Package org.drip.measure.gamma

Class ConjugateScalePrior

java.lang.Object
org.drip.measure.bayesian.ConjugateParameterPrior
org.drip.measure.gamma.ConjugateScalePrior
public class ConjugateScalePrior
extends ConjugateParameterPrior
ConjugateScalePrior implements the Determinants of the Parameters of the Conjugate Prior for the Scale Parameter. 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:
  • ConjugateScalePrior Constructor
  • Retrieve the Sum of the Observation Suite
  • 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 R1 Gamma Distribution Implementation/Properties

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ConjugateScalePrior​(double parameterEstimate, int observationCount, double observationSum)
    ConjugateScalePrior Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean bayesUpdate​(R1Sample sample)
    Perform an Bayes' Update of the Conjugate Prior from the Sample
    double observationSum()
    Retrieve the Sum of the Observation Suite

    Methods inherited from class org.drip.measure.bayesian.ConjugateParameterPrior

    observationCount, parameterEstimate

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ConjugateScalePrior

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

  • Method Details

    • observationSum

      public double observationSum()
      Retrieve the Sum of the Observation Suite
      Returns:
      Sum of the Observation Suite

    • bayesUpdate

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