Covariation Class Reference
Covariation process. More...
Inheritance diagram for Covariation:
Public Member Functions | |
| Covariation (StochasticProcess *x, StochasticProcess *y, string name="", const string &type="Covariation Process") | |
| Construct. More... | |
| ~Covariation () | |
| Destruct. | |
| void | prepareNextState () |
| Calculate next value. More... | |
 Public Member Functions inherited from StochasticProcess | |
| StochasticProcess (class Time *time, const string &name="", const string &type="Stochastic") | |
| Create. | |
| virtual | ~StochasticProcess () |
| Destroy. | |
| virtual void | proceedToNextState () |
| Proceed one time step. More... | |
| bool | isNextStatePrepared () |
| Whether. | |
| virtual double | getIncrement () |
| Returns the increment. More... | |
| virtual double | getCurrentValue () |
| Returns the value of the process. More... | |
| virtual double | getNextValue () |
| Returns the next value of the process. More... | |
| virtual void | setNextValue (double d) |
| Set the next value of the process. More... | |
| virtual void | setCurrentValue (double d) |
| Set the current value of the process. More... | |
| void | setDescription (string s) |
| Set stochastic description. | |
| virtual void | init () |
| Initialise time-dependent values. | |
| string | getDescription () |
| Get the name. More... | |
| Public Member Functions inherited from Parametric | |
| string | getType () const |
| Type of object. | |
| string | getName () const |
| Name of object. | |
| void | setName (const string &name) |
| Name of object. | |
| string | getConfiguration () const |
| Returns the configuration of the object. More... | |
| string | getAllParameters () const |
| String with all parameter settings. | |
| void | addParameter (const string &name) |
| Add a parameter. More... | |
| void | rmParameter (const string &name) |
| Remove a parameter. More... | |
| virtual void | setParameter (const string &name, const string &value) |
| Set parameter. More... | |
| virtual string | getParameter (const string &name) const |
| Get parameter. More... | |
| Public Member Functions inherited from TimeDependent | |
| TimeDependent (class Time *time) | |
| Construct. More... | |
| virtual class Time * | getTime () const |
| Return pointer to the time object. | |
| Public Member Functions inherited from Physical | |
| Physical () | |
| Construct. | |
| Physical (const Physical &) | |
| Copy. | |
| Physical (string name) | |
| Construct. | |
| Physical (string name, string unitPrefix, string unitSymbol) | |
| Construct. | |
| Physical (string name, Unit unit) | |
| Construct. | |
| virtual string | getPhysicalDescription () |
| Returns the physical description. More... | |
| virtual string | getUnitName () |
| Returns the unit name. | |
| virtual string | getUnitSymbol () |
| Returns the unit name. | |
| virtual void | setPhysicalDescription (string name) |
| Set the name. Same as setDescription(). More... | |
| virtual void | setUnit (Unit u) |
| Set the unit. | |
| virtual void | setUnitPrefix (int n) |
| Set unit prefix. More... | |
| virtual Unit | getUnit () const |
| Retrieve the unit. | |
Additional Inherited Members | |
| Protected Member Functions inherited from Parametric | |
| Parametric (const string &name, const string &type) | |
| Create object of type and name. | |
| virtual | ~Parametric () |
| Destroy object. | |
| Protected Attributes inherited from StochasticProcess | |
| double | stochCurrentValue |
| the current value | |
| double | stochNextValue |
| the next value (direct future) | |
| bool | stochNextStateIsPrepared |
| whether prepareNextState() was successful | |
| string | stochDescription |
| the name of the quantity | |
Detailed Description
Covariation process.
The covariation process of two stochastic processes 
and 
is defined as
![\[ \left[X,Y\right]_t = \int X_t dY_t + \int Y_t dX_t - X_tY_t. \]](form_4.png)
For deterministic processes this equals zero. The mean of this process is zero, if both processes and are uncorrelated. The mean can be tested using a ProcessEstimator. A covariation process can be used as integrator in differential equations. The Covariation class estimates the covariation process numerically, by using ![$\left[X,Y\right]_t = \int dX_t dY_t $](form_5.png)
.
Constructor & Destructor Documentation
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inline |
Construct.
This constructs a covariation prcoess of thwo stochastic processes. The resulting process is active by default, but can be set passive.
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Member Function Documentation
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inlinevirtual |
Calculate next value.
If the process is active, this is called automatically. If it is passive, call proceedToNextState() first, and then prepareNextState(), to complete a full step..
Reimplemented from StochasticProcess.
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