SSJ
V. 1.2.5.

umontreal.iro.lecuyer.probdist
Class ChiDist

java.lang.Object
  extended by umontreal.iro.lecuyer.probdist.ContinuousDistribution
      extended by umontreal.iro.lecuyer.probdist.ChiDist
All Implemented Interfaces:
Distribution

public class ChiDist
extends ContinuousDistribution

Extends the class ContinuousDistribution for the chi distribution with shape parameter v > 0, where the number of degrees of freedom v is a positive integer. The density function is given by

f (x) = e-x2/2xv-1/(2(v/2)-1Γ(v/2)) for x > 0,

where Γ(x) is the gamma function defined in GammaDist. The distribution function is

F(x) = 1/Γ(v/2)∫0x2/2tv/2-1e-t dt.

It is equivalent to the gamma distribution function with parameters α = v/2 and λ = 1, evaluated at x2/2.


Field Summary
 
Fields inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution
decPrec
 
Constructor Summary
ChiDist(int nu)
          Constructs a ChiDist object.
 
Method Summary
 double barF(double x)
          Returns bar(F)(x) = 1 - F(x).
static double barF(int nu, double x)
          Computes the complementary distribution.
 double cdf(double x)
          Computes and returns the distribution function F(x).
static double cdf(int nu, double x)
          Computes the distribution function by using the gamma distribution function.
 double density(double x)
          Returns f (x), the density of X evaluated at x.
static double density(int nu, double x)
          Computes the density function.
static ChiDist getInstanceFromMLE(double[] x, int n)
          Creates a new instance of a chi distribution with parameter ν estimated using the maximum likelihood method based on the n observations in table x[i], i = 0, 1,…, n - 1.
static double[] getMaximumLikelihoodEstimate(double[] x, int n)
          Estimates and returns the parameter [hat(ν)] of the chi distribution using the maximum likelihood method based on the n observations in table x[i], i = 0, 1,…, n - 1.
 double getMean()
          Returns the mean of the distribution function.
static double getMean(int nu)
          Computes and returns the mean of the chi distribution with parameter ν.
 int getNu()
          Returns the value of ν for this object.
 double getStandardDeviation()
          Returns the standard deviation of the distribution function.
static double getStandardDeviation(int nu)
          Computes and returns the standard deviation of the chi distribution with parameter ν.
 double getVariance()
          Returns the variance of the distribution function.
static double getVariance(int nu)
          Computes and returns the variance of the chi distribution with parameter ν.
 double inverseF(double u)
          Computes and returns the inverse distribution function F-1(u), defined in.
static double inverseF(int nu, double u)
          Returns the inverse distribution function computed using the gamma inversion.
 void setNu(int nu)
          Sets the value of ν for this object.
 
Methods inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution
inverseBisection, inverseBrent
 
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

ChiDist

public ChiDist(int nu)
Constructs a ChiDist object.

Method Detail

density

public double density(double x)
Description copied from class: ContinuousDistribution
Returns f (x), the density of X evaluated at x.

Specified by:
density in class ContinuousDistribution
Parameters:
x - value at which the density is evaluated
Returns:
density function evaluated at x

cdf

public double cdf(double x)
Description copied from interface: Distribution
Computes and returns the distribution function F(x).

Parameters:
x - value at which the distribution function is evaluated
Returns:
distribution function evaluated at x

barF

public double barF(double x)
Description copied from interface: Distribution
Returns bar(F)(x) = 1 - F(x).

Specified by:
barF in interface Distribution
Overrides:
barF in class ContinuousDistribution
Parameters:
x - value at which the complementary distribution function is evaluated
Returns:
complementary distribution function evaluated at x

inverseF

public double inverseF(double u)
Description copied from interface: Distribution
Computes and returns the inverse distribution function F-1(u), defined in.

Specified by:
inverseF in interface Distribution
Overrides:
inverseF in class ContinuousDistribution
Parameters:
u - value in the interval (0, 1) for which the inverse distribution function is evaluated
Returns:
the inverse distribution function evaluated at u

getMean

public double getMean()
Description copied from interface: Distribution
Returns the mean of the distribution function.


getVariance

public double getVariance()
Description copied from interface: Distribution
Returns the variance of the distribution function.


getStandardDeviation

public double getStandardDeviation()
Description copied from interface: Distribution
Returns the standard deviation of the distribution function.


density

public static double density(int nu,
                             double x)
Computes the density function.


cdf

public static double cdf(int nu,
                         double x)
Computes the distribution function by using the gamma distribution function.


barF

public static double barF(int nu,
                          double x)
Computes the complementary distribution.


inverseF

public static double inverseF(int nu,
                              double u)
Returns the inverse distribution function computed using the gamma inversion.


getInstanceFromMLE

public static ChiDist getInstanceFromMLE(double[] x,
                                         int n)
Creates a new instance of a chi distribution with parameter ν estimated using the maximum likelihood method based on the n observations in table x[i], i = 0, 1,…, n - 1.

Parameters:
x - the list of observations to use to evaluate parameters
n - the number of observations to use to evaluate parameters

getMaximumLikelihoodEstimate

public static double[] getMaximumLikelihoodEstimate(double[] x,
                                                    int n)
Estimates and returns the parameter [hat(ν)] of the chi distribution using the maximum likelihood method based on the n observations in table x[i], i = 0, 1,…, n - 1.

Parameters:
x - the list of observations to use to evaluate parameters
n - the number of observations to use to evaluate parameters
Returns:
returns the parameter [hat(ν)]

getMean

public static double getMean(int nu)
Computes and returns the mean of the chi distribution with parameter ν.

Returns:
the mean of the chi distribution E[X] = (2)1/2Γ((ν +1)/2)/Γ(ν/2)

getVariance

public static double getVariance(int nu)
Computes and returns the variance of the chi distribution with parameter ν.

Returns:
the variance of the chi distribution Var[X] = 2[Γ(ν/2)Γ(1 + ν/2) - Γ2(1/2(ν +1))]/Γ(ν/2)

getStandardDeviation

public static double getStandardDeviation(int nu)
Computes and returns the standard deviation of the chi distribution with parameter ν.

Returns:
the standard deviation of the chi distribution

getNu

public int getNu()
Returns the value of ν for this object.


setNu

public void setNu(int nu)
Sets the value of ν for this object.


SSJ
V. 1.2.5.

To submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.