#include <libEF.h>
Multivariate inverse-Gamma density as product of independent univariate densities.
Inverse Gamma can be converted to Gamma using
This relation is used in sampling.
Public Member Functions | |
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, | |
vec | mean () const |
Returns poiter to alpha and beta. Potentially dangerous: use with care! | |
vec | variance () const |
return expected variance (not covariance!) | |
vec & | _alpha () |
vec & | _beta () |
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. | |
Constructors | |
eigamma () | |
eigamma (const vec &a, const vec &b) | |
void | set_parameters (const vec &a, const vec &b) |
Constructors | |
Construction of each epdf should support two types of constructors:
set_parameters() . This way references can be initialized in constructors. | |
void | set_parameters (int dim0) |
Matematical Operations | |
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. | |
Connection to other classes | |
Description of the random quantity via attribute rv is optional. For operations such as sampling rv does not need to be set. However, for marginalization and conditioning rv has to be set. NB: | |
void | set_rv (const RV &rv0) |
Name its rv. | |
bool | isnamed () const |
True if rv is assigned. | |
const RV & | _rv () const |
Return name (fails when isnamed is false). | |
Access to attributes | |
int | dimension () const |
Size of the random variable. | |
Protected Attributes | |
egamma | eg |
internal egamma | |
vec & | alpha |
Vector . | |
vec & | beta |
Vector (in fact it is 1/beta as used in definition of iG). | |
int | dim |
dimension of the random variable | |
RV | rv |
Description of the random variable. |