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java.lang.Object umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti umontreal.iro.lecuyer.probdistmulti.MultiNormalDist
public class MultiNormalDist
Implements the abstract class ContinuousDistributionMulti
for the
multinormal distribution with mean vector μ and covariance
matrix
Σ.
The probability density is
Constructor Summary | |
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MultiNormalDist(double[] mu,
double[][] sigma)
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Method Summary | |
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double |
density(double[] x)
Returns f (x1, x2,…, xd), the probability density of X evaluated at the point x, where x = {x1, x2,…, xd}. |
static double |
density(double[] mu,
double[][] sigma,
double[] x)
Computes the density of the multinormal distribution with parameters μ = mu and Σ = sigma, evaluated at x. |
double[][] |
getCorrelation()
Returns the correlation matrix of the distribution, defined as ρij = σij/(σ_iiσ_jj)1/2. |
static double[][] |
getCorrelation(double[] mu,
double[][] sigma)
Computes the correlation matrix of the multinormal distribution with parameters μ and Σ). |
double[][] |
getCovariance()
Returns the variance-covariance matrix of the distribution, defined as σij = E[(Xi - μi)(Xj - μj)]. |
static double[][] |
getCovariance(double[] mu,
double[][] sigma)
Computes the covariance matrix of the multinormal distribution with parameters μ and Σ. |
int |
getDimension()
Returns the dimension d of the distribution. |
double[] |
getMean()
Returns the mean vector of the distribution, defined as μi = E[Xi]. |
static double[] |
getMean(double[] mu,
double[][] sigma)
Returns the mean E[X] = μ of the multinormal distribution with parameters μ and Σ. |
static double[] |
getMLEMu(double[][] x,
int n,
int d)
Estimates the parameters μ of the multinormal distribution using the maximum likelihood method. |
static double[][] |
getMLESigma(double[][] x,
int n,
int d)
Estimates the parameters Σ of the multinormal distribution using the maximum likelihood method. |
double[] |
getMu()
Returns the parameter μ of this object. |
double |
getMu(int i)
Returns the i-th component of the parameter μ of this object. |
double[][] |
getSigma()
Returns the parameter Σ of this object. |
void |
setParams(double[] mu,
double[][] sigma)
Sets the parameters μ and Σ of this object. |
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 MultiNormalDist(double[] mu, double[][] sigma)
Method Detail |
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public double density(double[] x)
ContinuousDistributionMulti
density
in class ContinuousDistributionMulti
x
- value at which the density is evaluated
public double[] getMean()
ContinuousDistributionMulti
getMean
in class ContinuousDistributionMulti
public double[][] getCovariance()
ContinuousDistributionMulti
getCovariance
in class ContinuousDistributionMulti
public double[][] getCorrelation()
ContinuousDistributionMulti
getCorrelation
in class ContinuousDistributionMulti
public static double density(double[] mu, double[][] sigma, double[] x)
public int getDimension()
getDimension
in class ContinuousDistributionMulti
public static double[] getMean(double[] mu, double[][] sigma)
public static double[][] getCovariance(double[] mu, double[][] sigma)
public static double[][] getCorrelation(double[] mu, double[][] sigma)
public static double[] getMLEMu(double[][] x, int n, int d)
x
- the list of observations used to evaluate parametersn
- the number of observations used to evaluate parametersd
- the dimension of each observation
public static double[][] getMLESigma(double[][] x, int n, int d)
x
- the list of observations used to evaluate parametersn
- the number of observations used to evaluate parametersd
- the dimension of each observation
public double[] getMu()
public double getMu(int i)
public double[][] getSigma()
public void setParams(double[] mu, double[][] sigma)
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