Package org.drip.measure.gamma

Class R1MaximumLikelihoodEstimator

java.lang.Object

org.drip.measure.gamma.R1ParameterEstimator

org.drip.measure.gamma.R1MaximumLikelihoodEstimator

public class R1MaximumLikelihoodEstimator
extends R1ParameterEstimator

R1MaximumLikelihoodEstimator implements the Maximum Likelihood Based 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
R1MaximumLikelihoodEstimator(Sample sample)	R1MaximumLikelihoodEstimator Constructor

Method Summary

Modifier and Type	Method	Description
static R1MaximumLikelihoodEstimator	FromRealizationArray(double[] realizationArray)	Construct and Instance of R1MaximumLikelihoodEstimator from the Array of Realizations
ShapeScaleParameters	inferShapeScaleParameter()	Infer the Shape-Scale Parameter from the Observations

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

R1MaximumLikelihoodEstimator

public R1MaximumLikelihoodEstimator(Sample sample)
                             throws java.lang.Exception

R1MaximumLikelihoodEstimator Constructor

Parameters:

sample - The Sample

Throws:

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

Method Details

FromRealizationArray

public static final R1MaximumLikelihoodEstimator FromRealizationArray(double[] realizationArray)

Construct and Instance of R1MaximumLikelihoodEstimator from the Array of Realizations

Parameters:

realizationArray - The Realization Array

Returns:

Instance of R1MaximumLikelihoodEstimator

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