SSJ
V. 2.6.

umontreal.iro.lecuyer.stochprocess
Class GammaProcessPCABridge

java.lang.Object
  extended by umontreal.iro.lecuyer.stochprocess.StochasticProcess
      extended by umontreal.iro.lecuyer.stochprocess.GammaProcess
          extended by umontreal.iro.lecuyer.stochprocess.GammaProcessPCA
              extended by 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.


Constructor Summary
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
 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(td)}. 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(td)}. 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

SSJ
V. 2.6.

To submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.