org.apache.commons.math3.distribution

## Class LevyDistribution

- java.lang.Object
- - org.apache.commons.math3.distribution.AbstractRealDistribution
  - - org.apache.commons.math3.distribution.LevyDistribution

- All Implemented Interfaces:
    Serializable, RealDistribution

      public class LevyDistribution
      extends AbstractRealDistribution

  This class implements the Lévy distribution.
  Since:
    3.2
  Version:
    $Id: LevyDistribution.java 1533974 2013-10-20 20:42:41Z psteitz $
  See Also:
    Serialized Form

- - ### Field Summary

    - ### Fields inherited from class org.apache.commons.math3.distribution.AbstractRealDistribution

      `random, randomData, SOLVER_DEFAULT_ABSOLUTE_ACCURACY`

  - ### Constructor Summary

    Constructors
    Constructor and Description
    `LevyDistribution(RandomGenerator rng, double mu, double c)` Creates a LevyDistribution.

  - ### Method Summary

    Methods
    Modifier and Type | Method and Description
    --- | ---
    `double` | `cumulativeProbability(double x)` For a random variable `X` whose values are distributed according to this distribution, this method returns `P(X <= x)`.
    `double` | `density(double x)` Returns the probability density function (PDF) of this distribution evaluated at the specified point `x`.
    `double` | `getLocation()` Get the location parameter of the distribution.
    `double` | `getNumericalMean()` Use this method to get the numerical value of the mean of this distribution.
    `double` | `getNumericalVariance()` Use this method to get the numerical value of the variance of this distribution.
    `double` | `getScale()` Get the scale parameter of the distribution.
    `double` | `getSupportLowerBound()` Access the lower bound of the support.
    `double` | `getSupportUpperBound()` Access the upper bound of the support.
    `double` | `inverseCumulativeProbability(double p)` Computes the quantile function of this distribution.
    `boolean` | `isSupportConnected()` Use this method to get information about whether the support is connected, i.e.
    `boolean` | `isSupportLowerBoundInclusive()` Whether or not the lower bound of support is in the domain of the density function.
    `boolean` | `isSupportUpperBoundInclusive()` Whether or not the upper bound of support is in the domain of the density function.
    `double` | `logDensity(double x)` Returns the natural logarithm of the probability density function (PDF) of this distribution evaluated at the specified point `x`.

    - ### Methods inherited from class org.apache.commons.math3.distribution.AbstractRealDistribution

      `cumulativeProbability, getSolverAbsoluteAccuracy, probability, probability, reseedRandomGenerator, sample, sample`

    - ### Methods inherited from class java.lang.Object

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

- - ### Constructor Detail

    - #### LevyDistribution

          public LevyDistribution(RandomGenerator rng,
                          double mu,
                          double c)

      Creates a LevyDistribution.
      Parameters:
        `rng` - random generator to be used for sampling
        `mu` - location
        `c` - scale parameter

  - ### Method Detail

    - #### density

          public double density(double x)

      Returns the probability density function (PDF) of this distribution evaluated at the specified point `x`. In general, the PDF is the derivative of the `CDF`. If the derivative does not exist at `x`, then an appropriate replacement should be returned, e.g. `Double.POSITIVE_INFINITY`, `Double.NaN`, or the limit inferior or limit superior of the difference quotient.

      From Wikipedia: The probability density function of the Lévy distribution over the domain is

           f(x; μ, c) = √(c / 2π) * e-c / 2 (x - μ) / (x - μ)3/2

      For this distribution, `X`, this method returns `P(X < x)`. If `x` is less than location parameter μ, `Double.NaN` is returned, as in these cases the distribution is not defined.

      Parameters:
        `x` - the point at which the PDF is evaluated
      Returns:
        the value of the probability density function at point `x`

    - #### logDensity

          public double logDensity(double x)

      Returns the natural logarithm of the probability density function (PDF) of this distribution evaluated at the specified point `x`. In general, the PDF is the derivative of the `CDF`. If the derivative does not exist at `x`, then an appropriate replacement should be returned, e.g. `Double.POSITIVE_INFINITY`, `Double.NaN`, or the limit inferior or limit superior of the difference quotient. Note that due to the floating point precision and under/overflow issues, this method will for some distributions be more precise and faster than computing the logarithm of `RealDistribution.density(double)`. The default implementation simply computes the logarithm of `density(x)`. See documentation of `density(double)` for computation details.
      Overrides:
        `logDensity` in class `AbstractRealDistribution`
      Parameters:
        `x` - the point at which the PDF is evaluated
      Returns:
        the logarithm of the value of the probability density function at point `x`

    - #### cumulativeProbability

          public double cumulativeProbability(double x)

      For a random variable `X` whose values are distributed according to this distribution, this method returns `P(X <= x)`. In other words, this method represents the (cumulative) distribution function (CDF) for this distribution.

      From Wikipedia: the cumulative distribution function is

           f(x; u, c) = erfc (√ (c / 2 (x - u )))

      Parameters:
        `x` - the point at which the CDF is evaluated
      Returns:
        the probability that a random variable with this distribution takes a value less than or equal to `x`

    - #### inverseCumulativeProbability

          public double inverseCumulativeProbability(double p)
                                              throws OutOfRangeException

      Computes the quantile function of this distribution. For a random variable `X` distributed according to this distribution, the returned value is
      - `inf{x in R | P(X<=x) >= p}` for `0 < p <= 1`,
      - `inf{x in R | P(X<=x) > 0}` for `p = 0`.
      The default implementation returns
      - `RealDistribution.getSupportLowerBound()` for `p = 0`,
      - `RealDistribution.getSupportUpperBound()` for `p = 1`.
      Specified by:
        `inverseCumulativeProbability` in interface `RealDistribution`
      Overrides:
        `inverseCumulativeProbability` in class `AbstractRealDistribution`
      Parameters:
        `p` - the cumulative probability
      Returns:
        the smallest `p`-quantile of this distribution (largest 0-quantile for `p = 0`)
      Throws:
        `OutOfRangeException` - if `p < 0` or `p > 1`

    - #### getScale

          public double getScale()

      Get the scale parameter of the distribution.
      Returns:
        scale parameter of the distribution

    - #### getLocation

          public double getLocation()

      Get the location parameter of the distribution.
      Returns:
        location parameter of the distribution

    - #### getNumericalMean

          public double getNumericalMean()

      Use this method to get the numerical value of the mean of this distribution.
      Returns:
        the mean or `Double.NaN` if it is not defined

    - #### getNumericalVariance

          public double getNumericalVariance()

      Use this method to get the numerical value of the variance of this distribution.
      Returns:
        the variance (possibly `Double.POSITIVE_INFINITY` as for certain cases in `TDistribution`) or `Double.NaN` if it is not defined

    - #### getSupportLowerBound

          public double getSupportLowerBound()

      Access the lower bound of the support. This method must return the same value as `inverseCumulativeProbability(0)`. In other words, this method must return

      `inf {x in R | P(X <= x) > 0}`.

      Returns:
        lower bound of the support (might be `Double.NEGATIVE_INFINITY`)

    - #### getSupportUpperBound

          public double getSupportUpperBound()

      Access the upper bound of the support. This method must return the same value as `inverseCumulativeProbability(1)`. In other words, this method must return

      `inf {x in R | P(X <= x) = 1}`.

      Returns:
        upper bound of the support (might be `Double.POSITIVE_INFINITY`)

    - #### isSupportLowerBoundInclusive

          public boolean isSupportLowerBoundInclusive()

      Whether or not the lower bound of support is in the domain of the density function. Returns true iff `getSupporLowerBound()` is finite and `density(getSupportLowerBound())` returns a non-NaN, non-infinite value.
      Returns:
        true if the lower bound of support is finite and the density function returns a non-NaN, non-infinite value there

    - #### isSupportUpperBoundInclusive

          public boolean isSupportUpperBoundInclusive()

      Whether or not the upper bound of support is in the domain of the density function. Returns true iff `getSupportUpperBound()` is finite and `density(getSupportUpperBound())` returns a non-NaN, non-infinite value.
      Returns:
        true if the upper bound of support is finite and the density function returns a non-NaN, non-infinite value there

    - #### isSupportConnected

          public boolean isSupportConnected()

      Use this method to get information about whether the support is connected, i.e. whether all values between the lower and upper bound of the support are included in the support.
      Returns:
        whether the support is connected or not

Copyright © 2003–2014 The Apache Software Foundation. All rights reserved.