public class KnightSatchellTran1995 extends HMMRNG
Modifier and Type | Field and Description |
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double |
alpha0 |
double |
alpha1 |
double |
mu |
double |
p |
double |
q |
double |
rate0 |
double |
rate1 |
Constructor and Description |
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KnightSatchellTran1995(double mu,
double q,
double alpha0,
double rate0,
double p,
double alpha1,
double rate1)
Constructs an instance of the Knight-Satchell-Tran model of returns.
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KnightSatchellTran1995(double mu,
double q,
double alpha0,
double rate0,
double p,
double alpha1,
double rate1,
RandomStandardNormalGenerator rnorm,
RandomLongGenerator rlg)
Constructs an instance of the Knight-Satchell-Tran model of returns.
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KnightSatchellTran1995(KnightSatchellTran1995 that)
Copy constructor.
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Modifier and Type | Method and Description |
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double |
nextDouble()
Gets the next simulated observation.
|
double |
PrZt0()
Computes the stationary probability of in state Z_t = 0.
|
double |
PrZt1()
Computes the stationary probability of in state Z_t = 1.
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String |
toString() |
public final double p
public final double q
public final double mu
public final double alpha0
public final double rate0
public final double alpha1
public final double rate1
public KnightSatchellTran1995(double mu, double q, double alpha0, double rate0, double p, double alpha1, double rate1, RandomStandardNormalGenerator rnorm, RandomLongGenerator rlg)
mu
- long term mean of returnsq
- Pr(Z_t = 0 | Z_{t-0} = 0)alpha0
- shape parameter of negative shocks in Z_t = 0rate0
- rate parameter; 1/scale parameter of negative shocksp
- Pr(Z_t = 1 | Z_{t-1} = 1)alpha1
- shape parameter of positive shocks in Z_t = 1rate1
- rate parameter; 1/scale parameter of positive shocksrnorm
- a standard normal rngrlg
- a uniform rlgpublic KnightSatchellTran1995(double mu, double q, double alpha0, double rate0, double p, double alpha1, double rate1)
mu
- long term mean of returnsq
- Pr(Z_t = 0 | Z_{t-0} = 0)alpha0
- shape parameter of negative shocks in Z_t = 0rate0
- rate parameter; 1/scale parameter of negative shocksp
- Pr(Z_t = 1 | Z_{t-1} = 1)alpha1
- shape parameter of positive shocks in Z_t = 1rate1
- rate parameter; 1/scale parameter of positive shockspublic KnightSatchellTran1995(KnightSatchellTran1995 that)
that
- another KST modelpublic double PrZt0()
public double PrZt1()
public double nextDouble()
nextDouble
in interface RandomNumberGenerator
nextDouble
in class HMMRNG
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