Gauss polynomial for the non central chi squared distribution. More...
#include <ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp>
Public Types | |
typedef Real | mp_float |
Public Member Functions | |
GaussNonCentralChiSquaredPolynomial (Real nu, Real lambda) | |
Real | mu_0 () const |
Real | alpha (Size i) const |
Real | beta (Size i) const |
Real | w (Real x) const |
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Real | value (Size i, Real x) const |
Real | weightedValue (Size i, Real x) const |
Gauss polynomial for the non central chi squared distribution.
References: Gauss quadratures and orthogonal polynomials
G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230, http://web.stanford.edu/class/cme335/spr11/S0025-5718-69-99647-1.pdf
M. Morandi Cecchi and M. Redivo Zaglia, Computing the coefficients of a recurrence formula for numerical integration by moments and modified moments. http://ac.els-cdn.com/0377042793901522/1-s2.0-0377042793901522-main.pdf?_tid=643d5dca-a05d-11e6-9a56-00000aab0f27&acdnat=1478023545_cf7c87cba4cc9e37a136e68a2564d411