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java.lang.Object umontreal.iro.lecuyer.probdist.ContinuousDistribution umontreal.iro.lecuyer.probdist.NormalInverseGaussianDist
public class NormalInverseGaussianDist
Extends the class ContinuousDistribution
for
the normal inverse gaussian distribution with location parameter
μ, scale parameter
δ > 0, tail heavyness
α > 0, and
asymmetry parameter β such that
0 <= | β| < α.
Its density is
The distribution function is given by
Field Summary |
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Fields inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution |
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decPrec |
Constructor Summary | |
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NormalInverseGaussianDist(double alpha,
double beta,
double mu,
double delta)
Constructor for a normal inverse gaussian distribution with parameters α = alpha, β = beta, μ = mu and δ = delta. |
Method Summary | |
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double |
barF(double x)
Returns the complementary distribution function. |
static double |
barF(double alpha,
double beta,
double mu,
double delta,
double x)
NOT IMPLEMENTED. |
double |
cdf(double x)
Returns the distribution function F(x). |
static double |
cdf(double alpha,
double beta,
double mu,
double delta,
double x)
NOT IMPLEMENTED. |
double |
density(double x)
Returns f (x), the density evaluated at x. |
static double |
density(double alpha,
double beta,
double mu,
double delta,
double x)
Computes the density function for the normal inverse gaussian distribution with parameters α, β, μ and δ, evaluated at x. |
double |
getAlpha()
Returns the parameter α of this object. |
double |
getBeta()
Returns the parameter β of this object. |
double |
getDelta()
Returns the parameter δ of this object. |
static NormalInverseGaussianDist |
getInstanceFromMLE(double[] x,
int n)
NOT IMPLEMENTED. |
double |
getMean()
Returns the mean. |
static double |
getMean(double alpha,
double beta,
double mu,
double delta)
Returns the mean E[X] = μ + δβ/γ of the normal inverse gaussian distribution with parameters α, β, μ and δ. |
static double[] |
getMLE(double[] x,
int n)
NOT IMPLEMENTED. |
double |
getMu()
Returns the parameter μ of this object. |
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,
double mu,
double delta)
Computes and returns the standard deviation of the normal inverse gaussian distribution with parameters α, β, μ and δ. |
double |
getVariance()
Returns the variance. |
static double |
getVariance(double alpha,
double beta,
double mu,
double delta)
Computes and returns the variance Var[X] = δα2/γ3 of the normal inverse gaussian distribution with parameters α, β, μ and δ. |
static double |
inverseF(double alpha,
double beta,
double mu,
double delta,
double u)
NOT IMPLEMENTED. |
void |
setParams(double alpha,
double beta,
double mu,
double delta)
Sets the parameters α, β, μ and δ of this object. |
String |
toString()
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Methods inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution |
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getXinf, getXsup, inverseBisection, inverseBrent, inverseF, setXinf, setXsup |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, wait, wait, wait |
Constructor Detail |
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public NormalInverseGaussianDist(double alpha, double beta, double mu, double delta)
Method Detail |
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public double density(double x)
ContinuousDistribution
density
in class ContinuousDistribution
x
- value at which the density is evaluated
public double cdf(double x)
Distribution
x
- value at which the distribution function is evaluated
public double barF(double x)
ContinuousDistribution
barF
in interface Distribution
barF
in class ContinuousDistribution
x
- value at which the complementary distribution function is evaluated
public double getMean()
ContinuousDistribution
getMean
in interface Distribution
getMean
in class ContinuousDistribution
public double getVariance()
ContinuousDistribution
getVariance
in interface Distribution
getVariance
in class ContinuousDistribution
public double getStandardDeviation()
ContinuousDistribution
getStandardDeviation
in interface Distribution
getStandardDeviation
in class ContinuousDistribution
public static double density(double alpha, double beta, double mu, double delta, double x)
public static double cdf(double alpha, double beta, double mu, double delta, double x)
public static double barF(double alpha, double beta, double mu, double delta, double x)
public static double inverseF(double alpha, double beta, double mu, double delta, double u)
public static double[] getMLE(double[] x, int n)
x
- the list of observations used to evaluate parametersn
- the number of observations used to evaluate parameters
public static NormalInverseGaussianDist getInstanceFromMLE(double[] x, int n)
x
- the list of observations to use to evaluate parametersn
- the number of observations to use to evaluate parameterspublic static double getMean(double alpha, double beta, double mu, double delta)
public static double getVariance(double alpha, double beta, double mu, double delta)
public static double getStandardDeviation(double alpha, double beta, double mu, double delta)
public double getAlpha()
public double getBeta()
public double getMu()
public double getDelta()
public void setParams(double alpha, double beta, double mu, double delta)
public double[] getParams()
public String toString()
toString
in class Object
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