Module net.finmath.lib

Package net.finmath.montecarlo.conditionalexpectation

Class MonteCarloConditionalExpectationLinearRegressionFactory

java.lang.Object

net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLinearRegressionFactory

All Implemented Interfaces:

MonteCarloConditionalExpectationRegressionFactory

public class MonteCarloConditionalExpectationLinearRegressionFactory
extends Object
implements MonteCarloConditionalExpectationRegressionFactory

Provides a linear regression for a vector of regression basis functions.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
MonteCarloConditionalExpectationLinearRegressionFactory()

Method Summary

Modifier and Type	Method	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 Details

MonteCarloConditionalExpectationLinearRegressionFactory

public MonteCarloConditionalExpectationLinearRegressionFactory()

Method Details

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.