com.numericalmethod.suanshu.stats.stochasticprocess.multivariate
Class MultiVariateRealization.Iterator

java.lang.Object
  com.numericalmethod.suanshu.stats.timeseries.TimeSeries.Iterator<E>
      com.numericalmethod.suanshu.stats.timeseries.multivariate.MultiVariateTimeSeries.Iterator<MultiVariateRealization.Entry>
          com.numericalmethod.suanshu.stats.timeseries.multivariate.realtime.MultiVariateRealization.Iterator
              com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.MultiVariateRealization.Iterator

All Implemented Interfaces:

java.util.Iterator<MultiVariateRealization.Entry>

Direct Known Subclasses:

RandomWalk.Iterator

Enclosing interface:

MultiVariateRealization

public abstract static class MultiVariateRealization.Iterator
extends MultiVariateRealization.Iterator

This Iterator support lazy evaluation/generation of a realization from a stochastic process. For a given filtration, a stochastic process gives arise to a particular realization, which is a (deterministic) time series. A realization is therefore only created on demand. For example, we create a realization when an Iterator is constructed.

Field Summary

int	d the dimension of the Brownian motion

Fields inherited from class com.numericalmethod.suanshu.stats.timeseries.TimeSeries.Iterator

length, pos, ts

Constructor Summary

MultiVariateRealization.Iterator(MultiVariateRealization Xt, int d, long seed)
Construct a realization of a multivariate stochastic process.

Method Summary

protected Vector	dB(double dt)
MultiVariateRealization.Entry	next() Get the next entry in the time series, if any.
Vector	nextValue() Get the next value in the time series.
abstract double	t(int pos) Get the current timestamp of the realization.
abstract Vector	xt(int pos) Get the current value of the realization.
protected Vector	Zt() Get a d-dimension Gaussian innovation.

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.TimeSeries.Iterator

hasNext, position, remove

Methods inherited from class java.lang.Object

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

Field Detail

d

public final int d

the dimension of the Brownian motion

Constructor Detail

MultiVariateRealization.Iterator

public MultiVariateRealization.Iterator(MultiVariateRealization Xt,
                                        int d,
                                        long seed)

Construct a realization of a multivariate stochastic process.

Parameters:

Xt - a time series

d - the dimension of the Brownian motion

seed - seeding the same seed gives arise to the same realization

Method Detail

t

public abstract double t(int pos)

Get the current timestamp of the realization.

Parameters:

pos - the index to the current Entry

Returns:

the current timestamp

xt

public abstract Vector xt(int pos)

Get the current value of the realization.

Parameters:

pos - the index to the current Entry

Returns:

the current value

next

public MultiVariateRealization.Entry next()

Description copied from class: TimeSeries.Iterator

Get the next entry in the time series, if any.

Specified by:

next in interface java.util.Iterator<MultiVariateRealization.Entry>

Specified by:

next in class TimeSeries.Iterator<MultiVariateRealization.Entry>

Returns:

the next entry

nextValue

public Vector nextValue()

Description copied from class: MultiVariateTimeSeries.Iterator

Get the next value in the time series.

Specified by:

nextValue in class MultiVariateTimeSeries.Iterator<MultiVariateRealization.Entry>

Returns:

the next value

Zt

protected Vector Zt()

Get a d-dimension Gaussian innovation.

Returns:

a Gaussian innovation

dB

protected Vector dB(double dt)