Package org.drip.measure.continuous

Class R1PowerLawDistribution

java.lang.Object

org.drip.measure.continuous.R1Univariate

org.drip.measure.continuous.R1PowerLawDistribution

public abstract class R1PowerLawDistribution
extends R1Univariate

R1PowerLawDistribution implements the R¹ Power Law Distribution. The References are:

• Devroye, L. (1986): Non-Uniform Random Variate Generation Springer-Verlag New York
• Exponential Distribution (2019): Exponential Distribution https://en.wikipedia.org/wiki/Exponential_distribution
• Norton, M., V. Khokhlov, and S. Uryasev (2019): Calculating CVaR and bPOE for Common Probability Distributions with Application to Portfolio Optimization and Density Estimation Annals of Operations Research 299 (1-2) 1281-1315
• Ross, S. M. (2009): Introduction to Probability and Statistics for Engineers and Scientists 4^th Edition Associated Press New York, NY
• Schmidt, D. F., and D. Makalic (2009): Universal Models for the Exponential Distribution IEEE Transactions on Information Theory 55 (7) 3087-3090

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d Continuous/Discrete Probability Measures
• Package = R¹ Exponential Distribution Implementation/Properties

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
R1PowerLawDistribution()

Method Summary

Modifier and Type	Method	Description
double	k()	Retrieve Power Law "k"
double	lambda()	Retrieve Lambda

Methods inherited from class org.drip.measure.continuous.R1Univariate

bPOE, centralMoment, cumulative, cvar, density, differentialEntropy, excessKurtosis, expectedShortfall, fisherInformation, histogram, incremental, invCumulative, iqr, kullbackLeiblerDivergence, mean, median, mode, momentGeneratingFunction, nonCentralMoment, populationCentralMeasures, probabilityGeneratingFunction, quantile, random, randomArray, skewness, support, supported, tukeyAnomaly, tukeyCriterion, variance

Methods inherited from class java.lang.Object

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

Constructor Details

R1PowerLawDistribution

public R1PowerLawDistribution()

Method Details

k

public double k()

Retrieve Power Law "k"

Returns:

The Power Law "k"

lambda

public double lambda()

Retrieve Lambda

Returns:

Lambda