repicea.stats.distributions.utility

Class GaussianUtility

java.lang.Object

repicea.stats.distributions.utility.GaussianUtility

public class GaussianUtility
extends java.lang.Object

The Gaussian class implements common static methods that are related to the density or the cumulative probability of the Gaussian distribution.

Constructor Summary

Constructors

Constructor and Description
GaussianUtility()

Method Summary

Modifier and Type	Method and Description
static double	getBivariateCumulativeProbability(double x1, double x2, boolean complementary1, boolean complementary2, double rho) This method returns the cumulative probability or complementary probability of a bivariate standard normal distribution for quantiles x1 and x2.
static double	getBivariateCumulativeProbability(double x1, double x2, double rho) This method returns the cumulative probability probability of a bivariate standard normal distribution for quantiles x1 and x2.
static double	getCumulativeProbability(double x) This method returns the cumulative probability probability of a standard normal distribution for quantile x.
static double	getCumulativeProbability(double x, boolean complementary) This method returns the cumulative probability or the complementary probability of a standard normal distribution for quantile x.
static double	getQuantile(double cdfValue) This method returns the quantiles of the distribution.

Methods inherited from class java.lang.Object

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

Constructor Detail

GaussianUtility

public GaussianUtility()

Method Detail

getBivariateCumulativeProbability

public static double getBivariateCumulativeProbability(double x1,
                                                       double x2,
                                                       double rho)

This method returns the cumulative probability probability of a bivariate standard normal distribution for quantiles x1 and x2. The algorithm was translated from West's code.

Parameters:

x1 - the first quantile

x2 - the second quantile

rho - the correlation parameter

Returns:

the probability (a double)

See Also:

West, G. Better approximations to cumulative normal functions. WILMOTT magazine. 70-76.

getBivariateCumulativeProbability

public static double getBivariateCumulativeProbability(double x1,
                                                       double x2,
                                                       boolean complementary1,
                                                       boolean complementary2,
                                                       double rho)

This method returns the cumulative probability or complementary probability of a bivariate standard normal distribution for quantiles x1 and x2. The algorithm was translated from West's code.

Parameters:

x1 - the first quantile

x2 - the second quantile

complementary1 - a boolean true to obtain the complementary probability with respect to quantile x1 or false for the cumulative probability

complementary2 - a boolean true to obtain the complementary probability with respect to quantile x2 or false for the cumulative probability

rho - the correlation parameter

Returns:

the probability (a double)

See Also:

West, G. Better approximations to cumulative normal functions. WILMOTT magazine. 70-76.

getCumulativeProbability

public static double getCumulativeProbability(double x)

This method returns the cumulative probability probability of a standard normal distribution for quantile x. The algorithm was translated from West's code.

Parameters:

x - the quantile

Returns:

the probability (a double)

See Also:

West, G. Better approximations to cumulative normal functions. WILMOTT magazine. 70-76.

getCumulativeProbability

public static double getCumulativeProbability(double x,
                                              boolean complementary)

This method returns the cumulative probability or the complementary probability of a standard normal distribution for quantile x. The algorithm was translated from West's code.

Parameters:

x - the quantile

complementary - a boolean true to obtain the complementary probability or false to get the cumulative probability

Returns:

the probability (a double)

See Also:

West, G. Better approximations to cumulative normal functions. WILMOTT magazine. 70-76.

getQuantile

public static double getQuantile(double cdfValue)

This method returns the quantiles of the distribution.

Parameters:

cdfValue - the cumulative density

Returns:

a quantile