Module ojalgo

Package org.ojalgo.random.process

Class StationaryNormalProcess

java.lang.Object

org.ojalgo.random.process.AbstractProcess<D>

org.ojalgo.random.process.SingleValueBasedProcess<Normal>

org.ojalgo.random.process.StationaryNormalProcess

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 a ScedasticityModel.

Nested Class Summary

Nested classes/interfaces inherited from interface org.ojalgo.random.process.RandomProcess

RandomProcess.SimulationResults

Field Summary

Fields

Modifier and Type	Field	Description
private ScedasticityModel	myScedasticityModel

Constructor Summary

Constructors

Constructor	Description
StationaryNormalProcess(ScedasticityModel scedasticityModel)

Method Summary

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)

Methods inherited from class org.ojalgo.random.process.SingleValueBasedProcess

getCurrentValue, setCurrentValue, simulate

Methods inherited from class org.ojalgo.random.process.AbstractProcess

getExpected, getLowerConfidenceQuantile, getStandardDeviation, getUpperConfidenceQuantile, getVariance, step

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.ojalgo.random.process.RandomProcess

simulate

Field Detail

myScedasticityModel

private final ScedasticityModel myScedasticityModel

Constructor Detail

StationaryNormalProcess

StationaryNormalProcess(ScedasticityModel scedasticityModel)

Method Detail

estimateARCH

public static StationaryNormalProcess estimateARCH(Access1D<?> series,
                                                   int q)

estimateGARCH

public static StationaryNormalProcess estimateGARCH(Access1D<?> series,
                                                    int p,
                                                    int q)

of

public static StationaryNormalProcess of(ScedasticityModel scedasticityModel)

getDistribution

public Normal getDistribution(double evaluationPoint)

Specified by:

getDistribution in interface RandomProcess<Normal>

Parameters:

evaluationPoint - How far into the future?

Returns:

The distribution for the process value at that future time.

getValue

public double getValue()

Specified by:

getValue in interface Process1D.ComponentProcess<Normal>

setValue

public void setValue(double newValue)

Specified by:

setValue in interface Process1D.ComponentProcess<Normal>

step

public double step()

step

public double step(double stepSize,
                   double standardGaussianInnovation)

Specified by:

step in interface Process1D.ComponentProcess<Normal>

doStep

double doStep(double stepSize,
              double normalisedRandomIncrement)

Specified by:

doStep in class AbstractProcess<Normal>

getExpected

double getExpected(double stepSize)

Specified by:

getExpected in class AbstractProcess<Normal>

getLowerConfidenceQuantile

double getLowerConfidenceQuantile(double stepSize,
                                  double confidence)

Specified by:

getLowerConfidenceQuantile in class AbstractProcess<Normal>

getNormalisedRandomIncrement

double getNormalisedRandomIncrement()

Specified by:

getNormalisedRandomIncrement in class AbstractProcess<Normal>

getStandardDeviation

double getStandardDeviation(double stepSize)

Specified by:

getStandardDeviation in class AbstractProcess<Normal>

getUpperConfidenceQuantile

double getUpperConfidenceQuantile(double stepSize,
                                  double confidence)

Specified by:

getUpperConfidenceQuantile in class AbstractProcess<Normal>

getVariance

double getVariance(double stepSize)

Specified by:

getVariance in class AbstractProcess<Normal>