R1CentralWilsonHilferty.java

  1. package org.drip.measure.chisquare;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * 
  11.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  12.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  13.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  14.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  15.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  16.  *      and computational support.
  17.  *  
  18.  *      https://lakshmidrip.github.io/DROP/
  19.  *  
  20.  *  DROP is composed of three modules:
  21.  *  
  22.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  23.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  24.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  25.  * 
  26.  *  DROP Product Core implements libraries for the following:
  27.  *  - Fixed Income Analytics
  28.  *  - Loan Analytics
  29.  *  - Transaction Cost Analytics
  30.  * 
  31.  *  DROP Portfolio Core implements libraries for the following:
  32.  *  - Asset Allocation Analytics
  33.  *  - Asset Liability Management Analytics
  34.  *  - Capital Estimation Analytics
  35.  *  - Exposure Analytics
  36.  *  - Margin Analytics
  37.  *  - XVA Analytics
  38.  * 
  39.  *  DROP Computational Core implements libraries for the following:
  40.  *  - Algorithm Support
  41.  *  - Computation Support
  42.  *  - Function Analysis
  43.  *  - Model Validation
  44.  *  - Numerical Analysis
  45.  *  - Numerical Optimizer
  46.  *  - Spline Builder
  47.  *  - Statistical Learning
  48.  * 
  49.  *  Documentation for DROP is Spread Over:
  50.  * 
  51.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  52.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  53.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  54.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  55.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  56.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  57.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  58.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  59.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  60.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  61.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  62.  * 
  63.  *  Licensed under the Apache License, Version 2.0 (the "License");
  64.  *      you may not use this file except in compliance with the License.
  65.  *   
  66.  *  You may obtain a copy of the License at
  67.  *      http://www.apache.org/licenses/LICENSE-2.0
  68.  *  
  69.  *  Unless required by applicable law or agreed to in writing, software
  70.  *      distributed under the License is distributed on an "AS IS" BASIS,
  71.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  72.  *  
  73.  *  See the License for the specific language governing permissions and
  74.  *      limitations under the License.
  75.  */

  77. /**
  78.  * <i>R1CentralWilsonHilferty</i> implements the Normal Proxy Version for the R<sup>1</sup> Chi-Square
  79.  *  Distribution using the Wilson-Hilferty Transfomation. The References are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Abramowitz, M., and I. A. Stegun (2007): <i>Handbook of Mathematics Functions</i> <b>Dover Book
  85.  *              on Mathematics</b>
  86.  *      </li>
  87.  *      <li>
  88.  *          Backstrom, T., and J. Fischer (2018): Fast Randomization for Distributed Low Bit-rate Coding of
  89.  *              Speech and Audio <i>IEEE/ACM Transactions on Audio, Speech, and Language Processing</i> <b>26
  90.  *              (1)</b> 19-30
  91.  *      </li>
  92.  *      <li>
  93.  *          Chi-Squared Distribution (2019): Chi-Squared Function
  94.  *              https://en.wikipedia.org/wiki/Chi-squared_distribution
  95.  *      </li>
  96.  *      <li>
  97.  *          Johnson, N. L., S. Kotz, and N. Balakrishnan (1994): <i>Continuous Univariate Distributions
  98.  *              2<sup>nd</sup> Edition</i> <b>John Wiley and Sons</b>
  99.  *      </li>
  100.  *      <li>
  101.  *          National Institute of Standards and Technology (2019): Chi-Squared Distribution
  102.  *              https://www.itl.nist.gov/div898/handbook/eda/section3/eda3666.htm
  103.  *      </li>
  104.  *  </ul>
  105.  *
  106.  *  <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  110.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/README.md">R<sup>d</sup> Continuous/Discrete Probability Measures</a></li>
  111.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/chisquare/README.md">Chi-Square Distribution Implementation/Properties</a></li>
  112.  *  </ul>
  113.  *
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class R1CentralWilsonHilferty
  118.     extends org.drip.measure.chisquare.R1WilsonHilferty
  119. {

  121.     /**
  122.      * Construct a Standard Instance of R1CentralWilsonHilferty
  123.      * 
  124.      * @param degreesOfFreedom Degrees of Freedom
  125.      * 
  126.      * @return Standard Instance of R1CentralWilsonHilferty
  127.      */

  129.     public static final R1CentralWilsonHilferty Standard (
  130.         final int degreesOfFreedom)
  131.     {
  132.         if (0 >= degreesOfFreedom)
  133.         {
  134.             return null;
  135.         }

  137.         double twoOver_9degreesOfFreedom_ = 2. / (9. * degreesOfFreedom);

  139.         try
  140.         {
  141.             return new R1CentralWilsonHilferty (
  142.                 degreesOfFreedom,
  143.                 new org.drip.measure.gaussian.R1UnivariateNormal (
  144.                     1. - twoOver_9degreesOfFreedom_,
  145.                     twoOver_9degreesOfFreedom_
  146.                 )
  147.             );
  148.         }
  149.         catch (java.lang.Exception e)
  150.         {
  151.             e.printStackTrace();
  152.         }

  154.         return null;
  155.     }

  157.     protected R1CentralWilsonHilferty (
  158.         final int degreesOfFreedom,
  159.         final org.drip.measure.gaussian.R1UnivariateNormal r1UnivariateNormal)
  160.         throws java.lang.Exception
  161.     {
  162.         super (
  163.             degreesOfFreedom,
  164.             r1UnivariateNormal
  165.         );
  166.     }

  168.     @Override public double transform (
  169.         final double x)
  170.     {
  171.         return x;
  172.     }

  174.     @Override public double inverseTransform (
  175.         final double wilsonHilferty)
  176.     {
  177.         return wilsonHilferty;
  178.     }

  180.     @Override public double random()
  181.         throws java.lang.Exception
  182.     {
  183.         double sumOfStandardNormalSquares = 0.;

  185.         double degreesOfFreedom = degreesOfFreedom();

  187.         for (int drawIndex = 0; drawIndex < degreesOfFreedom; ++drawIndex)
  188.         {
  189.             double randomStandardNormal = org.drip.measure.gaussian.NormalQuadrature.InverseCDF
  190.                 (java.lang.Math.random());

  192.             sumOfStandardNormalSquares = sumOfStandardNormalSquares +
  193.                 randomStandardNormal * randomStandardNormal;
  194.         }

  196.         return java.lang.Math.pow (
  197.             sumOfStandardNormalSquares / degreesOfFreedom,
  198.             1. / 3.
  199.         );
  200.     }
  201. }
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