NormalInverseGaussianDist.java

/*
 * Class:        NormalInverseGaussianDist
 * Description:  normal inverse gaussian 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.probdist.NormalDist;
import umontreal.ssj.util.Num;

public class NormalInverseGaussianDist extends ContinuousDistribution {
   protected double alpha;
   protected double beta;
   protected double gamma;
   protected double delta;
   protected double mu;

   public NormalInverseGaussianDist(double alpha, double beta, double mu, double delta) {
      setParams(alpha, beta, mu, delta);
   }
 
   public double density(double x) {
      return density(alpha, beta, mu, delta, x);
   }
 
   public double cdf(double x) {
      return cdf(alpha, beta, mu, delta, x);
   }
 
   public double barF(double x) {
      return barF(alpha, beta, mu, delta, x);
   }
 
   public double getMean() {
      return getMean(alpha, beta, mu, delta);
   }
 
   public double getVariance() {
      return getVariance(alpha, beta, mu, delta);
   }
 
   public double getStandardDeviation() {
      return getStandardDeviation(alpha, beta, mu, delta);
   }

   public static double density(double alpha, double beta, double mu, double delta, double x) {
      if (delta <= 0.0)
         throw new IllegalArgumentException("delta <= 0");
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (Math.abs(beta) >= alpha)
         throw new IllegalArgumentException("|beta| >= alpha");
 
      double gamma = Math.sqrt(alpha * alpha - beta * beta);
      double z = (x - mu) / delta;
      double w;
      if (Math.abs(z) <= 1.0e10)
         w = Math.sqrt(1.0 + z * z);
      else
         w = Math.abs(z);
      double y = alpha * delta * w;
      double v = delta * (gamma + beta * z);
      double R = Num.expBesselK1(v, y);
      return alpha * R / (Math.PI * w);
   }

   public static double cdf(double alpha, double beta, double mu, double delta, double x) {
      if (delta <= 0.0)
         throw new IllegalArgumentException("delta <= 0");
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (Math.abs(beta) >= alpha)
         throw new IllegalArgumentException("|beta| >= alpha");
 
      double gamma = Math.sqrt(alpha * alpha - beta * beta);
      double z = (x - mu) / delta;
      if (z > 0.0 && (gamma + (beta - alpha) * z >= XBIG))
         return 1.0;
      if (z < 0.0 && (gamma + (beta + alpha) * z <= -XBIGM))
         return 0.0;
      // double w = Math.sqrt (1.0 + z*z);
 
      throw new UnsupportedOperationException("NormalInverseGaussianDist:   cdf NOT IMPLEMENTED");
   }

   public static double barF(double alpha, double beta, double mu, double delta, double x) {
      return 1.0 - cdf(alpha, beta, mu, delta, x);
   }

   public static double inverseF(double alpha, double beta, double mu, double delta, double u) {
      throw new UnsupportedOperationException(" Inversion NOT IMPLEMENTED");
   }

   public static double[] getMLE(double[] x, int n) {
      if (n <= 0)
         throw new IllegalArgumentException("n <= 0");
      /*
       * double[] parameters = new double[4]; double sum = 0; for (int i = 0; i < n;
       * i++) { sum += x[i]; }
       */
      throw new UnsupportedOperationException("getMLE is not implemented");
 
      // return parameters;
   }

   public static NormalInverseGaussianDist getInstanceFromMLE(double[] x, int n) {
      double parameters[] = getMLE(x, n);
      return new NormalInverseGaussianDist(parameters[0], parameters[1], parameters[2], parameters[3]);
   }

   public static double getMean(double alpha, double beta, double mu, double delta) {
      if (delta <= 0.0)
         throw new IllegalArgumentException("delta <= 0");
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (Math.abs(beta) >= alpha)
         throw new IllegalArgumentException("|beta| >= alpha");
 
      double gamma = Math.sqrt(alpha * alpha - beta * beta);
      return mu + delta * beta / gamma;
   }

   public static double getVariance(double alpha, double beta, double mu, double delta) {
      if (delta <= 0.0)
         throw new IllegalArgumentException("delta <= 0");
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (Math.abs(beta) >= alpha)
         throw new IllegalArgumentException("|beta| >= alpha");
 
      double gamma = Math.sqrt(alpha * alpha - beta * beta);
      return delta * alpha * alpha / (gamma * gamma * gamma);
   }

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

   public double getAlpha() {
      return alpha;
   }

   public double getBeta() {
      return beta;
   }

   public double getMu() {
      return mu;
   }

   public double getDelta() {
      return delta;
   }

   public void setParams(double alpha, double beta, double mu, double delta) {
      if (delta <= 0.0)
         throw new IllegalArgumentException("delta <= 0");
      if (alpha <= 0.0)
         throw new IllegalArgumentException("alpha <= 0");
      if (Math.abs(beta) >= alpha)
         throw new IllegalArgumentException("|beta| >= alpha");
 
      gamma = Math.sqrt(alpha * alpha - beta * beta);
 
      this.mu = mu;
      this.delta = delta;
      this.beta = beta;
      this.alpha = alpha;
   }

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

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