commons-dev mailing list archives

Site index · List index
Message view « Date » · « Thread »
Top « Date » · « Thread »
From Pavel Ryzhov <pavel.ryz...@gmail.com>
Subject Re: [math] Levy distribution
Date Wed, 22 Dec 2010 06:46:59 GMT
Thanks, I see. So there is a sample generator for Levy.
It might be not that easy for stable distributions. I should start with naive implementation.

Pavel

On Dec 21, 2010, at 23:32 PM, Phil Steitz wrote:

> On Tue, Dec 21, 2010 at 5:03 PM, Pavel Ryzhov <pavel.ryzhov@gmail.com>wrote:
> 
>> No, right now.
>> 
>> But i'll definitely make sample generation as i'm writing small Monte Carlo
>> engine.
>> My current plan is:
>> 1. Levy distribution as the first step for contribution.
>> 2. Stable distribution and generic distributions by characteristic
>> function. I've already started working on it.
>> 3. Generators for 1 and 2.
>> 4. Generator for Ito process. I'm not sure about Stratanovich processes as
>> they are rarely used in finance.
>> 
> 
> Have a look at o.a.c.m.distribution if you have not already done so.  If you
> just provide an implementation of the distribution, a default
> inversion-based sampler will be inherited from the base class.  If you want
> to improve the sampling, you can (eventually) override the sample() method.
> 
> Phil
> 
> 
>> 
>> Regards,
>> Pavel
>> 
>> On Dec 21, 2010, at 22:27 PM, Ted Dunning wrote:
>> 
>>> Sounds interesting to have to me.
>>> 
>>> Do you generate samples?
>>> 
>>> On Tue, Dec 21, 2010 at 12:38 PM, Pavel Ryzhov <pavel.ryzhov@gmail.com
>>> wrote:
>>> 
>>>> Hi,
>>>> 
>>>> I've implemented Levy distribution on top of commons-math. The
>>>> implementation is pretty straightforward by
>>>> http://en.wikipedia.org/wiki/Lévy_distribution<http://en.wikipedia.org/wiki/L%C3%A9vy_distribution>
>> <http://en.wikipedia.org/wiki/L%C3%A9vy_distribution>So it was not a big
>> deal. The distribution is of interest to the financial
>>>> modeling, so it might worth to include it into the library.
>>>> 
>>>> So, do we need it in commons-math?
>>>> 
>>>> Regards,
>>>> Pavel
>>>> 
>>>> 
>>>> ---------------------------------------------------------------------
>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>> 
>>>> 
>> 
>> 
>> ---------------------------------------------------------------------
>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>> For additional commands, e-mail: dev-help@commons.apache.org
>> 
>> 


---------------------------------------------------------------------
To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
For additional commands, e-mail: dev-help@commons.apache.org


Mime
View raw message