public class GammaProcessPCASymmetricalBridge extends GammaProcessPCABridge
GammaProcessPCABridge, but uses the fast inversion method
for the symmetrical beta distribution, proposed by L'Ecuyer and Simard, to accelerate the generation of the beta random variables.
This class works only in the case where the number of intervals is a power of
2 and all these intervals are of equal size.path| Constructor and Description |
|---|
GammaProcessPCASymmetricalBridge(double s0,
double mu,
double nu,
RandomStream stream)
Constructs a new GammaProcessPCASymmetricalBridge
with parameters
μ =
|
| 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)}.
|
getBMPCA, setObservationTimes, setParamsnextObservation, nextObservation, setStreamgetMu, getNu, getStreamgeneratePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setObservationTimes, setX0public GammaProcessPCASymmetricalBridge(double s0,
double mu,
double nu,
RandomStream stream)
RandomStream stream
is used in the
GammaGen
and in the BetaSymmetricalGen.
These two generators use inversion to generate random numbers. The first
uniform random number generated by stream is used for the gamma, and the
other d - 1 for the beta's.public double[] generatePath(double[] uniform01)
GammaProcessRandomStream 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.generatePath in class GammaProcessPCABridgepublic double[] generatePath()
GammaProcessRandomStream stream
or the RandomStream included
in the GammaGen Ggen.generatePath in class GammaProcessPCABridgeTo submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.