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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.GammaProcess
public class GammaProcess
GammaProcess
This class represents a gamma process[#!fMAD98a!#, page 82] {S(t) = G(t;μ, ν) : t≥0} with mean parameter μ and variance parameter ν. It is a continuous-time process with stationary, independent gamma increments such that for any Δt > 0,
where X is a random variate from the gamma distribution Gamma (μ2Δt/ν, μ/ν).In this class, the gamma process is sampled sequentially using equation.
Constructor Summary | |
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GammaProcess(double s0,
double mu,
double nu,
GammaGen Ggen)
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GammaProcess(double s0,
double mu,
double nu,
RandomStream stream)
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Method Summary | |
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double[] |
generatePath()
. |
double[] |
generatePath(double[] uniform01)
. |
double |
getMu()
. |
double |
getNu()
. |
RandomStream |
getStream()
. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
double |
nextObservation(double nextT)
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void |
setParams(double s0,
double mu,
double nu)
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void |
setStream(RandomStream stream)
. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setObservationTimes, 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 GammaProcess(double s0, double mu, double nu, RandomStream stream)
public GammaProcess(double s0, double mu, double nu, GammaGen Ggen)
Method Detail |
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public double nextObservation()
StochasticProcess
nextObservation
in class StochasticProcess
public double nextObservation(double nextT)
public double[] generatePath()
generatePath
in class StochasticProcess
public double[] generatePath(double[] uniform01)
public void setParams(double s0, double mu, double nu)
public double getMu()
public double getNu()
public void setStream(RandomStream stream)
setStream
in class StochasticProcess
public RandomStream getStream()
getStream
in class StochasticProcess
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