bdm::PdfDS Class Reference

Simulate data from conditional density. More...

#include <datasources.h>

List of all members.

Detailed Description

Simulate data from conditional density.

Data are simulated by sampling from conditional pdf.

The condition can be of two types:

1. delayed output values: these are cached internally, initiated via init_rv and init_values.
2. input values: remaining RVs in the rvc of the given pdf are considered to be inputs and are declared as urv

Note: a classical state-space model can be simulated as an instance of this case since it can be seen as a chain rule on state-evolution pdf and observation pdf. See class bdm::mprod and other offsprings of pdf.

Member Function Documentation

    class = 'PdfDS';
    pdf = configuration of bdm::pdf;          % any offspring of pdf, bdm::pdf::from_setting
    --- optional fields ---
    init_rv = RV({'names',...},[sizes,...],[times,...]);   % define what rv to initialize - typically delayed values, time=-1, etc.!
    init_values = [...];                      % vector of initial values corresponding to init_rv

• datasources.h
• datasources.cpp