com.numericalmethod.suanshu.stats.dlm.univariate

Class DLMSeries

java.lang.Object

com.numericalmethod.suanshu.stats.dlm.univariate.DLMSeries

All Implemented Interfaces:

TimeSeries<java.lang.Integer,DLMSim.Innovation,DLMSeries.Entry>, java.io.Serializable, java.lang.Iterable<DLMSeries.Entry>

public class DLMSeries
extends java.lang.Object
implements TimeSeries<java.lang.Integer,DLMSim.Innovation,DLMSeries.Entry>

This is a simulator for a multivariate controlled dynamic linear model process. For (t ≥ 1), a controlled DLM takes the following form:

Observation Equation:

y_t = F_t * x_t + v_t,

State Equation:

x_t = G_t * x_t-1 + H_t * u_t + w_t,

Given the model parameters, the time series of control variables {u_t} and an integer (length) T, This simulator generates both the states {x_t} and observations {y_t}.

This implementation is appropriate for a short time series when the size is known; otherwise use instead DLMSim.

See Also:

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

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	DLMSeries.Entry This is the TimeSeries.Entry for a univariate DLM time series.

Constructor Summary

Constructors

Constructor and Description
DLMSeries(int T, DLM model) Simulate a univariate controlled dynamic linear model process.
DLMSeries(int T, DLM model, double[] u) Simulate a univariate controlled dynamic linear model process.
DLMSeries(int T, DLM model, double[] u, NormalRng rnorm) Simulate a univariate controlled dynamic linear model process.

Method Summary

Modifier and Type	Method and Description
double[]	getObservations() Get the observations.
double[]	getStates() Get the states.
java.util.Iterator<DLMSeries.Entry>	iterator()
int	size() Get the length of the time series.

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.lang.Iterable

forEach, spliterator

Constructor Detail

DLMSeries

public DLMSeries(int T,
                 DLM model,
                 double[] u,
                 NormalRng rnorm)

Simulate a univariate controlled dynamic linear model process.

Parameters:

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

model - a univariate controlled dynamic linear model

u - a time series of control variables (length = T)

rnorm - a standard Gaussian random number generator (for seeding)

DLMSeries

public DLMSeries(int T,
                 DLM model,
                 double[] u)

Simulate a univariate controlled dynamic linear model process.

Parameters:

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

model - a univariate controlled dynamic linear model

u - a time series of control variables (length = T)

DLMSeries

public DLMSeries(int T,
                 DLM model)

Simulate a univariate controlled dynamic linear model process.

Parameters:

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

model - a univariate controlled dynamic linear model

Method Detail

size

public int size()

Description copied from interface: TimeSeries

Get the length of the time series.

Specified by:

size in interface TimeSeries<java.lang.Integer,DLMSim.Innovation,DLMSeries.Entry>

Returns:

the time series length

iterator

public java.util.Iterator<DLMSeries.Entry> iterator()

Specified by:

iterator in interface java.lang.Iterable<DLMSeries.Entry>

getStates

public double[] getStates()

Get the states.

Returns:

the simulated states

getObservations

public double[] getObservations()

Get the observations.

Returns:

the simulated observations