net.finmath.montecarlo.conditionalexpectation

Class MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory

java.lang.Object

net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory

All Implemented Interfaces:

MonteCarloConditionalExpectationRegressionFactory

public class MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
extends Object
implements MonteCarloConditionalExpectationRegressionFactory

Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions. The regression only considers sample paths where \( - M < y_{i} < M \) where M is a multiple of the standard deviation of y.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory(double standardDeviations)

Method Summary

Modifier and Type	Method and Description
ConditionalExpectationEstimator	getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor) Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.

Methods inherited from class java.lang.Object

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

Constructor Detail

MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory

public MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory(double standardDeviations)

Method Detail

getConditionalExpectationEstimator

public ConditionalExpectationEstimator getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator,
                                                                          RandomVariable[] basisFunctionsPredictor)

Description copied from interface: MonteCarloConditionalExpectationRegressionFactory

Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.

Specified by:

getConditionalExpectationEstimator in interface MonteCarloConditionalExpectationRegressionFactory

Parameters:

basisFunctionsEstimator - A vector of random variables to be used as basis functions for estimation.

basisFunctionsPredictor - A vector of random variables to be used as basis functions for prediction.

Returns:

An object implementing a ConditionalExpectationEstimator.