/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.statistics.distribution;
import java.util.Date;
import org.apache.commons.lang.NotImplementedException;
import org.apache.commons.lang.Validate;
import cern.jet.random.Gamma;
import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.RandomEngine;
/**
* The Gamma distribution is a continuous probability distribution with cdf
* $$
* \begin{align*}
* F(x)=\frac{\gamma\left(k, \frac{x}{\theta}\right)}{\Gamma(k)}
* \end{align*}
* $$
* and pdf
* $$
* \begin{align*}
* f(x)=\frac{x^{k-1}e^{-\frac{x}{\theta}}}{\Gamma{k}\theta^k}
* \end{align*}
* $$
* where $k$ is the shape parameter and $\theta$ is the scale parameter.
* <p>
* This implementation uses the CERN <a href="http://acs.lbl.gov/~hoschek/colt/api/index.html">colt</a> package for the cdf, pdf
* and $\Gamma$-distributed random numbers.
*
*/
public class GammaDistribution implements ProbabilityDistribution<Double> {
private final Gamma _gamma;
private final double _k;
private final double _theta;
/**
* @param k The shape parameter of the distribution, not negative or zero
* @param theta The scale parameter of the distribution, not negative or zero
*/
public GammaDistribution(final double k, final double theta) {
this(k, theta, new MersenneTwister(new Date()));
}
/**
* @param k The shape parameter of the distribution, not negative or zero
* @param theta The scale parameter of the distribution, not negative or zero
* @param engine A uniform random number generator, not null
*/
public GammaDistribution(final double k, final double theta, final RandomEngine engine) {
Validate.isTrue(k > 0, "k must be > 0");
Validate.isTrue(theta > 0, "theta must be > 0");
Validate.notNull(engine);
_gamma = new Gamma(k, 1. / theta, engine);
_k = k;
_theta = theta;
}
/**
* {@inheritDoc}
*/
@Override
public double getCDF(final Double x) {
Validate.notNull(x);
return _gamma.cdf(x);
}
/**
* {@inheritDoc}
* @return Not supported
* @throws NotImplementedException
*/
@Override
public double getInverseCDF(final Double p) {
throw new NotImplementedException();
}
/**
* {@inheritDoc}
*/
@Override
public double getPDF(final Double x) {
Validate.notNull(x);
return _gamma.pdf(x);
}
/**
* {@inheritDoc}
*/
@Override
public double nextRandom() {
return _gamma.nextDouble();
}
/**
* @return The shape parameter
*/
public double getK() {
return _k;
}
/**
* @return The location parameter
*/
public double getTheta() {
return _theta;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
long temp;
temp = Double.doubleToLongBits(_k);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_theta);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final GammaDistribution other = (GammaDistribution) obj;
if (Double.doubleToLongBits(_k) != Double.doubleToLongBits(other._k)) {
return false;
}
return Double.doubleToLongBits(_theta) == Double.doubleToLongBits(other._theta);
}
}