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

Class MultivariateRandomWalk

java.lang.Object

dev.nm.stat.stochasticprocess.multivariate.random.MultivariateRandomProcess

dev.nm.stat.stochasticprocess.multivariate.random.MultivariateRandomWalk

All Implemented Interfaces:

RandomVectorGenerator, Seedable

public class MultivariateRandomWalk
extends MultivariateRandomProcess

This is the Random Walk construction of a multivariate stochastic process per SDE specification.

Constructor Summary

Constructors

Constructor	Description
MultivariateRandomWalk(MultivariateDiscreteSDE sde, TimeGrid timeGrid, Vector x0)	Construct a multivariate stochastic process from an SDE.

Method Summary

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.

Methods inherited from class dev.nm.stat.stochasticprocess.multivariate.random.MultivariateRandomProcess

dB, nB, nextTime, time, Zt

Methods inherited from class java.lang.Object

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

Constructor Details

MultivariateRandomWalk

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

Construct a multivariate stochastic process from an SDE.

Parameters:

sde - a discrete SDE

timeGrid - specifying the time points in a grid

x0 - the initial value of the process

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

Overrides:

seed in class MultivariateRandomProcess

Parameters:

seeds - the seeds

nextVector

public double[] nextVector()

Description copied from interface: RandomVectorGenerator

Gets the next random vector.

Returns:

the next random vector