bdm::migamma_ref Class Reference

Inverse-Gamma random walk around a fixed point. More...

#include <exp_family.h>

List of all members.

Public Member Functions

migamma_ref ()

Constructor.

void set_parameters (double k0, vec ref0, double l0)

Set value of k.

void condition (const vec &val)

Update iepdf so that it represents this mpdf conditioned on rvc = cond This function provides convenient reimplementation in offsprings.

void from_setting (const Setting &set)

void set_parameters (int len, double k0)

Set value of k.

eigamma & e ()

access function to iepdf

vec samplecond (const vec &cond)

Reimplements samplecond using condition().

double evallogcond (const vec &val, const vec &cond)

Reimplements evallogcond using condition().

virtual vec evallogcond_m (const mat &Dt, const vec &cond)

Efficient version of evallogcond for matrices.

virtual vec evallogcond_m (const Array< vec > &Dt, const vec &cond)

Efficient version of evallogcond for Array<vec>.

virtual mat samplecond_m (const vec &cond, int N)

Efficient version of samplecond.

virtual string to_string ()

This method returns a basic info about the current instance.

virtual void to_setting (Setting &set) const

This method save all the instance properties into the Setting structure.

virtual void validate ()

This method TODO.

Access to attributes

const RV & _rv () const

const RV & _rvc () const

int dimension () const

int dimensionc ()

Connection to other objects

void set_rvc (const RV &rvc0)

void set_rv (const RV &rv0)

bool isnamed ()

Protected Member Functions

void set_ep (epdf &iepdf)

set internal pointer ep to point to given iepdf

void set_ep (epdf *iepdfp)

set internal pointer ep to point to given iepdf

Protected Attributes

double l

parameter l

vec refl

reference vector

double k

Constant $k$ .

vec & _alpha

cache of iepdf.alpha

vec & _beta

cache of iepdf.beta

eigamma iepdf

Internal epdf used for sampling.

int dimc

dimension of the condition

RV rvc

random variable in condition

Detailed Description

Inverse-Gamma random walk around a fixed point.

Mean value, $\mu$ , of this density is given by a geometric combination of rvc and given fixed point, $p$ . $l$ is the coefficient of the geometric combimation

$\mu = \mu_{t-1} ^{l} p^{1-l}$

==== Check == vv = Standard deviation of the random walk is proportional to one $k$ -th the mean. This is achieved by setting $\alpha=k$ and $\beta=k/\mu$ .

The standard deviation of the walk is then: $\mu/\sqrt(k)$ .

Member Function Documentation

void bdm::migamma_ref::from_setting ( const Setting & set ) [virtual]

Create inverse-Gamma density with conditional mean value

$f(rv|rvc) = i\Gamma(k, k/(rvc^l \circ ref^{(1-l)})$

from structure

                class = 'migamma_ref';
                ref = [1e-5; 1e-5; 1e-2 1e-3];            // reference vector
                l = 0.999;                                // constant l
                k = 0.1;                                  // constant k
                rv = RV({'name'})                         // description of RV
                rvc = RV({'name'})                        // description of RV in condition

Reimplemented from bdm::mpdf.

References bdm::UI::get(), and set_parameters().

The documentation for this class was generated from the following files:

exp_family.h
exp_family.cpp


Public Member Functions
	migamma_ref ()
	Constructor.
void	set_parameters (double k0, vec ref0, double l0)
	Set value of `k`.
void	condition (const vec &val)
	Update `iepdf` so that it represents this mpdf conditioned on `rvc` = cond This function provides convenient reimplementation in offsprings.
void	from_setting (const Setting &set)
void	set_parameters (int len, double k0)
	Set value of `k`.
eigamma &	e ()
	access function to iepdf
vec	samplecond (const vec &cond)
	Reimplements samplecond using `condition()`.
double	evallogcond (const vec &val, const vec &cond)
	Reimplements evallogcond using `condition()`.
virtual vec	evallogcond_m (const mat &Dt, const vec &cond)
	Efficient version of evallogcond for matrices.
virtual vec	evallogcond_m (const Array< vec > &Dt, const vec &cond)
	Efficient version of evallogcond for Array<vec>.
virtual mat	samplecond_m (const vec &cond, int N)
	Efficient version of samplecond.
virtual string	to_string ()
	This method returns a basic info about the current instance.
virtual void	to_setting (Setting &set) const
	This method save all the instance properties into the Setting structure.
virtual void	validate ()
	This method TODO.
Access to attributes
const RV &	_rv () const
const RV &	_rvc () const
int	dimension () const
int	dimensionc ()
Connection to other objects
void	set_rvc (const RV &rvc0)
void	set_rv (const RV &rv0)
bool	isnamed ()
Protected Member Functions
void	set_ep (epdf &iepdf)
	set internal pointer `ep` to point to given `iepdf`
void	set_ep (epdf *iepdfp)
	set internal pointer `ep` to point to given `iepdf`
Protected Attributes
double	l
	parameter l
vec	refl
	reference vector
double	k
	Constant .
vec &	_alpha
	cache of iepdf.alpha
vec &	_beta
	cache of iepdf.beta
eigamma	iepdf
	Internal epdf used for sampling.
int	dimc
	dimension of the condition
RV	rvc
	random variable in condition