net.finmath.montecarlo.conditionalexpectation

Interface MonteCarloConditionalExpectationRegressionFactory

All Known Implementing Classes:

MonteCarloConditionalExpectationLinearRegressionFactory, MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory

public interface MonteCarloConditionalExpectationRegressionFactory

Interface implemented by classes providing a ConditionalExpectationEstimator for conditional expectation estimation.

Author:

Christian Fries

Method Summary

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

Method Detail

getConditionalExpectationEstimator

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

Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.

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.