ActiveList activeList
BBNode incumbent
double upper
int count
java.util.List<E> iterates
double tolerance
double base
double tolerance
com.numericalmethod.suanshu.analysis.differentiation.Ridders.MyFunction dfh
h → 0NevilleTable neville
RealScalarFunction f
int order
double rate
int discretization
RealScalarFunction f
int[] varidx
double p
double q
UnivariateRealFunction dfdx
Gaussian phi
UnivariateRealFunction f
int order
FiniteDifference.Type type
double temp
ImmutableMatrix A
double remainder
Polynomial quotient
Polynomial polynomial
double x
int degree
double[] coefficients
Polynomial quotient
double a
double b
QuadraticMonomial quadratic
Polynomial polynomial
LinearRoot p1
QuadraticRoot p2
CubicRoot p3
QuarticRoot p4
JenkinsTraubReal poly
QuarticRoot.QuarticSolver solver
LinearRoot linear
QuadraticRoot quadratic
RealVectorFunction f
int dimension
ImmutableMatrix H
ImmutableVector p
double c
ContinuedFraction.Partials partials
double epsilon
int maxIterations
int scale
int nIterations
java.util.TreeSet<E> pairs
LogBeta lbeta
double p
double q
ContinuedFraction cf
double p
double q
LogBeta logBeta
ErfInverse erfInv
Lanczos lanczos
Lanczos lanczos
GammaRegularizedQ qgamma
int scale
double g
int n
DenseMatrix P4double
RealMatrix P
RealMatrix B
RealMatrix C
RealMatrix D
RealMatrix F
LogGamma.Method method
Lanczos lanczos
double a
double b
double c
double x
double y
double[] fx
double[] du
Integrator integrator
SubstitutionRule change
int rate
rate many intervals.
For example, when rate = 2, we double the number of intervals, hence abscissas, in each iteration.
Note: the number of abscissas grows exponentially.NewtonCotes.Type type
double precision
precision.int maxIterations
maxIterations, as it may severely affect the performance. It should not be too big.double h
int nAbscissas
int maxIterations
double precision
IterativeIntegrator integrator
NevilleTable neville
double t0
double t1
Trapezoidal trapezoidal
int maxIterations
double precision
UnivariateRealFunction x
UnivariateRealFunction dx
UnivariateRealFunction f
double dt
double a
double a
double b
double a
double b
PowerLawSingularity.PowerLawSingularityType type
double gamma
double a
double b
double a
double b
double[] x
double[] y
double[] x
double[][] table
double lastX
int N
int N0
double[] fibonacci
Summation.Term term
double threshold
double tol
int maxIterations
double tol
int maxIterations
double tol
int maxIterations
double x
double fx
int count
java.util.ArrayList<E> rowLabels
java.util.ArrayList<E> colLabels
java.util.ArrayList<E> table
double EPSILON
java.util.Map<K,V> headers
java.util.TreeMap<K,V> table
double index
double[] values
MovingAverage.Side side
double[] filter
double[] filter
java.lang.Comparable<T> begin
java.lang.Comparable<T> end
java.util.List<E> intervals
Matrix A
Householder[] Us
Householder[] Vs
BidiagonalMatrix B
int nRows
int nCols
HessenbergDecomposition decomp
Matrix A
Polynomial polynomial
Matrix A
java.util.TreeMap<K,V> map
int dim
Eigen eigen
java.lang.Number eigenvalue
int multiplicity
java.util.List<E> eigenBasis
ImmutableMatrix A
ImmutableMatrix A1inv
InverseIteration.StoppingCriterion criterion
Hessenberg.DeflationCriterion deflationCriterion
double threshold
int ul
H22 an unreduced Hessenberg in Algorithm 7.5.2 has the dimension \((l_r-r_l+1) \times (l_r-u_l+1)\).
We try to minimize \(u_l\) (hence maximize the H22 dimension).int lr
H33 an upper quasi-triangular in Algorithm 7.5.2 has dimension \((n-l_r) \times (n-l_r)\).
We try to minimize \(l_r\) (hence maximize the H33 dimension).boolean isQuasiTriangular
true if the matrix is a quasi-triangular matrixMatrix H
Matrix Q
Householder[] Hs
int dim
ElementaryOperation T
ElementaryOperation U
Matrix L
PermutationMatrix P
boolean usePivoting
int nRows
int nCols
double epsilon
GaussianElimination instance
ElementaryOperation T
ElementaryOperation U
boolean usePivoting
int nRows
int nCols
double epsilon
Matrix Q
UpperTriangularMatrix R
PermutationMatrix P
int rank
DenseVector zero
int nRows
int nCols
double epsilon
UpperTriangularMatrix R
Vector[] cols
Householder[] Hs
int nRows
int nCols
double epsilon
QRDecomposition impl
DiagonalMatrix D
Matrix Ut
Matrix V
Matrix A
int nrows
int ncols
boolean doUV
boolean normalize
double epsilon
int maxIterations
Matrix A
boolean fat
boolean doUV
SVDDecomposition impl
double epsilon
LowerTriangularMatrix L
LowerTriangularMatrix L
UpperTriangularMatrix U
PermutationMatrix P
double[][] data
int dim
boolean usePivoting
double epsilon
LowerTriangularMatrix L
DiagonalMatrix D
int dim
Matrix A
LUDecomposition impl
Matrix U
Matrix T
java.util.Map<K,V> basis
int nRows
int nCols
Kernel.Method method
double epsilon
double epsilon
ImmutableMatrix A
ImmutableVector b
int maxIteration
Tolerance tolerance
Vector initialGuess
Preconditioner leftPreconditioner
Preconditioner rightPreconditioner
int dim
int i
int j
double c
double s
MatrixMathOperation math
MatrixAccess storage
int nRows
int nCols
int[] data
| 1 0 0 |
| 0 1 0 | is
| 0 0 1 |
[1, 2, 3];
| 0 0 1 |
| 0 1 0 | is
| 1 0 0 |
[3, 2, 1]
int sign
int dim
double[] data
DoubleArrayOperation doubleArrayOperation
com.numericalmethod.suanshu.matrix.doubles.matrixtype.dense.DenseMatrix.MyDenseDataImpl storage
MatrixMathOperation math
com.numericalmethod.suanshu.matrix.doubles.matrixtype.dense.triangle.LowerTriangularMatrix.MyDenseDataImpl storage
int dim
MatrixMathOperation math
int dim
LowerTriangularMatrix L
MatrixMathOperation math
com.numericalmethod.suanshu.matrix.doubles.matrixtype.dense.triangle.UpperTriangularMatrix.MyDenseDataImpl storage
int dim
MatrixMathOperation math
int i
int j
int nnz
int[] row_ptr
int[] col_ind
double[] value
int nRows
int nCols
MatrixMathOperation math
java.util.HashMap<K,V> dictionary
int nRows
int nCols
MatrixMathOperation math
SparseVector[] rows
int nRows
int nCols
MatrixMathOperation math
Coordinates coordinates
double value
int size
java.util.LinkedList<E> entries
int index
double value
ConvergenceFailure.Reason reason
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
int maxIteration
Tolerance tolerance
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
int m0
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
int m0
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
PreconditionerFactory leftPreconditionerFactory
int maxIteration0
Tolerance tolerance
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
PreconditionerFactory rightPreconditionerFactory
int maxIteration0
Tolerance tolerance
int residualRefreshRate
PreconditionerFactory leftPreconditionerFactory
int maxIteration
Tolerance tolerance
Vector Dinv
Matrix A
double omega
SuccessiveOverrelaxationSolver sor
int maxIteration
Tolerance tolerance
double omega
int maxIteration
Tolerance tolerance
double omega
int maxIteration
Tolerance tolerance
DenseMatrix T
Matrix A
Matrix B
MatrixMathOperation math
Vector v4H
Vector generator
double lambda
double value
int dim
double base
int scale
ImmutableMatrix B
Matrix ref
int rowFrom
int rowTo
int colFrom
int colTo
MatrixMathOperation matrixComputation
LowerTriangularMatrix L
UpperTriangularMatrix Lt
DiagonalMatrix D
DiagonalMatrix Dhat
GenericMatrix<F extends Field<F>> A
GenericMatrix<F extends Field<F>> A
int scale
java.util.Map<K,V> counts
java.math.BigDecimal value
java.math.BigDecimal significand
int exponent
java.math.BigDecimal TEN
double real
double imaginary
CompositeDoubleArrayOperation.ImplementationChooser chooser
java.util.ArrayList<E> constraints
int dim
int dim
java.util.ArrayList<E> bounds
int index
RealInterval interval
ImmutableMatrix A
ImmutableVector b
ImmutableMatrix X
ImmutableVector y
ImmutableMatrix S
double gamma0
double sigma0
double epsilon
Hp Hp
ImmutableMatrix P
ImmutableMatrix Pinv
boolean isIdentity
double gamma0
double sigma0
double epsilon
Hp Hp
CentralPath path
double sigma
double gamma
double delta
double phi
int iter
SDPDualProblem problem
Matrix A
int n
Matrix I
ImmutableVector b
SymmetricMatrix C
SymmetricMatrix[] A
ImmutableMatrix C
ImmutableMatrix[] A
int p
int n
double sigma
double epsilon
int maxIterations
PrimalDualSolution soln
int iter
SOCPDualProblem problem
ImmutableMatrix A
ImmutableMatrix At
int N
ImmutableVector x
ImmutableVector y
ImmutableVector s
ConstrainedOptimProblemImpl1 problem
ImmutableVector b
ImmutableMatrix[] A
ImmutableVector[] c
int m
int q
ImmutableVector b
ImmutableMatrix[] A
ImmutableVector[] c
int m
int q
double epsilon
int maxIterations
QPSolution minimizer
Vector x
int k
com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.qp.activeset.WorkingActiveSet Js
QPProblem problem
ImmutableMatrix A
ImmutableVector b
ImmutableMatrix Aeq
Matrix H
Vector p
int s
ConstrainedOptimProblemImpl1 problem
ImmutableVector c
BoxConstraints bounds
SimplexTable table0
SimplexTable table0
double epsilon
double epsilon
SimplexTable.LabelType type
int index
int r
int s
java.util.Set<E> minimizers
SimplexTable table
double epsilon
SimplexTable table
int lambdaCol
SimplexPivoting pivoting
LPSimplexSolver<P extends LPProblem> solver
ConstrainedOptimProblemImpl1 problem
LinearEqualityConstraints equal
ImmutableMatrix Aplus
ImmutableMatrix Vr
double[] weights
Constraints constraints
double gamma
PenaltyMethodMinimizer.PenaltyFunctionFactory penaltyFunctionFactory
MultivariateMinimizer<S extends MinimizationSolution<?>> minimizer
PenaltyFunction[] penalties
int dimension
double epsilon
int maxIterations
SQPActiveSetSolver.VariationFactory variant
Vector x0
Vector v0
Vector u0
Matrix Ae0
Matrix Ai0
Vector g0
Matrix Z0
Vector d
RealScalarFunction f
EqualityConstraints equal
java.util.List<E> a
int p
GreaterThanConstraints greater
java.util.List<E> c
int q
SQPASVariation impl
RealScalarFunction f
java.util.List<E> ae
java.util.List<E> ag
double epsilon
SQPActiveSetSolverForOnlyEqualityConstraint1.VariationFactory variant
double epsilon
int maxIterations
RealScalarFunction f
java.util.List<E> a
int p
double r
double lower
int discretization
boolean foundPositiveDefiniteHessian
double epsilon
ConstrainedOptimProblemImpl1 problem
int[] integers
double epsilon
BruteForceIPMinimizer.ConstrainedMinimizerFactory<U extends ConstrainedMinimizer<ConstrainedOptimProblem,IterativeMinimizer<Vector>>> factory
BruteForceIPProblem problem
ImmutableVector minimizer
double fmin
BruteForceIPProblem.IntegerDomain[] integers
int index
int[] domain
ILPBranchAndBound.ActiveListFactory factory
int id
ILPProblem problem
LPBoundedMinimizer minimizer
ILPProblem problem
int[] indices
PureILPProblem problem
LPSimplexSolver<P extends LPProblem> solver
SimplexCuttingPlane.CutterFactory cutterFactory
LPProblemImpl1 lpProblem
IPProblemImpl1 ipProblem
C2OptimProblemImpl problem
EqualityConstraints equal
LessThanConstraints less
ConstrainedOptimProblemImpl1 problem
boolean parallel
RandomLongGenerator uniform
java.util.ArrayList<E> population
double Cr
double F
java.util.List<E> population
DEOptimCellFactory unconstrainedFactory
SimpleCellFactory.SimpleCell cell
IntegralConstrainedCellFactory.IntegerConstraint constraint
java.util.Set<E> indices
LocalSearchCellFactory.MinimizerFactory<U extends Minimizer<OptimProblem,IterativeMinimizer<Vector>>> factory
java.lang.Double fx
RealScalarFunction f
ImmutableVector x
RandomLongGenerator uniform
double rate
boolean parallel
RandomLongGenerator uniform
SimpleGridMinimizer.NewCellFactoryCtor factoryCtor
double epsilon
int maxIterations
int nStableIterations
Vector[] initials
int iteration
int nNoChanges
double fminLast
double fmin
Vector xmin
RealScalarFunction f
SimpleCellFactory factory
double scale
int N
UniformDistributionOverBox rng
double scale
RandomLongGenerator rng
java.lang.Double[][] grid
int N
double epsilon
int maxIterations
RealScalarFunction f
RealVectorFunction g
RntoMatrix H
MultivariateMinimizer<S extends MinimizationSolution<?>> minimizer
double alpha
double gamma
double rho
double sigma
double epsilon
int maxIterations
Vector[] x
double[] fx
RealScalarFunction f
int N
int N1
double epsilon2
double rho
double sigma
double tau
double chi
double epsilon
int maxIterations
boolean isFletcherSwitch
true if Fletcher's modification to switch between BFGS and DFP is applieddouble theta
double phi
double psi
double omega
Matrix Sk
QuasiNewton.QuasiNewtonImpl.updateSk(com.numericalmethod.suanshu.vector.doubles.Vector)
modifies this incrementally.Vector gk
Vector dk
double ak
double dgNorm
FirstOrder.Method method
RntoMatrix J
double epsilon
double maxIterations
LineSearch linesearch0
Vector xmin
Vector dx
C2OptimProblem problem
LineSearch.Solution linesearch
double epsilon
int maxIterations
UnivariateRealFunction f
double fmin
double xmin
double epsilon
int maxIterations
UnivariateRealFunction f
double fmin
double fnext
double xl
double xu
double xmin
double xnext
int iter
double golden
double w
double v
double fw
double fv
double incLast
double[] fibonacci
double Ik
double xlLast
double xuLast
double golden
java.util.List<E> results
java.util.List<E> exceptions
ImmutableMatrix alpha
DenseMatrix beta
ImmutableVector eigenvalues
int n
JohansenAsymptoticDistribution[] dist
JohansenAsymptoticDistribution.Test test
JohansenAsymptoticDistribution.TrendType trend
int dim
int nSim
int nT
Moments moment
long N
double mean
int order
long N
double[] m
long N
Moments moment
double m3
boolean unbiased
true if unbiasedlong N
double m2
Mean mean
long N
double max
long N
double min
Quantile.QuantileType type
double[] sortedData
double t
double s
double[] rank
double alpha
double beta
BetaRegularized Ix
BetaRegularizedInverse IxInv
int n
double p
double z
double k
double[] sortedData
Quantile quantile
double lambda
double df1
double df2
BetaRegularized Ix
BetaRegularizedInverse IxInv
double k
double theta
double logMu
double logSigma
NormalDistribution normal
double mu
double sigma
double lambda
double sigma
double v
BetaRegularized Ix
BetaRegularizedInverse IxInv
double lambda
double k
int d
int p
ImmutableVector m0
ImmutableMatrix C0
ObservationEquation Yt
StateEquation Xt
int time
DLMSim.Innovation value
ImmutableVector state
ImmutableVector observation
DLM model
DenseMatrix E_xt_tlag
x_{t|t-1} = E(x_t|y_{1:t-1})
Matrix[] V_xt_tlag
R_{t|t-1} = Var(x_t|y_{1:t-1})
DenseMatrix E_yt_tlag
f_t = E(y_t|y_{1:t-1})
Matrix[] V_yt_tlag
Q_t = Var(y_t|y_{1:t-1})
Matrix[] KalmanGain
DenseMatrix E_xt_t
x_{t|t} = E(x_t|y_{1:t})
Matrix[] V_xt_t
R_{t|t} = Var(x_t|y_{1:t})
R1toMatrix F
R1toMatrix V
int d
NormalRvg rmvnorm
R1toMatrix G
R1toMatrix H
R1toMatrix W
int p
NormalRvg rmvnorm
double m0
double C0
ObservationEquation Yt
StateEquation Xt
double[] state
double[] observation
int time
DLMSim.Innovation value
double state
double observation
DLM model
double[] E_xt_tlag
x_{t|t-1} = E(x_t|y_{1:t-1})
double[] V_xt_tlag
R_{t|t-1} = Var(x_t|y_{1:t-1})
double[] E_yt_tlag
f_t = E(y_t|y_{1:t-1})
double[] V_yt_tlag
Q_t = Var(y_t|y_{1:t-1})
double[] KalmanGain
double[] E_xt_t
x_{t|t} = E(x_t|y_{1:t})
double[] V_xt_t
R_{t|t} = Var(x_t|y_{1:t})
UnivariateRealFunction F
UnivariateRealFunction V
NormalRng rnorm
UnivariateRealFunction G
UnivariateRealFunction H
UnivariateRealFunction W
NormalRng rnorm
ImmutableMatrix data
ImmutableMatrix S
int k
FactorAnalysis.ScoringRule rule
int nObs
ImmutableVector psi
ImmutableMatrix loadings
double logLikelihood
int dof
ImmutableMatrix scores
RandomNumberGenerator[] B
int state
double observation
HMMDistribution dist
HiddenMarkovModel model
double logLikelihood
HiddenMarkovModel model
boolean isAlphaEstimated
boolean isBetaEstimated
BetaDistribution.Lambda[] lambda
double epsilon
int maxIterations
Gamma gamma
Digamma digamma
Trigamma trigamma
double alpha
double beta
BinomialDistribution.Lambda[] lambda
int size
double p
java.lang.Double[] rates
boolean isShapeEstimated
boolean isScaleEstimated
GammaDistribution.Lambda[] lambda
double epsilon
int maxIterations
Digamma digamma
Trigamma trigamma
double k
double theta
LogNormalDistribution.Lambda[] lambda
boolean isMuEstimated
boolean isSigmaEstimated
double logMu
double logSigma
NormalDistribution.Lambda[] lambda
boolean isMuEstimated
boolean isSigmaEstimated
double mu
double sigma
java.lang.Double[] rates
ImmutableMatrix B
HiddenMarkovModel model
Vector scales
HiddenMarkovModel model
HiddenMarkovModel model
ImmutableVector PI
ImmutableMatrix A
int qt_1
MultinomialRvg[] multinomial
boolean correlation
ImmutableMatrix V
boolean centered
boolean scaled
ImmutableVector mean
ImmutableVector scale
public void readObject(java.io.ObjectInputStream ois)
throws java.io.IOException,
java.lang.ClassNotFoundException
java.io.IOExceptionjava.lang.ClassNotFoundExceptionint cacheSize
com.numericalmethod.suanshu.stats.random.concurrent.AtomicIndexedList<T> cache
ConcurrentCachedGenerator.Generator<T> generator
ConcurrentCachedGenerator<T> concurrentGenerator
RandomNumberGenerator rlg
ConcurrentCachedGenerator<T> concurrentGenerator
RandomNumberGenerator rng
ConcurrentCachedGenerator<T> concurrentGenerator
RandomVectorGenerator rvg
RandomNumberGenerator rng
int length
int size
double[] cumprob
RandomLongGenerator rng
int size
ImmutableVector mu
ImmutableMatrix A
IID iid
RealInterval[] bounds
RandomLongGenerator rng
int n
double p
RandomLongGenerator uniform
ProbabilityDistribution distribution
RandomLongGenerator uniform
NormalRng rnorm
double aa
double bb
double a
double b
double alpha
double beta
double delta
double k1
double k2
double gamma
RandomLongGenerator uniform
RandomGammaGenerator X
RandomGammaGenerator Y
SHR3 shr3
double theta
RandomLongGenerator uniform
double k
double a
double b
double c
double d
double aab
double k1
double theta
RandomStandardNormalNumberGenerator normal
RandomLongGenerator uniform
com.numericalmethod.suanshu.stats.random.univariate.gamma.MarsagliaTsang2000.Generate generate
double k
RandomLongGenerator uniform
double theta
double c
double B_max
double B_min
double k
RandomLongGenerator uniform
double u_max
double v_min
double v_max
double dv
double z1
double z2
boolean next
RandomLongGenerator uniform
double z1
double z2
boolean next
RandomLongGenerator uniform
double mean
double sigma
RandomStandardNormalNumberGenerator rnorm
RandomLongGenerator uniform
RandomLongGenerator uniform
RandomLongGenerator uniform
double L
int[] mt
int mti
int s_uiStateMWC
int s_uiCarryMWC
long[] s_auiStateMWC
long uiMin
int jzr
int jsr
SHR0 shr0
UniformRng.Method method
RandomLongGenerator uniform
LinearCongruentialGenerator[] rng
long m
CompositeLinearCongruentialGenerator rng
MRG mrg1
MRG mrg2
long m
long a
long m
long q
long r
java.util.concurrent.atomic.AtomicLong x
Lehmer[] rng
boolean[] sign
long[] x
long m
ImmutableVector betaHat
ImmutableMatrix covariance
ImmutableVector stderr
ImmutableVector y
a vector of length n
ImmutableVector wy
ImmutableMatrix A
a n x m matrix
ImmutableMatrix wA
boolean addIntercept
true iff to add an intercept term to the linear regressionImmutableVector weights
ImmutableMatrix invOfwAtwA
LMProblem problem
ImmutableVector fitted
ImmutableVector residuals
ImmutableVector z
GLMProblem problem
Beta beta
Residuals residuals
double AIC
Family family
double threshold
int maxIterations
com.numericalmethod.suanshu.stats.regression.linear.glm.IWLS.Run run
double overdispersion
double deviance
double[] deviances
ImmutableVector devianceResiduals
int m
E.g., When m = 1, the binomial variable can be 0 or 1. When m = 3, the variable can be 0, 1, 2, 3.
LinkFunction link
ProbabilityDistribution normal
QuasiGlmProblem problem
Beta beta
Residuals residuals
QuasiFamily quasiFamily
ImmutableVector z
LogisticProblem problem
Beta beta
Residuals residuals
double ML
double AIC
ImmutableVector devianceResiduals
double nullDeviance
double deviance
ImmutableVector t
ImmutableVector DFFITS
ImmutableVector cookDistances
ImmutableVector Hadi
double AIC
double BIC
LMProblem problem
Beta beta
Residuals residuals
Diagnostics diagnostics
InformationCriteria informationCriteria
ImmutableVector wFitted
ImmutableVector wResiduals
double stderr
double RSS
double TSS
double R2
double AR2
double f
mean of regression / mean squared error = sum((y_i_hat-y_mean)^2) / mean squared error [(TSS-RSS)/n] / [RSS/(m-n)]y_i_hat are the fitted values of the regression.
ImmutableMatrix hHat
ImmutableVector leverage
int n
int m
Resampling bootstrap
StatisticFactory factory
int B
double[] stats
boolean isParallel
double[] sample
RandomLongGenerator uniform
int index
int d
int size
StandardNormalRng rnorm
RandomWalk rw
DiscretizedSDE sde
TimeGrid timePoints
RandomLongGenerator uniform
long id
Vector x0
SDE sde
double t
Vector Wt
Vector mu
Matrix sigma
Matrix sigma
int N
double T0
double T
double dt
int N
int index
int size
StandardNormalRng rnorm
double mu
double sigma
RandomWalk rw
Integrator I
double t0
double t1
int n
int nSim
Mean mean
Variance var
double sum_BtDt
double sum_BtDt
double sum_tBtDt
double[] T
double[] dt
double[] B
double[] dB
Filtration FT
FiltrationFunction f
double value
double variance
DiscretizedSDE sde
TimeGrid timePoints
RandomLongGenerator uniform
long id
double x0
SDE sde
double dt
double Xt
double Zt
double t
double Wt
SDE sde
int k
int N
double testStatistics
double pValue
int n
int bigN
boolean rightTailApproximation
true if we use approximation for the right tail to speed up computation; up to 7 digit of accuracyint n
int bigN
n > bigN we use the asymptotic distributionKolmogorovSmirnov.Type type
KolmogorovSmirnov.Side side
double Dn
double Dnp
double Dnn
boolean ties
KolmogorovTwoSamplesDistribution.Side side
int bigN
n > bigN we use the asymptotic distributionint n1
int n2
int n
double[] samples
double K2
double Z1
double Z2
double pvalueZ1
double pvalueZ2
int nSim
int N
int nSim
ProbabilityDistribution norm
Polynomial p1
Polynomial p2
Polynomial p3
ProbabilityDistribution norm
Polynomial a_n
Polynomial a_nm1
int n
Polynomial mu1
Polynomial sigma1
Polynomial gamma
Polynomial mu2
Polynomial sigma2
ProbabilityDistribution norm
RandomLongGenerator rng
int[] rowSums
int[] colSums
int N
double[] logFactorials
ImmutableMatrix A
double prob
int df1
int df2
double df
double mean1
double var1
double mean2
double var2
double pValue1SidedLess
double pValue1SidedGreater
ProbabilityDistribution T
int length1
int length2
double pValue1SidedLess
double pValue1SidedGreater
double pValue1SidedLess
double pValue1SidedGreater
int M
int N
double[][][] distribution
double pValue1SidedLess
double pValue1SidedGreater
int N
double[][] distribution
boolean studentized
int K
int nAuxiliaryFactors
AugmentedDickeyFuller.TrendType trend
int nSim
int nT
The bigger nT is, the finer the time discretization is, the smaller the discretization error is, and the more accurate the results are.
int nT
The bigger nT is, the finer the time discretization is, the smaller the discretization error is, the more accurate the results are.
int nSim
long seed
int sampleSize
AugmentedDickeyFuller.TrendType trend
boolean lagAdjust
int lagOrder
int truncation
int nSim
AugmentedDickeyFuller.TrendType type
int lagOrder
int lag
double df
int df1
int df2
double df1
double df2
double estimate
double pValue1SidedLess
double pValue1SidedGreater
ProbabilityDistribution F
double df1
double df2
java.util.Map<K,V> map
org.joda.time.DateTime time
java.lang.Object value
ImmutableVector mu
ImmutableMatrix[] phi
int d
ImmutableMatrix[] theta
ImmutableMatrix psi
ImmutableMatrix sigma
Matrix[][] Theta
Θ in Eq. 11.4.23; note that Theta[0][0] is not used to agree with the indexing in Eq. 11.4.23
Matrix[] V
These are the covariance matrices for prediction errors at time t for X^t+1, for all t's. Each V is m x m.
MultiVariateTimeSeries XtHat
AutoCovariance cov
int nLags
Matrix[] ACVF
int m
int p
int q
int p1mm
LinearRepresentation linearRep
ImmutableMatrix[] PI
ImmutableMatrix[] PSI
com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.VARFitting.Estimators estimators
ImmutableVector mu
ImmutableMatrix pi
ImmutableMatrix[] gamma
ImmutableMatrix psi
ImmutableMatrix sigma
double mu
double[] AR
double[] MA
double[] psi
int d
double sigma
AutoCovariance acvf
double acvf0
TimeSeries xt
AutoCovariance.Type type
double mu
AutoCorrelation acf
java.util.ArrayList<E> phi
InnovationAlgorithm impl
TimeSeries trend
TimeSeries seasonal
TimeSeries random
AutoCorrelation ACF
AutoCovariance ACVF
double mu
com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arma.ConditionalSumOfSquares.Estimators estimators
int n
double maxLikelihood
double[] psi
the coefficients of the linear representation of the time series
int nparams
double var
GARCHModel fit
double a0
double[] a
null if no ARCH coefficientsdouble[] b
double[] sigma2
java.util.ArrayList<E> ts
java.lang.Object time
ImmutableVector value
java.util.ArrayList<E> ts
java.util.ArrayList<E> ts
java.lang.Object time
double value
MultiVariateTimeSeries<T extends java.lang.Comparable,E extends MultiVariateTimeSeries.Entry<T>> mts
int dim
java.util.ArrayList<E> ts
Vector v
double[] data
int length
VectorMathOperation math
java.util.List<E> basis
java.util.List<E> complement
int rank
double epsilon