Package org.drip.measure.exponential

Class IIDComposite

java.lang.Object
org.drip.measure.exponential.IIDComposite
public class IIDComposite
extends java.lang.Object
IIDComposite generates Metrics for a Composite Set of i.i.d. R1 Exponential Distributions. 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 4th 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    IIDComposite()  

  • Method Summary

    Modifier and Type Method Description
    static int MaxOrderStatistic​(int orderStatistic1, int orderStatistic2)
    Get the Maximum of the specified Order Statistic
    static int MinOrderStatistic​(int orderStatistic1, int orderStatistic2)
    Get the Minimum of the specified Order Statistic
    static double OrderStatisticsJointMoment​(R1RateDistribution r1RateDistribution, int variateCount, int orderStatistic1, int orderStatistic2)
    Compute the Joint Moment of the Order Statistics for a Set of i.i.d.

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • IIDComposite

      public IIDComposite()

  • Method Details

    • MaxOrderStatistic

      public static final int MaxOrderStatistic​(int orderStatistic1, int orderStatistic2)
      Get the Maximum of the specified Order Statistic
      Parameters:
      orderStatistic1 - First Order Statistic
      orderStatistic2 - Second Order Statistic
      Returns:
      Maximum if the specified Order Statistics Pair

    • MinOrderStatistic

      public static final int MinOrderStatistic​(int orderStatistic1, int orderStatistic2)
      Get the Minimum of the specified Order Statistic
      Parameters:
      orderStatistic1 - First Order Statistic
      orderStatistic2 - Second Order Statistic
      Returns:
      Minimum if the specified Order Statistics Pair

    • OrderStatisticsJointMoment

      public static final double OrderStatisticsJointMoment​(R1RateDistribution r1RateDistribution, int variateCount, int orderStatistic1, int orderStatistic2) throws java.lang.Exception
      Compute the Joint Moment of the Order Statistics for a Set of i.i.d. Distributions
      Parameters:
      r1RateDistribution - R1 Exponential Distribution
      variateCount - Variate Count
      orderStatistic1 - First Order Statistic
      orderStatistic2 - Second Order Statistic
      Returns:
      Joint Moment of the Order Statistics for a Set of i.i.d. Distributions
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid