public class DLMSim 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 |
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static class |
DLMSim.Innovation
a simulated innovation
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Constructor and Description |
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DLMSim(DLM model,
RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.
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public DLMSim(DLM model, RandomStandardNormalGenerator rnorm)
model
- a univariate controlled dynamic linear modelrnorm
- a standard Gaussian random number generator (for seeding)public DLMSim.Innovation next(double u)
u
- the control as of time t - 1; used not for the first innovation (initial
state)Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.