Package jline.api.mam

Class Map_exp_mul_intKt

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    • Method Summary

      Modifier and Type Method Description
      final static Double map_exp_mul_int(Matrix A0, Matrix A1, Matrix B0, Matrix B1, Integer L, Matrix alA, Matrix alB) Computes the inner product of lag-L joint densities of two MAPs.

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        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

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    • Method Detail

      • map_exp_mul_int

         final static Double map_exp_mul_int(Matrix A0, Matrix A1, Matrix B0, Matrix B1, Integer L, Matrix alA, Matrix alB)

        Computes the inner product of lag-L joint densities of two MAPs.

        Uses a recursive scheme based on solving continuous Sylvester equations: Z_1 = sylv(B0', A0, alB' * alA) Z_i = sylv(B0', A0, B1' * Z_{i-1} * A1) for i = 2, ..., L The result is exitB' * Z_L * exitA, where exitA = -A0 * e, exitB = -B0 * e.

        Parameters:
        A0 - hidden transition matrix of the first MAP
        A1 - visible transition matrix of the first MAP
        B0 - hidden transition matrix of the second MAP
        B1 - visible transition matrix of the second MAP
        L - number of inter-arrival intervals (lag parameter)
        alA - stationary vector at arrivals of the first MAP
        alB - stationary vector at arrivals of the second MAP
        Returns:

        the inner product value (scalar)