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

Class NonCentralChiSquaredDistribution

java.lang.Object

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

All Implemented Interfaces:

ProbabilityDistribution<Double>

public class NonCentralChiSquaredDistribution
extends Object
implements ProbabilityDistribution<Double>

The non-central chi-squared distribution is a continuous probability distribution with probability density function $$ \begin{align*} f_r(x) = \frac{e^-\frac{x + \lambda}{2}x^{\frac{r}{2} - 1}}{2^{\frac{r}{2}}}\sum_{k=0}^\infty \frac{(\lambda k)^k}{2^{2k}k!\Gamma(k + \frac{r}{2})} \end{align*} $$ where $r$ is the number of degrees of freedom, $\lambda$ is the non-centrality parameter and $\Gamma$ is the Gamma function (GammaFunction).

For the case where $r + \lambda > 2000$, the implementation of the cdf is taken from "An Approximation for the Noncentral Chi-Squared Distribution", Fraser et al. (link). Otherwise, the algorithm is taken from "Computing the Non-Central Chi-Squared Distribution Function", Ding.

Constructor Summary

Constructors

Constructor and Description
NonCentralChiSquaredDistribution(double degrees, double nonCentrality) Creates an instance.

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	getDegrees() Gets the number of degrees of freedom.
double	getInverseCDF(Double p) Given a probability, return the value that returns this cdf
double	getNonCentrality() Gets the non-centrality parameter.
double	getPDF(Double x) Return the probability density function for a value
int	hashCode()
double	nextRandom()

Methods inherited from class java.lang.Object

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

Constructor Detail

NonCentralChiSquaredDistribution

public NonCentralChiSquaredDistribution(double degrees,
                                        double nonCentrality)

Creates an instance.

Parameters:

degrees - The number of degrees of freedom, not negative or zero

nonCentrality - The non-centrality parameter, not negative

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:

Not supported

Throws:

UnsupportedOperationException - always

nextRandom

public double nextRandom()

Specified by:

nextRandom in interface ProbabilityDistribution<Double>

Returns:

Not supported

Throws:

UnsupportedOperationException - always

getDegrees

public double getDegrees()

Gets the number of degrees of freedom.

Returns:

The number of degrees of freedom

getNonCentrality

public double getNonCentrality()

Gets the non-centrality parameter.

Returns:

The non-centrality parameter

hashCode

public int hashCode()

Overrides:

hashCode in class Object

equals

public boolean equals(Object obj)

Overrides:

equals in class Object