umontreal.iro.lecuyer.stochprocess
Class VarianceGammaProcessDiffPCASymmetricalBridge
java.lang.Object
umontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess
umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff
umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCA
umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCASymmetricalBridge
public class VarianceGammaProcessDiffPCASymmetricalBridge
- extends VarianceGammaProcessDiffPCA
VarianceGammaProcessDiffPCASymmetricalBridge
Same as VarianceGammaProcessDiff, but the two
inner GammaProcess'es are of the PCASymmetricalBridge type.
Also, generatePath(double[] uniform01) distributes the
lowest coordinates uniforms to the inner
GammaProcessPCA according to their eigenvalues.
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setX0 |
VarianceGammaProcessDiffPCASymmetricalBridge
public VarianceGammaProcessDiffPCASymmetricalBridge(double s0,
double theta,
double sigma,
double nu,
RandomStream stream)
- .
To submit a bug or ask questions, send an e-mail to
Pierre L'Ecuyer.