Package jdistlib.finance

Class GeneralizedInverseGaussianDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.GeneralizedInverseGaussianDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

public final class GeneralizedInverseGaussianDistribution
extends GenericDistribution
implements SupportedDistribution, TransformDistribution

Generalized-inverse-Gaussian law in (lambda, chi, psi), chi/psi positive.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
GeneralizedInverseGaussianDistribution(double lambda, double chi, double psi)

Method Summary

Modifier and Type	Method	Description
double	cumulative(double x, boolean lowerTail, boolean logP)
double	density(double x, boolean log)
double	getChi()
double	getLambda()
double	getLowerBound()
double	getPsi()
double	getUpperBound()
Complex	logCharacteristic(double frequency)
Complex	logMomentGenerating(double argument)
TransformDomain	momentGeneratingDomain()
double	quantile(double p, 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

GeneralizedInverseGaussianDistribution

public GeneralizedInverseGaussianDistribution(double lambda,
 double chi,
 double psi)

Method Details

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 p,
 boolean lowerTail,
 boolean logP)

Specified by:

quantile in class GenericDistribution

random

public double random()

Specified by:

random in class GenericDistribution

logMomentGenerating

public Complex logMomentGenerating(double argument)

Specified by:

logMomentGenerating in interface TransformDistribution

logCharacteristic

public Complex logCharacteristic(double frequency)

Specified by:

logCharacteristic 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

getLambda

public double getLambda()

getChi

public double getChi()

getPsi

public double getPsi()