Class ACERFunction
- java.lang.Object
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- dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction
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- dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction
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- dev.nm.stat.evt.evd.univariate.fitting.acer.ACERFunction
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- All Implemented Interfaces:
Function<Vector,Double>
,RealScalarFunction
,UnivariateRealFunction
public class ACERFunction extends AbstractUnivariateRealFunction
The ACER (Average Conditional Exceedance Rate) function \(\epsilon_k(\eta)\) approximates the probability \[ \epsilon_k(\eta) = Pr(X_k > \eta | X_1 \le \eta, X_2 \le \eta, ..., X_{k-1} \le \eta) \] for a sequence of stochastic process observations \(X_i\) with a k-step memory. The function is of the form (Gumbel-type): \[ \hat{\epsilon_k}(\eta) = q_k exp(-a_k (\eta - b_k)^{c_k}), \eta \ge \eta_1 \] The R equivalent function isacer::acer.evaluate
. Note: R defines the conditional of epsilon using "less than" but this implementation sticks to the original paper which uses "less than or equal to".
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
ACERFunction.ACERParameter
Parameters forACERFunction
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Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function
Function.EvaluationException
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Constructor Summary
Constructors Constructor Description ACERFunction(ACERFunction.ACERParameter param)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
evaluate(double eta)
Compute the epsilon value.-
Methods inherited from class dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction
evaluate
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Methods inherited from class dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction
dimensionOfDomain, dimensionOfRange
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface dev.nm.analysis.function.Function
dimensionOfDomain, dimensionOfRange
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Constructor Detail
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ACERFunction
public ACERFunction(ACERFunction.ACERParameter param)
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