Class GaussMarkovGenerator

java.lang.Object
org.hipparchus.random.GaussMarkovGenerator

public class GaussMarkovGenerator extends Object
This class is a Gauss-Markov order 1 autoregressive process generator for scalars.
Since:
3.1
  • Constructor Details

    • GaussMarkovGenerator

      public GaussMarkovGenerator(double tau, double stationarySigma, RandomGenerator generator)
      Create a new generator.
      Parameters:
      tau - correlation time
      stationarySigma - standard deviation of the stationary process
      generator - underlying random generator to use
  • Method Details

    • getTau

      public double getTau()
      Get the correlation time.
      Returns:
      correlation time
    • getStationarySigma

      public double getStationarySigma()
      Get the standard deviation of the stationary process.
      Returns:
      standard deviation of the stationary process
    • 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