umontreal.iro.lecuyer.stochprocess

Class GammaProcessPCABridge

java.lang.Object

umontreal.iro.lecuyer.stochprocess.StochasticProcess

umontreal.iro.lecuyer.stochprocess.GammaProcess

umontreal.iro.lecuyer.stochprocess.GammaProcessPCA

umontreal.iro.lecuyer.stochprocess.GammaProcessPCABridge

Direct Known Subclasses:

GammaProcessPCASymmetricalBridge

public class GammaProcessPCABridge
extends GammaProcessPCA

Same as GammaProcessPCA, but the generated uniforms correspond to a bridge transformation of the BrownianMotionPCA instead of a sequential transformation.

Field Summary

Fields inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess

path

Constructor Summary

Constructors

Constructor and Description
GammaProcessPCABridge(double s0, double mu, double nu, RandomStream stream) Constructs a new GammaProcessPCABridge with parameters μ = mu, ν = nu and initial value S(t0) = s0.

Method Summary

Methods

Modifier and Type	Method and Description
double[]	generatePath() Generates, returns and saves the path {X(t0), X(t1),…, X(td)}.
double[]	generatePath(double[] uniform01) Generates, returns and saves the path {X(t0), X(t1),…, X(td)}.
BrownianMotionPCA	getBMPCA() Returns the inner BrownianMotionPCA.
void	setObservationTimes(double[] t, int d) Sets the observation times of the GammaProcessPCA and the BrownianMotionPCA.
void	setParams(double s0, double mu, double nu) Sets the parameters s0, μ and ν to new values, and sets the variance parameters of the BrownianMotionPCA to ν.

Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcessPCA

nextObservation, nextObservation, setStream

Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcess

getMu, getNu, getStream

Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess

generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setObservationTimes, setX0

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GammaProcessPCABridge

public GammaProcessPCABridge(double s0,
                     double mu,
                     double nu,
                     RandomStream stream)

Constructs a new GammaProcessPCABridge with parameters μ = mu, ν = nu and initial value S(t₀) = s0. The same stream is used to generate the gamma and beta random numbers. All these numbers are generated by inversion in the following order: the first uniform random number generated is used for the gamma and the other d - 1 for the beta's.

Method Detail

generatePath

public double[] generatePath(double[] uniform01)

Description copied from class: GammaProcess

Generates, returns and saves the path {X(t₀), X(t₁),…, X(t_d)}. This method does not use the RandomStream stream nor the GammaGen Ggen. It uses the vector of uniform random numbers U(0, 1) provided by the user and generates the path by inversion. The vector uniform01 must be of dimension d.

Overrides:

generatePath in class GammaProcessPCA

generatePath

public double[] generatePath()

Description copied from class: GammaProcess

Generates, returns and saves the path {X(t₀), X(t₁),…, X(t_d)}. The gamma variates X in are generated using the RandomStream stream or the RandomStream included in the GammaGen Ggen.

Overrides:

generatePath in class GammaProcessPCA

setParams

public void setParams(double s0,
             double mu,
             double nu)

Description copied from class: GammaProcessPCA

Sets the parameters s0, μ and ν to new values, and sets the variance parameters of the BrownianMotionPCA to ν.

Overrides:

setParams in class GammaProcessPCA

setObservationTimes

public void setObservationTimes(double[] t,
                       int d)

Description copied from class: GammaProcessPCA

Sets the observation times of the GammaProcessPCA and the BrownianMotionPCA.

Overrides:

setObservationTimes in class GammaProcessPCA

getBMPCA

public BrownianMotionPCA getBMPCA()

Returns the inner BrownianMotionPCA.

Overrides:

getBMPCA in class GammaProcessPCA