public class StateEquation extends Object
xt = Gt * xt-1 + Ht * ut + wt,
Constructor and Description |
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StateEquation(double G,
double W)
Construct a time-invariant state equation without control variables.
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StateEquation(double G,
double H,
double W,
RandomStandardNormalGenerator rnorm)
Construct a time-invariant state equation.
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StateEquation(StateEquation that)
Copy constructor.
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StateEquation(UnivariateRealFunction G,
UnivariateRealFunction W)
Construct a state equation without control variables.
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StateEquation(UnivariateRealFunction G,
UnivariateRealFunction H,
UnivariateRealFunction W)
Construct a state equation.
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StateEquation(UnivariateRealFunction G,
UnivariateRealFunction H,
UnivariateRealFunction W,
RandomStandardNormalGenerator rnorm)
Construct a state equation.
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Modifier and Type | Method and Description |
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int |
dimension()
Get the dimension of state xt.
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double |
G(int t)
Get G(t), the coefficient of xt - 1.
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double |
H(int t)
Get H(t), the variance of ut.
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double |
W(int t)
Get W(t), the variance of wt.
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double |
xt_mean(int t,
double xt_1)
Predict the next state without control variable.
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double |
xt_mean(int t,
double xt_1,
double ut)
Predict the next state.
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double |
xt_var(int t,
double var_tlag_tlag)
Get the variance of the apriori prediction for the next state.
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double |
xt(int t,
double xt_1)
Evaluate the state equation without the control variable.
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double |
xt(int t,
double xt_1,
double ut)
Evaluate the state equation.
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public StateEquation(UnivariateRealFunction G, UnivariateRealFunction H, UnivariateRealFunction W, RandomStandardNormalGenerator rnorm)
G
- the coefficient function of xt - 1H
- the coefficient function of control variables utW
- the variance function of wtrnorm
- a standard Gaussian random number generator (for seeding)public StateEquation(UnivariateRealFunction G, UnivariateRealFunction H, UnivariateRealFunction W)
G
- the coefficient function of xt - 1H
- the coefficient function of control variables utW
- the variance function of wtpublic StateEquation(UnivariateRealFunction G, UnivariateRealFunction W)
G
- the coefficient function of xt - 1W
- the variance function of wtpublic StateEquation(double G, double H, double W, RandomStandardNormalGenerator rnorm)
G
- the coefficient of xt - 1H
- the coefficient of control variables utW
- the variance of wtrnorm
- a standard Gaussian random number generatorpublic StateEquation(double G, double W)
G
- the coefficient of xt - 1W
- the variance of wtpublic StateEquation(StateEquation that)
that
- a StateEquation
public int dimension()
public double G(int t)
t
- timepublic double H(int t)
t
- timepublic double W(int t)
t
- timepublic double xt_mean(int t, double xt_1, double ut)
E(x_t) = G_t * x_{t - 1} + H_t * u_t
t
- timext_1
- x lag xt - 1ut
- the control variable utpublic double xt_mean(int t, double xt_1)
E(x_t) = G_t * x_{t - 1} + H_t * u_t
t
- timext_1
- x lag xt - 1public double xt_var(int t, double var_tlag_tlag)
Var(x_{t | t - 1}) = G_t * Var(x_{t - 1| t - 1}) * G_t' + W_t
t
- timevar_tlag_tlag
- Var(x_{t - 1 | t - 1}), the variance of the posterior updatepublic double xt(int t, double xt_1, double ut)
x_t = G_t * x_{t - 1} + H_t * u_t + w_t
t
- timext_1
- x lag xt - 1ut
- the control variable utpublic double xt(int t, double xt_1)
x_t = G_t * x_{t - 1} + H_t * u_t + w_t
t
- timext_1
- x lag xt - 1Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.