Packages

  • package root
    Definition Classes
    root
  • package dlm
    Definition Classes
    root
  • package core
    Definition Classes
    dlm
  • package model
    Definition Classes
    core
  • object DlmFsvSystem

    Fit a DLM with the system variance modelled using an FSV model and latent log volatility modelled using continuous time Ornstein-Uhlenbeck process

    Fit a DLM with the system variance modelled using an FSV model and latent log volatility modelled using continuous time Ornstein-Uhlenbeck process

    Definition Classes
    model
  • State

case class State(p: DlmFsvParameters, theta: Vector[SamplingState], factors: Vector[(Double, Option[DenseVector[Double]])], volatility: Vector[SamplingState]) extends Product with Serializable

The state of the Gibbs Sampler

p

the current parameters of the MCMC

theta

the current state of the mean latent state (DLM state) of the DLM FSV model

factors

the factors of the observation model

volatility

the log-volatility of the system variance

Linear Supertypes
Serializable, Serializable, Product, Equals, AnyRef, Any
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Instance Constructors

  1. new State(p: DlmFsvParameters, theta: Vector[SamplingState], factors: Vector[(Double, Option[DenseVector[Double]])], volatility: Vector[SamplingState])

    p

    the current parameters of the MCMC

    theta

    the current state of the mean latent state (DLM state) of the DLM FSV model

    factors

    the factors of the observation model

    volatility

    the log-volatility of the system variance

Value Members

  1. final def !=(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  2. final def ##(): Int
    Definition Classes
    AnyRef → Any
  3. final def ==(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  4. final def asInstanceOf[T0]: T0
    Definition Classes
    Any
  5. def clone(): AnyRef
    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @native() @throws( ... )
  6. final def eq(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  7. val factors: Vector[(Double, Option[DenseVector[Double]])]
  8. def finalize(): Unit
    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @throws( classOf[java.lang.Throwable] )
  9. final def getClass(): Class[_]
    Definition Classes
    AnyRef → Any
    Annotations
    @native()
  10. final def isInstanceOf[T0]: Boolean
    Definition Classes
    Any
  11. final def ne(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  12. final def notify(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native()
  13. final def notifyAll(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native()
  14. val p: DlmFsvParameters
  15. final def synchronized[T0](arg0: ⇒ T0): T0
    Definition Classes
    AnyRef
  16. val theta: Vector[SamplingState]
  17. val volatility: Vector[SamplingState]
  18. final def wait(): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )
  19. final def wait(arg0: Long, arg1: Int): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )
  20. final def wait(arg0: Long): Unit
    Definition Classes
    AnyRef
    Annotations
    @native() @throws( ... )

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Inherited from AnyRef

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