NormalInverseGaussianIGGen.java

/*
 * Class:        NormalInverseGaussianIGGen
 * Description:  normal inverse gaussian random variate generator
 * Environment:  Java
 * Software:     SSJ 
 * Copyright (C) 2001  Pierre L'Ecuyer and Universite de Montreal
 * Organization: DIRO, Universite de Montreal
 * @author       Richard Simard
 * @since        June 2008
 *
 *
 * 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.randvar;
 
import umontreal.ssj.rng.*;
import umontreal.ssj.probdist.*;

public class NormalInverseGaussianIGGen extends NormalInverseGaussianGen {
   private NormalGen genN;
   private InverseGaussianGen genIG;

   public NormalInverseGaussianIGGen(InverseGaussianGen ig, NormalGen ng, double beta, double mu) {
      super(null, null);
      setParams(ig, ng, beta, mu);
   }

   public static double nextDouble(InverseGaussianGen ig, NormalGen ng, double beta, double mu) {
      return mynig(ig, ng, beta, mu);
   }
 
   public double nextDouble() {
      return mynig(genIG, genN, beta, mu);
   }
 
// >>>>>>>>>>>>>>>>>>>>  P R I V A T E     M E T H O D S   <<<<<<<<<<<<<<<<<<<
 
   private static double mynig(InverseGaussianGen ig, NormalGen ng, double beta, double mu) {
      double y = ig.nextDouble();
      double x = mu + beta * y + Math.sqrt(y) * ng.nextDouble();
      return x;
   }
 
   protected void setParams(InverseGaussianGen ig, NormalGen ng, double beta, double mu) {
      delta = Math.sqrt(ig.getLambda());
      gamma = delta / ig.getMu();
      alpha = Math.sqrt(gamma * gamma + beta * beta);
      setParams(alpha, beta, mu, delta);
      this.genN = ng;
      this.genIG = ig;
   }
}