/usr/include/openturns/GeneralizedPareto.hxx is in libopenturns-dev 1.2-2.
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/**
* @file GeneralizedPareto.hxx
* @brief The GeneralizedPareto distribution
*
* Copyright (C) 2005-2013 EDF-EADS-Phimeca
*
* This library is free software: you can redistribute it and/or modify
* it under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* along with this library. If not, see <http://www.gnu.org/licenses/>.
*
* @author lebrun
* @date 2008-11-23 16:03:50 +0100 (dim, 23 nov 2008)
*/
#ifndef OPENTURNS_GENERALIZEDPARETO_HXX
#define OPENTURNS_GENERALIZEDPARETO_HXX
#include "NonEllipticalDistribution.hxx"
#include "ResourceMap.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class GeneralizedPareto
*
* The GeneralizedPareto distribution.
*/
class GeneralizedPareto
: public NonEllipticalDistribution
{
CLASSNAME;
public:
typedef Pointer<DistributionImplementation> Implementation;
/** Default constructor */
GeneralizedPareto();
/** Parameters constructor */
GeneralizedPareto(const NumericalScalar sigma,
const NumericalScalar xi);
/** Comparison operator */
Bool operator ==(const GeneralizedPareto & other) const;
/** String converter */
String __repr__() const;
String __str__(const String & offset = "") const;
/* Interface inherited from Distribution */
/** Virtual constructor */
virtual GeneralizedPareto * clone() const;
/** Get one realization of the distribution */
NumericalPoint getRealization() const;
/** Get the DDF of the distribution */
using NonEllipticalDistribution::computeDDF;
NumericalPoint computeDDF(const NumericalPoint & point) const;
/** Get the PDF of the distribution */
using NonEllipticalDistribution::computePDF;
NumericalScalar computePDF(const NumericalPoint & point) const;
using NonEllipticalDistribution::computeLogPDF;
NumericalScalar computeLogPDF(const NumericalPoint & point) const;
/** Get the CDF of the distribution */
using NonEllipticalDistribution::computeCDF;
NumericalScalar computeCDF(const NumericalPoint & point) const;
using NonEllipticalDistribution::computeComplementaryCDF;
NumericalScalar computeComplementaryCDF(const NumericalPoint & point) const;
/** Get the characteristic function of the distribution, i.e. phi(u) = E(exp(I*u*X)) */
NumericalComplex computeCharacteristicFunction(const NumericalScalar x) const;
NumericalComplex computeLogCharacteristicFunction(const NumericalScalar x) const;
/** Get the PDFGradient of the distribution */
NumericalPoint computePDFGradient(const NumericalPoint & point) const;
/** Get the CDFGradient of the distribution */
NumericalPoint computeCDFGradient(const NumericalPoint & point) const;
/** Get the standard deviation of the distribution */
NumericalPoint getStandardDeviation() const;
/** Get the skewness of the distribution */
NumericalPoint getSkewness() const;
/** Get the kurtosis of the distribution */
NumericalPoint getKurtosis() const;
/** Get the raw moments of the standardized distribution */
NumericalPoint getStandardMoment(const UnsignedLong n) const;
/** Get the standard representative in the parametric family, associated with the standard moments */
Implementation getStandardRepresentative() const;
/** Parameters value and description accessor */
NumericalPointWithDescriptionCollection getParametersCollection() const;
using NonEllipticalDistribution::setParametersCollection;
void setParametersCollection(const NumericalPointCollection & parametersCollection);
/* Interface specific to GeneralizedPareto */
/** Sigma accessor */
void setSigma(const NumericalScalar sigma);
NumericalScalar getSigma() const;
/** Xi accessor */
void setXi(const NumericalScalar xi);
NumericalScalar getXi() const;
/** Method save() stores the object through the StorageManager */
void save(Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
void load(Advocate & adv);
protected:
private:
/** Compute the mean of the distribution */
void computeMean() const;
/** Compute the covariance of the distribution */
void computeCovariance() const;
/** Get the quantile of the distribution */
NumericalScalar computeScalarQuantile(const NumericalScalar prob,
const Bool tail = false,
const NumericalScalar precision = ResourceMap::GetAsNumericalScalar("DistributionImplementation-DefaultQuantileEpsilon")) const;
/** Compute the numerical range of the distribution given the parameters values */
void computeRange();
/** The scale parameter of the GeneralizedPareto distribution */
NumericalScalar sigma_;
/** The shape parameter of the GeneralizedPareto distribution */
NumericalScalar xi_;
}; /* class GeneralizedPareto */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_GENERALIZEDPARETO_HXX */
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