umontreal.iro.lecuyer.probdist
Class WatsonUDist

java.lang.Object
  umontreal.iro.lecuyer.probdist.ContinuousDistribution
      umontreal.iro.lecuyer.probdist.WatsonUDist

All Implemented Interfaces:

Distribution

public class WatsonUDist
extends ContinuousDistribution

Extends the class ContinuousDistribution for the Watson U distribution (see). Given a sample of n independent uniforms u_i over [0, 1], the Watson statistic U_n² is defined by

W_n² = 1/12n + ∑_j=1ⁿ{u_(j) - (j-0.5)/n}²,
U_n² = W_n² - n(bar(u)_n -1/2)².

where the u_(j) are the u_i sorted in increasing order, and bar(u)_n is the average of the observations u_i. The distribution function (the cumulative probabilities) is defined as F_n(x) = P[U_n² <= x].

Field Summary

Fields inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution

decPrec

Constructor Summary

WatsonUDist(int n)
Constructs a Watson U distribution for a sample of size n.

Method Summary

double	barF(double x) Returns the complementary distribution function.
static double	barF(int n, double x) Computes the complementary distribution function bar(F)n(x), where Fn is the Watson U distribution with parameter n.
double	cdf(double x) Returns the distribution function F(x).
static double	cdf(int n, double x) Computes the Watson U distribution function, i.e.
double	density(double x) Returns f (x), the density evaluated at x.
static double	density(int n, double x) Computes the density of the Watson U distribution with parameter n.
double	getMean() Returns the mean.
static double	getMean(int n) Returns the mean of the Watson U distribution with parameter n.
int	getN() Returns the parameter n of this object.
double[]	getParams() Return an array containing the parameter n of this object.
double	getStandardDeviation() Returns the standard deviation.
static double	getStandardDeviation(int n) Returns the standard deviation of the Watson U distribution with parameter n.
double	getVariance() Returns the variance.
static double	getVariance(int n) Returns the variance of the Watson U distribution with parameter n.
double	inverseF(double u) Returns the inverse distribution function x = F-1(u).
static double	inverseF(int n, double u) Computes x = Fn-1(u), where Fn is the Watson U distribution with parameter n.
void	setN(int n) Sets the parameter n of this object.
String	toString()

Methods inherited from class umontreal.iro.lecuyer.probdist.ContinuousDistribution

getXinf, getXsup, inverseBisection, inverseBrent, setXinf, setXsup

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

WatsonUDist

public WatsonUDist(int n)

Constructs a Watson U distribution for a sample of size n.

Method Detail

density

public double density(double x)

Description copied from class: ContinuousDistribution

Returns f (x), the density evaluated at x.

Specified by:

density in class ContinuousDistribution

Parameters:

x - value at which the density is evaluated

Returns:

density function evaluated at x

cdf

public double cdf(double x)

Description copied from interface: Distribution

Returns the distribution function F(x).

Parameters:

x - value at which the distribution function is evaluated

Returns:

distribution function evaluated at x

barF

public double barF(double x)

Description copied from class: ContinuousDistribution

Returns the complementary distribution function. The default implementation computes bar(F)(x) = 1 - F(x).

Specified by:

barF in interface Distribution

Overrides:

barF in class ContinuousDistribution

Parameters:

x - value at which the complementary distribution function is evaluated

Returns:

complementary distribution function evaluated at x

inverseF

public double inverseF(double u)

Description copied from class: ContinuousDistribution

Returns the inverse distribution function x = F^-1(u). Restrictions: u∈[0, 1].

Specified by:

inverseF in interface Distribution

Overrides:

inverseF in class ContinuousDistribution

Parameters:

u - value at which the inverse distribution function is evaluated

Returns:

the inverse distribution function evaluated at u

getMean

public double getMean()

Description copied from class: ContinuousDistribution

Returns the mean.

Specified by:

getMean in interface Distribution

Overrides:

getMean in class ContinuousDistribution

Returns:

the mean

getVariance

public double getVariance()

Description copied from class: ContinuousDistribution

Returns the variance.

Specified by:

getVariance in interface Distribution

Overrides:

getVariance in class ContinuousDistribution

Returns:

the variance

getStandardDeviation

public double getStandardDeviation()

Description copied from class: ContinuousDistribution

Returns the standard deviation.

Specified by:

getStandardDeviation in interface Distribution

Overrides:

getStandardDeviation in class ContinuousDistribution

Returns:

the standard deviation

density

public static double density(int n,
                             double x)

Computes the density of the Watson U distribution with parameter n.

cdf

public static double cdf(int n,
                         double x)

Computes the Watson U distribution function, i.e. returns P[U_n² <= x], where U_n² is the Watson statistic defined in. We use the asymptotic distribution for n -> ∞, plus a correction in O(1/n), as given in.

barF

public static double barF(int n,
                          double x)

Computes the complementary distribution function bar(F)_n(x), where F_n is the Watson U distribution with parameter n.

inverseF

public static double inverseF(int n,
                              double u)

Computes x = F_n^-1(u), where F_n is the Watson U distribution with parameter n.

getMean

public static double getMean(int n)

Returns the mean of the Watson U distribution with parameter n.

Returns:

Returns the mean

getVariance

public static double getVariance(int n)

Returns the variance of the Watson U distribution with parameter n.

Returns:

the variance

getStandardDeviation

public static double getStandardDeviation(int n)

Returns the standard deviation of the Watson U distribution with parameter n.

Returns:

the standard deviation

getN

public int getN()

Returns the parameter n of this object.

setN

public void setN(int n)

Sets the parameter n of this object.

getParams

public double[] getParams()

Return an array containing the parameter n of this object.

toString

public String toString()

Overrides:

toString in class Object