Ar1Process.h

#ifndef UTIL_AR1_PROCESS_H
#define UTIL_AR1_PROCESS_H
 
/*
* Util Package - C++ Utilities for Scientific Computation
*
* Copyright 2010 - 2017, The Regents of the University of Minnesota
* Distributed under the terms of the GNU General Public License.
*/
 
#include <util/random/Random.h>
#include <cmath>
 
namespace Util
{

   class Ar1Process 
   {
   
   public:
   
      Ar1Process();
   
      Ar1Process(Random& random);

      void setRNG(Random& random);

      void init(double tau);

      double operator () ();
 
   private:
 
      double x_;
 
      double B_;
 
      double C_;
 
      Random* randomPtr_;
 
      bool isInitialized_;
 
   };
 
   inline double Ar1Process::operator() ()
   {
      assert(isInitialized_);
      x_ *= C_;
      x_ += B_*randomPtr_->gaussian();
      return x_;
   }
 
} 
#endif