edu.ucla.stat.SOCR.distributions

Class GeneralizedExtremeValueDistribution

java.lang.Object

edu.ucla.stat.SOCR.core.SOCRValueSettable

edu.ucla.stat.SOCR.core.Distribution

edu.ucla.stat.SOCR.distributions.GeneralizedExtremeValueDistribution

All Implemented Interfaces:

IValueSettable, Pluginable, java.util.Observer

public class GeneralizedExtremeValueDistribution
extends Distribution

This class models the Generalized-Extreme-Value (GEV) Distribution with specified 3 parameters (location, scale, shape): The generalized extreme value distribution (GEV) is a family of continuous probability distributions developed within extreme value theory to combine the Gumbel, Fréchet and Weibull families also known as type I, II and III extreme value distributions. By the extreme value theorem, the GEV distribution is the limit distribution of properly normalized maZetama of a sequence of independent and identically distributed random variables. Because of this, the GEV distribution is used as an approZetamation to model the maZetama of long (finite) sequences of random variables. http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution http://www.aainformatics.co.uk/Finance/mc/topic9.html

Field Summary

Fields

Modifier and Type	Field and Description
static double	EulerConstant

Fields inherited from class edu.ucla.stat.SOCR.core.Distribution

applet, CONTINUOUS, DISCRETE, MAXMGFXVAL, MAXMGFYVAL, MINMGFXVAL, MIXED, name

Constructor Summary

Constructors

Constructor and Description
GeneralizedExtremeValueDistribution() Default constructor: creates a beta distribution with mu and sigma parameters equal to 1
GeneralizedExtremeValueDistribution(double[] distData)
GeneralizedExtremeValueDistribution(double _mu, double _sigma, double _zeta) This general constructor creates a new GEV GeneralizedExtremeValueDistribution with specified parameters
GeneralizedExtremeValueDistribution(float[] distData)

Method Summary

Methods

Modifier and Type	Method and Description
double	getCDF(double x) This method computes the cumulative distribution function
double	getDensity(double x) Define the GEV getDensity function
double	getMean() This method returns the mean http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution
double	getMedian() This method returns the median http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution
double	getMode() This method returns the Mode http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution
double	getMu()
java.lang.String	getOnlineDescription() This method returns an online description of this distribution.
double[]	getParameters() This method gets the 3 parameters
double	getSD() This method returns the SD http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution
double	getSigma() Get sigma
double	getVariance() This method returns the Variance http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution
double	getZeta() Get zeta
void	initialize() used for some subclass to initialize before being used
void	paramEstimate(double[] distData) Estimate the 3 GEV Distribution parameters
void	setMu(double _mu) This method sets mean
void	setParameters(double _mu, double _sigma, double _zeta) This method sets the parameters, computes the default interval
void	setSigma(double _sigma) This method sets Sigma
void	setZeta(double _zeta) This method sets zeta
void	valueChanged(java.util.Observable o, java.lang.Object arg)

Methods inherited from class edu.ucla.stat.SOCR.core.Distribution

addObserver, betaCDF, comb, factorial, findGFRoot, findRoot, gamma, gammaCDF, getDisplayPane, getDomain, getFailureRate, getGFDerivative, getGFSecondDerivative, getInstance, getLocalHelp, getMaxDensity, getMean, getMGF, getMgfDomain, getName, getPGF, getPGFDomain, getQuantile, getSampleMoment, getSOCRDistributionFunctors, getSOCRDistributions, getType, getVariance, inverseCDF, logGamma, perm, sampleMean, sampleVar, setApplet, setDomain, setDomain, setMGFDomain, setMGFDomain, setMGFParameters, setMGFParameters, setMGFParameters, setMGFParameters, setParameters, setPGFDomain, setPGFDomain, setPGFParameters, setPGFParameters, setPGFParameters, setPGFParameters, simulate, update, valueChanged

Methods inherited from class edu.ucla.stat.SOCR.core.SOCRValueSettable

createComponentSetter, createValueSetter, createValueSetter, createValueSetter, createValueSetter, getComponentSetter, getComponentSetters, getValueSetter, getValueSetters

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

EulerConstant

public static double EulerConstant

Constructor Detail

GeneralizedExtremeValueDistribution

public GeneralizedExtremeValueDistribution(double _mu,
                                   double _sigma,
                                   double _zeta)

This general constructor creates a new GEV GeneralizedExtremeValueDistribution with specified parameters

Parameters:

mu - = location mean

sigma - = scale SD

zeta - = shape skewness

GeneralizedExtremeValueDistribution

public GeneralizedExtremeValueDistribution()

Default constructor: creates a beta distribution with mu and sigma parameters equal to 1

GeneralizedExtremeValueDistribution

public GeneralizedExtremeValueDistribution(double[] distData)

GeneralizedExtremeValueDistribution

public GeneralizedExtremeValueDistribution(float[] distData)

Method Detail

initialize

public void initialize()

Description copied from class: Distribution

used for some subclass to initialize before being used

Overrides:

initialize in class Distribution

valueChanged

public void valueChanged(java.util.Observable o,
                java.lang.Object arg)

Overrides:

valueChanged in class Distribution

setParameters

public void setParameters(double _mu,
                 double _sigma,
                 double _zeta)

This method sets the parameters, computes the default interval

Parameters:

_zeta - = location

_lambda - = scale

_gamma - = shape

_delta - = shape

getParameters

public double[] getParameters()

This method gets the 3 parameters

paramEstimate

public void paramEstimate(double[] distData)

Estimate the 3 GEV Distribution parameters

Overrides:

paramEstimate in class Distribution

Parameters:

distData - = an array of sample data (loss)

getMu

public double getMu()

setMu

public void setMu(double _mu)

This method sets mean

getSigma

public double getSigma()

Get sigma

setSigma

public void setSigma(double _sigma)

This method sets Sigma

getZeta

public double getZeta()

Get zeta

setZeta

public void setZeta(double _zeta)

This method sets zeta

getDensity

public double getDensity(double x)

Define the GEV getDensity function

Specified by:

getDensity in class Distribution

Parameters:

x - value to evaluate the Density at

getCDF

public double getCDF(double x)

This method computes the cumulative distribution function

Overrides:

getCDF in class Distribution

Parameters:

x - = value to evaluate the CDF at http://www.aainformatics.co.uk/Finance/mc/topic9.html

getMean

public double getMean()

This method returns the mean http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution

Overrides:

getMean in class Distribution

getMedian

public double getMedian()

This method returns the median http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution

Overrides:

getMedian in class Distribution

getMode

public double getMode()

This method returns the Mode http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution

getVariance

public double getVariance()

This method returns the Variance http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution

Overrides:

getVariance in class Distribution

getSD

public double getSD()

This method returns the SD http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution

Overrides:

getSD in class Distribution

getOnlineDescription

public java.lang.String getOnlineDescription()

This method returns an online description of this distribution.

Overrides:

getOnlineDescription in class Distribution