Package org.drip.measure.gamma

Class ConjugateShapeScalePrior

java.lang.Object

org.drip.measure.gamma.ConjugateShapeScalePrior

public class ConjugateShapeScalePrior
extends java.lang.Object

ConjugateShapeScalePrior implements the Determinants of the Parameters of the Conjugate Prior for the Shape and the Scale Parameters. 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

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ConjugateShapeScalePrior(ConjugateShapePrior conjugateShapePrior, ConjugateScalePrior conjugateScalePrior, R1ToR1 gammaEstimator)	ConjugateShapeScalePrior Constructor

Method Summary

Modifier and Type	Method	Description
boolean	bayesUpdate(Sample sample)	Perform an Bayes' Update of the Conjugate Prior from the Sample
ConjugateScalePrior	conjugateScalePrior()	Retrieve the Conjugate Scale Prior
ConjugateShapePrior	conjugateShapePrior()	Retrieve the Conjugate Shape Prior
R1ToR1	gammaEstimator()	Retrieve the Gamma Estimator
double	unnormalizedPriorProbability()	Compute the Conjugate Shape-Scale Unnormalized Prior Probability

Methods inherited from class java.lang.Object

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

Constructor Details

ConjugateShapeScalePrior

public ConjugateShapeScalePrior(ConjugateShapePrior conjugateShapePrior,
ConjugateScalePrior conjugateScalePrior,
R1ToR1 gammaEstimator)
                         throws java.lang.Exception

ConjugateShapeScalePrior Constructor

Parameters:

conjugateShapePrior - The Conjugate Shape Prior

conjugateScalePrior - The Conjugate Scale Prior

gammaEstimator - The Gamma Estimator

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

conjugateShapePrior

public ConjugateShapePrior conjugateShapePrior()

Retrieve the Conjugate Shape Prior

Returns:

The Conjugate Shape Prior

conjugateScalePrior

public ConjugateScalePrior conjugateScalePrior()

Retrieve the Conjugate Scale Prior

Returns:

The Conjugate Scale Prior

gammaEstimator

public R1ToR1 gammaEstimator()

Retrieve the Gamma Estimator

Returns:

Gamma Estimator

unnormalizedPriorProbability

public double unnormalizedPriorProbability()
                                    throws java.lang.Exception

Compute the Conjugate Shape-Scale Unnormalized Prior Probability

Returns:

The Conjugate Shape-Scale Unnormalized Prior Probability

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

bayesUpdate

public boolean bayesUpdate(Sample sample)

Perform an 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