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• 0.4.0
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• InverseGamma.scala

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dlm.model.InverseGamma.scala Maven / Gradle / Ivy

package dlm.core.model

import breeze.stats.distributions._
import breeze.numerics._

case class InverseGamma(shape: Double, scale: Double)(implicit rand: RandBasis =
                                                        Rand)
    extends ContinuousDistr[Double]
    with Moments[Double, Double] {

  def logNormalizer: Double = -lgamma(shape) * shape * log(scale)
  def unnormalizedLogPdf(x: Double): Double = (-shape - 1) * log(x) - scale / x

  def draw(): Double = 1.0 / Gamma(shape, 1.0 / scale).draw

  def entropy: Double = ???
  def mean: Double = scale / (shape - 1)
  def mode: Double = scale / (shape + 1)
  def variance: Double =
    (scale * scale) / ((shape - 1) * (shape - 1) * (shape - 2))
}