SSJ
V. 2.6.

umontreal.iro.lecuyer.probdist
Class InverseGammaDist

java.lang.Object
  extended by umontreal.iro.lecuyer.probdist.ContinuousDistribution
      extended by umontreal.iro.lecuyer.probdist.InverseGammaDist
All Implemented Interfaces:
Distribution

public class InverseGammaDist
extends ContinuousDistribution

Extends the class ContinuousDistribution for the inverse gamma distribution with shape parameter α > 0 and scale parameter β > 0. The density function is given by

f (x) = (βαexp-β/x)/(xα+1Γ(α))        for x > 0,

and f (x) = 0 otherwise, where Γ is the gamma function. The distribution function is given by

F(x) = 1 - FG(1/x),    for x > 0,

and F(x) = 0 otherwise, where FG(x) is the distribution function of a gamma distribution with shape parameter α and scale parameter β.


Field Summary
 
Fields inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution
decPrec
 
Constructor Summary
InverseGammaDist(double alpha, double beta)
          Constructs an InverseGammaDist object with parameters α = alpha and β = beta.
 
Method Summary
 double barF(double x)
          Returns the complementary distribution function.
static double barF(double alpha, double beta, double x)
          Computes the complementary distribution function of the inverse gamma distribution with shape parameter α and scale parameter β.
 double cdf(double x)
          Returns the distribution function F(x).
static double cdf(double alpha, double beta, double x)
          Computes the cumulative probability function of the inverse gamma distribution with shape parameter α and scale parameter β.
 double density(double x)
          Returns f (x), the density evaluated at x.
static double density(double alpha, double beta, double x)
          Computes the density function of the inverse gamma distribution with shape parameter α and scale parameter β.
 double getAlpha()
          Returns the α parameter of this object.
 double getBeta()
          Returns the β parameter of this object.
static InverseGammaDist getInstanceFromMLE(double[] x, int n)
          Creates a new instance of the inverse gamma distribution with parameters α and β estimated using the maximum likelihood method based on the n observations x[i], i = 0, 1,…, n - 1.
 double getMean()
          Returns the mean.
static double getMean(double alpha, double beta)
          Returns the mean E[X] = β/(α - 1) of the inverse gamma distribution with shape parameter α and scale parameter β.
static double[] getMLE(double[] x, int n)
          Estimates the parameters (α, β) of the inverse gamma distribution using the maximum likelihood method, from the n observations x[i], i = 0, 1,…, n - 1.
 double[] getParams()
          Returns a table containing the parameters of the current distribution.
 double getStandardDeviation()
          Returns the standard deviation.
static double getStandardDeviation(double alpha, double beta)
          Returns the standard deviation of the inverse gamma distribution with shape parameter α and scale parameter β.
 double getVariance()
          Returns the variance.
static double getVariance(double alpha, double beta)
          Returns the variance Var[X] = β2/((α -1)2(α - 2)) of the inverse gamma distribution with shape parameter α and scale parameter β.
 double inverseF(double u)
          Returns the inverse distribution function x = F-1(u).
static double inverseF(double alpha, double beta, double u)
          Computes the inverse distribution function of the inverse gamma distribution with shape parameter α and scale parameter β.
 void setParam(double alpha, double beta)
          Sets the parameters α and β of this object.
 String toString()
           
 
Methods inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution
getXinf, getXsup, inverseBisection, inverseBrent, setXinf, setXsup
 
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, wait, wait, wait
 

Constructor Detail

InverseGammaDist

public InverseGammaDist(double alpha,
                        double beta)
Constructs an InverseGammaDist object with parameters α = alpha and β = beta.

Method Detail

density

public double density(double x)
Description copied from class: ContinuousDistribution
Returns f (x), the density evaluated at x.

Specified by:
density in class ContinuousDistribution
Parameters:
x - value at which the density is evaluated
Returns:
density function evaluated at x

cdf

public double cdf(double x)
Description copied from interface: Distribution
Returns the distribution function F(x).

Parameters:
x - value at which the distribution function is evaluated
Returns:
distribution function evaluated at x

barF

public double barF(double x)
Description copied from class: ContinuousDistribution
Returns the complementary distribution function. The default implementation computes bar(F)(x) = 1 - F(x).

Specified by:
barF in interface Distribution
Overrides:
barF in class ContinuousDistribution
Parameters:
x - value at which the complementary distribution function is evaluated
Returns:
complementary distribution function evaluated at x

inverseF

public double inverseF(double u)
Description copied from class: ContinuousDistribution
Returns the inverse distribution function x = F-1(u). Restrictions: u∈[0, 1].

Specified by:
inverseF in interface Distribution
Overrides:
inverseF in class ContinuousDistribution
Parameters:
u - value at which the inverse distribution function is evaluated
Returns:
the inverse distribution function evaluated at u

getMean

public double getMean()
Description copied from class: ContinuousDistribution
Returns the mean.

Specified by:
getMean in interface Distribution
Overrides:
getMean in class ContinuousDistribution
Returns:
the mean

getVariance

public double getVariance()
Description copied from class: ContinuousDistribution
Returns the variance.

Specified by:
getVariance in interface Distribution
Overrides:
getVariance in class ContinuousDistribution
Returns:
the variance

getStandardDeviation

public double getStandardDeviation()
Description copied from class: ContinuousDistribution
Returns the standard deviation.

Specified by:
getStandardDeviation in interface Distribution
Overrides:
getStandardDeviation in class ContinuousDistribution
Returns:
the standard deviation

density

public static double density(double alpha,
                             double beta,
                             double x)
Computes the density function of the inverse gamma distribution with shape parameter α and scale parameter β.


cdf

public static double cdf(double alpha,
                         double beta,
                         double x)
Computes the cumulative probability function of the inverse gamma distribution with shape parameter α and scale parameter β.


barF

public static double barF(double alpha,
                          double beta,
                          double x)
Computes the complementary distribution function of the inverse gamma distribution with shape parameter α and scale parameter β.


inverseF

public static double inverseF(double alpha,
                              double beta,
                              double u)
Computes the inverse distribution function of the inverse gamma distribution with shape parameter α and scale parameter β.


getMLE

public static double[] getMLE(double[] x,
                              int n)
Estimates the parameters (α, β) of the inverse gamma distribution using the maximum likelihood method, from the n observations x[i], i = 0, 1,…, n - 1. The estimates are returned in a two-element array, in regular order: [α, β].

Parameters:
x - the list of observations to use to evaluate parameters
n - the number of observations to use to evaluate parameters
Returns:
returns the parameters [ hat(α), hat(β)]

getInstanceFromMLE

public static InverseGammaDist getInstanceFromMLE(double[] x,
                                                  int n)
Creates a new instance of the inverse gamma distribution with parameters α and β estimated using the maximum likelihood method based on the n observations x[i], i = 0, 1,…, n - 1.

Parameters:
x - the list of observations to use to evaluate parameters
n - the number of observations to use to evaluate parameters

getMean

public static double getMean(double alpha,
                             double beta)
Returns the mean E[X] = β/(α - 1) of the inverse gamma distribution with shape parameter α and scale parameter β.


getVariance

public static double getVariance(double alpha,
                                 double beta)
Returns the variance Var[X] = β2/((α -1)2(α - 2)) of the inverse gamma distribution with shape parameter α and scale parameter β.


getStandardDeviation

public static double getStandardDeviation(double alpha,
                                          double beta)
Returns the standard deviation of the inverse gamma distribution with shape parameter α and scale parameter β.


getAlpha

public double getAlpha()
Returns the α parameter of this object.


getBeta

public double getBeta()
Returns the β parameter of this object.


setParam

public void setParam(double alpha,
                     double beta)
Sets the parameters α and β of this object.


getParams

public double[] getParams()
Returns a table containing the parameters of the current distribution. This table is put in regular order: [α, β].


toString

public String toString()
Overrides:
toString in class Object

SSJ
V. 2.6.

To submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.