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SSJ is a Java library for stochastic simulation, developed under the direction of Pierre L'Ecuyer, in the Département d'Informatique et de Recherche Opérationnelle (DIRO), at the Université de Montréal. It provides facilities for generating uniform and nonuniform random variates, computing different measures related to probability distributions, performing goodness-of-fit tests, applying quasi-Monte Carlo methods, collecting (elementary) statistics, and programming discrete-event simulations with both events and processes.

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/*
 * Class:        VarianceGammaProcessDiffPCABridge
 * Description:  
 * Environment:  Java
 * Software:     SSJ 
 * Copyright (C) 2001  Pierre L'Ecuyer and Université de Montréal
 * Organization: DIRO, Université de Montréal
 * @authors      Jean-Sébastien Parent & Maxime Dion
 * @since        2008

 * SSJ is free software: you can redistribute it and/or modify it under
 * the terms of the GNU General Public License (GPL) as published by the
 * Free Software Foundation, either version 3 of the License, or
 * any later version.

 * SSJ is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.

 * A copy of the GNU General Public License is available at
   GPL licence site.
 */

package umontreal.iro.lecuyer.stochprocess;
import umontreal.iro.lecuyer.rng.*;



/**
 * Same as {@link VarianceGammaProcessDiff}, but the two
 * inner {@link GammaProcess}'es are of the type PCABridge.
 * Also, generatePath(double[] uniform01) distributes the
 * lowest coordinates uniforms to the inner
 * {@link GammaProcessPCABridge} according to their eigenvalues.
 * 
 */
public class VarianceGammaProcessDiffPCABridge extends
                                               VarianceGammaProcessDiffPCA  {




   /**
    * Constructs a new {@link VarianceGammaProcessDiffPCABridge} with 
    * parameters  
    * θ = theta, 
    * σ = sigma, 
    * ν = nu 
    * and initial value 
    * S(t₀) = s0.  There is only
    * one {@link umontreal.iro.lecuyer.rng.RandomStream RandomStream} here which is
    * used for the two inner {@link GammaProcessPCABridge}'s.  The other
    * parameters are set as in {@link VarianceGammaProcessDiff}.
    * 
    */
   public VarianceGammaProcessDiffPCABridge (double s0, double theta,
                                             double sigma, double nu,
                                             RandomStream stream)  {
     super(s0, theta, sigma, nu, 
	  new GammaProcessPCABridge (0.0, 1.0, 1.0, stream),
	  new GammaProcessPCABridge (0.0, 1.0, 1.0, stream));
    // Params mu, nu of the 2 gamma processes are redefined in init()
    // which will be called after a call to 'setObservTimes'
}

}