public class Elliott2005DLM extends DLM
Constructor and Description |
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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 |
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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.
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double |
holdingTimeByThreshold(double threshold)
Gets a suggested holding time based on an OU process.
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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.
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double |
threshold(double c)
Gets a suggested trading threshold based on an OU process.
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C0, getObsDimension, getObservationModel, getStateDimension, getStateModel, m0
public 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.A
public double B()
B
as in eq. 18.B
public double C()
C
as in eq. 18.C
public double D()
D
as in eq. 19, the variance.D
public 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.