Class OUSim
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.sde.process.ou.OUSim
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- All Implemented Interfaces:
RandomNumberGenerator
,Seedable
public class OUSim extends Object implements RandomNumberGenerator
This class simulates a discrete path of a univariate Ornstein-Uhlenbeck (OU) process.- See Also:
- Wikipedia: Ornstein-Uhlenbeck process
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Constructor Summary
Constructors Constructor Description OUSim(OUProcess ou)
Create an OU process simulator with a time interval of 1, using the overall mean as the starting value.OUSim(OUProcess ou, double dt)
Create an OU process simulator using the overall mean as the starting value.OUSim(OUProcess ou, double dt, double x0)
Create an OU process simulator.OUSim(OUProcess ou, double dt, double x0, RandomStandardNormalGenerator rng)
Create an OU process simulator.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
dt()
Get the time interval \(\delta_t\) of this generator.OUProcess
getProcess()
Get the underlying OU process of this generator.double
nextDouble()
Get the next randomdouble
.void
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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Constructor Detail
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OUSim
public OUSim(OUProcess ou, double dt, double x0, RandomStandardNormalGenerator rng)
Create an OU process simulator.- Parameters:
ou
- the underlying OU processdt
- the time interval \(\delta_t\)x0
- the starting valuerng
- the standard Gaussian innovation generator
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OUSim
public OUSim(OUProcess ou, double dt, double x0)
Create an OU process simulator.StandardNormalRNG
is used for generating i.i.d innovations.- Parameters:
ou
- the underlying OU processdt
- the time interval \(\delta_t\)x0
- the starting value
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OUSim
public OUSim(OUProcess ou, double dt)
Create an OU process simulator using the overall mean as the starting value.StandardNormalRNG
is used for generating i.i.d innovations.- Parameters:
ou
- the underlying OU processdt
- the time interval \(\delta_t\)
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OUSim
public OUSim(OUProcess ou)
Create an OU process simulator with a time interval of 1, using the overall mean as the starting value.StandardNormalRNG
is used for generating i.i.d innovations.- Parameters:
ou
- the underlying OU process
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Method Detail
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nextDouble
public double nextDouble()
Description copied from interface:RandomNumberGenerator
Get the next randomdouble
.- Specified by:
nextDouble
in interfaceRandomNumberGenerator
- Returns:
- the next random number
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seed
public void seed(long... seeds)
Description copied from interface:Seedable
Seed the random number/vector/scenario generator to produce repeatable experiments.
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getProcess
public OUProcess getProcess()
Get the underlying OU process of this generator.- Returns:
- the underlying OU process
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dt
public double dt()
Get the time interval \(\delta_t\) of this generator.- Returns:
- the time interval \(\delta_t\)
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