Package org.drip.measure.transform

Class FromExponential

java.lang.Object
org.drip.measure.transform.FromExponential
public class FromExponential
extends java.lang.Object
FromExponential transforms R1 Exponential Distribution to Derived Distributions. The References are:

  • Devroye, L. (1986): Non-Uniform Random Variate Generation Springer-Verlag New York
  • Exponential Distribution (2019): Exponential Distribution https://en.wikipedia.org/wiki/Exponential_distribution
  • Norton, M., V. Khokhlov, and S. Uryasev (2019): Calculating CVaR and bPOE for Common Probability Distributions with Application to Portfolio Optimization and Density Estimation Annals of Operations Research 299 (1-2) 1281-1315
  • Ross, S. M. (2009): Introduction to Probability and Statistics for Engineers and Scientists 4th Edition Associated Press New York, NY
  • Schmidt, D. F., and D. Makalic (2009): Universal Models for the Exponential Distribution IEEE Transactions on Information Theory 55 (7) 3087-3090


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FromExponential()  

  • Method Summary

    Modifier and Type Method Description
    static R1ParetoDistribution ToPareto​(R1RateDistribution exponentialDistribution, double k)
    Transform the Input R1 Exponential Distribution to Pareto

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FromExponential

      public FromExponential()

  • Method Details

    • ToPareto

      public static final R1ParetoDistribution ToPareto​(R1RateDistribution exponentialDistribution, double k)
      Transform the Input R1 Exponential Distribution to Pareto
      Parameters:
      exponentialDistribution - Input R1 Exponential Distribution
      k - Pareto "K"
      Returns:
      R1 Pareto Distribution