Class DLMSim


  • public class DLMSim
    extends Object
    This is a simulator for a univariate controlled dynamic linear model process. For (t ≥ 1), a controlled DLM takes the following form:

    Observation Equation:

    yt = Ft * xt + vt,
    State Equation:
    xt = Gt * xt-1 + Ht * ut + wt,
    Given the model parameters, the time series of control variables {ut} and an integer (length) T, This simulator generates both the states {xt} and observations {yt}.
    • Constructor Detail

      • DLMSim

        public DLMSim​(DLM model,
                      RandomStandardNormalGenerator rnorm)
        Simulate a univariate controlled dynamic linear model process.
        Parameters:
        model - a univariate controlled dynamic linear model
        rnorm - a standard Gaussian random number generator (for seeding)
    • Method Detail

      • next

        public DLMSim.Innovation next​(double u)
        Get the next innovation.
        Parameters:
        u - the control as of time t - 1; used not for the first innovation (initial state)
        Returns:
        a simulated innovation