Package org.apache.commons.math3.distribution

Class LevyDistribution

    • Field Detail

      • serialVersionUID

        private static final long serialVersionUID
        Serializable UID.
        See Also:
        Constant Field Values

      • mu

        private final double mu
        Location parameter.

      • c

        private final double c
        Scale parameter.

      • halfC

        private final double halfC
        Half of c (for calculations).

    • Constructor Detail

      • LevyDistribution

        public LevyDistribution​(double mu,
                        double c)
        Build a new instance.

        Note: this constructor will implicitly create an instance of Well19937c as random generator to be used for sampling only (see AbstractRealDistribution.sample() and AbstractRealDistribution.sample(int)). In case no sampling is needed for the created distribution, it is advised to pass null as random generator via the appropriate constructors to avoid the additional initialisation overhead.

        Parameters:
        mu - location parameter
        c - scale parameter
        Since:
        3.4

      • LevyDistribution

        public LevyDistribution​(RandomGenerator rng,
                        double mu,
                        double c)
        Creates a LevyDistribution.
        Parameters:
        rng - random generator to be used for sampling
        mu - location
        c - scale parameter

    • Method Detail

      • density

        public double density​(double x)
        Returns the probability density function (PDF) of this distribution evaluated at the specified point x. In general, the PDF is the derivative of the CDF. If the derivative does not exist at x, then an appropriate replacement should be returned, e.g. Double.POSITIVE_INFINITY, Double.NaN, or the limit inferior or limit superior of the difference quotient.

        From Wikipedia: The probability density function of the Lévy distribution over the domain is 

         f(x; μ, c) = √(c / 2π) * e-c / 2 (x - μ) / (x - μ)3/2

        For this distribution, X, this method returns P(X < x). If x is less than location parameter μ, Double.NaN is returned, as in these cases the distribution is not defined.

        Parameters:
        x - the point at which the PDF is evaluated
        Returns:
        the value of the probability density function at point x

      • logDensity

        public double logDensity​(double x)
        Returns the natural logarithm of the probability density function (PDF) of this distribution evaluated at the specified point x. In general, the PDF is the derivative of the CDF. If the derivative does not exist at x, then an appropriate replacement should be returned, e.g. Double.POSITIVE_INFINITY, Double.NaN, or the limit inferior or limit superior of the difference quotient. Note that due to the floating point precision and under/overflow issues, this method will for some distributions be more precise and faster than computing the logarithm of RealDistribution.density(double). The default implementation simply computes the logarithm of density(x). See documentation of density(double) for computation details.
        Overrides:
        logDensity in class AbstractRealDistribution
        Parameters:
        x - the point at which the PDF is evaluated
        Returns:
        the logarithm of the value of the probability density function at point x

      • cumulativeProbability

        public double cumulativeProbability​(double x)
        For a random variable X whose values are distributed according to this distribution, this method returns P(X <= x). In other words, this method represents the (cumulative) distribution function (CDF) for this distribution.

        From Wikipedia: the cumulative distribution function is 

         f(x; u, c) = erfc (√ (c / 2 (x - u )))
        Parameters:
        x - the point at which the CDF is evaluated
        Returns:
        the probability that a random variable with this distribution takes a value less than or equal to x

      • getScale

        public double getScale()
        Get the scale parameter of the distribution.
        Returns:
        scale parameter of the distribution

      • getLocation

        public double getLocation()
        Get the location parameter of the distribution.
        Returns:
        location parameter of the distribution

      • getNumericalMean

        public double getNumericalMean()
        Use this method to get the numerical value of the mean of this distribution.
        Returns:
        the mean or Double.NaN if it is not defined

      • getNumericalVariance

        public double getNumericalVariance()
        Use this method to get the numerical value of the variance of this distribution.
        Returns:
        the variance (possibly Double.POSITIVE_INFINITY as for certain cases in TDistribution) or Double.NaN if it is not defined

      • getSupportLowerBound

        public double getSupportLowerBound()
        Access the lower bound of the support. This method must return the same value as inverseCumulativeProbability(0). In other words, this method must return

        inf {x in R | P(X <= x) > 0}.

        Returns:
        lower bound of the support (might be Double.NEGATIVE_INFINITY)

      • getSupportUpperBound

        public double getSupportUpperBound()
        Access the upper bound of the support. This method must return the same value as inverseCumulativeProbability(1). In other words, this method must return

        inf {x in R | P(X <= x) = 1}.

        Returns:
        upper bound of the support (might be Double.POSITIVE_INFINITY)

      • isSupportLowerBoundInclusive

        public boolean isSupportLowerBoundInclusive()
        Whether or not the lower bound of support is in the domain of the density function. Returns true iff getSupporLowerBound() is finite and density(getSupportLowerBound()) returns a non-NaN, non-infinite value.
        Returns:
        true if the lower bound of support is finite and the density function returns a non-NaN, non-infinite value there

      • isSupportUpperBoundInclusive

        public boolean isSupportUpperBoundInclusive()
        Whether or not the upper bound of support is in the domain of the density function. Returns true iff getSupportUpperBound() is finite and density(getSupportUpperBound()) returns a non-NaN, non-infinite value.
        Returns:
        true if the upper bound of support is finite and the density function returns a non-NaN, non-infinite value there

      • isSupportConnected

        public boolean isSupportConnected()
        Use this method to get information about whether the support is connected, i.e. whether all values between the lower and upper bound of the support are included in the support.
        Returns:
        whether the support is connected or not