Package com.opengamma.strata.math.impl.cern

Class StudentT

  • All Implemented Interfaces:
    Serializable, Cloneable, DoubleUnaryOperator, IntUnaryOperator
    public class StudentT
extends Object
    StudentT distribution (aka T-distribution); See the math definition and animated definition.

    p(x) = k * (1+x^2/f) ^ -(f+1)/2 where k = g((f+1)/2) / (sqrt(pi*f) * g(f/2)) and g(a) being the gamma function and f being the degrees of freedom.

    Valid parameter ranges: freedom > 0.

    Instance methods operate on a user supplied uniform random number generator; they are unsynchronized.

    Static methods operate on a default uniform random number generator; they are synchronized.

    Implementation:

    Method: Adapted Polar Box-Muller transformation.
    This is a port of RandStudentT used in CLHEP 1.4.0 (C++). CLHEP's implementation, in turn, is based on tpol.c from the C-RAND / WIN-RAND library. C-RAND's implementation, in turn, is based upon

    R.W. Bailey (1994): Polar generation of random variates with the t-distribution, Mathematics of Computation 62, 779-781.

    Version:
    1.0, 09/24/99
    See Also:
    Serialized Form

    • Field Detail

      • freedom

        protected double freedom

      • TERM

        protected double TERM

      • shared

        protected static StudentT shared

    • Constructor Detail

      • StudentT

        public StudentT​(double freedom,
                RandomEngine randomGenerator)
        Constructs a StudentT distribution. Example: freedom=1.0.
        Parameters:
        freedom - degrees of freedom.
        randomGenerator - input
        Throws:
        IllegalArgumentException - if freedom <= 0.0.

    • Method Detail

      • cdf

        public double cdf​(double x)
        Returns the cumulative distribution function.
        Parameters:
        x - input
        Returns:
        result

      • nextDouble

        public double nextDouble()
        Returns a random number from the distribution.
        Returns:
        result

      • nextDouble

        public double nextDouble​(double degreesOfFreedom)
        Returns a random number from the distribution; bypasses the internal state.
        Parameters:
        degreesOfFreedom - degrees of freedom.
        Returns:
        result
        Throws:
        IllegalArgumentException - if a <= 0.0.

      • pdf

        public double pdf​(double x)
        Returns the probability distribution function.
        Parameters:
        x - input
        Returns:
        result

      • setState

        public void setState​(double freedom)
        Sets the distribution parameter.
        Parameters:
        freedom - degrees of freedom.
        Throws:
        IllegalArgumentException - if freedom <= 0.0.

      • staticNextDouble

        public static double staticNextDouble​(double freedom)
        Returns a random number from the distribution.
        Parameters:
        freedom - degrees of freedom.
        Returns:
        result
        Throws:
        IllegalArgumentException - if freedom <= 0.0.

      • toString

        public String toString()
        Returns a String representation of the receiver.
        Overrides:
        toString in class Object

      • applyAsDouble

        public double applyAsDouble​(double dummy)
        Equivalent to nextDouble(). This has the effect that distributions can now be used as function objects, returning a random number upon function evaluation.
        Specified by:
        applyAsDouble in interface DoubleUnaryOperator

      • applyAsInt

        public int applyAsInt​(int dummy)
        Equivalent to nextInt(). This has the effect that distributions can now be used as function objects, returning a random number upon function evaluation.
        Specified by:
        applyAsInt in interface IntUnaryOperator

      • clone

        public Object clone()
        Returns a deep copy of the receiver; the copy will produce identical sequences. After this call has returned, the copy and the receiver have equal but separate state.
        Returns:
        a copy of the receiver.

      • getRandomGenerator

        protected RandomEngine getRandomGenerator()
        Returns the used uniform random number generator;
        Returns:
        result

      • makeDefaultGenerator

        public static RandomEngine makeDefaultGenerator()
        Constructs and returns a new uniform random number generation engine seeded with the current time. Currently this is MersenneTwister.
        Returns:
        result

      • nextInt

        public int nextInt()
        Returns a random number from the distribution; returns (int) Math.round(nextDouble()). Override this method if necessary.
        Returns:
        result

      • setRandomGenerator

        protected void setRandomGenerator​(RandomEngine randomGenerator)
        Sets the uniform random generator internally used.
        Parameters:
        randomGenerator - input