Util::Ar1Process Class Reference

Generator for a discrete AR(1) Markov process. More...

#include <Ar1Process.h>

Public Member Functions
	Ar1Process ()
	Constructor. More...
	Ar1Process (Random &random)
	Constructor. More...
void	setRNG (Random &random)
	Associate a random number generator. More...
void	init (double tau)
	Initialize process. More...
double	operator() ()
	Generate and return a new value. More...

Detailed Description

Generator for a discrete AR(1) Markov process.

An auto-regressive AR(1) process is a discrete stationary Markov process x(n) with an autocorrelation function <x(n)*x(n+m)> = exp(-m/tau), where tau is a decay time. It is a discrete version of the Ornstein-Uhlenbeck continuous Markov process.

Definition at line 27 of file Ar1Process.h.

Constructor & Destructor Documentation

Ar1Process() [1/2]

Util::Ar1Process::Ar1Process

(

)

Constructor.

Definition at line 16 of file Ar1Process.cpp.

Ar1Process() [2/2]

Util::Ar1Process::Ar1Process

(

Random &

random

)

Constructor.

Parameters

random

associated random number generator.

Definition at line 27 of file Ar1Process.cpp.

Member Function Documentation

setRNG()

void Util::Ar1Process::setRNG

(

Random &

random

)

Associate a random number generator.

Parameters

random

associated random number generator.

Definition at line 38 of file Ar1Process.cpp.

init()

void Util::Ar1Process::init

(

double

tau

)

Initialize process.

Parameters

tau	decay time (in discrete steps)

Definition at line 46 of file Ar1Process.cpp.

References Util::Random::gaussian(), and UTIL_THROW.

operator()()

double Util::Ar1Process::operator() ( )

inline

Generate and return a new value.

Definition at line 77 of file Ar1Process.h.

References Util::Random::gaussian().

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

• Ar1Process.h
• Ar1Process.cpp