Package org.hipparchus.random
Class GaussMarkovGenerator
java.lang.Object
org.hipparchus.random.GaussMarkovGenerator
This class is a Gauss-Markov order 1 autoregressive process generator for scalars.
- Since:
- 3.1
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Constructor Summary
ConstructorDescriptionGaussMarkovGenerator
(double tau, double stationarySigma, RandomGenerator generator) Create a new generator. -
Method Summary
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Constructor Details
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GaussMarkovGenerator
Create a new generator.- Parameters:
tau
- correlation timestationarySigma
- standard deviation of the stationary processgenerator
- underlying random generator to use
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Method Details
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getTau
public double getTau()Get the correlation time.- Returns:
- correlation time
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getStationarySigma
public double getStationarySigma()Get the standard deviation of the stationary process.- Returns:
- standard deviation of the stationary process
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next
public double next(double deltaT) Generate next step in the autoregressive process.- Parameters:
deltaT
- time step since previous estimate (unused at first call)- Returns:
- a random scalar obeying autoregressive model
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