de.lmu.ifi.dbs.elki.math.statistics.distribution.estimator

Class GeneralizedExtremeValueLMMEstimator

java.lang.Object

de.lmu.ifi.dbs.elki.math.statistics.distribution.estimator.GeneralizedExtremeValueLMMEstimator

All Implemented Interfaces:

DistributionEstimator<GeneralizedExtremeValueDistribution>, LMMDistributionEstimator<GeneralizedExtremeValueDistribution>

@Reference(authors="J. R. M. Hosking, J. R. Wallis, E. F. Wood",
           title="Estimation of the generalized extreme-value distribution by the method of probability-weighted moments.",
           booktitle="Technometrics 27.3",
           url="https://doi.org/10.1080/00401706.1985.10488049",
           bibkey="doi:10.1080/00401706.1985.10488049")
public class GeneralizedExtremeValueLMMEstimator
extends java.lang.Object
implements LMMDistributionEstimator<GeneralizedExtremeValueDistribution>

Estimate the parameters of a Generalized Extreme Value Distribution, using the methods of L-Moments (LMM).

Reference:

J. R. M. Hosking, J. R. Wallis, E. F. Wood
Estimation of the generalized extreme-value distribution by the method of probability-weighted moments.
Technometrics 27.3

Since:

0.6.0

Author:

Erich Schubert

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	GeneralizedExtremeValueLMMEstimator.Parameterizer Parameterization class.

Field Summary

Fields

Modifier and Type	Field and Description
protected static double	A0 Constants for fast rational approximations.
protected static double	A1 Constants for fast rational approximations.
protected static double	A2 Constants for fast rational approximations.
protected static double	A3 Constants for fast rational approximations.
protected static double	A4 Constants for fast rational approximations.
protected static double	B1
protected static double	B2
protected static double	B3
protected static double	C1
protected static double	C2
protected static double	C3
protected static double	D1
protected static double	D2
protected static double	EU Euler-Mascheroni constant.
(package private) static int	MAXIT Maximum number of iterations.
static GeneralizedExtremeValueLMMEstimator	STATIC Static instance.

Constructor Summary

Constructors

Modifier	Constructor and Description
private	GeneralizedExtremeValueLMMEstimator() Constructor.

Method Summary

Modifier and Type	Method and Description
GeneralizedExtremeValueDistribution	estimateFromLMoments(double[] xmom) Estimate from the L-Moments.
java.lang.Class<? super GeneralizedExtremeValueDistribution>	getDistributionClass() Get the class that is produced by the estimator.
int	getNumMoments() The number of moments needed.
java.lang.String	toString()

Methods inherited from class java.lang.Object

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

Methods inherited from interface de.lmu.ifi.dbs.elki.math.statistics.distribution.estimator.LMMDistributionEstimator

estimate

Methods inherited from interface de.lmu.ifi.dbs.elki.math.statistics.distribution.estimator.DistributionEstimator

estimate

Field Detail

STATIC

public static final GeneralizedExtremeValueLMMEstimator STATIC

Static instance.

A0

protected static final double A0

Constants for fast rational approximations.

See Also:

Constant Field Values

A1

protected static final double A1

Constants for fast rational approximations.

See Also:

Constant Field Values

A2

protected static final double A2

Constants for fast rational approximations.

See Also:

Constant Field Values

A3

protected static final double A3

Constants for fast rational approximations.

See Also:

Constant Field Values

A4

protected static final double A4

Constants for fast rational approximations.

See Also:

Constant Field Values

B1

protected static final double B1

See Also:

Constant Field Values

B2

protected static final double B2

See Also:

Constant Field Values

B3

protected static final double B3

See Also:

Constant Field Values

C1

protected static final double C1

See Also:

Constant Field Values

C2

protected static final double C2

See Also:

Constant Field Values

C3

protected static final double C3

See Also:

Constant Field Values

D1

protected static final double D1

See Also:

Constant Field Values

D2

protected static final double D2

See Also:

Constant Field Values

EU

protected static final double EU

Euler-Mascheroni constant.

See Also:

Constant Field Values

MAXIT

static int MAXIT

Maximum number of iterations.

Constructor Detail

GeneralizedExtremeValueLMMEstimator

private GeneralizedExtremeValueLMMEstimator()

Constructor. Private: use static instance.

Method Detail

getNumMoments

public int getNumMoments()

Description copied from interface: LMMDistributionEstimator

The number of moments needed.

Specified by:

getNumMoments in interface LMMDistributionEstimator<GeneralizedExtremeValueDistribution>

Returns:

Moments needed.

estimateFromLMoments

public GeneralizedExtremeValueDistribution estimateFromLMoments(double[] xmom)

Description copied from interface: LMMDistributionEstimator

Estimate from the L-Moments.

Specified by:

estimateFromLMoments in interface LMMDistributionEstimator<GeneralizedExtremeValueDistribution>

Parameters:

xmom - L-Moments

Returns:

Distribution

getDistributionClass

public java.lang.Class<? super GeneralizedExtremeValueDistribution> getDistributionClass()

Description copied from interface: DistributionEstimator

Get the class that is produced by the estimator.

Specified by:

getDistributionClass in interface DistributionEstimator<GeneralizedExtremeValueDistribution>

Returns:

Distribution class

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object