com.numericalmethod.suanshu.stats.stochasticprocess.univariate
Class Realization.Iterator

java.lang.Object
  com.numericalmethod.suanshu.stats.timeseries.TimeSeries.Iterator<E>
      com.numericalmethod.suanshu.stats.timeseries.univariate.TimeSeries.Iterator<Realization.Entry>
          com.numericalmethod.suanshu.stats.timeseries.univariate.realtime.Realization.Iterator
              com.numericalmethod.suanshu.stats.stochasticprocess.univariate.Realization.Iterator

All Implemented Interfaces:

java.util.Iterator<Realization.Entry>

Direct Known Subclasses:

RandomWalk.Iterator

Enclosing interface:

Realization

public abstract static class Realization.Iterator
extends Realization.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

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

length, pos, ts

Constructor Summary

Realization.Iterator(Realization xt, long seed)
Construct a realization of a univariate stochastic process.

Method Summary

protected double	dB(double dt)
Realization.Entry	next() Get the next entry in the time series, if any.
double	nextValue() Get the next value in the time series.
abstract double	t(int pos) Get the current timestamp of the realization.
abstract double	xt(int pos) Get the current value of the realization.
protected double	Zt() Get a 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

Constructor Detail

Realization.Iterator

public Realization.Iterator(Realization xt,
                            long seed)

Construct a realization of a univariate stochastic process.

Parameters:

xt - a time series

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 double xt(int pos)

Get the current value of the realization.

Parameters:

pos - the index to the current Entry

Returns:

the current value

next

public Realization.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<Realization.Entry>

Specified by:

next in class TimeSeries.Iterator<Realization.Entry>

Returns:

the next entry

nextValue

public double nextValue()

Description copied from class: TimeSeries.Iterator

Get the next value in the time series.

Specified by:

nextValue in class TimeSeries.Iterator<Realization.Entry>

Returns:

the next value

Zt

protected double Zt()

Get a Gaussian innovation.

Returns:

a Gaussian innovation

dB

protected double dB(double dt)