Same as GammaProcessPCA, but the generated uniforms correspond to a bridge transformation of the BrownianMotionPCA instead of a sequential transformation. More...
Inheritance diagram for GammaProcessPCABridge:
Collaboration diagram for GammaProcessPCABridge:
Public Member Functions | |
| GammaProcessPCABridge (double s0, double mu, double nu, RandomStream stream) | |
Constructs a new GammaProcessPCABridge with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\). More... | |
| double [] | generatePath (double[] uniform01) |
| double [] | generatePath () |
| void | setParams (double s0, double mu, double nu) |
| void | setObservationTimes (double[] t, int d) |
| BrownianMotionPCA | getBMPCA () |
| Returns the inner BrownianMotionPCA. | |
 Public Member Functions inherited from GammaProcessPCA | |
| GammaProcessPCA (double s0, double mu, double nu, RandomStream stream) | |
Constructs a new GammaProcessPCA with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\). More... | |
| GammaProcessPCA (double s0, double mu, double nu, GammaGen Ggen) | |
Constructs a new GammaProcessPCA with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\). More... | |
| double [] | generatePath () |
| double [] | generatePath (double[] uniform01) |
| 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. | |
| BrownianMotionPCA | getBMPCA () |
| Returns the BrownianMotionPCA that is included in the GammaProcessPCA object. | |
| 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, \(\mu\) and \(\nu\) to new values, and sets the variance parameters of the BrownianMotionPCA to \(\nu\). | |
| void | setStream (RandomStream stream) |
Resets the umontreal.ssj.rng.RandomStream of the gamma generator and the umontreal.ssj.rng.RandomStream of the inner BrownianMotionPCA to stream. | |
| Public Member Functions inherited from GammaProcess | |
| GammaProcess (double s0, double mu, double nu, RandomStream stream) | |
Constructs a new GammaProcess with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\). More... | |
| GammaProcess (double s0, double mu, double nu, GammaGen Ggen) | |
Constructs a new GammaProcess with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\). More... | |
| double | nextObservation () |
| double | nextObservation (double nextT) |
Generates and returns the next observation at time \(t_{j+1} = \mathtt{nextTime}\), using the previous observation time \(t_j\) defined earlier (either by this method or by setObservationTimes), as well as the value of the previous observation \(X(t_j)\). More... | |
| double [] | generatePath () |
| Generates, returns and saves the path \(\{X(t_0), X(t_1), …, X(t_d)\}\). More... | |
| double [] | generatePath (double[] uniform01) |
| Generates, returns and saves the path \( \{X(t_0), X(t_1), …, X(t_d)\}\). More... | |
| void | setParams (double s0, double mu, double nu) |
| Sets the parameters \(S(t_0) = \mathtt{s0}\), \(\mu= \mathtt{mu}\) and \(\nu= \mathtt{nu}\) of the process. More... | |
| double | getMu () |
| Returns the value of the parameter \(\mu\). | |
| double | getNu () |
| Returns the value of the parameter \(\nu\). | |
| void | setStream (RandomStream stream) |
Resets the umontreal.ssj.rng.RandomStream of the umontreal.ssj.randvar.GammaGen to stream. | |
| RandomStream | getStream () |
Returns the umontreal.ssj.rng.RandomStream stream. | |
| Public Member Functions inherited from StochasticProcess | |
| void | setObservationTimes (double[] T, int d) |
Sets the observation times of the process to a copy of T, with. More... | |
| void | setObservationTimes (double delta, int d) |
| Sets equidistant observation times at \(t_j = j\delta\), for. More... | |
| double [] | getObservationTimes () |
| Returns a reference to the array that contains the observation times. More... | |
| int | getNumObservationTimes () |
| Returns the number \(d\) of observation times, excluding the time \(t_0\). | |
| abstract double [] | generatePath () |
| Generates, returns, and saves the sample path \(\{X(t_0), X(t_1), \dots, X(t_d)\}\). More... | |
| double [] | generatePath (RandomStream stream) |
Same as generatePath(), but first resets the stream to stream. | |
| double [] | getPath () |
| Returns a reference to the last generated sample path \(\{X(t_0), ... , X(t_d)\}\). More... | |
| void | getSubpath (double[] subpath, int[] pathIndices) |
Returns in subpath the values of the process at a subset of the observation times, specified as the times \(t_j\) whose indices. More... | |
| double | getObservation (int j) |
| Returns \(X(t_j)\) from the current sample path. More... | |
| void | resetStartProcess () |
| Resets the observation counter to its initial value \(j=0\), so that the current observation \(X(t_j)\) becomes \(X(t_0)\). More... | |
| boolean | hasNextObservation () |
Returns true if \(j<d\), where \(j\) is the number of observations of the current sample path generated since the last call to resetStartProcess. More... | |
| double | nextObservation () |
| Generates and returns the next observation \(X(t_j)\) of the stochastic process. More... | |
| int | getCurrentObservationIndex () |
| Returns the value of the index \(j\) corresponding to the time. More... | |
| double | getCurrentObservation () |
| Returns the value of the last generated observation \(X(t_j)\). | |
| double | getX0 () |
| Returns the initial value \(X(t_0)\) for this process. | |
| void | setX0 (double s0) |
Sets the initial value \(X(t_0)\) for this process to s0, and reinitializes. | |
| abstract void | setStream (RandomStream stream) |
Resets the random stream of the underlying generator to stream. | |
| abstract RandomStream | getStream () |
| Returns the random stream of the underlying generator. | |
| int [] | getArrayMappingCounterToIndex () |
| Returns a reference to an array that maps an integer \(k\) to \(i_k\), the index of the observation \(S(t_{i_k})\) corresponding to the \(k\)-th observation to be generated for a sample path of this process. More... | |
Protected Member Functions | |
| void | init () |
| Protected Member Functions inherited from GammaProcess | |
| void | setLarger (double[] path, int left, int mid, int right) |
| double | setLarger (double[] path, int left, int right) |
| double | setLarger (double v) |
| void | init () |
| Protected Member Functions inherited from StochasticProcess | |
| void | init () |
Protected Attributes | |
| BrownianMotionBridge | BMBridge |
| double | mu2OverNu |
| double [] | bMu2dtOverNuL |
| int [] | wIndexList |
| Protected Attributes inherited from GammaProcess | |
| boolean | usesAnti = false |
| RandomStream | stream |
| GammaGen | Ggen |
| double | mu |
| double | muOverNu |
| double [] | mu2dtOverNu |
| Protected Attributes inherited from StochasticProcess | |
| boolean | observationTimesSet = false |
| double | x0 = 0.0 |
| int | d = -1 |
| int | observationIndex = 0 |
| int | observationCounter = 0 |
| double [] | t |
| double [] | path |
| int [] | observationIndexFromCounter |
Package Attributes | |
| double | mu2dTOverNu |
| double [] | bMu2dtOverNuR |
| Package Attributes inherited from GammaProcessPCA | |
| double [] | arrayTime |
| BrownianMotionPCA | BMPCA |
| Package Attributes inherited from GammaProcess | |
| double | nu |
| double | mu2OverNu |
Additional Inherited Members | |
| Static Protected Attributes inherited from GammaProcess | |
| static final double | EPS = 1.0e-15 |
Detailed Description
Same as GammaProcessPCA, but the generated uniforms correspond to a bridge transformation of the BrownianMotionPCA instead of a sequential transformation.
Constructor & Destructor Documentation
◆ GammaProcessPCABridge()
| GammaProcessPCABridge | ( | double | s0, |
| double | mu, | ||
| double | nu, | ||
| RandomStream | stream | ||
| ) |
Constructs a new GammaProcessPCABridge with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\).
The same stream is used to generate the gamma and beta random numbers. All these numbers are generated by inversion in the following order: the first uniform random number generated is used for the gamma and the other \(d-1\) for the beta’s.
The documentation for this class was generated from the following file:
- GammaProcessPCABridge.java
