Class GeneralizedExtremeValueDistribution
- java.lang.Object
-
- elki.math.statistics.distribution.GeneralizedExtremeValueDistribution
-
- All Implemented Interfaces:
Distribution
public class GeneralizedExtremeValueDistribution extends java.lang.Object implements Distribution
Generalized Extreme Value (GEV) distribution, also known as Fisher–Tippett distribution.This is a generalization of the Frechnet, Gumbel and (reversed) Weibull distributions.
Implementation notice: In ELKI 0.8.0, the sign of the shape was negated.
- Since:
- 0.6.0
- Author:
- Erich Schubert
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
GeneralizedExtremeValueDistribution.Par
Parameterization class-
Nested classes/interfaces inherited from interface elki.math.statistics.distribution.Distribution
Distribution.Parameterizer
-
-
Constructor Summary
Constructors Constructor Description GeneralizedExtremeValueDistribution(double mu, double sigma, double k)
Constructor.
-
Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description double
cdf(double val)
Return the cumulative density function at the given value.static double
cdf(double val, double mu, double sigma, double k)
CDF of GEV distributiondouble
getK()
Get the k parameter.double
getMu()
Get location.double
getSigma()
Get sigma.double
logpdf(double x)
Return the log density of an existing valuestatic double
logpdf(double x, double mu, double sigma, double k)
log PDF of GEV distributiondouble
pdf(double x)
Return the density of an existing valuestatic double
pdf(double x, double mu, double sigma, double k)
PDF of GEV distributiondouble
quantile(double val)
Quantile aka probit (for normal) aka inverse CDF (invcdf, cdf^-1) function.static double
quantile(double val, double mu, double sigma, double k)
Quantile function of GEV distributionjava.lang.String
toString()
Describe the distribution-
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
-
Methods inherited from interface elki.math.statistics.distribution.Distribution
nextRandom
-
-
-
-
Method Detail
-
getMu
public double getMu()
Get location.- Returns:
- Location
-
getSigma
public double getSigma()
Get sigma.- Returns:
- Sigma
-
getK
public double getK()
Get the k parameter.- Returns:
- k
-
pdf
public double pdf(double x)
Description copied from interface:Distribution
Return the density of an existing value- Specified by:
pdf
in interfaceDistribution
- Parameters:
x
- existing value- Returns:
- distribution density
-
pdf
public static double pdf(double x, double mu, double sigma, double k)
PDF of GEV distribution- Parameters:
x
- Valuemu
- Location parameter musigma
- Scale parameter sigmak
- Shape parameter k- Returns:
- PDF at position x.
-
logpdf
public double logpdf(double x)
Description copied from interface:Distribution
Return the log density of an existing value- Specified by:
logpdf
in interfaceDistribution
- Parameters:
x
- existing value- Returns:
- log distribution density
-
logpdf
public static double logpdf(double x, double mu, double sigma, double k)
log PDF of GEV distribution- Parameters:
x
- Valuemu
- Location parameter musigma
- Scale parameter sigmak
- Shape parameter k- Returns:
- PDF at position x.
-
cdf
public double cdf(double val)
Description copied from interface:Distribution
Return the cumulative density function at the given value.- Specified by:
cdf
in interfaceDistribution
- Parameters:
val
- existing value- Returns:
- cumulative density
-
cdf
public static double cdf(double val, double mu, double sigma, double k)
CDF of GEV distribution- Parameters:
val
- Valuemu
- Location parameter musigma
- Scale parameter sigmak
- Shape parameter k- Returns:
- CDF at position x.
-
quantile
public double quantile(double val)
Description copied from interface:Distribution
Quantile aka probit (for normal) aka inverse CDF (invcdf, cdf^-1) function.- Specified by:
quantile
in interfaceDistribution
- Parameters:
val
- Quantile to find- Returns:
- Quantile position
-
quantile
public static double quantile(double val, double mu, double sigma, double k)
Quantile function of GEV distribution- Parameters:
val
- Valuemu
- Location parameter musigma
- Scale parameter sigmak
- Shape parameter k- Returns:
- Quantile function at position x.
-
toString
public java.lang.String toString()
Description copied from interface:Distribution
Describe the distribution- Specified by:
toString
in interfaceDistribution
- Overrides:
toString
in classjava.lang.Object
- Returns:
- description
-
-