Module net.finmath.lib
Package net.finmath.montecarlo.conditionalexpectation

Interface MonteCarloConditionalExpectationRegressionFactory

All Known Implementing Classes:
MonteCarloConditionalExpectationLinearRegressionFactory, MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
public interface MonteCarloConditionalExpectationRegressionFactory
Interface implemented by classes providing a ConditionalExpectationEstimator for conditional expectation estimation.
Author:
Christian Fries

  • Method Details

    • getConditionalExpectationEstimator

      ConditionalExpectationEstimator getConditionalExpectationEstimator​(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor)
      Creates an object implementing a ConditionalExpectationEstimator 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.