SSJ
V. 1.2.5.

umontreal.iro.lecuyer.probdistmulti
Class BiNormalGenzDist

java.lang.Object
  extended by umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti
      extended by umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim
          extended by umontreal.iro.lecuyer.probdistmulti.BiNormalDist
              extended by umontreal.iro.lecuyer.probdistmulti.BiNormalGenzDist

public class BiNormalGenzDist
extends BiNormalDist

Extends the class BiNormalDist for the bivariate normal distribution using Genz's algorithm as described in.


Field Summary
 
Fields inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim
decPrec
 
Constructor Summary
BiNormalGenzDist(double rho)
          Constructs a BiNormalGenzDist object with default parameters μ1 = μ2 = 0, σ1 = σ2 = 1 and correlation ρ = rho.
BiNormalGenzDist(double mu1, double sigma1, double mu2, double sigma2, double rho)
          Constructs a BiNormalGenzDist object with parameters μ1 = mu1, μ2 = mu2, σ1 = sigma1, σ2 = sigma2 and ρ = rho.
 
Method Summary
 double barF(double x, double y)
          .
static double barF(double x, double y, double rho)
           
static double barF(double mu1, double sigma1, double x, double mu2, double sigma2, double y, double rho)
           
 double cdf(double x, double y)
          .
static double cdf(double x, double y, double rho)
          Computes the standard binormal distribution with the method described in.
static double cdf(double mu1, double sigma1, double x, double mu2, double sigma2, double y, double rho)
           
 
Methods inherited from class umontreal.iro.lecuyer.probdistmulti.BiNormalDist
density, density, density, getCorrelation, getCorrelation, getCovariance, getCovariance, getMean, getMean, getMu1, getMu2, getSigma1, getSigma2
 
Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim
cdf, density
 
Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti
getDimension
 
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

BiNormalGenzDist

public BiNormalGenzDist(double rho)
Constructs a BiNormalGenzDist object with default parameters μ1 = μ2 = 0, σ1 = σ2 = 1 and correlation ρ = rho.


BiNormalGenzDist

public BiNormalGenzDist(double mu1,
                        double sigma1,
                        double mu2,
                        double sigma2,
                        double rho)
Constructs a BiNormalGenzDist object with parameters μ1 = mu1, μ2 = mu2, σ1 = sigma1, σ2 = sigma2 and ρ = rho.

Method Detail

cdf

public static double cdf(double x,
                         double y,
                         double rho)
Computes the standard binormal distribution with the method described in. The code for the cdf was translated directly from the Matlab code written by Alan Genz and available from his web page at http://www.math.wsu.edu/faculty/genz/homepage (the code is copyrighted by Alan Genz and is included in this package with the kind permission of the author). The absolute error is expected to be smaller than 0.5⋅10-15.


cdf

public static double cdf(double mu1,
                         double sigma1,
                         double x,
                         double mu2,
                         double sigma2,
                         double y,
                         double rho)

cdf

public double cdf(double x,
                  double y)
Description copied from class: ContinuousDistribution2Dim
. Computes the distribution function F(x, y):

F(x, y) = P[X <= x, Y <= y] = ∫-∞xds-∞ydt f (s, t).

Overrides:
cdf in class BiNormalDist
Parameters:
x - value x at which the distribution function is evaluated
y - value y at which the distribution function is evaluated
Returns:
distribution function evaluated at (x, y)

barF

public double barF(double x,
                   double y)
Description copied from class: ContinuousDistribution2Dim
. Computes the upper cumulative distribution function bar(F)(x, y):

bar(F)(x, y) = P[X >= x, Y >= y] = ∫xdsydt f (s, t).

Overrides:
barF in class BiNormalDist
Parameters:
x - value x at which the upper distribution is evaluated
y - value y at which the upper distribution is evaluated
Returns:
upper distribution function evaluated at (x, y)

barF

public static double barF(double mu1,
                          double sigma1,
                          double x,
                          double mu2,
                          double sigma2,
                          double y,
                          double rho)

barF

public static double barF(double x,
                          double y,
                          double rho)

SSJ
V. 1.2.5.

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