public class Elliott2005DLM extends DLM
| Constructor and Description |
|---|
Elliott2005DLM(double x0,
double A,
double B,
double C,
double D)
Constructs an Elliott's Kalman filter model.
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Elliott2005DLM(double x0,
double A,
double B,
double C,
double D,
RandomStandardNormalGenerator rnorm)
Constructs an Elliott's Kalman filter model.
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Elliott2005DLM(Elliott2005DLM that)
Copy constructor.
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| Modifier and Type | Method and Description |
|---|---|
double |
A()
Gets
A as in eq. |
double |
B()
Gets
B as in eq. |
double |
C()
Gets
C as in eq. |
double |
D()
Gets
D as in eq. |
double |
holdingTime(double c)
Gets a suggested holding time based on an OU process.
|
double |
holdingTimeByThreshold(double threshold)
Gets a suggested holding time based on an OU process.
|
double |
mu()
Gets the long term mean.
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double[] |
simObs(int T)
Simulates a sequence of observations per the model specification.
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double[] |
simStates(int T)
Simulates a sequence of states per the model specification.
|
double |
threshold(double c)
Gets a suggested trading threshold based on an OU process.
|
C0, getObsDimension, getObservationModel, getStateDimension, getStateModel, m0public Elliott2005DLM(double x0,
double A,
double B,
double C,
double D,
RandomStandardNormalGenerator rnorm)
x0 - mean for the initial stateA - A as in eq. 18, A >= 0B - B as in eq. 18, 0 < B < 1C - C as in eq. 18, C > 0D - D as in eq. 19, D > 0rnorm - a standard Gaussian random number generatorpublic Elliott2005DLM(double x0,
double A,
double B,
double C,
double D)
x0 - mean for the initial stateA - A as in eq. 18B - B as in eq. 18C - C as in eq. 18D - D as in eq. 19public Elliott2005DLM(Elliott2005DLM that)
that - another Elliott's Kalman filter modelpublic double A()
A as in eq. 18.Apublic double B()
B as in eq. 18.Bpublic double C()
C as in eq. 18.Cpublic double D()
D as in eq. 19, the variance.Dpublic double[] simStates(int T)
T - the length of the sequencepublic double[] simObs(int T)
T - the length of the sequencepublic double mu()
public double threshold(double c)
c - c as in eq. 16public double holdingTime(double c)
c - c as in eq. 16public double holdingTimeByThreshold(double threshold)
threshold - a trading thresholdCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.