Class MultivariateDLMSim


  • public class MultivariateDLMSim
    extends Object
    This is a simulator for a multivariate 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

      • MultivariateDLMSim

        public MultivariateDLMSim​(MultivariateDLM model,
                                  NormalRVG rmvnorm)
        Simulates a multivariate controlled dynamic linear model process.
        Parameters:
        model - a multivariate controlled dynamic linear model
        rmvnorm - a standard multivariate Gaussian random vector generator (for seeding)
    • Method Detail

      • next

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