R1ConsistentEstimator

java.lang.Object

org.drip.measure.gamma.R1ParameterEstimator

org.drip.measure.gamma.R1ConsistentEstimator

public class R1ConsistentEstimator
extends R1ParameterEstimator

R1ConsistentEstimator implements the Mixed Type Log-Moment Parameter Estimator for a Sequence of Observations. 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

R1ConsistentEstimator(Sample sample)
R1ConsistentEstimator Constructor

Method Summary

Modifier and Type	Method	Description
`static R1ConsistentEstimator`	`FromRealizationArray(double[] realizationArray)`	Construct and Instance of R1ConsistentEstimator from the Array of Realizations
`ShapeScaleParameters`	`inferShapeScaleParameter()`	Infer the Shape-Scale Parameter from the Observations
`double`	`scaleBiasCorrectionFactor()`	Retrieve the Scale Bias Correction Factor
`double`	`shapeBiasCorrectionAdjustment(double scaleEstimate)`	Compute the Shape Bias Correction Adjustment

Methods inherited from class org.drip.measure.gamma.R1ParameterEstimator

sample

Methods inherited from class java.lang.Object

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

Constructor Details
- R1ConsistentEstimator
  
  public R1ConsistentEstimator(Sample sample) throws java.lang.Exception
  
  R1ConsistentEstimator Constructor
  
  Parameters:
  
  sample - The Sample
  
  Throws:
  
  java.lang.Exception - Thrown of the Inputs are Invalid
Method Details
- FromRealizationArray
  
  public static final R1ConsistentEstimator FromRealizationArray(double[] realizationArray)
  
  Construct and Instance of R1ConsistentEstimator from the Array of Realizations
  
  Parameters:
  
  realizationArray - The Realization Array
  
  Returns:
  
  Instance of R1ConsistentEstimator
- inferShapeScaleParameter
  
  public ShapeScaleParameters inferShapeScaleParameter()
  
  Infer the Shape-Scale Parameter from the Observations
  
  Specified by:
  
  inferShapeScaleParameter in class R1ParameterEstimator
  
  Returns:
  
  The Shape-Scale Parameter from the Observations
- scaleBiasCorrectionFactor
  
  public double scaleBiasCorrectionFactor()
  
  Retrieve the Scale Bias Correction Factor
  
  Returns:
  
  The Scale Bias Correction Factor
- shapeBiasCorrectionAdjustment
  
  public double shapeBiasCorrectionAdjustment(double scaleEstimate) throws java.lang.Exception
  
  Compute the Shape Bias Correction Adjustment
  
  Parameters:
  
  scaleEstimate - The Scale Estimate
  
  Returns:
  
  The Shape Bias Correction Adjustment
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid