net.librec.math.algorithm

Class Gaussian

java.lang.Object

net.librec.math.algorithm.Gaussian

public class Gaussian
extends java.lang.Object

Gaussian

Author:

WangYuFeng

Constructor Summary

Constructors

Constructor and Description
Gaussian()

Method Summary

Methods

Modifier and Type	Method and Description
static double	cdf(double z) standard Gaussian cdf using Taylor approximation;
static double	cdf(double z, double mu, double sigma) Gaussian cdf with mean mu and stddev sigma
static void	main(java.lang.String[] args)
static double	pdf(double x) Standard Gaussian pdf.
static double	pdf(double x, double mu, double sigma) Gaussian pdf with mean mu and stddev sigma
static double	PhiInverse(double y) Compute z for standard normal such that cdf(z) = y via bisection search
static double	PhiInverse(double y, double mu, double sigma) Compute z for standard normal such that cdf(z, mu, sigma) = y via bisection search

Methods inherited from class java.lang.Object

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

Constructor Detail

Gaussian

public Gaussian()

Method Detail

pdf

public static double pdf(double x)

Standard Gaussian pdf.

Parameters:

x - parameter of the gaussian function

Returns:

Gaussian function of the given x

pdf

public static double pdf(double x,
         double mu,
         double sigma)

Gaussian pdf with mean mu and stddev sigma

Parameters:

x - parameter of the gaussian function

mu - mean of the gaussian function

sigma - stddev sigma of the gaussian function

Returns:

gaussian function value

cdf

public static double cdf(double z)

standard Gaussian cdf using Taylor approximation;

Parameters:

z - parameter of the function

Returns:

the probability that a random variable distributed according to the standard normal distribution (mean = 0 and stdev = 1) produces a value less than z

cdf

public static double cdf(double z,
         double mu,
         double sigma)

Gaussian cdf with mean mu and stddev sigma

Parameters:

z - parameter of the function

mu - mean

sigma - stddev sigma

Returns:

he probability that a random variable X distributed normally with mean mu and stdev sigma produces a value less than z

PhiInverse

public static double PhiInverse(double y)

Compute z for standard normal such that cdf(z) = y via bisection search

Parameters:

y - parameter of the function

Returns:

z for standard normal such that cdf(z) = y

PhiInverse

public static double PhiInverse(double y,
                double mu,
                double sigma)

Compute z for standard normal such that cdf(z, mu, sigma) = y via bisection search

Parameters:

y - the given value for function

mu - mu parameter

sigma - sigma parameter

Returns:

z for standard normal such that cdf(z, mu, sigma) = y

main

public static void main(java.lang.String[] args)