Gamma

Models random variables that have gamma distribution For more information on the gamma distribution and its related functions, see "Object-Oriented Numerical Methods" by D. Besset

Parameters

shape

The shape parameter of the distribution, must be greater than 0

scale

The scale parameter of the distribution, must be greater than 0

name

an optional name/label

Constructors

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constructor(parameters: DoubleArray)

Constructs a gamma distribution with shape = parameters0 and scale = parameters1

constructor(shape: Double = 1.0, scale: Double = 1.0, name: String? = null)

Types

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object Companion

Properties

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open override val id: Int
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Gets the kurtosis of the distribution

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open override var label: String?
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the maximum number of iterations for the gamma functions

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open override val name: String
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the numerical precision used in computing the gamma functions

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open override val rvParameters: RVParameters

the parameters for this type of random variable

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the scale must be greater than 0.0

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the shape must be greater than 0.0

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Gets the skewness of the distribution

Functions

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Returns an array of probabilities each representing F(x_i). The CDF is evaluated for each point in the input array x and the probabilities are returned in the returned array.

open fun cdf(interval: Interval): Double

Returns the probability of being in the interval, F(upper limit) - F(lower limit) Be careful, this is Pr{lower limit < = X < = upper limit} which includes the lower limit and has implications if the distribution is discrete

open fun cdf(x1: Double, x2: Double): Double

Returns the Pr{x1 <= X <= x2} for the distribution. Be careful, this is Pr{x1 <= X <= x2} which includes the lower limit and has implications if the distribution is discrete

open override fun cdf(x: Double): Double

Returns the F(x) = Pr{X <= x} where F represents the cumulative distribution function

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Computes the complementary cumulative probability distribution function for given value of x. This is P{X > x}

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open override fun domain(): Interval
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open override fun firstOrderLossFunction(x: Double): Double

Computes the first order loss function for the function for given value of x, G1(x) = Emax(X-x,0)

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open override fun instance(): Gamma
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open override fun invCDF(p: Double): Double

Provides the inverse cumulative distribution function for the distribution This is based on a numerical routine that computes the percentage points for the chi-squared distribution

open fun invCDF(probabilities: DoubleArray): DoubleArray

Computes x_p where P(X <= x_p) = p for the supplied array of probabilities. Requires that the values within the supplied array are in (0,1)

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open fun likelihood(data: DoubleArray): Double

Assuming that the observations in the array data are from a random sample, this function computes the likelihood function. This is computed using as the sum of the log-likelihood function raised to e. Implementation may want to specify other computationally efficient formulas for this function or (most likely) the sum of the log-likelihood function.

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open override fun logLikelihood(x: Double): Double

Computes the natural log of the pdf function evaluated at x. Implementations may want to specify computationally efficient formulas for this function.

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open override fun mean(): Double

Returns the mean or expected value of a distribution

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fun moment(n: Int): Double
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open override fun parameters(): DoubleArray

Gets the parameters for the distribution

open override fun parameters(params: DoubleArray)

Sets the parameters for the distribution with shape = parameters0 and scale = parameters1

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open override fun pdf(x: Double): Double

Returns the f(x) where f represents the probability density function for the distribution. Note this is not a probability.

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open override fun randomVariable(stream: RNStreamIfc): RVariableIfc
open fun randomVariable(streamNum: Int): RVariableIfc
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open override fun secondOrderLossFunction(x: Double): Double

Computes the 2nd order loss function for the distribution function for given value of x, G2(x) = (1/2)Emax(X-x,0)*max(X-x-1,0)

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Returns the standard deviation for the distribution as the square root of the variance if it exists

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Computes the sum of the log-likelihood function evaluated at each observation in the data. Implementations may want to specify computationally efficient formulas for this function.

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open override fun toString(): String
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open override fun variance(): Double

Returns the variance of the distribution if defined