Samples the path by bridge sampling: first finding the process value at the final time and then the middle time, etc. More...
Public Member Functions | |
| InverseGaussianProcessBridge (double s0, double delta, double gamma, RandomStream stream, RandomStream otherStream) | |
| Constructs a new InverseGaussianProcessBridge. | |
| double[] | generatePath () |
| Generates the path. | |
| double[] | generatePath (double[] unifNorm, double[] unifOther) |
| Instead of using the internal streams to generate the path, it uses two arrays of uniforms \(U[0,1)\). | |
| double | nextObservation () |
| Returns the next observation in the bridge order, not the sequential order. | |
| void | resetStartProcess () |
| Resets the observation counter to its initial value \(j=0\), so that the current observation \(X(t_j)\) becomes \(X(t_0)\). | |
| RandomStream | getStream () |
| Only returns a stream if both inner streams are the same. | |
| void | setStream (RandomStream stream, RandomStream otherStream) |
| Sets the streams. | |
| void | setStream (RandomStream stream) |
| Sets both inner streams to the same stream. | |
| Public Member Functions inherited from umontreal.ssj.stochprocess.InverseGaussianProcessMSH | |
| InverseGaussianProcessMSH (double s0, double delta, double gamma, RandomStream stream, RandomStream otherStream) | |
| Constructs a new InverseGaussianProcessMSH. | |
| double[] | generatePath (double[] uniforms01) |
| Not implemented, requires two umontreal.ssj.rng.RandomStream ’s. | |
| void | setOtherStream (RandomStream otherStream) |
| Sets the otherStream, which is the stream used to choose between the two roots in the MSH method. | |
| RandomStream | getOtherStream () |
| Returns the otherStream, which is the stream used to choose between the two quadratic roots from the MSH method. | |
| void | setNormalGen (NormalGen normalGen) |
| Sets the normal generator. | |
| NormalGen | getNormalGen () |
| Returns the normal generator. | |
| Public Member Functions inherited from umontreal.ssj.stochprocess.InverseGaussianProcess | |
| InverseGaussianProcess (double s0, double delta, double gamma, RandomStream stream) | |
| Constructs a new InverseGaussianProcess. | |
| void | setParams (double delta, double gamma) |
| Sets the parameters. | |
| double | getDelta () |
| Returns \(\delta\). | |
| double | getGamma () |
| Returns \(\gamma\). | |
| double | getAnalyticAverage (double time) |
| Returns the analytic average which is \(\delta t/ \gamma\), with. | |
| double | getAnalyticVariance (double time) |
| Returns the analytic variance which is \((\delta t)^2\), with. | |
| int | getNumberOfRandomStreams () |
| Returns the number of random streams of this process. | |
| Public Member Functions inherited from umontreal.ssj.stochprocess.StochasticProcess | |
| void | setObservationTimes (double[] T, int d) |
| Sets the observation times of the process to a copy of T, with. | |
| void | setObservationTimes (double delta, int d) |
| Sets equidistant observation times at \(t_j = j\delta\), for. | |
| double[] | getObservationTimes () |
| Returns a reference to the array that contains the observation times. | |
| int | getNumObservationTimes () |
| Returns the number \(d\) of observation times, excluding the time \(t_0\). | |
| 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 \(\{X(t_0), ... ,
X(t_d)\}\). | |
| 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. | |
| double | getObservation (int j) |
| Returns \(X(t_j)\) from the current sample path. | |
| 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. | |
| int | getCurrentObservationIndex () |
| Returns the value of the index \(j\) corresponding to the time. | |
| 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. | |
| 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. | |
Detailed Description
Samples the path by bridge sampling: first finding the process value at the final time and then the middle time, etc.
The method nextObservation() returns the path value in that non-sequential order. This class uses two umontreal.ssj.rng.RandomStream ’s to generate a path [229] .
Definition at line 46 of file InverseGaussianProcessBridge.java.
Constructor & Destructor Documentation
◆ InverseGaussianProcessBridge()
| umontreal.ssj.stochprocess.InverseGaussianProcessBridge.InverseGaussianProcessBridge | ( | double | s0, |
| double | delta, | ||
| double | gamma, | ||
| RandomStream | stream, | ||
| RandomStream | otherStream ) |
Constructs a new InverseGaussianProcessBridge.
The initial value s0 will be overridden by \(t[0]\) when the observation times are set.
Definition at line 60 of file InverseGaussianProcessBridge.java.
Member Function Documentation
◆ generatePath() [1/2]
| double[] umontreal.ssj.stochprocess.InverseGaussianProcessBridge.generatePath | ( | ) |
Generates the path.
The two inner
umontreal.ssj.rng.RandomStream ’s are sampled alternatively.
Reimplemented from umontreal.ssj.stochprocess.InverseGaussianProcessMSH.
Definition at line 71 of file InverseGaussianProcessBridge.java.
◆ generatePath() [2/2]
| double[] umontreal.ssj.stochprocess.InverseGaussianProcessBridge.generatePath | ( | double[] | unifNorm, |
| double[] | unifOther ) |
Instead of using the internal streams to generate the path, it uses two arrays of uniforms \(U[0,1)\).
The length of the arrays unifNorm and unifOther should be equal to the number of time steps, excluding \(t_0\).
Reimplemented from umontreal.ssj.stochprocess.InverseGaussianProcessMSH.
Definition at line 85 of file InverseGaussianProcessBridge.java.
◆ getStream()
| RandomStream umontreal.ssj.stochprocess.InverseGaussianProcessBridge.getStream | ( | ) |
Only returns a stream if both inner streams are the same.
Reimplemented from umontreal.ssj.stochprocess.InverseGaussianProcessMSH.
Definition at line 234 of file InverseGaussianProcessBridge.java.
◆ nextObservation()
| double umontreal.ssj.stochprocess.InverseGaussianProcessBridge.nextObservation | ( | ) |
Returns the next observation in the bridge order, not the sequential order.
Reimplemented from umontreal.ssj.stochprocess.InverseGaussianProcessMSH.
Definition at line 108 of file InverseGaussianProcessBridge.java.
◆ resetStartProcess()
| void umontreal.ssj.stochprocess.InverseGaussianProcessBridge.resetStartProcess | ( | ) |
Resets the observation counter to its initial value \(j=0\), so that the current observation \(X(t_j)\) becomes \(X(t_0)\).
This method should be invoked before generating observations sequentially one by one via nextObservation, for a new sample path.
Reimplemented from umontreal.ssj.stochprocess.StochasticProcess.
Definition at line 145 of file InverseGaussianProcessBridge.java.
◆ setStream() [1/2]
| void umontreal.ssj.stochprocess.InverseGaussianProcessBridge.setStream | ( | RandomStream | stream | ) |
Sets both inner streams to the same stream.
Reimplemented from umontreal.ssj.stochprocess.InverseGaussianProcessMSH.
Definition at line 252 of file InverseGaussianProcessBridge.java.
◆ setStream() [2/2]
| void umontreal.ssj.stochprocess.InverseGaussianProcessBridge.setStream | ( | RandomStream | stream, |
| RandomStream | otherStream ) |
Sets the streams.
Reimplemented from umontreal.ssj.stochprocess.InverseGaussianProcessMSH.
Definition at line 243 of file InverseGaussianProcessBridge.java.
The documentation for this class was generated from the following file:
- src/main/java/umontreal/ssj/stochprocess/InverseGaussianProcessBridge.java
