Module net.finmath.lib
Class MonteCarloConditionalExpectationLinearRegressionFactory
- java.lang.Object
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- net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLinearRegressionFactory
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- 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
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Constructor Summary
Constructors Constructor Description MonteCarloConditionalExpectationLinearRegressionFactory()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description ConditionalExpectationEstimator
getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor)
Creates an object implementing aConditionalExpectationEstimator
for conditional expectation estimation.
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Method Detail
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getConditionalExpectationEstimator
public ConditionalExpectationEstimator getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor)
Description copied from interface:MonteCarloConditionalExpectationRegressionFactory
Creates an object implementing aConditionalExpectationEstimator
for conditional expectation estimation.- Specified by:
getConditionalExpectationEstimator
in interfaceMonteCarloConditionalExpectationRegressionFactory
- 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
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