WhiteNoise¶

class WhiteNoise(*args)¶

White Noise process.

Parameters

distributionDistribution: Distribution of dimension $d$ of the white noise process.
meshMesh, optional: Mesh in $\Rset^n$ over which the process is discretized. By default, the mesh is reduced to one point in $\Rset$ which coordinate is equal to 0.

Notes

A second order white noise $\varepsilon: \Omega \times \cD \rightarrow \Rset^d$ is a stochastic process of dimension $d$ such that the covariance function $C(\vect{s},\vect{t})=\delta(\vect{t}-\vect{s})C(\vect{s},\vect{s})$ where $C(\vect{s},\vect{s})$ is the covariance matrix of the process at vertex $\vect{s}$ and $\delta$ the Kroenecker function.

A process $\varepsilon$ is a white noise if all finite family of locations $(\vect{t}_i)_{i=1, \dots, n} \in \cD$ , $(\varepsilon_{\vect{t}_i})_{i=1, \dots, n}$ is independent and identically distributed.

Examples

Create a normal normal white noise of dimension 1:

>>> import openturns as ot
>>> myDist = ot.Normal()
>>> myMesh = ot.IntervalMesher([10]*2).build(ot.Interval([0.0]*2, [1.0]*2))
>>> myWN = ot.WhiteNoise(myDist, myMesh)

Get a realization:

>>> myReal =myWN.getRealization()

Methods

`getClassName`()	Accessor to the object’s name.
`getContinuousRealization`()	Get a continuous realization.
`getCovarianceModel`()	Accessor to the covariance model.
`getDescription`()	Get the description of the process.
`getDistribution`()	Accessor to the distribution.
`getFuture`(*args)	Prediction of the $N$ future iterations of the process.
`getId`()	Accessor to the object’s id.
`getInputDimension`()	Get the dimension of the domain $\cD$ .
`getMarginal`(indices)	Accessor to the marginal process.
`getMesh`()	Get the mesh.
`getName`()	Accessor to the object’s name.
`getOutputDimension`()	Get the dimension of the domain $\cD$ .
`getRealization`()	Get a realization of the process.
`getSample`(size)	Get $n$ realizations of the process.
`getShadowedId`()	Accessor to the object’s shadowed id.
`getTimeGrid`()	Get the time grid of observation of the process.
`getTrend`()	Accessor to the trend.
`getVisibility`()	Accessor to the object’s visibility state.
`hasName`()	Test if the object is named.
`hasVisibleName`()	Test if the object has a distinguishable name.
`isComposite`()	Test whether the process is composite or not.
`isNormal`()	Test whether the process is normal or not.
`isStationary`()	Test whether the process is stationary or not.
`setDescription`(description)	Set the description of the process.
`setDistribution`(distribution)	Accessor to the distribution.
`setMesh`(mesh)	Set the mesh.
`setName`(name)	Accessor to the object’s name.
`setShadowedId`(id)	Accessor to the object’s shadowed id.
`setTimeGrid`(timeGrid)	Set the time grid of observation of the process.
`setVisibility`(visible)	Accessor to the object’s visibility state.

__init__(*args)¶: Initialize self. See help(type(self)) for accurate signature.

getClassName()¶

Accessor to the object’s name.

Returns

class_namestr: The object class name (object.__class__.__name__).

getContinuousRealization()¶

Get a continuous realization.

Returns

realizationFunction

According to the process, the continuous realizations are built:

either using a dedicated functional model if it exists: e.g. a functional basis process.
or using an interpolation from a discrete realization of the process on $\cM$ : in dimension $d=1$ , a linear interpolation and in dimension $d \geq 2$ , a piecewise constant function (the value at a given position is equal to the value at the nearest vertex of the mesh of the process).

getCovarianceModel()¶

Accessor to the covariance model.

Returns

cov_modelCovarianceModel: Covariance model, if any.

getDescription()¶

Get the description of the process.

Returns

descriptionDescription: Description of the process.

getDistribution()¶

Accessor to the distribution.

Returns

distributionDistribution: The distribution of dimension $d$ of the white noise.

getFuture(*args)¶

Prediction of the $N$ future iterations of the process.

Parameters

stepNumberint, $N \geq 0$: Number of future steps.
sizeint, $size \geq 0$ , optional: Number of futures needed. Default is 1.

Returns

predictionProcessSample or TimeSeries: $N$ future iterations of the process. If $size = 1$ , prediction is a TimeSeries. Otherwise, it is a ProcessSample.

getId()¶

Accessor to the object’s id.

Returns

idint: Internal unique identifier.

getInputDimension()¶

Get the dimension of the domain $\cD$ .

Returns

nint: Dimension of the domain $\cD$ : $n$ .

getMarginal(indices)¶

Accessor to the marginal process.

Parameters

Ninteger: The index of the marginal to be extracted.
indicesIndices, optional: The list of the indexes of the marginal to be extracted.

Returns

wnWhiteNoise: The marginal white noise.

getMesh()¶

Get the mesh.

Returns

meshMesh: Mesh over which the domain $\cD$ is discretized.

getName()¶

Accessor to the object’s name.

Returns

namestr: The name of the object.

getOutputDimension()¶

Get the dimension of the domain $\cD$ .

Returns

dint: Dimension of the domain $\cD$ .

getRealization()¶

Get a realization of the process.

Returns

realizationField: Contains a mesh over which the process is discretized and the values of the process at the vertices of the mesh.

getSample(size)¶

Get $n$ realizations of the process.

Parameters

nint, $n \geq 0$: Number of realizations of the process needed.

Returns

processSampleProcessSample: $n$ realizations of the random process. A process sample is a collection of fields which share the same mesh $\cM \in \Rset^n$ .

getShadowedId()¶

Accessor to the object’s shadowed id.

Returns

idint: Internal unique identifier.

getTimeGrid()¶

Get the time grid of observation of the process.

Returns

timeGridRegularGrid: Time grid of a process when the mesh associated to the process can be interpreted as a RegularGrid. We check if the vertices of the mesh are scalar and are regularly spaced in $\Rset$ but we don’t check if the connectivity of the mesh is conform to the one of a regular grid (without any hole and composed of ordered instants).

getTrend()¶

Accessor to the trend.

Returns

trendTrendTransform: Trend, if any.

getVisibility()¶

Accessor to the object’s visibility state.

Returns

visiblebool: Visibility flag.

hasName()¶

Test if the object is named.

Returns

hasNamebool: True if the name is not empty.

hasVisibleName()¶

Test if the object has a distinguishable name.

Returns

hasVisibleNamebool: True if the name is not empty and not the default one.

isComposite()¶

Test whether the process is composite or not.

Returns

isCompositebool: True if the process is composite (built upon a function and a process).

isNormal()¶

Test whether the process is normal or not.

Returns

isNormalbool: True if the process is normal.

Notes

A stochastic process is normal if all its finite dimensional joint distributions are normal, which means that for all $k \in \Nset$ and $I_k \in \Nset^*$ , with $cardI_k=k$ , there is $\vect{m}_1, \dots, \vect{m}_k \in \Rset^d$ and $\mat{C}_{1,\dots,k}\in\mathcal{M}_{kd,kd}(\Rset)$ such that:

$\Expect{\exp\left\{i\Tr{\vect{X}}_{I_k} \vect{U}_{k} \right\}} = \exp{\left\{i\Tr{\vect{U}}_{k}\vect{M}_{k}-\frac{1}{2}\Tr{\vect{U}}_{k}\mat{C}_{1,\dots,k}\vect{U}_{k}\right\}}$

where $\Tr{\vect{X}}_{I_k} = (\Tr{X}_{\vect{t}_1}, \hdots, \Tr{X}_{\vect{t}_k})$ , $\\Tr{vect{U}}_{k} = (\Tr{\vect{u}}_{1}, \hdots, \Tr{\vect{u}}_{k})$ and $\Tr{\vect{M}}_{k} = (\Tr{\vect{m}}_{1}, \hdots, \Tr{\vect{m}}_{k})$ and $\mat{C}_{1,\dots,k}$ is the symmetric matrix:

$\mat{C}_{1,\dots,k} = \left( \begin{array}{cccc} C(\vect{t}_1, \vect{t}_1) &C(\vect{t}_1, \vect{t}_2) & \hdots & C(\vect{t}_1, \vect{t}_{k}) \\ \hdots & C(\vect{t}_2, \vect{t}_2) & \hdots & C(\vect{t}_2, \vect{t}_{k}) \\ \hdots & \hdots & \hdots & \hdots \\ \hdots & \hdots & \hdots & C(\vect{t}_{k}, \vect{t}_{k}) \end{array} \right)$

A Gaussian process is entirely defined by its mean function $m$ and its covariance function $C$ (or correlation function $R$ ).

isStationary()¶

Test whether the process is stationary or not.

Returns

isStationarybool: True if the process is stationary.

Notes

A process $X$ is stationary if its distribution is invariant by translation: $\forall k \in \Nset$ , $\forall (\vect{t}_1, \dots, \vect{t}_k) \in \cD$ , $\forall \vect{h}\in \Rset^n$ , we have:

$(X_{\vect{t}_1}, \dots, X_{\vect{t}_k}) \stackrel{\mathcal{D}}{=} (X_{\vect{t}_1+\vect{h}}, \dots, X_{\vect{t}_k+\vect{h}})$

setDescription(description)¶

Set the description of the process.

Parameters

descriptionsequence of str: Description of the process.

setDistribution(distribution)¶

Accessor to the distribution.

Parameters

distributionDistribution: The distribution of dimension $d$ of the white noise.

setMesh(mesh)¶

Set the mesh.

Parameters

meshMesh: Mesh over which the domain $\cD$ is discretized.

setName(name)¶

Accessor to the object’s name.

Parameters

namestr: The name of the object.

setShadowedId(id)¶

Accessor to the object’s shadowed id.

Parameters

idint: Internal unique identifier.

setTimeGrid(timeGrid)¶

Set the time grid of observation of the process.

Returns

timeGridRegularGrid: Time grid of observation of the process when the mesh associated to the process can be interpreted as a RegularGrid. We check if the vertices of the mesh are scalar and are regularly spaced in $\Rset$ but we don’t check if the connectivity of the mesh is conform to the one of a regular grid (without any hole and composed of ordered instants).

setVisibility(visible)¶

Accessor to the object’s visibility state.

Parameters

visiblebool: Visibility flag.

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An Open source initiative for the Treatment of Uncertainties, Risks'N Statistics

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