Package org.hipparchus.random

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 Summary

Constructors

Constructor	Description
GaussMarkovGenerator(double tau, double stationarySigma, RandomGenerator generator)	Create a new generator.

Method Summary

Modifier and Type	Method	Description
double	getStationarySigma()	Get the standard deviation of the stationary process.
double	getTau()	Get the correlation time.
double	next(double deltaT)	Generate next step in the autoregressive process.

Methods inherited from class java.lang.Object

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

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