com.opengamma.strata.math.impl.statistics.distribution

Class BivariateNormalDistribution

java.lang.Object

com.opengamma.strata.math.impl.statistics.distribution.BivariateNormalDistribution

All Implemented Interfaces:

ProbabilityDistribution<double[]>

public class BivariateNormalDistribution
extends Object
implements ProbabilityDistribution<double[]>

The bivariate normal distribution is a continuous probability distribution of two variables, $x$ and $y$, with cdf $$ \begin{align*} M(x, y, \rho) = \frac{1}{2\pi\sqrt{1 - \rho^2}}\int_{-\infty}^x\int_{-\infty}^{y} e^{\frac{-(X^2 - 2\rho XY + Y^2)}{2(1 - \rho^2)}} dX dY \end{align*} $$ where $\rho$ is the correlation between $x$ and $y$.

The implementation of the cdf is taken from "Better Approximations to Cumulative Normal Functions", West (link).

Constructor Summary

Constructors

Constructor and Description
BivariateNormalDistribution()

Method Summary

Modifier and Type	Method and Description
double	getCDF(double[] x) Calculates CDF.
double	getInverseCDF(double[] p) Given a probability, return the value that returns this cdf
double	getPDF(double[] x) Calculates PDF.
double	nextRandom()

Methods inherited from class java.lang.Object

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

Constructor Detail

BivariateNormalDistribution

public BivariateNormalDistribution()

Method Detail

getCDF

public double getCDF(double[] x)

Calculates CDF.

Specified by:

getCDF in interface ProbabilityDistribution<double[]>

Parameters:

x - The parameters for the function, $(x, y, \rho$, with $-1 \geq \rho \geq 1$, not null

Returns:

The cdf

getInverseCDF

public double getInverseCDF(double[] p)

Given a probability, return the value that returns this cdf

Specified by:

getInverseCDF in interface ProbabilityDistribution<double[]>

Parameters:

p - The probability, not null. $0 \geq p \geq 1$

Returns:

Not supported

Throws:

UnsupportedOperationException - always

getPDF

public double getPDF(double[] x)

Calculates PDF.

Specified by:

getPDF in interface ProbabilityDistribution<double[]>

Parameters:

x - The parameters for the function, $(x, y, \rho$, with $-1 \geq \rho \geq 1$, not null

Returns:

The pdf

nextRandom

public double nextRandom()

Specified by:

nextRandom in interface ProbabilityDistribution<double[]>

Returns:

Not supported

Throws:

UnsupportedOperationException - always