eigamma Class Reference
Inverse-Gamma posterior density. More...
#include <libEF.h>
Inheritance diagram for eigamma:
Collaboration diagram for eigamma:
Public Member Functions | |
| eigamma (const RV &rv) | |
| Default constructor. | |
| void | set_parameters (const vec &a, const vec &b) |
| Sets parameters. | |
| vec | sample () const |
Returns a sample,  from density  . | |
| double | evallog (const vec &val) const |
| TODO: is it used anywhere? | |
| double | lognc () const |
logarithm of the normalizing constant,  | |
| void | _param (vec *&a, vec *&b) |
| Returns poiter to alpha and beta. Potentially dangerous: use with care! | |
| vec | mean () const |
| return expected value | |
| vec | variance () const |
| return expected variance (not covariance!) | |
| virtual void | dupdate (mat &v) |
| TODO decide if it is really needed. | |
| virtual double | evallog_nn (const vec &val) const |
| Evaluate normalized log-probability. | |
| virtual vec | evallog (const mat &Val) const |
| Evaluate normalized log-probability for many samples. | |
| virtual void | pow (double p) |
| Power of the density, used e.g. to flatten the density. | |
| virtual mat | sample_m (int N) const |
| Returns N samples from density . | |
| virtual vec | evallog_m (const mat &Val) const |
Compute log-probability of multiple values argument val. | |
| virtual mpdf * | condition (const RV &rv) const |
| Return conditional density on the given RV, the remaining rvs will be in conditioning. | |
| virtual epdf * | marginal (const RV &rv) const |
| Return marginal density on the given RV, the remainig rvs are intergrated out. | |
| const RV & | _rv () const |
| access function, possibly dangerous! | |
| void | _renewrv (const RV &in_rv) |
| modifier function - useful when copying epdfs | |
Protected Attributes | |
| vec * | alpha |
Vector  . | |
| vec * | beta |
Vector  (in fact it is 1/beta as used in definition of iG). | |
| egamma | eg |
| internal egamma | |
| RV | rv |
| Identified of the random variable. | |
Detailed Description
Inverse-Gamma posterior density.Multivariate inverse-Gamma density as product of independent univariate densities.
![\[ f(x|\alpha,\beta) = \prod f(x_i|\alpha_i,\beta_i) \]](form_8.png)
Inverse Gamma can be converted to Gamma using \[ x iG(a,b) => 1/x G(a,1/b) \] This relation is used in sampling.
The documentation for this class was generated from the following file:
- work/git/mixpp/bdm/stat/libEF.h
