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, waitforEach, spliteratorpublic 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()
TimeSeriessize 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()
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