public class MultivariateTDistribution extends Object implements MultivariateProbabilityDistribution
dmvt from the package mvtnorm.| Constructor and Description |
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MultivariateTDistribution(int dim,
int v)
Constructs an instance of the standard t distribution, mean 0, variance 1.
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MultivariateTDistribution(int v,
Vector mu,
Matrix Sigma)
Constructs an instance with the given mean and scale matrix.
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| Modifier and Type | Method and Description |
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double |
cdf(Vector x)
Gets the cumulative probability F(x) = Pr(X ≤ x).
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Matrix |
covariance()
Gets the covariance matrix of this distribution.
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double |
density(Vector x)
The density function, which, if exists, is the derivative of F.
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double |
entropy()
Gets the entropy of this distribution.
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Vector |
mean()
Gets the mean of this distribution.
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Vector |
mode()
Gets the mode of this distribution.
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double |
moment(Vector t)
The moment generating function is the expected value of etX.
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public MultivariateTDistribution(int v,
Vector mu,
Matrix Sigma)
v - the degree of freedommu - the mean, a px1 vector, where p is the dimensionSigma - the scale or dispersion matrix, a positive definite, real, pxp matrix;
this is not the covariance matrixpublic MultivariateTDistribution(int dim,
int v)
dim - the dimensionality of the distributionv - the degree of freedom; v > 2public double cdf(Vector x)
MultivariateProbabilityDistributioncdf in interface MultivariateProbabilityDistributionx - xpublic double density(Vector x)
MultivariateProbabilityDistributionf(x) = dF(X) / dxThis may not always exist. For the discrete cases, this is the probability mass function. It gives the probability that a discrete random variable is exactly equal to some value.
density in interface MultivariateProbabilityDistributionx - xpublic Vector mean()
MultivariateProbabilityDistributionmean in interface MultivariateProbabilityDistributionpublic Vector mode()
MultivariateProbabilityDistributionmode in interface MultivariateProbabilityDistributionpublic Matrix covariance()
MultivariateProbabilityDistributioncovariance in interface MultivariateProbabilityDistributionpublic double entropy()
MultivariateProbabilityDistributionentropy in interface MultivariateProbabilityDistributionpublic double moment(Vector t)
MultivariateProbabilityDistributionE(etX)This may not always exist.
moment in interface MultivariateProbabilityDistributiont - tCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.