public class MultivariateDLMSim extends Object
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}.
| Modifier and Type | Class and Description |
|---|---|
static class |
MultivariateDLMSim.Innovation
a simulated innovation
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| Constructor and Description |
|---|
MultivariateDLMSim(MultivariateDLM model,
NormalRVG rmvnorm)
Simulates a multivariate controlled dynamic linear model process.
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| Modifier and Type | Method and Description |
|---|---|
MultivariateDLMSim.Innovation |
next(Vector u)
Gets the next innovation.
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public MultivariateDLMSim(MultivariateDLM model, NormalRVG rmvnorm)
model - a multivariate controlled dynamic linear modelrmvnorm - a standard multivariate Gaussian random vector generator (for seeding)public MultivariateDLMSim.Innovation next(Vector u)
u - the control vector as of time t - 1; used not for the first innovation
(initial state)Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.