This is an abstract class that implements an DensityEstimatorDoubleArray. More...
Public Member Functions | |
| void | setData (double[][] data) |
| Sets the observations for the density estimator to data. | |
| double | evalDensity (double x) |
| Evaluates the density estimator at x. | |
| double[] | evalDensity (double[] x) |
| Evaluates the density estimator at the points in evalPoints. | |
| double[] | evalDensity (double[] evalPoints, double[][] data) |
| Sets the observations for the density estimator to data and evaluates the density at each point in evalPoints. | |
| abstract double | evalEstimator (double x, double[] data) |
| Evaluates the function \(g\) at the point x and the realization of \(\mathbf{X}\) given in the \(t\)-dimensional array data. | |
| String | toString () |
| Gives a short description of the estimator. | |
| Public Member Functions inherited from umontreal.ssj.stat.density.DensityEstimatorDoubleArray | |
| double[][] | getData () |
| Gives the observations for this density estimator, if any. | |
| double[][] | evalDensity (double[] evalPoints, double[][][] data) |
| This method is particularly designed to evaluate the density estimator in such a way that the result can be easily used to estimate the empirical IV and other convergence-related quantities. | |
Additional Inherited Members | |
| Static Public Member Functions inherited from umontreal.ssj.stat.density.DensityEstimatorDoubleArray | |
| static void | evalDensity (ArrayList< DensityEstimatorDoubleArray > listDE, double[] evalPoints, double[][][] data, ArrayList< double[][]> listDensity) |
| This function is particularly designed for experiments with many different types of density estimators, as it evaluates all of these estimators at the points in evalPoints. | |
| Protected Attributes inherited from umontreal.ssj.stat.density.DensityEstimatorDoubleArray | |
| double[][] | data |
| The data associated with this DensityEstimatorDoubleArray object, if any. | |
Detailed Description
This is an abstract class that implements an DensityEstimatorDoubleArray.
It is designed for situations, where the estimator \(\hat{f}\) can be written in the form
\[ \hat{f}(x) = \frac{1}{n}\sum_{i=0}^{n-1}g(x;\mathbf{X}_i), \]
where \(\mathbf{X}_i\) is a realization of a \(t\)-dimensional random variable \(\mathbf{X}_i\) and where \(g\) is a real function. This is the case for a conditional density estimator, or a likelihood-ratio estimator, for instance.
- Remarks
- Florian: Maybe the name is misleading, because this estimator applies in many different settings.
- TODO: Add citations when papers for these estimators are published.
The evaluation of \(g(x;\mathbf{X})\) at \(x\) given \(\mathbf{X}\) is handled by the abstract function evalEstimator.
Definition at line 28 of file ConditionalDensityEstimator.java.
Member Function Documentation
◆ evalDensity() [1/3]
| double umontreal.ssj.stat.density.ConditionalDensityEstimator.evalDensity | ( | double | x | ) |
Evaluates the density estimator at x.
- Parameters
-
x the evaluation point.
- Returns
- the density estimator evaluated at \(x\).
Reimplemented from umontreal.ssj.stat.density.DensityEstimatorDoubleArray.
Definition at line 42 of file ConditionalDensityEstimator.java.
◆ evalDensity() [2/3]
| double[] umontreal.ssj.stat.density.ConditionalDensityEstimator.evalDensity | ( | double[] | evalPoints, |
| double | data[][] ) |
Sets the observations for the density estimator to data and evaluates the density at each point in evalPoints.
- Parameters
-
evalPoints the evaluation points. data the observations.
- Returns
- the density estimator defined by data evaluated at each point in evalPoints.
Reimplemented from umontreal.ssj.stat.density.DensityEstimatorDoubleArray.
Definition at line 71 of file ConditionalDensityEstimator.java.
◆ evalDensity() [3/3]
| double[] umontreal.ssj.stat.density.ConditionalDensityEstimator.evalDensity | ( | double[] | evalPoints | ) |
Evaluates the density estimator at the points in evalPoints.
By default, this method calls evalDensity(double) for each entry of evalPoints. Many density estimators can handle evaluation at a set of points more efficiently than that. If so, it is suggested to override this method in the implementation of the corresponding estimator.
- Returns
- the density estimator evaluated at the points evalPoints.
Reimplemented from umontreal.ssj.stat.density.DensityEstimatorDoubleArray.
Definition at line 54 of file ConditionalDensityEstimator.java.
◆ evalEstimator()
|
abstract |
Evaluates the function \(g\) at the point x and the realization of \(\mathbf{X}\) given in the \(t\)-dimensional array data.
- Parameters
-
x the evaluation point. data the realization of \(\mathbf{X}\).
- Returns
- the function \(g(x,\mathbf{X})\).
◆ setData()
| void umontreal.ssj.stat.density.ConditionalDensityEstimator.setData | ( | double | data[][] | ) |
Sets the observations for the density estimator to data.
Note that, in some cases, this might require to completely reconstruct the density estimator.
- Parameters
-
data the desired observations.
Reimplemented from umontreal.ssj.stat.density.DensityEstimatorDoubleArray.
Definition at line 31 of file ConditionalDensityEstimator.java.
◆ toString()
| String umontreal.ssj.stat.density.ConditionalDensityEstimator.toString | ( | ) |
Gives a short description of the estimator.
- Returns
- a short description.
Reimplemented from umontreal.ssj.stat.density.DensityEstimatorDoubleArray.
Definition at line 87 of file ConditionalDensityEstimator.java.
The documentation for this class was generated from the following file:
- src/main/java/umontreal/ssj/stat/density/ConditionalDensityEstimator.java
