Same as GammaProcessPCABridge, but uses the fast inversion method for the symmetrical beta distribution, proposed by L’Ecuyer and Simard [134] , to accelerate the generation of the beta random variables. More...
Inheritance diagram for GammaProcessPCASymmetricalBridge:
Collaboration diagram for GammaProcessPCASymmetricalBridge:
Public Member Functions | |
| GammaProcessPCASymmetricalBridge (double s0, double mu, double nu, RandomStream stream) | |
Constructs a new GammaProcessPCASymmetricalBridge with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\). More... | |
| double [] | generatePath (double[] uniform01) |
| double [] | generatePath () |
 Public Member Functions inherited from 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 \(S(t_0) = \mathtt{s0}\). 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 GammaProcessPCABridge | |
| 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 () |
Additional Inherited Members | |
| Protected Attributes inherited from GammaProcessPCABridge | |
| 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 |
| Static Protected Attributes inherited from GammaProcess | |
| static final double | EPS = 1.0e-15 |
| Package Attributes inherited from GammaProcessPCABridge | |
| double | mu2dTOverNu |
| double [] | bMu2dtOverNuR |
| Package Attributes inherited from GammaProcessPCA | |
| double [] | arrayTime |
| BrownianMotionPCA | BMPCA |
| Package Attributes inherited from GammaProcess | |
| double | nu |
| double | mu2OverNu |
Detailed Description
Same as GammaProcessPCABridge, but uses the fast inversion method for the symmetrical beta distribution, proposed by L’Ecuyer and Simard [134] , to accelerate the generation of the beta random variables.
This class works only in the case where the number of intervals is a power of 2 and all these intervals are of equal size.
Constructor & Destructor Documentation
◆ GammaProcessPCASymmetricalBridge()
| GammaProcessPCASymmetricalBridge | ( | double | s0, |
| double | mu, | ||
| double | nu, | ||
| RandomStream | stream | ||
| ) |
Constructs a new GammaProcessPCASymmetricalBridge with parameters \(\mu= \mathtt{mu}\), \(\nu= \mathtt{nu}\) and initial value \(S(t_0) = \mathtt{s0}\).
The umontreal.ssj.rng.RandomStream stream is used in the umontreal.ssj.randvar.GammaGen and in the umontreal.ssj.randvar.BetaSymmetricalGen. These two generators use inversion to generate random numbers. The first uniform random number generated by stream 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:
- GammaProcessPCASymmetricalBridge.java
