Package jdistlib.finance

Class GeneralizedHyperbolicDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.GeneralizedHyperbolicDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

Direct Known Subclasses:

NormalInverseGaussianDistribution

public class GeneralizedHyperbolicDistribution
extends GenericDistribution
implements SupportedDistribution, TransformDistribution

Generalized-hyperbolic law in the canonical (lambda, alpha, beta, delta, mu) parameterization, with alpha > |beta| and delta > 0.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
GeneralizedHyperbolicDistribution(double lambda, double alpha, double beta, double delta, double mu)

Method Summary

Modifier and Type	Method	Description
double	cumulative(double x, boolean lowerTail, boolean logP)
NumericalEstimate	cumulativeResult(double x)	CDF plus a deterministic quadrature-difference error estimate.
double	density(double x, boolean log)
double	getAlpha()
double	getBeta()
double	getDelta()
double	getLambda()
double	getLowerBound()
double	getMu()
double	getUpperBound()
static double	logBesselK(double x, double order)
Complex	logCharacteristic(double frequency)
Complex	logMomentGenerating(double argument)
TransformDomain	momentGeneratingDomain()
static GeneralizedHyperbolicDistribution	normalInverseGaussian(double alpha, double beta, double delta, double mu)
double	quantile(double probability, boolean lowerTail, boolean logP)
double	random()

Methods inherited from class jdistlib.generic.GenericDistribution

copyBackward, cumulative, cumulative, cumulative, cumulative_hazard, cumulative_hazard, cumulativeInto, density, density, densityInto, getRandomEngine, hazard, hazard, inverse_survival, inverse_survival, quantile, quantile, quantile, quantileInto, random, random, randomInto, setRandomEngine, survival, survival, survival

Methods inherited from class java.lang.Object

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

Constructor Details

GeneralizedHyperbolicDistribution

public GeneralizedHyperbolicDistribution(double lambda,
 double alpha,
 double beta,
 double delta,
 double mu)

Method Details

normalInverseGaussian

public static GeneralizedHyperbolicDistribution normalInverseGaussian(double alpha,
 double beta,
 double delta,
 double mu)

getLambda

public double getLambda()

getAlpha

public double getAlpha()

getBeta

public double getBeta()

getDelta

public double getDelta()

getMu

public double getMu()

density

public double density(double x,
 boolean log)

Specified by:

density in class GenericDistribution

cumulative

public double cumulative(double x,
 boolean lowerTail,
 boolean logP)

Specified by:

cumulative in class GenericDistribution

quantile

public double quantile(double probability,
 boolean lowerTail,
 boolean logP)

Specified by:

quantile in class GenericDistribution

random

public double random()

Specified by:

random in class GenericDistribution

cumulativeResult

public NumericalEstimate cumulativeResult(double x)

CDF plus a deterministic quadrature-difference error estimate.

logCharacteristic

public Complex logCharacteristic(double frequency)

Specified by:

logCharacteristic in interface TransformDistribution

logMomentGenerating

public Complex logMomentGenerating(double argument)

Specified by:

logMomentGenerating in interface TransformDistribution

momentGeneratingDomain

public TransformDomain momentGeneratingDomain()

Specified by:

momentGeneratingDomain in interface TransformDistribution

getLowerBound

public double getLowerBound()

Specified by:

getLowerBound in interface SupportedDistribution

getUpperBound

public double getUpperBound()

Specified by:

getUpperBound in interface SupportedDistribution

logBesselK

public static double logBesselK(double x,
 double order)