Package org.drip.measure.lebesgue

Class R1PiecewiseLinear

java.lang.Object

org.drip.measure.continuous.R1Univariate

org.drip.measure.lebesgue.R1Uniform

org.drip.measure.lebesgue.R1PiecewiseLinear

public class R1PiecewiseLinear
extends R1Uniform

R1PiecewiseLinear implements the Piecewise Linear R¹ Distributions. It exports the Methods corresponding to the R¹ Lebesgue Base Class.

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d Continuous/Discrete Probability Measures
• Package = Uniform Piece-wise Lebesgue Measure

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
R1PiecewiseLinear(double dblLeftPredictorOrdinateEdge, double dblRightPredictorOrdinateEdge, double[] adblPredictorOrdinate, double[] adblPiecewiseDensity)	R1PiecewiseLinear Constructor

Method Summary

Modifier and Type	Method	Description
double	cumulative(double dblX)	Compute the cumulative under the distribution to the given value
double	density(double dblX)	Compute the Density under the Distribution at the given Variate
Array2D	histogram()	Retrieve the Univariate Weighted Histogram
double	invCumulative(double dblY)	Compute the inverse cumulative under the distribution corresponding to the given value
double[]	piecewiseDensities()	Retrieve the Array of Piecewise Densities
double[]	predictorOrdinates()	Retrieve the Array of Predictor Ordinates
static R1PiecewiseLinear	Standard(double dblLeftPredictorOrdinateEdge, double dblRightPredictorOrdinateEdge, double[] adblPredictorOrdinate, double[] adblCumulativeProbability)	Calibrate an R1PiecewiseLinear Lebesgue Instance

Methods inherited from class org.drip.measure.lebesgue.R1Uniform

incremental, leftEdge, mean, rightEdge, support, variance

Methods inherited from class org.drip.measure.continuous.R1Univariate

bPOE, centralMoment, cvar, differentialEntropy, excessKurtosis, expectedShortfall, fisherInformation, iqr, kullbackLeiblerDivergence, median, mode, momentGeneratingFunction, nonCentralMoment, populationCentralMeasures, probabilityGeneratingFunction, quantile, random, randomArray, skewness, supported, tukeyAnomaly, tukeyCriterion

Methods inherited from class java.lang.Object

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

Constructor Details

R1PiecewiseLinear

public R1PiecewiseLinear(double dblLeftPredictorOrdinateEdge,
double dblRightPredictorOrdinateEdge,
double[] adblPredictorOrdinate,
double[] adblPiecewiseDensity)
                  throws java.lang.Exception

R1PiecewiseLinear Constructor

Parameters:

dblLeftPredictorOrdinateEdge - Left Predictor Ordinate Edge

dblRightPredictorOrdinateEdge - Right Predictor Ordinate Edge

adblPredictorOrdinate - Array of Intermediate Predictor Ordinates

adblPiecewiseDensity - Array of corresponding Piece-wise Densities

Throws:

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

Method Details

Standard

public static final R1PiecewiseLinear Standard(double dblLeftPredictorOrdinateEdge,
double dblRightPredictorOrdinateEdge,
double[] adblPredictorOrdinate,
double[] adblCumulativeProbability)

Calibrate an R1PiecewiseLinear Lebesgue Instance

Parameters:

dblLeftPredictorOrdinateEdge - Left Predictor Ordinate Edge

dblRightPredictorOrdinateEdge - Right Predictor Ordinate Edge

adblPredictorOrdinate - Array of Intermediate Predictor Ordinates

adblCumulativeProbability - Array of corresponding Cumulative Probabilities

Returns:

The R1PiecewiseLinearLebesgue Instance

predictorOrdinates

public double[] predictorOrdinates()

Retrieve the Array of Predictor Ordinates

Returns:

The Array of Predictor Ordinates

piecewiseDensities

public double[] piecewiseDensities()

Retrieve the Array of Piecewise Densities

Returns:

The Array of Piecewise Densities

cumulative

public double cumulative(double dblX)
                  throws java.lang.Exception

Description copied from class: R1Univariate

Compute the cumulative under the distribution to the given value

Overrides:

cumulative in class R1Uniform

Parameters:

dblX - Variate to which the cumulative is to be computed

Returns:

The cumulative

Throws:

java.lang.Exception - Thrown if the inputs are invalid

invCumulative

public double invCumulative(double dblY)
                     throws java.lang.Exception

Description copied from class: R1Univariate

Compute the inverse cumulative under the distribution corresponding to the given value

Overrides:

invCumulative in class R1Uniform

Parameters:

dblY - Value corresponding to which the inverse cumulative is to be computed

Returns:

The inverse cumulative

Throws:

java.lang.Exception - Thrown if the Input is invalid

density

public double density(double dblX)
               throws java.lang.Exception

Description copied from class: R1Univariate

Compute the Density under the Distribution at the given Variate

Overrides:

density in class R1Uniform

Parameters:

dblX - Variate at which the Density needs to be computed

Returns:

The Density

Throws:

java.lang.Exception - Thrown if the input is invalid

histogram

public Array2D histogram()

Description copied from class: R1Univariate

Retrieve the Univariate Weighted Histogram

Overrides:

histogram in class R1Uniform

Returns:

The Univariate Weighted Histogram