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java.lang.Object umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim umontreal.iro.lecuyer.probdistmulti.BiStudentDist
public class BiStudentDist
Extends the class ContinuousDistribution2Dim
for the standard bivariate Student's t distribution.
The correlation between X and Y is r
and the number of degrees of freedom is ν.
Its probability density is
Field Summary |
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Fields inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim |
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decPrec |
Constructor Summary | |
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BiStudentDist(int nu,
double rho)
Constructs a BiStudentDist object with correlation ρ = rho and ν = nu degrees of freedom. |
Method Summary | |
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double |
barF(double x,
double y)
. |
static double |
barF(int nu,
double x,
double y,
double rho)
Computes the standard upper bivariate Student's t distribution. |
double |
cdf(double x,
double y)
. |
static double |
cdf(int nu,
double x,
double y,
double rho)
Computes the standard bivariate Student's t distribution using the method described in. |
double |
density(double x,
double y)
Returns f (x, y), the density of (X, Y) evaluated at (x, y). |
static double |
density(int nu,
double x,
double y,
double rho)
Computes the standard bivariate Student's t density function with correlation ρ = rho and ν = nu degrees of freedom. |
double[][] |
getCorrelation()
Returns the correlation matrix of the distribution, defined as ρij = σij/(σ_iiσ_jj)1/2. |
static double[][] |
getCorrelation(int nu,
double rho)
Returns the correlation matrix of the bivariate Student's t distribution. |
double[][] |
getCovariance()
Returns the variance-covariance matrix of the distribution, defined as σij = E[(Xi - μi)(Xj - μj)]. |
static double[][] |
getCovariance(int nu,
double rho)
Returns the covariance matrix of the bivariate Student's t distribution. |
double[] |
getMean()
Returns the mean vector of the distribution, defined as μi = E[Xi]. |
static double[] |
getMean(int nu,
double rho)
Returns the mean vector E[X] = (0, 0) of the bivariate Student's t distribution. |
Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim |
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cdf, density |
Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti |
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getDimension |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public BiStudentDist(int nu, double rho)
Method Detail |
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public double density(double x, double y)
ContinuousDistribution2Dim
density
in class ContinuousDistribution2Dim
x
- value x at which the density is evaluatedy
- value y at which the density is evaluated
public double cdf(double x, double y)
ContinuousDistribution2Dim
cdf
in class ContinuousDistribution2Dim
x
- value x at which the distribution function is evaluatedy
- value y at which the distribution function is evaluated
public double barF(double x, double y)
ContinuousDistribution2Dim
barF
in class ContinuousDistribution2Dim
x
- value x at which the upper distribution is evaluatedy
- value y at which the upper distribution is evaluated
public static double density(int nu, double x, double y, double rho)
public static double cdf(int nu, double x, double y, double rho)
public static double barF(int nu, double x, double y, double rho)
public double[] getMean()
ContinuousDistributionMulti
getMean
in class ContinuousDistributionMulti
public static double[] getMean(int nu, double rho)
public double[][] getCovariance()
ContinuousDistributionMulti
getCovariance
in class ContinuousDistributionMulti
public static double[][] getCovariance(int nu, double rho)
public double[][] getCorrelation()
ContinuousDistributionMulti
getCorrelation
in class ContinuousDistributionMulti
public static double[][] getCorrelation(int nu, double rho)
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SSJ V. 2.6.2. |
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