Package org.drip.specialfunction.beta

Class MultivariateLogGammaEstimator

java.lang.Object
org.drip.specialfunction.beta.MultivariateLogGammaEstimator
public class MultivariateLogGammaEstimator
extends java.lang.Object
MultivariateLogGammaEstimator implements the Multi-variate Log Beta Function using the Log Gamma Function. The References are:

  • Abramowitz, M., and I. A. Stegun (2007): Handbook of Mathematics Functions Dover Book on Mathematics
  • Davis, P. J. (1959): Leonhard Euler's Integral: A Historical Profile of the Gamma Function American Mathematical Monthly 66 (10) 849-869
  • Whitaker, E. T., and G. N. Watson (1996): A Course on Modern Analysis Cambridge University Press New York
  • Wikipedia (2019): Beta Function https://en.wikipedia.org/wiki/Beta_function
  • Wikipedia (2019): Gamma Function https://en.wikipedia.org/wiki/Gamma_function
It provides the following functionality:
  • MultivariateLogGammaEstimator Constructor
  • Retrieve the Log Gamma Estimator
  • Evaluate the Multi-variate Log Beta Function using the Log Gamma Function

Module Product Core Module
Library Fixed Income Analytics
Project Special Function Implementation and Analysis
Package Estimation Techniques for Beta Function
Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    MultivariateLogGammaEstimator​(R1ToR1 logGammaEstimator)
    MultivariateLogGammaEstimator Constructor

  • Method Summary

    Modifier and Type Method Description
    double evaluate​(double[] variateArray)
    Evaluate the Multi-variate Log Beta Function using the Log Gamma Function
    R1ToR1 logGammaEstimator()
    Retrieve the Log Gamma Estimator

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MultivariateLogGammaEstimator

      public MultivariateLogGammaEstimator​(R1ToR1 logGammaEstimator) throws java.lang.Exception
      MultivariateLogGammaEstimator Constructor
      Parameters:
      logGammaEstimator - Log Gamma Estimator
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • logGammaEstimator

      public R1ToR1 logGammaEstimator()
      Retrieve the Log Gamma Estimator
      Returns:
      The Log Gamma Estimator

    • evaluate

      public double evaluate​(double[] variateArray) throws java.lang.Exception
      Evaluate the Multi-variate Log Beta Function using the Log Gamma Function
      Parameters:
      variateArray - Rd Input variate Array
      Returns:
      The Multi-variate Log Beta Function using the LogGamma Function
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid