MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory (finmath lib 5.0.4 API)

java.lang.Object
- net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory

All Implemented Interfaces:

MonteCarloConditionalExpectationRegressionFactory
```
public class MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
extends Object
implements MonteCarloConditionalExpectationRegressionFactory
```
Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions. The regression only considers sample paths where \( - M < y_{i} < M \) where M is a multiple of the standard deviation of y.

Author:

Christian Fries

Constructor Summary

Constructors
Constructor Description

MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory(double standardDeviations)

Method Summary

All Methods Instance Methods Concrete Methods
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 Detail
  - MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
```
public MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory(double standardDeviations)
```
- Method Detail
  - 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.