Package | Description |
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dev.nm.stat.stochasticprocess.univariate.sde.process.ou |
Modifier and Type | Class and Description |
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class |
OrnsteinUhlenbeckProcess
This class represents a univariate Ornstein-Uhlenbeck (OU) process.
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Modifier and Type | Method and Description |
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OUProcess |
OUFittingMLE.getFittedOU(double[] ts)
Fit an OU process by using MLE.
|
OUProcess |
OUFittingOLS.getFittedOU(double[] ts)
Fit an OU process by using least squares regression.
|
OUProcess |
OUFittingMLE.getFittedOU(double[] ts,
double dt) |
OUProcess |
OUFitting.getFittedOU(double[] ts,
double dt)
Get the fitted OU process.
|
OUProcess |
OUFittingOLS.getFittedOU(double[] ts,
double dt) |
OUProcess |
OUSim.getProcess()
Get the underlying OU process of this generator.
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Constructor and Description |
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OUSim(OUProcess ou)
Create an OU process simulator with a time interval of 1, using the overall mean as the
starting value.
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OUSim(OUProcess ou,
double dt)
Create an OU process simulator using the overall mean as the starting value.
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OUSim(OUProcess ou,
double dt,
double x0)
Create an OU process simulator.
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OUSim(OUProcess ou,
double dt,
double x0,
RandomStandardNormalGenerator rng)
Create an OU process simulator.
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