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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.GammaProcess
umontreal.iro.lecuyer.stochprocess.GammaProcessBridge
public class GammaProcessBridge
This class represents a gamma process
{S(t) = G(t;μ, ν) : t >= 0} with mean parameter μ and
variance parameter ν, sampled using the gamma bridge method
(see for example).
This is analogous to the bridge sampling used in
BrownianMotionBridge
.
Note that gamma bridge sampling requires not only gamma variates, but also beta variates. The latter generally take a longer time to generate than the former. The class GammaSymmetricalBridgeProcess provides a faster implementation when the number of observation times is a power of two.
The warning from class BrownianMotionBridge
applies verbatim
to this class.
Constructor Summary | |
---|---|
GammaProcessBridge(double s0,
double mu,
double nu,
GammaGen Ggen,
BetaGen Bgen)
Constructs a new GammaProcessBridge. |
|
GammaProcessBridge(double s0,
double mu,
double nu,
RandomStream stream)
Constructs a new GammaProcessBridge with parameters μ = |
Method Summary | |
---|---|
double[] |
generatePath()
. |
double[] |
generatePath(double[] uniform01)
. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
double |
nextObservation(double nextT)
. |
void |
resetStartProcess()
Resets the observation counter to its initial value j = 0, so that the current observation X(tj) becomes X(t0). |
void |
setStream(RandomStream stream)
Resets the RandomStream
of the GammaGen and
the BetaGen to stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcess |
---|
getMu, getNu, getStream, setParams |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, 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 GammaProcessBridge(double s0, double mu, double nu, RandomStream stream)
public GammaProcessBridge(double s0, double mu, double nu, GammaGen Ggen, BetaGen Bgen)
RandomStream
. Furthermore, the
parameters of the
GammaGen
and
BetaGen
objects are not
important since the implementation forces the generators to use
the correct parameters.
(as defined in).
Method Detail |
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public double nextObservation()
StochasticProcess
nextObservation
in class GammaProcess
public double nextObservation(double nextT)
GammaProcess
nextObservation
in class GammaProcess
public double[] generatePath(double[] uniform01)
GammaProcess
generatePath
in class GammaProcess
public double[] generatePath()
GammaProcess
generatePath
in class GammaProcess
public void resetStartProcess()
StochasticProcess
nextObservation
, for a new sample path.
resetStartProcess
in class StochasticProcess
public void setStream(RandomStream stream)
RandomStream
of the GammaGen
and
the BetaGen
to stream.
setStream
in class GammaProcess
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