CorrelatedTimeSeries

This time series is built as a correlation of an other time series.

See http://www.sitmo.com/article/generating-correlated-random-numbers/ for explainations.

base: the time series generator on which this generator is based.
seed: the value used as seed for the random number generator. For a fixed seed and a fixed time series, the correlated values are deterministically generated.
rho: the correlation coefficient determining the *strongness* of the correlation. Must be in [0, 1]

Linear Supertypes

Serializable, Serializable, Product, Equals, TimeSeries[Double], AnyRef, Any

Instance Constructors

new CorrelatedTimeSeries(base: TimeSeries[Double], seed: Int, rho: Double)

base
the time series generator on which this generator is based.
seed
the value used as seed for the random number generator. For a fixed seed and a fixed time series, the correlated values are deterministically generated.
rho
the correlation coefficient determining the *strongness* of the correlation. Must be in [0, 1]

Value Members

final def !=(arg0: Any): Boolean

Definition Classes
AnyRef → Any
final def ##(): Int

Definition Classes
AnyRef → Any
final def ==(arg0: Any): Boolean

Definition Classes
AnyRef → Any
final def asInstanceOf[T0]: T0

Definition Classes
Any
val base: TimeSeries[Double]

the time series generator on which this generator is based.
def clone(): AnyRef

Attributes
protected[java.lang]
Definition Classes
AnyRef
Annotations
@throws( ... )
def compute(times: Stream[LocalDateTime]): Stream[(LocalDateTime, Option[Double])]

times
a series of time for which values must be computed. Each time must be greater than or equal to the previous one.
returns
the values associated to the specified times, if specified.

Definition Classes
CorrelatedTimeSeries → TimeSeries
final def eq(arg0: AnyRef): Boolean

Definition Classes
AnyRef
def finalize(): Unit

Attributes
protected[java.lang]
Definition Classes
AnyRef
Annotations
@throws( classOf[java.lang.Throwable] )
final def getClass(): Class[_]

Definition Classes
AnyRef → Any
final def isInstanceOf[T0]: Boolean

Definition Classes
Any
final def ne(arg0: AnyRef): Boolean

Definition Classes
AnyRef
final def notify(): Unit

Definition Classes
AnyRef
final def notifyAll(): Unit

Definition Classes
AnyRef
val rho: Double

the correlation coefficient determining the *strongness* of the correlation.
the correlation coefficient determining the *strongness* of the correlation. Must be in [0, 1]
val rho_square: Double
val seed: Int

the value used as seed for the random number generator.
the value used as seed for the random number generator. For a fixed seed and a fixed time series, the correlated values are deterministically generated.
final def synchronized[T0](arg0: ⇒ T0): T0

Definition Classes
AnyRef
final def wait(): Unit

Definition Classes
AnyRef
Annotations
@throws( ... )
final def wait(arg0: Long, arg1: Int): Unit

Definition Classes
AnyRef
Annotations
@throws( ... )
final def wait(arg0: Long): Unit

Definition Classes
AnyRef
Annotations
@throws( ... )

Related Doc: package composite

case class CorrelatedTimeSeries(base: TimeSeries[Double], seed: Int, rho: Double) extends TimeSeries[Double] with Product with Serializable

Instance Constructors

new CorrelatedTimeSeries(base: TimeSeries[Double], seed: Int, rho: Double)

Value Members

final def !=(arg0: Any): Boolean

final def ##(): Int

final def ==(arg0: Any): Boolean

final def asInstanceOf[T0]: T0

val base: TimeSeries[Double]

def clone(): AnyRef

def compute(times: Stream[LocalDateTime]): Stream[(LocalDateTime, Option[Double])]

final def eq(arg0: AnyRef): Boolean

def finalize(): Unit

final def getClass(): Class[_]

final def isInstanceOf[T0]: Boolean

final def ne(arg0: AnyRef): Boolean

final def notify(): Unit

final def notifyAll(): Unit

val rho: Double

val rho_square: Double

val seed: Int

final def synchronized[T0](arg0: ⇒ T0): T0

final def wait(): Unit

final def wait(arg0: Long, arg1: Int): Unit

final def wait(arg0: Long): Unit

Inherited from Serializable

Inherited from Serializable

Inherited from Product

Inherited from Equals

Inherited from TimeSeries[Double]

Inherited from AnyRef

Inherited from Any

Ungrouped