public class MultivariateDLMSeries extends Object implements TimeSeries<Integer,MultivariateDLMSim.Innovation,MultivariateDLMSeries.Entry>
yt = Ft * xt + vt,State Equation:
xt = Gt * xt-1 + Ht * ut + wt,Given the model parameters, the time series of control variables {ut} and an integer (length) T, This simulator generates both the states {xt} and observations {yt}. This implementation is appropriate for a short time series when the size is known; otherwise use instead
DLMSim
.Modifier and Type | Class and Description |
---|---|
static class |
MultivariateDLMSeries.Entry
This is the
TimeSeries.Entry for a multivariate DLM time series. |
Constructor and Description |
---|
MultivariateDLMSeries(int T,
MultivariateDLM model)
Simulate a multivariate controlled dynamic linear model process.
|
MultivariateDLMSeries(int T,
MultivariateDLM model,
MultivariateIntTimeTimeSeries Ut)
Simulate a multivariate controlled dynamic linear model process.
|
MultivariateDLMSeries(int T,
MultivariateDLM model,
MultivariateIntTimeTimeSeries Ut,
NormalRVG rmvnorm)
Simulate a multivariate controlled dynamic linear model process.
|
Modifier and Type | Method and Description |
---|---|
MultivariateSimpleTimeSeries |
getObservations()
Get the observations.
|
MultivariateSimpleTimeSeries |
getStates()
Get the states.
|
Iterator<MultivariateDLMSeries.Entry> |
iterator() |
int |
size()
Get the length of the time series.
|
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
forEach, spliterator
public MultivariateDLMSeries(int T, MultivariateDLM model, MultivariateIntTimeTimeSeries Ut, NormalRVG rmvnorm)
T
- the length of the multivariate time series (states and observations) to generatemodel
- a multivariate controlled dynamic linear modelUt
- an m-dimensional time series of control variables (length = T); use null
if no controlrmvnorm
- a standard multivariate Gaussian random vector generator (for seeding)public MultivariateDLMSeries(int T, MultivariateDLM model, MultivariateIntTimeTimeSeries Ut)
T
- the length of the multivariate time series (states and observations) to generatemodel
- a multivariate controlled dynamic linear modelUt
- an m-dimensional time series of control variables (length = T); use null
if no controlpublic MultivariateDLMSeries(int T, MultivariateDLM model)
T
- the length of the multivariate time series (states and observations) to generatemodel
- a multivariate controlled dynamic linear modelpublic int size()
TimeSeries
size
in interface TimeSeries<Integer,MultivariateDLMSim.Innovation,MultivariateDLMSeries.Entry>
public Iterator<MultivariateDLMSeries.Entry> iterator()
iterator
in interface Iterable<MultivariateDLMSeries.Entry>
public MultivariateSimpleTimeSeries getStates()
public MultivariateSimpleTimeSeries getObservations()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.