public class CommonRandomNumbers extends Object implements MeanEstimator
Constructor and Description |
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CommonRandomNumbers(UnivariateRealFunction f,
UnivariateRealFunction g)
Estimate \(E(f(X_1) - g(X_2))\), where f and g are functions of uniform random
variables.
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CommonRandomNumbers(UnivariateRealFunction f,
UnivariateRealFunction g,
RandomLongGenerator X1)
Estimates \(E(f(X_1) - g(X_2))\), where f and g are functions of uniform random
variables.
|
CommonRandomNumbers(UnivariateRealFunction f,
UnivariateRealFunction g,
RandomLongGenerator X1,
UnivariateRealFunction X2)
Estimates \(E(f(X_1) - g(X_2))\), where f and g are functions of uniform random
variables.
|
Modifier and Type | Method and Description |
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double |
cov()
Gets the covariance between f and g.
|
Estimator |
estimate(int n)
Gets an estimator.
|
public CommonRandomNumbers(UnivariateRealFunction f, UnivariateRealFunction g, RandomLongGenerator X1, UnivariateRealFunction X2)
f
- the first systemg
- the second systemX1
- a uniform random number generatorX2
- a common number generator; this scheme works only if \(Cov(f(X_1),g(X_2)) > 0\)public CommonRandomNumbers(UnivariateRealFunction f, UnivariateRealFunction g, RandomLongGenerator X1)
f
- the first systemg
- the second systemX1
- a uniform random number generatorpublic CommonRandomNumbers(UnivariateRealFunction f, UnivariateRealFunction g)
f
- the first systemg
- the second systempublic double cov()
public Estimator estimate(int n)
MeanEstimator
estimate
in interface MeanEstimator
n
- the number of samples to draw for the estimationCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.