Modifier and Type | Method and Description |
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static Vector |
VectorMathOperation.rnorm(int n,
RandomStandardNormalGenerator z)
Generates
n random standard Normals. |
Constructor and Description |
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BoltzAnnealingFunction(int dim,
RandomStandardNormalGenerator rnorm)
Constructs a new instance where the RVG is created from a given RLG.
|
FastAnnealingFunction(int dim,
RandomStandardNormalGenerator rnorm)
Constructs a new instance where the RVG is created from a given RLG.
|
GSAAnnealingFunction(double qv,
RandomLongGenerator rlg,
RandomStandardNormalGenerator rnorm)
Constructs a GSA annealing function.
|
Constructor and Description |
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DLMSeries(int T,
DLM model,
double[] u,
RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.
|
DLMSim(DLM model,
RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.
|
ObservationEquation(double F,
double V,
RandomStandardNormalGenerator rnorm)
Construct a time-invariant an observation equation.
|
ObservationEquation(UnivariateRealFunction F,
UnivariateRealFunction V,
RandomStandardNormalGenerator rnorm)
Construct an observation equation.
|
StateEquation(double G,
double H,
double W,
RandomStandardNormalGenerator rnorm)
Construct a time-invariant state equation.
|
StateEquation(UnivariateRealFunction G,
UnivariateRealFunction H,
UnivariateRealFunction W,
RandomStandardNormalGenerator rnorm)
Construct a state equation.
|
Modifier and Type | Field and Description |
---|---|
static RandomStandardNormalGenerator |
RNGUtils.CONCURRENT_RNORM |
static RandomStandardNormalGenerator |
RNGUtils.RNORM |
Constructor and Description |
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HypersphereRVG(int dimension,
RandomStandardNormalGenerator rnorm)
Constructs a hypersphere RVG to generate random uniform points.
|
NormalRVG(Vector mu,
Matrix sigma,
double epsilon,
RandomStandardNormalGenerator rnorm)
Constructs a multivariate Normal random vector generator.
|
NormalRVG(Vector mu,
Matrix sigma,
RandomStandardNormalGenerator rnorm)
Constructs a multivariate Normal random vector generator.
|
Constructor and Description |
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RobustAdaptiveMetropolis(RealScalarFunction logf,
Matrix initialScale,
double gamma,
double targetAcceptance,
Vector initialState,
RandomStandardNormalGenerator rnorm,
RandomLongGenerator uniform)
Constructs a new instance with the given parameters.
|
Constructor and Description |
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MarsagliaTsang2000(double k,
double theta,
RandomStandardNormalGenerator normal,
RandomLongGenerator uniform)
Construct a random number generator to sample from the gamma distribution.
|
Modifier and Type | Class and Description |
---|---|
class |
BoxMuller
The Box-Muller transform (by George Edward Pelham Box and Mervin Edgar Muller 1958)
is a pseudo-random number sampling method for generating pairs of independent standard
normally distributed
(zero expectation, unit variance) random numbers,
given a source of uniformly distributed random numbers.
|
class |
ConcurrentStandardNormalRNG |
class |
MarsagliaBray1964
The polar method (attributed to George Marsaglia, 1964) is a pseudo-random number sampling method
for generating a pair of independent standard normal random variables.
|
class |
StandardNormalRNG
An alias for
Zignor2005 to provide a default implementation for sampling from the
standard Normal distribution. |
class |
Ziggurat2000
The Ziggurat algorithm is an algorithm for pseudo-random number sampling from the Normal distribution.
|
class |
Zignor2005
This is an improved version of the Ziggurat algorithm as proposed in the reference.
|
Constructor and Description |
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ConcurrentStandardNormalRNG(RandomStandardNormalGenerator rnorm) |
NormalRNG(double mean,
double sigma,
RandomStandardNormalGenerator rnorm)
Construct a random number generator to sample from the Normal distribution.
|
Constructor and Description |
---|
OUSim(OUProcess ou,
double dt,
double x0,
RandomStandardNormalGenerator rng)
Create an OU process simulator.
|
Constructor and Description |
---|
Elliott2005DLM(double x0,
double A,
double B,
double C,
double D,
RandomStandardNormalGenerator rnorm)
Constructs an Elliott's Kalman filter model.
|
Constructor and Description |
---|
KnightSatchellTran1995(double mu,
double q,
double alpha0,
double rate0,
double p,
double alpha1,
double rate1,
RandomStandardNormalGenerator rnorm,
RandomLongGenerator rlg)
Constructs an instance of the Knight-Satchell-Tran model of returns.
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