Class: ERV::GpdDistribution

Inherits:
Distribution show all
Defined in:
lib/erv/general_pareto_distribution.rb

Instance Method Summary collapse

Methods inherited from Distribution

#sample

Constructor Details

#initialize(opts) ⇒ GpdDistribution

Returns a new instance of GpdDistribution.

Raises:

  • (ArgumentError) 


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# File 'lib/erv/general_pareto_distribution.rb', line 13

def initialize(opts)
  super(opts)

  raise ArgumentError unless opts[:scale] and opts[:shape]
  scale    = opts[:scale].to_f
  shape    = opts[:shape].to_f
  location = opts[:location].try(:to_f) || 0.0

  if RUBY_PLATFORM == 'java'
    # create uniform distribution
    d = UniformRealDistribution.new(@rng, 0.0, 1.0,
            UniformRealDistribution::DEFAULT_INVERSE_ABSOLUTE_ACCURACY)
    # setup sampling function
    @func = Proc.new {
      # this algorithm was taken from wikipedia
      u = 1.0 - d.sample
      location + (scale * ((u ** (-shape)) - 1.0) / shape)
    }
  else
    # setup sampling function
    @func = Proc.new {
      # this algorithm was taken from wikipedia
      u = 1.0 - @rng.uniform
      location + (scale * ((u ** (-shape)) - 1.0) / shape)
    }
  end
end