Package org.apache.commons.math4.random

Class StableRandomGenerator

java.lang.Object

org.apache.commons.math4.random.StableRandomGenerator

All Implemented Interfaces:

NormalizedRandomGenerator

public class StableRandomGenerator
extends java.lang.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

Constructor Summary

Constructors

Constructor	Description
StableRandomGenerator(UniformRandomProvider generator, double alpha, double beta)	Create a new generator.

Method Summary

Modifier and Type	Method	Description
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(UniformRandomProvider generator,
                             double alpha,
                             double beta)
                      throws NullArgumentException,
                             OutOfRangeException

Create a new generator.

Parameters:

generator - Underlying random generator

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