| /* |
| * Licensed to the Apache Software Foundation (ASF) under one or more |
| * contributor license agreements. See the NOTICE file distributed with |
| * this work for additional information regarding copyright ownership. |
| * The ASF licenses this file to You 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 org.apache.commons.statistics.distribution; |
| |
| import org.apache.commons.numbers.gamma.Erf; |
| import org.apache.commons.numbers.gamma.Erfc; |
| import org.apache.commons.numbers.gamma.InverseErfc; |
| |
| /** |
| * This class implements the <a href="http://en.wikipedia.org/wiki/L%C3%A9vy_distribution"> |
| * Lévy distribution</a>. |
| */ |
| public class LevyDistribution extends AbstractContinuousDistribution { |
| /** Location parameter. */ |
| private final double mu; |
| /** Scale parameter. */ |
| private final double c; |
| /** Half of c (for calculations). */ |
| private final double halfC; |
| |
| /** |
| * Creates a distribution. |
| * |
| * @param mu location |
| * @param c scale parameter |
| */ |
| public LevyDistribution(final double mu, |
| final double c) { |
| this.mu = mu; |
| this.c = c; |
| this.halfC = 0.5 * c; |
| } |
| |
| /** {@inheritDoc} |
| * <p> |
| * From Wikipedia: The probability density function of the Lévy distribution |
| * over the domain is |
| * </p> |
| * <div style="white-space: pre"><code> |
| * f(x; μ, c) = √(c / 2π) * e<sup>-c / 2 (x - μ)</sup> / (x - μ)<sup>3/2</sup> |
| * </code></div> |
| * <p> |
| * For this distribution, {@code X}, this method returns {@code P(X < x)}. |
| * If {@code x} is less than location parameter μ, {@code 0} is |
| * returned, as in these cases the distribution is not defined. |
| * </p> |
| */ |
| @Override |
| public double density(final double x) { |
| if (x < mu) { |
| return 0; |
| } |
| |
| final double delta = x - mu; |
| final double f = halfC / delta; |
| return Math.sqrt(f / Math.PI) * Math.exp(-f) / delta; |
| } |
| |
| /** {@inheritDoc} |
| * |
| * See documentation of {@link #density(double)} for computation details. |
| */ |
| @Override |
| public double logDensity(double x) { |
| if (x < mu) { |
| return Double.NEGATIVE_INFINITY; |
| } |
| |
| final double delta = x - mu; |
| final double f = halfC / delta; |
| return 0.5 * Math.log(f / Math.PI) - f - Math.log(delta); |
| } |
| |
| /** {@inheritDoc} |
| * <p> |
| * From Wikipedia: the cumulative distribution function is |
| * </p> |
| * <pre> |
| * f(x; u, c) = erfc (√ (c / 2 (x - u ))) |
| * </pre> |
| */ |
| @Override |
| public double cumulativeProbability(final double x) { |
| if (x < mu) { |
| return 0; |
| } |
| return Erfc.value(Math.sqrt(halfC / (x - mu))); |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double survivalProbability(final double x) { |
| if (x < mu) { |
| return 1; |
| } |
| return Erf.value(Math.sqrt(halfC / (x - mu))); |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double inverseCumulativeProbability(final double p) { |
| if (p < 0 || |
| p > 1) { |
| throw new DistributionException(DistributionException.INVALID_PROBABILITY, p); |
| } |
| final double t = InverseErfc.value(p); |
| return mu + halfC / (t * t); |
| } |
| |
| /** |
| * Gets the scale parameter of the distribution. |
| * |
| * @return scale parameter of the distribution |
| */ |
| public double getScale() { |
| return c; |
| } |
| |
| /** |
| * Gets the location parameter of the distribution. |
| * |
| * @return location parameter of the distribution |
| */ |
| public double getLocation() { |
| return mu; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getMean() { |
| return Double.POSITIVE_INFINITY; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getVariance() { |
| return Double.POSITIVE_INFINITY; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getSupportLowerBound() { |
| return getLocation(); |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getSupportUpperBound() { |
| return Double.POSITIVE_INFINITY; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public boolean isSupportConnected() { |
| return true; |
| } |
| } |