com.numericalmethod.suanshu.stats.stochasticprocess.univariate

Class Realization.Iterator

java.lang.Object

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

All Implemented Interfaces:

java.io.Serializable, java.util.Iterator<Realization.Entry>

Enclosing interface:

Realization

public abstract static class Realization.Iterator
extends java.lang.Object
implements java.util.Iterator<Realization.Entry>, java.io.Serializable

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.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
Iterator(int size, long seed) Construct a realization of a univariate stochastic process.

Method Summary

Modifier and Type	Method and Description
protected double	dB(double dt)
boolean	hasNext()
Realization.Entry	next()
double	nextValue()
abstract double	t(int index) Get the current timestamp of the realization.
abstract double	xt(int index) Get the current value of the realization.
protected double	Zt() Get a Gaussian innovation.

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.util.Iterator

forEachRemaining, remove

Constructor Detail

Iterator

public Iterator(int size,
                long seed)

Construct a realization of a univariate stochastic process.

Parameters:

size - length of the time series

seed - seeding the same seed gives arise to the same realization

Method Detail

t

public abstract double t(int index)

Get the current timestamp of the realization.

Parameters:

index - the index to the current Entry

Returns:

the current timestamp

xt

public abstract double xt(int index)

Get the current value of the realization.

Parameters:

index - the index to the current Entry

Returns:

the current value

hasNext

public boolean hasNext()

Specified by:

hasNext in interface java.util.Iterator<Realization.Entry>

next

public Realization.Entry next()

Specified by:

next in interface java.util.Iterator<Realization.Entry>

nextValue

public double nextValue()

Zt

protected double Zt()

Get a Gaussian innovation.

Returns:

a Gaussian innovation

dB

protected double dB(double dt)