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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.GammaProcess
umontreal.iro.lecuyer.stochprocess.GammaProcessPCA
public class GammaProcessPCA
GammaProcessPCA
Represents a gamma process sampled using the principal component analysis (PCA). To simulate the gamma process at times t0 < t1 < ... < td by PCA sampling, a Brownian motion {W(t), t≥0} with mean 0 and variance parameter ν is first generated at times t0 < t1 < ... < td by PCA sampling (see class BrownianMotionPCA). The independent increments W(tj) - W(tj-1) of this process are then transformed into independent U(0, 1) random variates Vj via
Constructor Summary | |
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GammaProcessPCA(double s0,
double mu,
double nu,
GammaGen Ggen)
. |
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GammaProcessPCA(double s0,
double mu,
double nu,
RandomStream stream)
. |
Method Summary | |
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double[] |
generatePath()
. |
double[] |
generatePath(double[] uniform01)
. |
BrownianMotionPCA |
getBMPCA()
. |
double |
nextObservation()
. |
double |
nextObservation(double nextT)
[tabb54] |
void |
setObservationTimes(double[] t,
int d)
. |
void |
setParams(double s0,
double mu,
double nu)
. |
void |
setStream(RandomStream stream)
. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcess |
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getMu, getNu, getStream |
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, 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 GammaProcessPCA(double s0, double mu, double nu, RandomStream stream)
public GammaProcessPCA(double s0, double mu, double nu, GammaGen Ggen)
Method Detail |
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public double[] generatePath()
GammaProcess
generatePath
in class GammaProcess
public double[] generatePath(double[] uniform01)
GammaProcess
generatePath
in class GammaProcess
public double nextObservation()
nextObservation
in class GammaProcess
public double nextObservation(double nextT)
nextObservation
in class GammaProcess
public BrownianMotionPCA getBMPCA()
public void setObservationTimes(double[] t, int d)
setObservationTimes
in class StochasticProcess
public void setParams(double s0, double mu, double nu)
setParams
in class GammaProcess
public void setStream(RandomStream stream)
setStream
in class GammaProcess
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