Package org.drip.measure.discrete

Class SequenceGenerator

java.lang.Object
org.drip.measure.discrete.SequenceGenerator
public class SequenceGenerator
extends java.lang.Object
SequenceGenerator generates the specified Univariate Sequence of the Given Distribution Type.

  • Backstrom, T., and J. Fischer (2018): Fast Randomization for Distributed Low Bit-rate Coding of Speech and Audio IEEE/ACM Transactions on Audio, Speech, and Language Processing 26 (1) 19-30
  • Chi-Squared Distribution (2019): Chi-Squared Function https://en.wikipedia.org/wiki/Chi-squared_distribution
  • Johnson, N. L., S. Klotz, and N. Balakrishnan (1994): Continuous Univariate Distributions 1 2nd Edition John Wiley and Sons
  • Lancaster, H, O. (1969): The Chi-Squared Distribution Wiley
  • Pillai, N. S. (1026): An Unexpected Encounter with Cauchy and Levy Annals of Statistics 44 (5) 2089-2097


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    SequenceGenerator()  

  • Method Summary

    Modifier and Type Method Description
    static double[] Beta​(int count, int degreesOfFreedom1, int degreesOfFreedom2)
    Generate an Array of Beta Distributed Random Numbers
    static double[] Chi​(int count, int degreesOfFreedom)
    Generate an Array of Chi Distributed Random Numbers
    static double[] ChiSquared​(int count, int degreesOfFreedom)
    Generate an Array of Chi-Squared Distributed Random Numbers
    static double[] F​(int count, int degreesOfFreedom1, int degreesOfFreedom2)
    Generate an Array of F Distributed Random Numbers
    static double[] Gaussian​(int iCount)
    Generate a Sequence of Gaussian Random Numbers
    static double[][] GaussianJoint​(int iCount, double[][] aadblCorrelation)
    Generate a Sequence of R^d Correlated Gaussian Random Numbers
    static double[] InverseChiSquared​(int count, int degreesOfFreedom)
    Generate an Array of Inverse Chi-Squared Distributed Random Numbers
    static double[] LogNormal​(int iCount)
    Generate a Sequence of Log Normal Random Numbers
    static double[] PillaiSpecialChiSquare​(int count, double[][] covarianceMatrix, double[] weightArray)
    Generate a Pillai (2016) Special Chi-Squared Distributed Array
    static double[] RankReducedChiSquare​(int count, double[][] covarianceMatrix)
    Generate a Rank-reduced Chi-Squared Distributed Array
    static double[] ScaledGamma​(int count, int degreesOfFreedom, double scale)
    Generate an Array of Scaled Gamma Distributed Random Numbers
    static double[] Uniform​(int iCount)
    Generate a Sequence of Uniform Random Numbers
    static double[] UnitScaleMaxwell​(int count)
    Generate an Array of Unit Scale Maxwell Distributed Random Numbers
    static double[] UnitScaleRayleigh​(int count)
    Generate an Array of Unit Scale Rayleigh Distributed Random Numbers

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • SequenceGenerator

      public SequenceGenerator()

  • Method Details

    • Uniform

      public static final double[] Uniform​(int iCount)
      Generate a Sequence of Uniform Random Numbers
      Parameters:
      iCount - The Count in the Sequence
      Returns:
      The Sequence of Uniform Random Numbers

    • Gaussian

      public static final double[] Gaussian​(int iCount)
      Generate a Sequence of Gaussian Random Numbers
      Parameters:
      iCount - The Count in the Sequence
      Returns:
      The Sequence of Gaussian Random Numbers

    • LogNormal

      public static final double[] LogNormal​(int iCount)
      Generate a Sequence of Log Normal Random Numbers
      Parameters:
      iCount - The Count in the Sequence
      Returns:
      The Sequence of Log Normal Random Numbers

    • GaussianJoint

      public static final double[][] GaussianJoint​(int iCount, double[][] aadblCorrelation)
      Generate a Sequence of R^d Correlated Gaussian Random Numbers
      Parameters:
      iCount - The Count in the Sequence
      aadblCorrelation - The Correlation Matrix
      Returns:
      The Sequence of R^d Correlated Gaussian Random Numbers

    • ChiSquared

      public static final double[] ChiSquared​(int count, int degreesOfFreedom)
      Generate an Array of Chi-Squared Distributed Random Numbers
      Parameters:
      count - Array Count
      degreesOfFreedom - Degrees of Freedom
      Returns:
      Array of Chi-Squared Distributed Random Numbers

    • ScaledGamma

      public static final double[] ScaledGamma​(int count, int degreesOfFreedom, double scale)
      Generate an Array of Scaled Gamma Distributed Random Numbers
      Parameters:
      count - Array Count
      degreesOfFreedom - Degrees of Freedom
      scale - Scale Parameter
      Returns:
      Array of Scaled Gamma Distributed Random Numbers

    • Chi

      public static final double[] Chi​(int count, int degreesOfFreedom)
      Generate an Array of Chi Distributed Random Numbers
      Parameters:
      count - Array Count
      degreesOfFreedom - Degrees of Freedom
      Returns:
      Array of Chi Distributed Random Numbers

    • UnitScaleRayleigh

      public static final double[] UnitScaleRayleigh​(int count)
      Generate an Array of Unit Scale Rayleigh Distributed Random Numbers
      Parameters:
      count - Array Count
      Returns:
      Array of Unit Scale Rayleigh Distributed Random Numbers

    • UnitScaleMaxwell

      public static final double[] UnitScaleMaxwell​(int count)
      Generate an Array of Unit Scale Maxwell Distributed Random Numbers
      Parameters:
      count - Array Count
      Returns:
      Array of Unit Scale Maxwell Distributed Random Numbers

    • InverseChiSquared

      public static final double[] InverseChiSquared​(int count, int degreesOfFreedom)
      Generate an Array of Inverse Chi-Squared Distributed Random Numbers
      Parameters:
      count - Array Count
      degreesOfFreedom - Degrees of Freedom
      Returns:
      Array of Inverse Chi-Squared Distributed Random Numbers

    • Beta

      public static final double[] Beta​(int count, int degreesOfFreedom1, int degreesOfFreedom2)
      Generate an Array of Beta Distributed Random Numbers
      Parameters:
      count - Array Count
      degreesOfFreedom1 - Degrees of Freedom #1
      degreesOfFreedom2 - Degrees of Freedom #2
      Returns:
      Array of Beta Distributed Random Numbers

    • F

      public static final double[] F​(int count, int degreesOfFreedom1, int degreesOfFreedom2)
      Generate an Array of F Distributed Random Numbers
      Parameters:
      count - Array Count
      degreesOfFreedom1 - Degrees of Freedom #1
      degreesOfFreedom2 - Degrees of Freedom #2
      Returns:
      Array of F Distributed Random Numbers

    • RankReducedChiSquare

      public static final double[] RankReducedChiSquare​(int count, double[][] covarianceMatrix)
      Generate a Rank-reduced Chi-Squared Distributed Array
      Parameters:
      count - Array Count
      covarianceMatrix - The Covariance Matrix
      Returns:
      Rank-reduced Chi-Squared Distributed Array

    • PillaiSpecialChiSquare

      public static final double[] PillaiSpecialChiSquare​(int count, double[][] covarianceMatrix, double[] weightArray)
      Generate a Pillai (2016) Special Chi-Squared Distributed Array
      Parameters:
      count - Array Count
      covarianceMatrix - The Covariance Matrix
      weightArray - Array of Weights
      Returns:
      Pillai (2016) Special Chi-Squared Distributed Array