Module net.finmath.lib
Interface MonteCarloConditionalExpectationRegressionFactory
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- All Known Implementing Classes:
MonteCarloConditionalExpectationLinearRegressionFactory
,MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
public interface MonteCarloConditionalExpectationRegressionFactory
Interface implemented by classes providing aConditionalExpectationEstimator
for conditional expectation estimation.- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract 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
ConditionalExpectationEstimator getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor)
Creates an object implementing aConditionalExpectationEstimator
for conditional expectation estimation.- 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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