Class CompositeStochasticProcess

Inheritance Relationships

Base Type

Class Documentation

class CompositeStochasticProcess : public otyca::StochasticProcess

A composite stochastic process combining multiple StochasticProcess components.

This class represents a collection of stochastic processes, allowing the user to build complex models by combining simpler components. Each component can contribute to the overall characteristic function and its derivatives.

Public Functions

inline virtual CompositeStochasticProcess *clone() const

Clone this process.

Returns:

A deep copy of the current CompositeStochasticProcess instance.

inline CompositeStochasticProcess()

Default constructor.

inline CompositeStochasticProcess(const CompositeStochasticProcess &other)

Copy constructor.

Parameters:

other – The process to copy from.

virtual arma::cx_mat characteristic_function(const arma::cx_colvec &u, const arma::rowvec &t) const override

Computes the characteristic function.

Parameters:

  • u – Complex-valued column vector of Fourier arguments.

  • t – Row vector of time points.

Returns:

A characteristic function matrix where rows correspond to u and columns to t.

virtual std::vector<arma::cx_mat> characteristic_function_derivatives(const arma::cx_colvec &u, const arma::rowvec &t) const override

Computes the characteristic function’s derivatives to process parameters.

Parameters:

  • u – Complex-valued column vector of Fourier arguments.

  • t – Row vector of time points.

Returns:

A vector of characteristic function matrices with each matrix is the characteristic function’s derivatives to each process parameter

void add_component(std::shared_ptr<StochasticProcess> component)

Add a component process to the composite.

Parameters:

component – Shared pointer to a StochasticProcess instance.

virtual void set_transformed_calibration_parameters(const std::vector<double> &transformed_parameters)

Set transformed parameters for all components.

Parameters:

transformed_parameters – A flat vector of transformed parameters.

virtual void set_calibration_parameters(const std::vector<double> &parameters)

set the calibration parameters.

Parameters:

calibration_parameters – the calibration parameters

virtual void set_parameters(const std::vector<double> &parameters)

Set raw (untransformed) parameters for all components.

Parameters:

parameters – A flat vector of raw parameters.

virtual std::vector<double> get_transformed_calibration_parameters() const

Get the transformed parameters of the composite process.

Returns:

A flat vector of all transformed parameters.

virtual std::vector<double> get_calibration_parameters() const

Get the calibration parameters of the composite process.

Returns:

A flat vector of all calibration parameters.

virtual std::vector<double> transformation_derivatives() const

Get the derivatives of the transformation function.

Returns:

A vector of partial derivatives of the transformation with respect to the parameters.

virtual std::vector<double> get_parameters() const

Get raw parameters of the composite process.

Returns:

A flat vector of raw parameters.

virtual std::vector<std::string> get_parameter_names() const

Get names of parameters in the composite process.

Returns:

A vector of parameter names.

virtual std::vector<double> get_transformed_calibration_parameter_variances() const

Get variances of the transformed parameters.

Returns:

A vector of parameter variances.

virtual std::string name() const

Get a human-readable name of this process.

Returns:

Name string.

virtual std::string specification() const

Get a textual specification of the composite structure.

Returns:

Specification string (e.g., “lcir(mt+bm)+kou”).

virtual std::ostream &print(std::ostream &out) const

Print the process to an output stream.

Parameters:

out – Output stream.

Returns:

The output stream with process info written.

inline std::vector<std::shared_ptr<StochasticProcess>> get_components() const

Get all components in this composite process.

Returns:

Vector of shared pointers to the component processes.