Class MultivariateExponentialFamily


  • public class MultivariateExponentialFamily
    extends Object
    The exponential family is an important class of probability distributions sharing this particular form. \[ f_X(x|\boldsymbol \theta) = h(x) \exp\Big(\boldsymbol\eta({\boldsymbol \theta}) \cdot \mathbf{T}(x) - A({\boldsymbol \theta}) \Big) \]
    See Also:
    Wikipedia: Exponential family
    • Constructor Detail

      • MultivariateExponentialFamily

        public MultivariateExponentialFamily​(RealScalarFunction h,
                                             RealVectorFunction eta,
                                             RealVectorFunction T,
                                             RealScalarFunction A)
        Construct a factory to construct probability distribution in the exponential family of this form. \[ f_X(x|\boldsymbol \theta) = h(x) \exp\Big(\boldsymbol\eta({\boldsymbol \theta}) \cdot \mathbf{T}(x) - A({\boldsymbol \theta}) \Big) \]
        Parameters:
        h - the normalizing function
        eta - the natural parameter
        T - the sufficient statistic
        A - the log-partition function
    • Method Detail

      • getDistribution

        public MultivariateProbabilityDistribution getDistribution​(Vector theta)
        Construct a probability distribution in the exponential family.
        Parameters:
        theta - the parameter
        Returns:
        a fully specified probability distribution, \(f_X(x|\boldsymbol \theta)\)