Package jdistlib

Class NonCentralChiSquare

java.lang.Object
jdistlib.generic.GenericDistribution
jdistlib.NonCentralChiSquare
public class NonCentralChiSquare extends GenericDistribution

  • Field Details

    • df

      protected double df

    • ncp

      protected double ncp

  • Constructor Details

    • NonCentralChiSquare

      public NonCentralChiSquare(double df, double ncp)

  • Method Details

    • density

      public static final double density(double x, double df, double ncp, boolean give_log)

    • cumulative_raw

      public static final double cumulative_raw(double x, double f, double theta, double errmax, double reltol, int itrmax, boolean lower_tail, boolean log_p)

    • cumulative

      public static final double cumulative(double x, double df, double ncp, boolean lower_tail, boolean log_p)

    • quantile

      public static final double quantile(double p, double df, double ncp, boolean lower_tail, boolean log_p)

    • random

      public static final double random(double df, double lambda, RandomEngine random)
               According to Hans R. Kuensch's suggestion (30 sep 2002):

          It should be easy to do the general case (ncp > 0) by decomposing it
          as the sum of a central chisquare with df degrees of freedom plus a
          noncentral chisquare with zero degrees of freedom (which is a Poisson
          mixture of central chisquares with integer degrees of freedom),
          see Formula (29.5b-c) in Johnson, Kotz, Balakrishnan (1995).

          The noncentral chisquare with arbitary degrees of freedom is of interest
          for simulating the Cox-Ingersoll-Ross model for interest rates in
          finance.

          R code that works is

            rchisq0 <- function(n, ncp) {
                p <- 0 < (K <- rpois(n, lambda = ncp / 2))
                r <- numeric(n)
                r[p] <- rchisq(sum(p), df = 2*K[p])
                r
            }

            rchisq <- function(n, df, ncp=0) {
                if(missing(ncp)) .Internal(rchisq(n, df))
                else rchisq0(n, ncp) + .Internal(rchisq(n, df))
            }

    • random

      public static final double[] random(int n, double df, double lambda, RandomEngine random)

    • density

      public double density(double x, boolean log)
      Specified by:
      density in class GenericDistribution

    • cumulative

      public double cumulative(double p, boolean lower_tail, boolean log_p)
      Specified by:
      cumulative in class GenericDistribution

    • quantile

      public double quantile(double q, boolean lower_tail, boolean log_p)
      Specified by:
      quantile in class GenericDistribution

    • random

      public double random()
      Specified by:
      random in class GenericDistribution