Package jline.api.npfqn

Class Npfqn_rqna_weight

java.lang.Object

jline.api.npfqn.Npfqn_rqna_weight

public final class Npfqn_rqna_weight
extends Object

Method Summary

Modifier and Type	Method	Description
static double	npfqn_rqna_weight(double t)	Canonical RBM correlation weight function w*(t).
static double[]	npfqn_rqna_weight(double[] t)	Vector form of the RBM correlation weight function.

Methods inherited from class java.lang.Object

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

Method Details

npfqn_rqna_weight

public static double npfqn_rqna_weight(double t)

Canonical RBM correlation weight function w*(t). w*(t) = 1 - (1 - c*(t))/(2 t), where c*(t) is the correlation function of the stationary version of canonical reflected Brownian motion (drift -1, diffusion coefficient 1), c*(t) = 2(1 - 2t - t^2) Phi^c(sqrt(t)) + 2 sqrt(t) phi(sqrt(t)) (1 + t), with Phi^c the standard-normal complementary cdf and phi its density. The weight is monotonically increasing with w*(0)=0 and w*(Inf)=1. Reference: Whitt and You (2018), eqs. (24)-(25).

Parameters:

t - nonnegative time argument

Returns:

the weight w*(t) in [0,1]

npfqn_rqna_weight

public static double[] npfqn_rqna_weight(double[] t)

Vector form of the RBM correlation weight function.

Parameters:

t - array of nonnegative time arguments

Returns:

array of weights w*(t), same length as t