Module net.finmath.lib
Package net.finmath.functions

Class NonCentralChiSquaredDistribution

java.lang.Object
net.finmath.functions.NonCentralChiSquaredDistribution
public class NonCentralChiSquaredDistribution extends Object
Implementation of the cumulative distribution function of the non-central Χ2 distribution. The implementation is that of Ding's algorithm, splitting the sum since the first term of the sum is not the largest one (and may be zero). The algorithm uses Kahan summation for the sums and limits the calculation time to avoid infinity loops. The method is currently intended to be used as a benchmark in unit tests only. Note: The implementation currently does not use an alternative algorithm in cases of high non-centrality, like Benton and Krishnamoorthy. Since the number of summation is limited, the method may be inaccurate for high non-centrality.
Author:
Christian Fries, Ralph Rudd

  • Constructor Details

    • NonCentralChiSquaredDistribution

      public NonCentralChiSquaredDistribution​(double degreesOfFreedom, double nonCentrality)
      Create non-central Χ2 distribution (non-central chi-squared distribution).
      Parameters:
      degreesOfFreedom - The number of degrees of freedom, positive
      nonCentrality - The non-centrality parameter, not negative

  • Method Details

    • cumulativeDistribution

      public double cumulativeDistribution​(double x)
      Cumulative distribution function of the non-central Χ2 distribution
      Parameters:
      x - A sample point
      Returns:
      The probability of X being below x, given that X is non-central Χ2 distributed

    • getDegreesOfFreedom

      public double getDegreesOfFreedom()
      Returns:
      The number of degrees of freedom

    • getNonCentrality

      public double getNonCentrality()
      Returns:
      The non-centrality parameter