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.
eigammae ()
 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]

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().


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

Generated on Sun Sep 13 22:40:44 2009 for mixpp by  doxygen 1.6.1