com.numericalmethod.suanshu.stats.stochasticprocess.multivariate

Interface MultiVariateRealization

All Superinterfaces:

java.lang.Iterable<MultiVariateRealization.Entry>, MultiVariateRealization, MultiVariateTimeSeries<java.lang.Double,MultiVariateRealization.Entry>, java.io.Serializable, TimeSeries<java.lang.Double,Vector,MultiVariateRealization.Entry>

public interface MultiVariateRealization
extends MultiVariateRealization

This interface defines the realization for a multivariate stochastic process, as well as the Iterator for generating (reading) the realization.

According to the Lévy–Khintchine representation, for a stochastic process, we have

the absolutely continuous part such that the increment dB is proportional to the square root of time increment dt

See Also:

Lévy–Itō decomposition

Nested Class Summary

Nested Classes

Modifier and Type	Interface and Description
static class	MultiVariateRealization.Iterator This Iterator support lazy evaluation/generation of a realization from a stochastic process.

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.stats.timeseries.multivariate.realtime.MultiVariateRealization

MultiVariateRealization.Entry

Method Summary

Modifier and Type	Method and Description
MultiVariateRealization.Iterator	iterator()
Vector	lastValue() Get the ending value of a realization, i.e., the value at the end of the time interval, e.g., ω(T).

Methods inherited from interface com.numericalmethod.suanshu.stats.timeseries.multivariate.MultiVariateTimeSeries

dimension, toMatrix

Methods inherited from interface com.numericalmethod.suanshu.stats.timeseries.TimeSeries

size

Methods inherited from interface java.lang.Iterable

forEach, spliterator

Method Detail

iterator

MultiVariateRealization.Iterator iterator()

Specified by:

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

lastValue

Vector lastValue()

Get the ending value of a realization, i.e., the value at the end of the time interval, e.g., ω(T).

Returns:

the ending value of a realization