ts-math/lib/brownianBridge.d.ts

A collection of math functions and packages written in Typescript

interface BridgeStep {
    index: number;
    sortOrder: number;
    time: number;
    startTime: number;
    endTime: number;
}
/** Calculates the intermediate value at d, between start point (d0, s0) and end point (dT, sT)
 * rnd is N(0,1), sigma is standard deviation
 */
export declare function brownianBridge(d: number, s0: number, sT: number, t0: number, tT: number, rnd: number): number;
export declare class BrownianBridge {
    constructor(dim: number);
    steps: BridgeStep[];
    dim: number;
    calculateSample(rnds: number[]): any[];
}
/**
 * createNormalSamples genrates normally distributed samples. They are correlated if parameter
 * corrs is passed as a square matrix number[][].
 * @param nSamples Number of samples to be returned.
 * @param nDim Number of dimensions.
 * @param corrs Correlation matrix, a square {nDim x nDim} matrix.
 * @returns samples as a number[][] matrix, nSamples rows and nDim columns.
 */
export declare function createNormalSamples(nSamples: number, nDim: number, corrs?: number[][] | null): any[];
export {};