Inverse-Gamma random walk around a fixed point. More...
#include <exp_family.h>
Public Member Functions | |
| migamma_ref () | |
| Constructor. | |
| void | set_parameters (double k0, vec ref0, double l0) |
Set value of k. | |
| void | condition (const vec &val) |
| 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 | |
| RV | _rv () const |
| RV | _rvc () |
| 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 | |
Inverse-Gamma random walk around a fixed point.
Mean value,
, of this density is given by a geometric combination of rvc and given fixed point,
.
is the coefficient of the geometric combimation
==== Check == vv = Standard deviation of the random walk is proportional to one
-th the mean. This is achieved by setting
and
.
The standard deviation of the walk is then:
.
| void bdm::migamma_ref::condition | ( | const vec & | cond | ) | [inline, virtual] |
Update iepdf so that it represents this mpdf conditioned on rvc = cond This function provides convenient reimplementation in offsprings
Reimplemented from bdm::migamma.
| void bdm::migamma_ref::from_setting | ( | const Setting & | set | ) | [virtual] |
UI for migamma_ref
The migamma_ref is constructed from a structure with fields:
system = {
type = "migamma_ref";
ref = [1e-5; 1e-5; 1e-2 1e-3]; // reference vector
l = 0.999; // constant l
k = 0.1; // constant k
// == OPTIONAL ==
// description of y variables
y = {type="rv"; names=["y", "u"];};
// description of u variable
u = {type="rv"; names=[];}
};
Result if
Reimplemented from bdm::mpdf.
References bdm::UI::get(), and set_parameters().
1.6.1