InverseGammaDist.java

/*
 * Class:        InverseGammaDist
 * Description:  inverse gamma distribution
 * Environment:  Java
 * Software:     SSJ 
 * Copyright (C) 2001  Pierre L'Ecuyer and Universite de Montreal
 * Organization: DIRO, Universite de Montreal
 * @author       
 * @since
 *
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
 */
package umontreal.ssj.probdist;
 
import umontreal.ssj.util.Num;

public class InverseGammaDist extends ContinuousDistribution {
   protected double alpha;
   protected double beta;
   protected double logam; // Ln (Gamma(alpha))

   public InverseGammaDist(double alpha, double beta) {
      setParam(alpha, beta);
   }
 
   public double density(double x) {
      if (x <= 0.0)
         return 0.0;
      return Math.exp(alpha * Math.log(beta / x) - (beta / x) - logam) / x;
   }
 
   public double cdf(double x) {
      return cdf(alpha, beta, x);
   }
 
   public double barF(double x) {
      return barF(alpha, beta, x);
   }
 
   public double inverseF(double u) {
      return inverseF(alpha, beta, u);
   }
 
   public double getMean() {
      return getMean(alpha, beta);
   }
 
   public double getVariance() {
      return getVariance(alpha, beta);
   }
 
   public double getStandardDeviation() {
      return getStandardDeviation(alpha, beta);
   }

   public static double density(double alpha, double beta, double x) {
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (beta <= 0.0)
         throw new IllegalArgumentException("beta <= 0");
      if (x <= 0.0)
         return 0.0;
 
      return Math.exp(alpha * Math.log(beta / x) - (beta / x) - Num.lnGamma(alpha)) / x;
   }

   public static double cdf(double alpha, double beta, double x) {
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (beta <= 0.0)
         throw new IllegalArgumentException("beta <= 0");
      if (x <= 0.0)
         return 0.0;
 
      return GammaDist.barF(alpha, beta, 15, 1.0 / x);
   }

   public static double barF(double alpha, double beta, double x) {
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (beta <= 0.0)
         throw new IllegalArgumentException("beta <= 0");
      if (x <= 0.0)
         return 1.0;
 
      return GammaDist.cdf(alpha, beta, 15, 1.0 / x);
   }

   public static double inverseF(double alpha, double beta, double u) {
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (beta <= 0.0)
         throw new IllegalArgumentException("beta <= 0");
 
      return 1.0 / GammaDist.inverseF(alpha, beta, 15, 1 - u);
   }

   public static double[] getMLE(double[] x, int n) {
      double[] y = new double[n];
 
      for (int i = 0; i < n; i++) {
         if (x[i] > 0)
            y[i] = 1.0 / x[i];
         else
            y[i] = 1.0E100;
      }
 
      return GammaDist.getMLE(y, n);
   }

   public static InverseGammaDist getInstanceFromMLE(double[] x, int n) {
      double parameters[] = getMLE(x, n);
      return new InverseGammaDist(parameters[0], parameters[1]);
   }

   public static double getMean(double alpha, double beta) {
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (beta <= 0.0)
         throw new IllegalArgumentException("beta <= 0");
 
      return (beta / (alpha - 1.0));
   }

   public static double getVariance(double alpha, double beta) {
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (beta <= 0.0)
         throw new IllegalArgumentException("beta <= 0");
 
      return ((beta * beta) / ((alpha - 1.0) * (alpha - 1.0) * (alpha - 2.0)));
   }

   public static double getStandardDeviation(double alpha, double beta) {
      return Math.sqrt(getVariance(alpha, beta));
   }

   public double getAlpha() {
      return alpha;
   }

   public double getBeta() {
      return beta;
   }

   public void setParam(double alpha, double beta) {
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (beta <= 0.0)
         throw new IllegalArgumentException("beta <= 0");
      supportA = 0.0;
      this.alpha = alpha;
      this.beta = beta;
      logam = Num.lnGamma(alpha);
   }

   public double[] getParams() {
      double[] retour = { alpha, beta };
      return retour;
   }

   public String toString() {
      return getClass().getSimpleName() + " : alpha = " + alpha + ", beta = " + beta;
   }
 
}