org.apache.commons.math3.random
Class StableRandomGenerator

java.lang.Object
  extended by org.apache.commons.math3.random.StableRandomGenerator
All Implemented Interfaces:
NormalizedRandomGenerator

public class StableRandomGenerator
extends Object
implements NormalizedRandomGenerator

This class provides a stable normalized random generator. It samples from a stable distribution with location parameter 0 and scale 1.

The implementation uses the Chambers-Mallows-Stuck method as described in Handbook of computational statistics: concepts and methods by James E. Gentle, Wolfgang Härdle, Yuichi Mori.

Since:
3.0
Version:
$Id: StableRandomGenerator.java 1394763 2012-10-05 19:54:00Z psteitz $

Constructor Summary
StableRandomGenerator(RandomGenerator generator, double alpha, double beta)
          Create a new generator.
 
Method Summary
 double nextNormalizedDouble()
          Generate a random scalar with zero location and unit scale.
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

StableRandomGenerator

public StableRandomGenerator(RandomGenerator generator,
                             double alpha,
                             double beta)
                      throws NullArgumentException,
                             OutOfRangeException
Create a new generator.

Parameters:
generator - underlying random generator to use
alpha - Stability parameter. Must be in range (0, 2]
beta - Skewness parameter. Must be in range [-1, 1]
Throws:
NullArgumentException - if generator is null
OutOfRangeException - if alpha <= 0 or alpha > 2 or beta < -1 or beta > 1
Method Detail

nextNormalizedDouble

public double nextNormalizedDouble()
Generate a random scalar with zero location and unit scale.

Specified by:
nextNormalizedDouble in interface NormalizedRandomGenerator
Returns:
a random scalar with zero location and unit scale


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