Class MultivariateRandomWalk
- java.lang.Object
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- dev.nm.stat.stochasticprocess.multivariate.random.MultivariateRandomProcess
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- dev.nm.stat.stochasticprocess.multivariate.random.MultivariateRandomWalk
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- All Implemented Interfaces:
RandomVectorGenerator
,Seedable
public class MultivariateRandomWalk extends MultivariateRandomProcess
This is the Random Walk construction of a multivariate stochastic process per SDE specification.
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Constructor Summary
Constructors Constructor Description MultivariateRandomWalk(MultivariateDiscreteSDE sde, TimeGrid timeGrid, Vector x0)
Construct a multivariate stochastic process from an SDE.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double[]
nextVector()
Gets the next random vector.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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MultivariateRandomWalk
public MultivariateRandomWalk(MultivariateDiscreteSDE sde, TimeGrid timeGrid, Vector x0)
Construct a multivariate stochastic process from an SDE.- Parameters:
sde
- a discrete SDEtimeGrid
- specifying the time points in a gridx0
- the initial value of the process
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Method Detail
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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.- Specified by:
seed
in interfaceSeedable
- Overrides:
seed
in classMultivariateRandomProcess
- Parameters:
seeds
- the seeds
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nextVector
public double[] nextVector()
Description copied from interface:RandomVectorGenerator
Gets the next random vector.- Returns:
- the next random vector
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