bdm::eigamma Class Reference

Inverse-Gamma posterior density. More...


Detailed Description

Inverse-Gamma posterior density.

Multivariate inverse-Gamma density as product of independent univariate densities.

\[ f(x|\alpha,\beta) = \prod f(x_i|\alpha_i,\beta_i) \]

Vector $\beta$ has different meaning (in fact it is 1/beta as used in definition of iG)

Inverse Gamma can be converted to Gamma using

\[ x\sim iG(a,b) => 1/x\sim G(a,1/b) \]

This relation is used in sampling.

#include <exp_family.h>

List of all members.

Public Member Functions

double evallog (const vec &val) const
 Evaluate normalized log-probability.
double lognc () const
 logarithm of the normalizing constant, $\mathcal{I}$
vec & _alpha ()
 Returns pointer to internal alpha. Potentially dengerous: use with care!
vec & _beta ()
 Returns pointer to internal beta. Potentially dengerous: use with care!
void from_setting (const Setting &set)
void validate ()
 This method TODO.
virtual double evallog_nn (const vec &val) const
 Evaluate normalized log-probability.
virtual vec evallog_m (const mat &Val) const
 Evaluate normalized log-probability for many samples.
virtual vec evallog_m (const Array< vec > &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 string to_string ()
 This method returns a basic info about the current instance.
virtual void to_setting (Setting &set) const
 This method save all the instance properties into the Setting structure.

All constructors are inherited



vec sample () const
 Returns a sample, $ x $ from density $ f_x()$.
vec mean () const
 Returns poiter to alpha and beta. Potentially dangerous: use with care!
vec variance () const
 return expected variance (not covariance!)
Constructors



void set_parameters (const vec &a, const vec &b)
Constructors

Construction of each epdf should support two types of constructors:

  • empty constructor,
  • copy constructor,

The following constructors should be supported for convenience:

  • constructor followed by calling set_parameters()
  • constructor accepting random variables calling set_rv()

All internal data structures are constructed as empty. Their values (including sizes) will be set by method 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, $ [x_1 , x_2 , \ldots \ $ from density $ f_x(rv)$.
virtual shared_ptr< mpdfcondition (const RV &rv) const
 Return conditional density on the given RV, the remaining rvs will be in conditioning.
virtual shared_ptr< epdfmarginal (const RV &rv) const
 Return marginal density on the given RV, the remainig rvs are intergrated out.
virtual void qbounds (vec &lb, vec &ub, double percentage=0.95) const
 Lower and upper bounds of percentage % quantile, returns mean-2*sigma as default.
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

vec alpha
 Vector $\alpha$.
vec beta
 Vector $\beta$.
int dim
 dimension of the random variable
RV rv
 Description of the random variable.

Member Function Documentation

void bdm::egamma::from_setting ( const Setting &  set  )  [inline, virtual, inherited]

Load from structure with elements:

 { alpha = [...];         // vector of alpha
   beta = [...];          // vector of beta
   rv = {class="RV",...}  // description
 }

Reimplemented from bdm::epdf.

References bdm::egamma::alpha, bdm::UI::get(), and bdm::egamma::validate().


The documentation for this class was generated from the following file:

Generated on Tue Sep 15 23:42:49 2009 for mixpp by  doxygen 1.6.1