Package dev.nm.stat.stochasticprocess.multivariate.random

Class MultivariateRandomRealizationOfRandomProcess

java.lang.Object

dev.nm.stat.stochasticprocess.multivariate.random.MultivariateRandomRealizationOfRandomProcess

All Implemented Interfaces:

Seedable, MultivariateRandomRealizationGenerator

public class MultivariateRandomRealizationOfRandomProcess
extends Object
implements MultivariateRandomRealizationGenerator

This class generates random realizations from a multivariate random/stochastic process.

Constructor Summary

Constructors

Constructor	Description
MultivariateRandomRealizationOfRandomProcess(MultivariateRandomProcess process, int size, RandomLongGenerator uniform)	Construct a random realization generator from a multivariate random/stochastic process.
MultivariateRandomRealizationOfRandomProcess(MultivariateDiscreteSDE sde, TimeGrid timeGrid, Vector x0)	Construct a random realization generator from a multivariate discrete SDE.
MultivariateRandomRealizationOfRandomProcess(MultivariateSDE sde, int size)	Construct a random realization generator from a multivariate SDE.
MultivariateRandomRealizationOfRandomProcess(MultivariateSDE sde, TimeGrid timeGrid, Vector x0)	Construct a random realization generator from a multivariate SDE.

Method Summary

Modifier and Type	Method	Description
MultivariateRealization	nextRealization()	Construct a realization of a multivariate stochastic process.
void	seed(long... seeds)	Seed the random number/vector/scenario generator to produce repeatable experiments.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

MultivariateRandomRealizationOfRandomProcess

public MultivariateRandomRealizationOfRandomProcess(MultivariateRandomProcess process,
 int size,
 RandomLongGenerator uniform)

Construct a random realization generator from a multivariate random/stochastic process.

Parameters:

process - a random process

size - the size of the realizations

uniform - a uniform random number generator

MultivariateRandomRealizationOfRandomProcess

public MultivariateRandomRealizationOfRandomProcess(MultivariateDiscreteSDE sde,
 TimeGrid timeGrid,
 Vector x0)

Construct a random realization generator from a multivariate discrete SDE.

Parameters:

sde - a discrete approximation of an SDE

timeGrid - specifying the time points in a grid

x0 - the initial value of the process

MultivariateRandomRealizationOfRandomProcess

public MultivariateRandomRealizationOfRandomProcess(MultivariateSDE sde,
 TimeGrid timeGrid,
 Vector x0)

Construct a random realization generator from a multivariate SDE.

Parameters:

sde - a continuous time SDE

timeGrid - specifying the time points in a grid

x0 - the initial value of the process

MultivariateRandomRealizationOfRandomProcess

public MultivariateRandomRealizationOfRandomProcess(MultivariateSDE sde,
 int size)

Construct a random realization generator from a multivariate SDE.

Parameters:

sde - a continuous time SDE

size - the size of the realizations

Method Details

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 interface Seedable

Parameters:

seeds - the seeds

nextRealization

public MultivariateRealization nextRealization()

Description copied from interface: MultivariateRandomRealizationGenerator

Construct a realization of a multivariate stochastic process.

Specified by:

nextRealization in interface MultivariateRandomRealizationGenerator

Returns:

a realization