
and decompose it as
Σ = BBt via PCA.
We also compute the matrix C whose element (i, j) is
Cov[B(ti+1), B(tj+1)] = min(ti+1, tj+1) and its PCA decomposition
C = AAt, as in class BrownianMotionPCA
.
Constructor Summary | |
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MultivariateBrownianMotionPCA(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
NormalGen gen)
Constructs a new MultivariateBrownianMotionPCA with parameters μ = |
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MultivariateBrownianMotionPCA(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
RandomStream stream)
Constructs a new MultivariateBrownianMotionPCA with parameters μ = |
Method Summary | |
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double[] |
generatePath()
Sets the parameters |
double[] |
generatePath(double[] uniform01)
Same as generatePath() but requires a vector of uniform random numbers which are used to generate the path. |
void |
setParams(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ)
Sets the dimension c = |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.MultivariateBrownianMotion |
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generatePath, getGen, getMu, getStream, nextObservationVector, nextObservationVector, nextObservationVector, nextObservationVector, setParams, setStream |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess |
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getCurrentObservation, getDimension, getObservation, getObservation, getSubpath, getX0, setObservationTimes |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getX0, hasNextObservation, nextObservation, resetStartProcess, 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 MultivariateBrownianMotionPCA(int c, double[] x0, double[] mu, double[] sigma, double[][] corrZ, RandomStream stream)
RandomStream
stream.
public MultivariateBrownianMotionPCA(int c, double[] x0, double[] mu, double[] sigma, double[][] corrZ, NormalGen gen)
Method Detail |
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public void setParams(int c, double[] x0, double[] mu, double[] sigma, double[][] corrZ)
MultivariateBrownianMotion
setParams
in class MultivariateBrownianMotion
public double[] generatePath()
generatePath
in class MultivariateBrownianMotion
public double[] generatePath(double[] uniform01)
MultivariateBrownianMotion
generatePath
in class MultivariateBrownianMotion
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SSJ V. labo. |
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