Package org.drip.measure.bayesian

Class ConjugateParameterPrior

java.lang.Object
org.drip.measure.bayesian.ConjugateParameterPrior
Direct Known Subclasses:
ConjugateScalePrior, ConjugateShapePrior
public class ConjugateParameterPrior
extends java.lang.Object
ConjugateParameterPrior implements the Determinants of the Parameter of the Conjugate Prior. The References are:

  • Devroye, L. (1986): Non-Uniform Random Variate Generation Springer-Verlag New York
  • Gamma Distribution (2019): Gamma Distribution https://en.wikipedia.org/wiki/Chi-squared_distribution
  • Louzada, F., P. L. Ramos, and E. Ramos (2019): A Note on Bias of Closed-Form Estimators for the Gamma Distribution Derived From Likelihood Equations The American Statistician 73 (2) 195-199
  • Minka, T. (2002): Estimating a Gamma distribution https://tminka.github.io/papers/minka-gamma.pdf
  • Ye, Z. S., and N. Chen (2017): Closed-Form Estimators for the Gamma Distribution Derived from Likelihood Equations The American Statistician 71 (2) 177-181
It provides the following Functionality:
  • ConjugateParameterPrior Constructor
  • Retrieve the Count of the Observation Suite
  • Retrieve the Parameter Estimate
  • Perform an Bayes' Update of the Conjugate Prior from the Sample

Module Computational Core Module
Library Numerical Analysis Library
Project Rd Continuous/Discrete Probability Measures
Package Prior, Conditional, Posterior Theil Bayesian

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ConjugateParameterPrior​(double parameterEstimate, int observationCount)
    ConjugateParameterPrior Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean bayesUpdate​(R1Sample sample)
    Perform a Bayes' Update of the Conjugate Prior from the Sample
    int observationCount()
    Retrieve the Count of the Observation Suite
    double parameterEstimate()
    Retrieve the Parameter Estimate

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ConjugateParameterPrior

      public ConjugateParameterPrior​(double parameterEstimate, int observationCount) throws java.lang.Exception
      ConjugateParameterPrior Constructor
      Parameters:
      parameterEstimate - Parameter Estimate
      observationCount - Count of Observations
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • observationCount

      public int observationCount()
      Retrieve the Count of the Observation Suite
      Returns:
      Count of the Observation Suite

    • parameterEstimate

      public double parameterEstimate()
      Retrieve the Parameter Estimate
      Returns:
      Parameter Estimate

    • bayesUpdate

      public boolean bayesUpdate​(R1Sample sample)
      Perform a Bayes' Update of the Conjugate Prior from the Sample
      Parameters:
      sample - The Sample
      Returns:
      TRUE - Bayes' Update of the Conjugate Prior from the Sample completed successfully