public class PattonPolitisWhite2009 extends Object implements Resampler
| Constructor and Description |
|---|
PattonPolitisWhite2009(double[] sample)
Constructs a block bootstrap sample generator.
|
PattonPolitisWhite2009(double[] sample,
long blockLength,
PattonPolitisWhite2009ForObject.Type type,
ConcurrentCachedRLG rlg,
ConcurrentCachedRNG rng)
Constructs a block bootstrap sample generator.
|
PattonPolitisWhite2009(double[] sample,
long blockLength,
PattonPolitisWhite2009ForObject.Type type,
RandomLongGenerator uniform,
RandomNumberGenerator rng)
Constructs a block bootstrap sample generator.
|
PattonPolitisWhite2009(double[] sample,
PattonPolitisWhite2009ForObject.Type type)
Constructs a block bootstrap sample generator.
|
PattonPolitisWhite2009(double[] sample,
PattonPolitisWhite2009ForObject.Type type,
RandomLongGenerator uniform,
RandomNumberGenerator rng)
Constructs a block bootstrap sample generator.
|
| Modifier and Type | Method and Description |
|---|---|
static long |
getOptimalBlockLength(double[] x,
PattonPolitisWhite2009ForObject.Type type)
Computes the optimal of block length.
|
static long |
getOptimalLag(double[] x)
Finds the smallest lag \(\hat{m}\) such that the autocorrelation for lags
\((\hat{m} +
k),~k=1,\dots,K_N\) are all insignificant regarding to the critical
value.
|
double[] |
newResample()
Gets a resample from the original sample.
|
void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
|
public PattonPolitisWhite2009(double[] sample,
long blockLength,
PattonPolitisWhite2009ForObject.Type type,
ConcurrentCachedRLG rlg,
ConcurrentCachedRNG rng)
sample - the original sampleblockLength - the block lengthtype - the type of block bootstrap, either
PattonPolitisWhite2009ForObject.Type.STATIONARY or
PattonPolitisWhite2009ForObject.Type.CIRCULARrlg - a concurrent random long generatorrng - a concurrent random exponential generatorpublic PattonPolitisWhite2009(double[] sample,
long blockLength,
PattonPolitisWhite2009ForObject.Type type,
RandomLongGenerator uniform,
RandomNumberGenerator rng)
sample - the original sampleblockLength - the block lengthtype - the type of block bootstrap, either
PattonPolitisWhite2009ForObject.Type.STATIONARY or
PattonPolitisWhite2009ForObject.Type.CIRCULARuniform - a uniform random number generatorrng - a random exponential generatorpublic PattonPolitisWhite2009(double[] sample,
PattonPolitisWhite2009ForObject.Type type,
RandomLongGenerator uniform,
RandomNumberGenerator rng)
sample - the original sampletype - the type of block bootstrap, either
PattonPolitisWhite2009ForObject.Type.STATIONARY or
PattonPolitisWhite2009ForObject.Type.CIRCULARuniform - a concurrent random long generatorrng - a concurrent random exponential generatorpublic PattonPolitisWhite2009(double[] sample,
PattonPolitisWhite2009ForObject.Type type)
sample - the original sampletype - the type of block bootstrap, either
PattonPolitisWhite2009ForObject.Type.STATIONARY or
PattonPolitisWhite2009ForObject.Type.CIRCULARpublic PattonPolitisWhite2009(double[] sample)
sample - the original samplepublic static long getOptimalBlockLength(double[] x,
PattonPolitisWhite2009ForObject.Type type)
x - the datatype - the type of block bootstrap methodpublic static long getOptimalLag(double[] x)
x - the datapublic void seed(long... seeds)
Seedablepublic double[] newResample()
ResamplernewResample in interface ResamplerCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.