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

Class GammaDistribution

java.lang.Object

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

All Implemented Interfaces:

ProbabilityDistribution<Double>

public class GammaDistribution
extends Object
implements ProbabilityDistribution<Double>

The Gamma distribution is a continuous probability distribution with cdf $$ \begin{align*} F(x)=\frac{\gamma\left(k, \frac{x}{\theta}\right)}{\Gamma(k)} \end{align*} $$ and pdf $$ \begin{align*} f(x)=\frac{x^{k-1}e^{-\frac{x}{\theta}}}{\Gamma{k}\theta^k} \end{align*} $$ where $k$ is the shape parameter and $\theta$ is the scale parameter.

Constructor Summary

Constructors

Constructor and Description
GammaDistribution(double k, double theta)
GammaDistribution(double k, double theta, RandomEngine engine)

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
double	getCDF(Double x) Returns the cumulative distribution function for a value
double	getInverseCDF(Double p) Given a probability, return the value that returns this cdf
double	getK()
double	getPDF(Double x) Return the probability density function for a value
double	getTheta()
int	hashCode()
double	nextRandom()

Methods inherited from class java.lang.Object

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

Constructor Detail

GammaDistribution

public GammaDistribution(double k,
                         double theta)

Parameters:

k - The shape parameter of the distribution, not negative or zero

theta - The scale parameter of the distribution, not negative or zero

GammaDistribution

public GammaDistribution(double k,
                         double theta,
                         RandomEngine engine)

Parameters:

k - The shape parameter of the distribution, not negative or zero

theta - The scale parameter of the distribution, not negative or zero

engine - A uniform random number generator, not null

Method Detail

getCDF

public double getCDF(Double x)

Returns the cumulative distribution function for a value

Specified by:

getCDF in interface ProbabilityDistribution<Double>

Parameters:

x - The value, 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)

Return the probability density function for a value

Specified by:

getPDF in interface ProbabilityDistribution<Double>

Parameters:

x - The value, not null

Returns:

The pdf

nextRandom

public double nextRandom()

Specified by:

nextRandom in interface ProbabilityDistribution<Double>

Returns:

The next random number from this distribution

getK

public double getK()

Returns:

The shape parameter

getTheta

public double getTheta()

Returns:

The location parameter

hashCode

public int hashCode()

Overrides:

hashCode in class Object

equals

public boolean equals(Object obj)

Overrides:

equals in class Object