PrincipalFactorSequenceGenerator

java.lang.Object

org.drip.sequence.random.MultivariateSequenceGenerator

org.drip.sequence.random.PrincipalFactorSequenceGenerator

public class PrincipalFactorSequenceGenerator
extends MultivariateSequenceGenerator

PrincipalFactorSequenceGenerator implements the Principal Factors Based Multivariate Random Sequence Generator Functionality.

Module = Numerical Core Module
Library = Statistical Learning Library
Project = Sequence
Package = Random

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors
Constructor	Description
`PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[] aUSG, double[][] aadblCorrelation, int iNumFactor)`	PrincipalFactorSequenceGenerator Constructor

Method Summary

Modifier and Type	Method	Description
`double[][]`	`factors()`	Retrieve the Principal Component Factor Array
`double[]`	`factorWeight()`	Retrieve the Array of Factor Weights
`int`	`numFactor()`	Retrieve the Number of Factors
`double[]`	`random()`	Generate the Set of Multivariate Random Numbers according to the specified rule

Methods inherited from class org.drip.sequence.random.MultivariateSequenceGenerator

cholesky, correlation, numVariate, usg

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- PrincipalFactorSequenceGenerator
  
  public PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[] aUSG, double[][] aadblCorrelation, int iNumFactor) throws java.lang.Exception
  
  PrincipalFactorSequenceGenerator Constructor
  
  Parameters:
  
  aUSG - Array of Univariate Sequence Generators
  
  aadblCorrelation - The Correlation Matrix
  
  iNumFactor - Number of Factors
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are invalid
Method Details
- numFactor
  
  public int numFactor()
  
  Retrieve the Number of Factors
  
  Returns:
  
  The Number of Factors
- factors
  
  public double[][] factors()
  
  Retrieve the Principal Component Factor Array
  
  Returns:
  
  The Principal Component Factor Array
- factorWeight
  
  public double[] factorWeight()
  
  Retrieve the Array of Factor Weights
  
  Returns:
  
  The Array of Factor Weights
- random
  
  public double[] random()
  
  Description copied from class: MultivariateSequenceGenerator
  
  Generate the Set of Multivariate Random Numbers according to the specified rule
  
  Overrides:
  
  random in class MultivariateSequenceGenerator
  
  Returns:
  
  The Set of Multivariate Random Numbers