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SSJ V. 2.6. |
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java.lang.Object umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim umontreal.iro.lecuyer.probdistmulti.BiNormalDist
public class BiNormalDist
Extends the class ContinuousDistribution2Dim
for the bivariate
normal distribution. It has means
E[X] = μ1,
E[Y] = μ2, and variances var
[X] = σ12,
var
[Y] = σ22 such that
σ1 > 0 and
σ2 > 0.
The correlation between X and Y is r.
Its density function is
Field Summary |
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Fields inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim |
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decPrec |
Constructor Summary | |
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BiNormalDist(double rho)
Constructs a BiNormalDist object with default parameters μ1 = μ2 = 0, σ1 = σ2 = 1 and correlation ρ = rho. |
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BiNormalDist(double mu1,
double sigma1,
double mu2,
double sigma2,
double rho)
Constructs a BiNormalDist object with parameters μ1 = mu1, μ2 = mu2, σ1 = sigma1, σ2 = sigma2 and ρ = rho. |
Method Summary | |
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double |
barF(double x,
double y)
. |
static double |
barF(double x,
double y,
double rho)
Computes the standard upper binormal distribution with μ1 = μ2 = 0 and σ1 = σ2 = 1. |
static double |
barF(double mu1,
double sigma1,
double x,
double mu2,
double sigma2,
double y,
double rho)
Computes the upper binormal distribution function with parameters μ1 = mu1, μ2 = mu2, σ1 = sigma1, σ2 = sigma2 and ρ = rho. |
double |
cdf(double x,
double y)
. |
static double |
cdf(double x,
double y,
double rho)
Computes the standard binormal distribution using the fast Drezner-Wesolowsky method described in. |
static double |
cdf(double mu1,
double sigma1,
double x,
double mu2,
double sigma2,
double y,
double rho)
Computes the binormal distribution function with parameters μ1 = mu1, μ2 = mu2, σ1 = sigma1, σ2 = sigma2 and ρ = rho. |
double |
density(double x,
double y)
Returns f (x, y), the density of (X, Y) evaluated at (x, y). |
static double |
density(double x,
double y,
double rho)
Computes the standard binormal density function with μ1 = μ2 = 0 and σ1 = σ2 = 1. |
static double |
density(double mu1,
double sigma1,
double x,
double mu2,
double sigma2,
double y,
double rho)
Computes the binormal density function with parameters μ1 = mu1, μ2 = mu2, σ1 = sigma1, σ2 = sigma2 and ρ = rho. |
double[][] |
getCorrelation()
Returns the correlation matrix of the distribution, defined as ρij = σij/(σ_iiσ_jj)1/2. |
static double[][] |
getCorrelation(double mu1,
double sigma1,
double mu2,
double sigma2,
double rho)
Return the correlation matrix of the binormal distribution. |
double[][] |
getCovariance()
Returns the variance-covariance matrix of the distribution, defined as σij = E[(Xi - μi)(Xj - μj)]. |
static double[][] |
getCovariance(double mu1,
double sigma1,
double mu2,
double sigma2,
double rho)
Return the covariance matrix of the binormal distribution. |
double[] |
getMean()
Returns the mean vector of the distribution, defined as μi = E[Xi]. |
static double[] |
getMean(double mu1,
double sigma1,
double mu2,
double sigma2,
double rho)
Return the mean vector E[X] = (μ1, μ2) of the binormal distribution. |
double |
getMu1()
Returns the parameter μ1. |
double |
getMu2()
Returns the parameter μ2. |
double |
getSigma1()
Returns the parameter σ1. |
double |
getSigma2()
Returns the parameter σ2. |
Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim |
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cdf, density |
Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti |
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getDimension |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public BiNormalDist(double rho)
public BiNormalDist(double mu1, double sigma1, double mu2, double sigma2, double rho)
Method Detail |
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public double density(double x, double y)
ContinuousDistribution2Dim
density
in class ContinuousDistribution2Dim
x
- value x at which the density is evaluatedy
- value y at which the density is evaluated
public static double density(double x, double y, double rho)
public static double density(double mu1, double sigma1, double x, double mu2, double sigma2, double y, double rho)
public static double cdf(double x, double y, double rho)
public double cdf(double x, double y)
ContinuousDistribution2Dim
cdf
in class ContinuousDistribution2Dim
x
- value x at which the distribution function is evaluatedy
- value y at which the distribution function is evaluated
public static double cdf(double mu1, double sigma1, double x, double mu2, double sigma2, double y, double rho)
public static double barF(double x, double y, double rho)
public double barF(double x, double y)
ContinuousDistribution2Dim
barF
in class ContinuousDistribution2Dim
x
- value x at which the upper distribution is evaluatedy
- value y at which the upper distribution is evaluated
public static double barF(double mu1, double sigma1, double x, double mu2, double sigma2, double y, double rho)
public double[] getMean()
ContinuousDistributionMulti
getMean
in class ContinuousDistributionMulti
public static double[] getMean(double mu1, double sigma1, double mu2, double sigma2, double rho)
public double[][] getCovariance()
ContinuousDistributionMulti
getCovariance
in class ContinuousDistributionMulti
public static double[][] getCovariance(double mu1, double sigma1, double mu2, double sigma2, double rho)
public double[][] getCorrelation()
ContinuousDistributionMulti
getCorrelation
in class ContinuousDistributionMulti
public static double[][] getCorrelation(double mu1, double sigma1, double mu2, double sigma2, double rho)
public double getMu1()
public double getMu2()
public double getSigma1()
public double getSigma2()
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SSJ V. 2.6. |
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SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD |