public class DLMSeries extends Object implements TimeSeries<Integer,DLMSim.Innovation,DLMSeries.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 |
DLMSeries.Entry
This is the
TimeSeries.Entry for a univariate DLM time series. |
| Constructor and Description |
|---|
DLMSeries(int T,
DLM model)
Simulate a univariate controlled dynamic linear model process.
|
DLMSeries(int T,
DLM model,
double[] u)
Simulate a univariate controlled dynamic linear model process.
|
DLMSeries(int T,
DLM model,
double[] u,
RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.
|
| Modifier and Type | Method and Description |
|---|---|
double[] |
getObservations()
Get the observations.
|
double[] |
getStates()
Get the states.
|
Iterator<DLMSeries.Entry> |
iterator() |
int |
size()
Get the length of the time series.
|
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, waitforEach, spliteratorpublic DLMSeries(int T,
DLM model,
double[] u,
RandomStandardNormalGenerator rnorm)
T - the length of the univariate time series (states and observations) to generatemodel - a univariate controlled dynamic linear modelu - a time series of control variables (length = T)rnorm - a standard Gaussian random number generator (for seeding)public DLMSeries(int T,
DLM model,
double[] u)
T - the length of the univariate time series (states and observations) to generatemodel - a univariate controlled dynamic linear modelu - a time series of control variables (length = T)public DLMSeries(int T,
DLM model)
T - the length of the univariate time series (states and observations) to generatemodel - a univariate controlled dynamic linear modelpublic int size()
TimeSeriessize in interface TimeSeries<Integer,DLMSim.Innovation,DLMSeries.Entry>public Iterator<DLMSeries.Entry> iterator()
iterator in interface Iterable<DLMSeries.Entry>public double[] getStates()
public double[] getObservations()
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