com.opengamma.strata.math.impl.cern

Class ChiSquare

java.lang.Object

com.opengamma.strata.math.impl.cern.ChiSquare

All Implemented Interfaces:

Serializable, Cloneable, DoubleUnaryOperator, IntUnaryOperator

public class ChiSquare
extends Object

ChiSquare distribution; See the math definition and animated definition.

A special case of the Gamma distribution.

p(x) = (1/g(f/2)) * (x/2)^(f/2-1) * exp(-x/2) with g(a) being the gamma function and f being the degrees of freedom.

Valid parameter ranges: freedom > 0.

Instance methods operate on a user supplied uniform random number generator; they are unsynchronized.

Static methods operate on a default uniform random number generator; they are synchronized.

Implementation:

Method: Ratio of Uniforms with shift.

High performance implementation. This is a port of RandChiSquare used in CLHEP 1.4.0 (C++). CLHEP's implementation, in turn, is based on chru.c from the C-RAND / WIN-RAND library. C-RAND's implementation, in turn, is based upon

J.F. Monahan (1987): An algorithm for generating chi random variables, ACM Trans. Math. Software 13, 168-172.

Version:

1.0, 09/24/99

See Also:

Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
protected double	freedom
protected RandomEngine	randomGenerator
protected static ChiSquare	shared

Constructor Summary

Constructors

Constructor and Description
ChiSquare(double freedom, RandomEngine randomGenerator) Constructs a ChiSquare distribution.

Method Summary

Modifier and Type	Method and Description
double	applyAsDouble(double dummy) Equivalent to nextDouble().
int	applyAsInt(int dummy) Equivalent to nextInt().
double	cdf(double x) Returns the cumulative distribution function.
Object	clone() Returns a deep copy of the receiver; the copy will produce identical sequences.
protected RandomEngine	getRandomGenerator() Returns the used uniform random number generator;
static RandomEngine	makeDefaultGenerator() Constructs and returns a new uniform random number generation engine seeded with the current time.
double	nextDouble() Returns a random number from the distribution.
double	nextDouble(double freedom) Returns a random number from the distribution; bypasses the internal state.
int	nextInt() Returns a random number from the distribution; returns (int) Math.round(nextDouble()).
double	pdf(double x) Returns the probability distribution function.
protected void	setRandomGenerator(RandomEngine randomGenerator) Sets the uniform random generator internally used.
void	setState(double freedom) Sets the distribution parameter.
static double	staticNextDouble(double freedom) Returns a random number from the distribution.
String	toString() Returns a String representation of the receiver.

Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface java.util.function.DoubleUnaryOperator

andThen, compose, identity

Methods inherited from interface java.util.function.IntUnaryOperator

andThen, compose, identity

Field Detail

freedom

protected double freedom

shared

protected static ChiSquare shared

randomGenerator

protected RandomEngine randomGenerator

Constructor Detail

ChiSquare

public ChiSquare(double freedom,
                 RandomEngine randomGenerator)

Constructs a ChiSquare distribution. Example: freedom=1.0.

Parameters:

freedom - degrees of freedom.

randomGenerator - generator

Throws:

IllegalArgumentException - if freedom < 1.0.

Method Detail

cdf

public double cdf(double x)

Returns the cumulative distribution function.

Parameters:

x - x

Returns:

result

nextDouble

public double nextDouble()

Returns a random number from the distribution.

Returns:

result

nextDouble

public double nextDouble(double freedom)

Returns a random number from the distribution; bypasses the internal state.

Parameters:

freedom - degrees of freedom. It should hold freedom < 1.0.

Returns:

result

pdf

public double pdf(double x)

Returns the probability distribution function.

Parameters:

x - x

Returns:

result

setState

public void setState(double freedom)

Sets the distribution parameter.

Parameters:

freedom - degrees of freedom.

Throws:

IllegalArgumentException - if freedom < 1.0.

staticNextDouble

public static double staticNextDouble(double freedom)

Returns a random number from the distribution.

Parameters:

freedom - degrees of freedom.

Returns:

result

Throws:

IllegalArgumentException - if freedom < 1.0.

toString

public String toString()

Returns a String representation of the receiver.

Overrides:

toString in class Object

applyAsDouble

public double applyAsDouble(double dummy)

Equivalent to nextDouble(). This has the effect that distributions can now be used as function objects, returning a random number upon function evaluation.

Specified by:

applyAsDouble in interface DoubleUnaryOperator

applyAsInt

public int applyAsInt(int dummy)

Equivalent to nextInt(). This has the effect that distributions can now be used as function objects, returning a random number upon function evaluation.

Specified by:

applyAsInt in interface IntUnaryOperator

clone

public Object clone()

Returns a deep copy of the receiver; the copy will produce identical sequences. After this call has returned, the copy and the receiver have equal but separate state.

Returns:

a copy of the receiver.

getRandomGenerator

protected RandomEngine getRandomGenerator()

Returns the used uniform random number generator;

Returns:

result

makeDefaultGenerator

public static RandomEngine makeDefaultGenerator()

Constructs and returns a new uniform random number generation engine seeded with the current time. Currently this is MersenneTwister.

Returns:

result

nextInt

public int nextInt()

Returns a random number from the distribution; returns (int) Math.round(nextDouble()). Override this method if necessary.

Returns:

result

setRandomGenerator

protected void setRandomGenerator(RandomEngine randomGenerator)

Sets the uniform random generator internally used.

Parameters:

randomGenerator - input