Class OUSim
java.lang.Object
dev.nm.stat.stochasticprocess.univariate.sde.process.ou.OUSim
- All Implemented Interfaces:
RandomNumberGenerator
,Seedable
This class simulates a discrete path of a univariate Ornstein-Uhlenbeck (OU) process.
- See Also:
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Constructor Summary
ConstructorsConstructorDescriptionCreate an OU process simulator with a time interval of 1, using the overall mean as the starting value.Create an OU process simulator using the overall mean as the starting value.Create an OU process simulator.OUSim
(OUProcess ou, double dt, double x0, RandomStandardNormalGenerator rng) Create an OU process simulator. -
Method Summary
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Constructor Details
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OUSim
Create an OU process simulator.- Parameters:
ou
- the underlying OU processdt
- the time interval \(\delta_t\)x0
- the starting valuerng
- the standard Gaussian innovation generator
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OUSim
Create an OU process simulator.StandardNormalRNG
is used for generating i.i.d innovations.- Parameters:
ou
- the underlying OU processdt
- the time interval \(\delta_t\)x0
- the starting value
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OUSim
Create an OU process simulator using the overall mean as the starting value.StandardNormalRNG
is used for generating i.i.d innovations.- Parameters:
ou
- the underlying OU processdt
- the time interval \(\delta_t\)
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OUSim
Create an OU process simulator with a time interval of 1, using the overall mean as the starting value.StandardNormalRNG
is used for generating i.i.d innovations.- Parameters:
ou
- the underlying OU process
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Method Details
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nextDouble
public double nextDouble()Description copied from interface:RandomNumberGenerator
Get the next randomdouble
.- Specified by:
nextDouble
in interfaceRandomNumberGenerator
- Returns:
- the next random number
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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. -
getProcess
Get the underlying OU process of this generator.- Returns:
- the underlying OU process
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dt
public double dt()Get the time interval \(\delta_t\) of this generator.- Returns:
- the time interval \(\delta_t\)
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