density::contAR2_t< scalartype_ > Class Template Reference

Continuous AR(2) process. More...

#include <density.hpp>

Public Member Functions
scalartype	operator() (vectortype x, vectortype dx)
	Evaluate the negative log density of the process x with nuisance parameters dx.

Detailed Description

template<class scalartype_>
class density::contAR2_t< scalartype_ >

Continuous AR(2) process.

Process with covariance satisfying the 2nd order ode 
rho''=c1*rho'-rho on an arbitrary irregular grid. 
(shape=c1/2, -1<shape<1). Initial condition rho(0)=1, rho'(0)=0,
rho''(0)=-1.

Process is augmented with derivatives in order to obtain exact sparseness of the full precision. That is, if a model is desired on a grid of size n, then additional n extra nuisance parameters must be supplied.

Parameters

grid_	Possibly irregular grid of length n
shape_	Parameter defining the shape of the correlation function.
scale_	Parameter defining the correlation range.

Definition at line 669 of file density.hpp.

---

The documentation for this class was generated from the following file:

• density.hpp