com.numericalmethod.suanshu.stats.dlm
Class DlmSim

java.lang.Object
  com.numericalmethod.suanshu.stats.dlm.DlmSim

public class DlmSim
extends java.lang.Object

This class simulates a (multivariate) controlled dynamic linear model process.

For t = 1, 2, ..., T, a controlled dynamic linear model (controlled DLM) has the following form:

y_t = F_t * x_t + v_t (Observation Equation),

x_t = G_t * x_{t - 1} + H_t * u_t + w_t (State Equation).

Given the parameters of a (multivariate) controlled DLM, the time series of control variables {u_t} and an integer T, this class simulates both the states {x_t} and observations {y_t} (t = 1, 2, ..., T) with the given controlled DLM specification.

See Also:

• G. Petris et al., "Dynamic Linear Models with R," New York, Springer, 2009, ch. 2, pp. 31-84.

Constructor Summary

DlmSim(int T, Dlm model)
Simulate a (multivariate) dynamic linear model process.

DlmSim(int T, Dlm model, MultiVariateTimeSeries Ut)
Simulate a (multivariate) controlled dynamic linear model process.

Method Summary

SimpleMultiVariateTimeSeries	getObservations() Get the observations.
SimpleMultiVariateTimeSeries	getStates() Get the states.

Methods inherited from class java.lang.Object

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

Constructor Detail

DlmSim

public DlmSim(int T,
              Dlm model,
              MultiVariateTimeSeries Ut)

Simulate a (multivariate) controlled dynamic linear model process.

Parameters:

T - the length of the (multivariate) time series (states and observations) to generate

model - a (multivariate) controlled dynamic linear model

Ut - an m-dimensional time series of control variables (length = T)

DlmSim

public DlmSim(int T,
              Dlm model)

Simulate a (multivariate) dynamic linear model process.

Parameters:

T - the length of the (multivariate) time series (states and observations) to generate

model - a (multivariate) controlled dynamic linear model

Method Detail

getStates

public SimpleMultiVariateTimeSeries getStates()

Get the states.

Returns:

the states generated

getObservations

public SimpleMultiVariateTimeSeries getObservations()

Get the observations.

Returns:

the observations generated