InverseGaussianProcessBridge Class Reference

Samples the path by bridge sampling: first finding the process value at the final time and then the middle time, etc. More...

Inheritance diagram for InverseGaussianProcessBridge:

Collaboration diagram for InverseGaussianProcessBridge:

Public Member Functions
	InverseGaussianProcessBridge (double s0, double delta, double gamma, RandomStream stream, RandomStream otherStream)
	Constructs a new InverseGaussianProcessBridge. More...
double []	generatePath ()
	Generates the path. More...
double []	generatePath (double[] unifNorm, double[] unifOther)
	Instead of using the internal streams to generate the path, it uses two arrays of uniforms $U[0,1)$. More...
double	nextObservation ()
	Returns the next observation in the bridge order, not the sequential order.
void	resetStartProcess ()
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 InverseGaussianProcessMSH
	InverseGaussianProcessMSH (double s0, double delta, double gamma, RandomStream stream, RandomStream otherStream)
	Constructs a new InverseGaussianProcessMSH. More...
double []	generatePath ()
	Generates the path. More...
double []	generatePath (double[] unifNorm, double[] unifOther)
	Instead of using the internal streams to generate the path, uses two arrays of uniforms $U[0,1)$. More...
double []	generatePath (double[] uniforms01)
	Not implemented, requires two umontreal.ssj.rng.RandomStream ’s.
double	nextObservation ()
RandomStream	getStream ()
	Only returns a stream if both inner umontreal.ssj.rng.RandomStream ’s are the same.
void	setStream (RandomStream stream, RandomStream otherStream)
	Sets the streams.
void	setStream (RandomStream stream)
	Sets both inner streams to stream.
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. More...
NormalGen	getNormalGen ()
	Returns the normal generator.
Public Member Functions inherited from InverseGaussianProcess
	InverseGaussianProcess (double s0, double delta, double gamma, RandomStream stream)
	Constructs a new InverseGaussianProcess. More...
double []	generatePath ()
double []	generatePath (double[] uniforms01)
	Instead of using the internal stream to generate the path, uses an array of uniforms $U[0,1)$. More...
double []	generatePath (double[] uniforms01, double[] uniforms01b)
	This method does not work for this class, but will be useful for the subclasses that require two streams.
double	nextObservation ()
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 $t=$ time.
double	getAnalyticVariance (double time)
	Returns the analytic variance which is $(\delta t)^2$, with $t=$ time.
RandomStream	getStream ()
void	setStream (RandomStream stream)
int	getNumberOfRandomStreams ()
	Returns the number of random streams of this process. More...
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 InverseGaussianProcess
void	init ()
Protected Member Functions inherited from StochasticProcess
void	init ()

Protected Attributes
double []	imu2
double []	imuLambdaZ
double []	imuOver2LambdaZ
int []	wIndexList
int	bridgeCounter = -1
Protected Attributes inherited from InverseGaussianProcessMSH
RandomStream	otherStream
NormalGen	normalGen
Protected Attributes inherited from InverseGaussianProcess
RandomStream	stream
double	delta
double	gamma
double	deltaOverGamma
double	deltaSquare
double []	imu
double []	ilam
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

Additional Inherited Members
Package Attributes inherited from InverseGaussianProcess
int	numberOfRandomStreams

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 [239] .

Constructor & Destructor Documentation

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.

Member Function Documentation

generatePath() [1/2]

double [] generatePath

(

)

Generates the path.

The two inner umontreal.ssj.rng.RandomStream ’s are sampled alternatively.

generatePath() [2/2]

double [] generatePath	(	double []	unifNorm,
		double []	unifOther
	)

Instead of using the internal streams to generate the path, it uses two arrays of uniforms $U[0,1)$.

The length of the arrays unifNorm and unifOther should be equal to the number of time steps, excluding $t_0$.

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The documentation for this class was generated from the following file:

• InverseGaussianProcessBridge.java