umontreal.iro.lecuyer.randvar

Class KernelDensityVarCorrectGen

java.lang.Object

umontreal.iro.lecuyer.randvar.RandomVariateGen

umontreal.iro.lecuyer.randvar.KernelDensityGen

umontreal.iro.lecuyer.randvar.KernelDensityVarCorrectGen

public class KernelDensityVarCorrectGen
extends KernelDensityGen

This class is a variant of KernelDensityGen, but with a rescaling of the empirical distribution so that the variance of the density used to generate the random variates is equal to the empirical variance, as suggested by Silverman.

Let bar(x)_n and s_n² be the sample mean and sample variance of the observations. The distance between each generated random variate and the sample mean bar(x)_n is multiplied by the correcting factor 1/σ_e, where σ_e² = 1 + (hσ_k/s_n)². The constant σ_k² must be passed to the constructor. Its value can be found in the Table in KernelDensityGen for some popular kernels.

Constructor Summary

Constructors

Constructor and Description
KernelDensityVarCorrectGen(RandomStream s, EmpiricalDist dist, NormalGen kGen) This constructor uses a gaussian kernel and the default bandwidth suggested in Table for the gaussian distribution.
KernelDensityVarCorrectGen(RandomStream s, EmpiricalDist dist, RandomVariateGen kGen, double h, double sigmak2) Creates a new generator for a kernel density estimated from the observations given by the empirical distribution dist, using stream s to select the observations, generator kGen to generate the added noise from the kernel density, bandwidth h, and σk2 = sigmak2 used for the variance correction.

Method Summary

Modifier and Type	Method and Description
double	nextDouble() Generates a random number from the continuous distribution contained in this object.
void	setBandwidth(double h) Sets the bandwidth to h.

Methods inherited from class umontreal.iro.lecuyer.randvar.KernelDensityGen

getBaseBandwidth, setPositiveReflection

Methods inherited from class umontreal.iro.lecuyer.randvar.RandomVariateGen

getDistribution, getStream, nextArrayOfDouble, setStream, toString

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

KernelDensityVarCorrectGen

public KernelDensityVarCorrectGen(RandomStream s,
                                  EmpiricalDist dist,
                                  RandomVariateGen kGen,
                                  double h,
                                  double sigmak2)

Creates a new generator for a kernel density estimated from the observations given by the empirical distribution dist, using stream s to select the observations, generator kGen to generate the added noise from the kernel density, bandwidth h, and σ_k² = sigmak2 used for the variance correction.

KernelDensityVarCorrectGen

public KernelDensityVarCorrectGen(RandomStream s,
                                  EmpiricalDist dist,
                                  NormalGen kGen)

This constructor uses a gaussian kernel and the default bandwidth suggested in Table for the gaussian distribution.

Method Detail

setBandwidth

public void setBandwidth(double h)

Description copied from class: KernelDensityGen

Sets the bandwidth to h.

Overrides:

setBandwidth in class KernelDensityGen

nextDouble

public double nextDouble()

Description copied from class: RandomVariateGen

Generates a random number from the continuous distribution contained in this object. By default, this method uses inversion by calling the inverseF method of the distribution object. Alternative generating methods are provided in subclasses.

Overrides:

nextDouble in class KernelDensityGen

Returns:

the generated value