Package org.ojalgo.random.process
Class StationaryNormalProcess
- java.lang.Object
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- org.ojalgo.random.process.AbstractProcess<D>
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- org.ojalgo.random.process.SingleValueBasedProcess<Normal>
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- org.ojalgo.random.process.StationaryNormalProcess
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- All Implemented Interfaces:
Process1D.ComponentProcess<Normal>
,RandomProcess<Normal>
public final class StationaryNormalProcess extends SingleValueBasedProcess<Normal> implements Process1D.ComponentProcess<Normal>
Process with fixed mean and (possibly) fluctuating variance given by aScedasticityModel
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Nested Class Summary
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Nested classes/interfaces inherited from interface org.ojalgo.random.process.RandomProcess
RandomProcess.SimulationResults
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Field Summary
Fields Modifier and Type Field Description private ScedasticityModel
myScedasticityModel
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Constructor Summary
Constructors Constructor Description StationaryNormalProcess(ScedasticityModel scedasticityModel)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description (package private) double
doStep(double stepSize, double normalisedRandomIncrement)
static StationaryNormalProcess
estimateARCH(Access1D<?> series, int q)
static StationaryNormalProcess
estimateGARCH(Access1D<?> series, int p, int q)
Normal
getDistribution(double evaluationPoint)
(package private) double
getExpected(double stepSize)
(package private) double
getLowerConfidenceQuantile(double stepSize, double confidence)
(package private) double
getNormalisedRandomIncrement()
(package private) double
getStandardDeviation(double stepSize)
(package private) double
getUpperConfidenceQuantile(double stepSize, double confidence)
double
getValue()
(package private) double
getVariance(double stepSize)
static StationaryNormalProcess
of(ScedasticityModel scedasticityModel)
void
setValue(double newValue)
double
step()
double
step(double stepSize, double standardGaussianInnovation)
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Methods inherited from class org.ojalgo.random.process.SingleValueBasedProcess
getCurrentValue, setCurrentValue, simulate
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Methods inherited from class org.ojalgo.random.process.AbstractProcess
getExpected, getLowerConfidenceQuantile, getStandardDeviation, getUpperConfidenceQuantile, getVariance, step
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface org.ojalgo.random.process.RandomProcess
simulate
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Field Detail
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myScedasticityModel
private final ScedasticityModel myScedasticityModel
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Constructor Detail
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StationaryNormalProcess
StationaryNormalProcess(ScedasticityModel scedasticityModel)
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Method Detail
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estimateARCH
public static StationaryNormalProcess estimateARCH(Access1D<?> series, int q)
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estimateGARCH
public static StationaryNormalProcess estimateGARCH(Access1D<?> series, int p, int q)
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of
public static StationaryNormalProcess of(ScedasticityModel scedasticityModel)
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getDistribution
public Normal getDistribution(double evaluationPoint)
- Specified by:
getDistribution
in interfaceRandomProcess<Normal>
- Parameters:
evaluationPoint
- How far into the future?- Returns:
- The distribution for the process value at that future time.
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getValue
public double getValue()
- Specified by:
getValue
in interfaceProcess1D.ComponentProcess<Normal>
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setValue
public void setValue(double newValue)
- Specified by:
setValue
in interfaceProcess1D.ComponentProcess<Normal>
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step
public double step()
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step
public double step(double stepSize, double standardGaussianInnovation)
- Specified by:
step
in interfaceProcess1D.ComponentProcess<Normal>
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doStep
double doStep(double stepSize, double normalisedRandomIncrement)
- Specified by:
doStep
in classAbstractProcess<Normal>
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getExpected
double getExpected(double stepSize)
- Specified by:
getExpected
in classAbstractProcess<Normal>
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getLowerConfidenceQuantile
double getLowerConfidenceQuantile(double stepSize, double confidence)
- Specified by:
getLowerConfidenceQuantile
in classAbstractProcess<Normal>
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getNormalisedRandomIncrement
double getNormalisedRandomIncrement()
- Specified by:
getNormalisedRandomIncrement
in classAbstractProcess<Normal>
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getStandardDeviation
double getStandardDeviation(double stepSize)
- Specified by:
getStandardDeviation
in classAbstractProcess<Normal>
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getUpperConfidenceQuantile
double getUpperConfidenceQuantile(double stepSize, double confidence)
- Specified by:
getUpperConfidenceQuantile
in classAbstractProcess<Normal>
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getVariance
double getVariance(double stepSize)
- Specified by:
getVariance
in classAbstractProcess<Normal>
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