// Copyright John Maddock 2006. | |
// Use, modification and distribution are subject to the | |
// Boost Software License, Version 1.0. (See accompanying file | |
// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) | |
#ifndef BOOST_STATS_DERIVED_HPP | |
#define BOOST_STATS_DERIVED_HPP | |
// This file implements various common properties of distributions | |
// that can be implemented in terms of other properties: | |
// variance OR standard deviation (see note below), | |
// hazard, cumulative hazard (chf), coefficient_of_variation. | |
// | |
// Note that while both variance and standard_deviation are provided | |
// here, each distribution MUST SPECIALIZE AT LEAST ONE OF THESE | |
// otherwise these two versions will just call each other over and over | |
// until stack space runs out ... | |
// Of course there may be more efficient means of implementing these | |
// that are specific to a particular distribution, but these generic | |
// versions give these properties "for free" with most distributions. | |
// | |
// In order to make use of this header, it must be included AT THE END | |
// of the distribution header, AFTER the distribution and its core | |
// property accessors have been defined: this is so that compilers | |
// that implement 2-phase lookup and early-type-checking of templates | |
// can find the definitions refered to herein. | |
// | |
#include <boost/type_traits/is_same.hpp> | |
#include <boost/static_assert.hpp> | |
#ifdef BOOST_MSVC | |
# pragma warning(push) | |
# pragma warning(disable: 4723) // potential divide by 0 | |
// Suppressing spurious warning in coefficient_of_variation | |
#endif | |
namespace boost{ namespace math{ | |
template <class Distribution> | |
typename Distribution::value_type variance(const Distribution& dist); | |
template <class Distribution> | |
inline typename Distribution::value_type standard_deviation(const Distribution& dist) | |
{ | |
BOOST_MATH_STD_USING // ADL of sqrt. | |
return sqrt(variance(dist)); | |
} | |
template <class Distribution> | |
inline typename Distribution::value_type variance(const Distribution& dist) | |
{ | |
typename Distribution::value_type result = standard_deviation(dist); | |
return result * result; | |
} | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type hazard(const Distribution& dist, const RealType& x) | |
{ // hazard function | |
// http://www.itl.nist.gov/div898/handbook/eda/section3/eda362.htm#HAZ | |
typedef typename Distribution::value_type value_type; | |
typedef typename Distribution::policy_type policy_type; | |
value_type p = cdf(complement(dist, x)); | |
value_type d = pdf(dist, x); | |
if(d > p * tools::max_value<value_type>()) | |
return policies::raise_overflow_error<value_type>( | |
"boost::math::hazard(const Distribution&, %1%)", 0, policy_type()); | |
if(d == 0) | |
{ | |
// This protects against 0/0, but is it the right thing to do? | |
return 0; | |
} | |
return d / p; | |
} | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type chf(const Distribution& dist, const RealType& x) | |
{ // cumulative hazard function. | |
// http://www.itl.nist.gov/div898/handbook/eda/section3/eda362.htm#HAZ | |
BOOST_MATH_STD_USING | |
return -log(cdf(complement(dist, x))); | |
} | |
template <class Distribution> | |
inline typename Distribution::value_type coefficient_of_variation(const Distribution& dist) | |
{ | |
typedef typename Distribution::value_type value_type; | |
typedef typename Distribution::policy_type policy_type; | |
using std::abs; | |
value_type m = mean(dist); | |
value_type d = standard_deviation(dist); | |
if((abs(m) < 1) && (d > abs(m) * tools::max_value<value_type>())) | |
{ // Checks too that m is not zero, | |
return policies::raise_overflow_error<value_type>("boost::math::coefficient_of_variation(const Distribution&, %1%)", 0, policy_type()); | |
} | |
return d / m; // so MSVC warning on zerodivide is spurious, and suppressed. | |
} | |
// | |
// Next follow overloads of some of the standard accessors with mixed | |
// argument types. We just use a typecast to forward on to the "real" | |
// implementation with all arguments of the same type: | |
// | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type pdf(const Distribution& dist, const RealType& x) | |
{ | |
typedef typename Distribution::value_type value_type; | |
return pdf(dist, static_cast<value_type>(x)); | |
} | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type cdf(const Distribution& dist, const RealType& x) | |
{ | |
typedef typename Distribution::value_type value_type; | |
return cdf(dist, static_cast<value_type>(x)); | |
} | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type quantile(const Distribution& dist, const RealType& x) | |
{ | |
typedef typename Distribution::value_type value_type; | |
return quantile(dist, static_cast<value_type>(x)); | |
} | |
/* | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type chf(const Distribution& dist, const RealType& x) | |
{ | |
typedef typename Distribution::value_type value_type; | |
return chf(dist, static_cast<value_type>(x)); | |
} | |
*/ | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type cdf(const complemented2_type<Distribution, RealType>& c) | |
{ | |
typedef typename Distribution::value_type value_type; | |
return cdf(complement(c.dist, static_cast<value_type>(c.param))); | |
} | |
template <class Distribution, class RealType> | |
inline typename Distribution::value_type quantile(const complemented2_type<Distribution, RealType>& c) | |
{ | |
typedef typename Distribution::value_type value_type; | |
return quantile(complement(c.dist, static_cast<value_type>(c.param))); | |
} | |
template <class Dist> | |
inline typename Dist::value_type median(const Dist& d) | |
{ // median - default definition for those distributions for which a | |
// simple closed form is not known, | |
// and for which a domain_error and/or NaN generating function is NOT defined. | |
typedef typename Dist::value_type value_type; | |
return quantile(d, static_cast<value_type>(0.5f)); | |
} | |
} // namespace math | |
} // namespace boost | |
#ifdef BOOST_MSVC | |
# pragma warning(pop) | |
#endif | |
#endif // BOOST_STATS_DERIVED_HPP |