umontreal.iro.lecuyer.randvar

Class NormalInverseGaussianIGGen

java.lang.Object

umontreal.iro.lecuyer.randvar.RandomVariateGen

umontreal.iro.lecuyer.randvar.NormalInverseGaussianGen

umontreal.iro.lecuyer.randvar.NormalInverseGaussianIGGen

public class NormalInverseGaussianIGGen
extends NormalInverseGaussianGen

. This class implements a (NIG) random variate generator by using a normal generator (N) and an inverse gaussian generator (IG), as described in the following

Y	∼	IG(δ/γ, δ2)
X | (Y = y)	∼	N(μ + βy, y).

The normal N(μ, σ²) has mean μ and variance σ², while the inverse gaussian has the parametrization described inInverseGaussianGen. If γ = (α^2 - β^2)^1/2 with 0 <= | β| < α and δ > 0, then X∼NIG(α, β, μ, δ).

Constructor Summary

Constructors

Constructor and Description
NormalInverseGaussianIGGen(InverseGaussianGen ig, NormalGen ng, double beta, double mu) Creates a random variate generator with parameters α, β = beta, μ = mu and δ, using generators ig and ng, as described above.

Method Summary

Methods

Modifier and Type	Method and Description
double	nextDouble() Generates a random number from the continuous distribution contained in this object.
static double	nextDouble(InverseGaussianGen ig, NormalGen ng, double beta, double mu) Generates a new variate from the distribution with parameters α, β = beta, μ = mu and δ, using generators ig and ng, as described in eq..

Methods inherited from class umontreal.iro.lecuyer.randvar.NormalInverseGaussianGen

getAlpha, getBeta, getDelta, getMu, nextDouble, setParams

Methods inherited from class umontreal.iro.lecuyer.randvar.RandomVariateGen

getDistribution, getStream, nextArrayOfDouble, setStream

Methods inherited from class java.lang.Object

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

Constructor Detail

NormalInverseGaussianIGGen

public NormalInverseGaussianIGGen(InverseGaussianGen ig,
                          NormalGen ng,
                          double beta,
                          double mu)

Creates a random variate generator with parameters α, β = beta, μ = mu and δ, using generators ig and ng, as described above. The parameters α and δ are included in generator ig.

Method Detail

nextDouble

public static double nextDouble(InverseGaussianGen ig,
                NormalGen ng,
                double beta,
                double mu)

Generates a new variate from the distribution with parameters α, β = beta, μ = mu and δ, using generators ig and ng, as described in eq.. The parameters α and δ are included in generator ig.

nextDouble

public double nextDouble()

Description copied from class: RandomVariateGen

Generates a random number from the continuous distribution contained in this object. By default, this method uses inversion by calling the inverseF method of the distribution object. Alternative generating methods are provided in subclasses.

Overrides:

nextDouble in class RandomVariateGen

Returns:

the generated value