bdm::migamma_ref Class Reference

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)
	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

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:

exp_family.h
exp_family.cpp

bdm::migamma_ref Class Reference

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Member Function Documentation