Package | Description |
---|---|
dev.nm.stat.cointegration | |
dev.nm.stat.stochasticprocess.univariate.filtration | |
dev.nm.stat.stochasticprocess.univariate.integration |
Modifier and Type | Method and Description |
---|---|
FiltrationFunction[] |
JohansenAsymptoticDistribution.F.evaluate(Realization[] B)
F(B).
|
Modifier and Type | Class and Description |
---|---|
class |
Bt
This is a
FiltrationFunction that returns \(B(t_i)\),
the Brownian motion value at the i-th time point. |
class |
F_Sum_BtDt
This represents a function of this integral
\[
I = \int_{0}^{1} B(t)dt
\]
|
class |
F_Sum_tBtDt
This represents a function of this integral
\[
\int_{0}^{1} (t - 0.5) * B(t) dt
\]
|
Modifier and Type | Field and Description |
---|---|
protected FiltrationFunction |
Integral.f
the integrand
|
Constructor and Description |
---|
Integral(FiltrationFunction f)
Construct an integral from an integrand.
|
IntegralDB(FiltrationFunction f)
Construct an integral for f with respect to dB.
|
IntegralDt(FiltrationFunction f)
Construct an integral for f with respect to dt.
|
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