| // Copyright John Maddock 2006.
|
| // Use, modification and distribution are subject to the
|
| // Boost Software License, Version 1.0. (See accompanying file
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| // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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|
|
| #ifndef BOOST_STATS_EXPONENTIAL_HPP
|
| #define BOOST_STATS_EXPONENTIAL_HPP
|
|
|
| #include <boost/math/distributions/fwd.hpp>
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| #include <boost/math/constants/constants.hpp>
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| #include <boost/math/special_functions/log1p.hpp>
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| #include <boost/math/special_functions/expm1.hpp>
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| #include <boost/math/distributions/complement.hpp>
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| #include <boost/math/distributions/detail/common_error_handling.hpp>
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| #include <boost/config/no_tr1/cmath.hpp>
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|
|
| #ifdef BOOST_MSVC
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| # pragma warning(push)
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| # pragma warning(disable: 4702) // unreachable code (return after domain_error throw).
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| #endif
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|
|
| #include <utility>
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|
|
| namespace boost{ namespace math{
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|
|
| namespace detail{
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| //
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| // Error check:
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| //
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| template <class RealType, class Policy>
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| inline bool verify_lambda(const char* function, RealType l, RealType* presult, const Policy& pol)
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| {
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| if(l <= 0)
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| {
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| *presult = policies::raise_domain_error<RealType>(
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| function,
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| "The scale parameter \"lambda\" must be > 0, but was: %1%.", l, pol);
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| return false;
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| }
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| return true;
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| }
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|
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| template <class RealType, class Policy>
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| inline bool verify_exp_x(const char* function, RealType x, RealType* presult, const Policy& pol)
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| {
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| if(x < 0)
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| {
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| *presult = policies::raise_domain_error<RealType>(
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| function,
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| "The random variable must be >= 0, but was: %1%.", x, pol);
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| return false;
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| }
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| return true;
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| }
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|
|
| } // namespace detail
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|
|
| template <class RealType = double, class Policy = policies::policy<> >
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| class exponential_distribution
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| {
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| public:
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| typedef RealType value_type;
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| typedef Policy policy_type;
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|
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| exponential_distribution(RealType lambda = 1)
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| : m_lambda(lambda)
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| {
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| RealType err;
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| detail::verify_lambda("boost::math::exponential_distribution<%1%>::exponential_distribution", lambda, &err, Policy());
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| } // exponential_distribution
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|
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| RealType lambda()const { return m_lambda; }
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|
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| private:
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| RealType m_lambda;
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| };
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|
|
| typedef exponential_distribution<double> exponential;
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|
|
| template <class RealType, class Policy>
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| inline const std::pair<RealType, RealType> range(const exponential_distribution<RealType, Policy>& /*dist*/)
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| { // Range of permissible values for random variable x.
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| using boost::math::tools::max_value;
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| return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>());
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| }
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|
|
| template <class RealType, class Policy>
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| inline const std::pair<RealType, RealType> support(const exponential_distribution<RealType, Policy>& /*dist*/)
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| { // Range of supported values for random variable x.
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| // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
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| using boost::math::tools::max_value;
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| using boost::math::tools::min_value;
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| return std::pair<RealType, RealType>(min_value<RealType>(), max_value<RealType>());
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| // min_value<RealType>() to avoid a discontinuity at x = 0.
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| }
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|
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| template <class RealType, class Policy>
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| inline RealType pdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
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| {
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| BOOST_MATH_STD_USING // for ADL of std functions
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|
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| static const char* function = "boost::math::pdf(const exponential_distribution<%1%>&, %1%)";
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|
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| RealType lambda = dist.lambda();
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| RealType result;
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| if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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| return result;
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| if(0 == detail::verify_exp_x(function, x, &result, Policy()))
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| return result;
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| result = lambda * exp(-lambda * x);
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| return result;
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| } // pdf
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|
|
| template <class RealType, class Policy>
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| inline RealType cdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
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| {
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| BOOST_MATH_STD_USING // for ADL of std functions
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|
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| static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
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|
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| RealType result;
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| RealType lambda = dist.lambda();
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| if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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| return result;
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| if(0 == detail::verify_exp_x(function, x, &result, Policy()))
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| return result;
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| result = -boost::math::expm1(-x * lambda, Policy());
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|
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| return result;
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| } // cdf
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|
|
| template <class RealType, class Policy>
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| inline RealType quantile(const exponential_distribution<RealType, Policy>& dist, const RealType& p)
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| {
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| BOOST_MATH_STD_USING // for ADL of std functions
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|
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| static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
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|
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| RealType result;
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| RealType lambda = dist.lambda();
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| if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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| return result;
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| if(0 == detail::check_probability(function, p, &result, Policy()))
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| return result;
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|
|
| if(p == 0)
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| return 0;
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| if(p == 1)
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| return policies::raise_overflow_error<RealType>(function, 0, Policy());
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|
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| result = -boost::math::log1p(-p, Policy()) / lambda;
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| return result;
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| } // quantile
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|
|
| template <class RealType, class Policy>
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| inline RealType cdf(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
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| {
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| BOOST_MATH_STD_USING // for ADL of std functions
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|
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| static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
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|
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| RealType result;
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| RealType lambda = c.dist.lambda();
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| if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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| return result;
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| if(0 == detail::verify_exp_x(function, c.param, &result, Policy()))
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| return result;
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| result = exp(-c.param * lambda);
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|
|
| return result;
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| }
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|
|
| template <class RealType, class Policy>
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| inline RealType quantile(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
|
| {
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| BOOST_MATH_STD_USING // for ADL of std functions
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|
|
| static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
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|
|
| RealType result;
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| RealType lambda = c.dist.lambda();
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| if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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| return result;
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|
|
| RealType q = c.param;
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| if(0 == detail::check_probability(function, q, &result, Policy()))
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| return result;
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|
|
| if(q == 1)
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| return 0;
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| if(q == 0)
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| return policies::raise_overflow_error<RealType>(function, 0, Policy());
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|
|
| result = -log(q) / lambda;
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| return result;
|
| }
|
|
|
| template <class RealType, class Policy>
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| inline RealType mean(const exponential_distribution<RealType, Policy>& dist)
|
| {
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| RealType result;
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| RealType lambda = dist.lambda();
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| if(0 == detail::verify_lambda("boost::math::mean(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
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| return result;
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| return 1 / lambda;
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| }
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|
|
| template <class RealType, class Policy>
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| inline RealType standard_deviation(const exponential_distribution<RealType, Policy>& dist)
|
| {
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| RealType result;
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| RealType lambda = dist.lambda();
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| if(0 == detail::verify_lambda("boost::math::standard_deviation(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
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| return result;
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| return 1 / lambda;
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| }
|
|
|
| template <class RealType, class Policy>
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| inline RealType mode(const exponential_distribution<RealType, Policy>& /*dist*/)
|
| {
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| return 0;
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| }
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|
|
| template <class RealType, class Policy>
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| inline RealType median(const exponential_distribution<RealType, Policy>& dist)
|
| {
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| using boost::math::constants::ln_two;
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| return ln_two<RealType>() / dist.lambda(); // ln(2) / lambda
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| }
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|
|
| template <class RealType, class Policy>
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| inline RealType skewness(const exponential_distribution<RealType, Policy>& /*dist*/)
|
| {
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| return 2;
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| }
|
|
|
| template <class RealType, class Policy>
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| inline RealType kurtosis(const exponential_distribution<RealType, Policy>& /*dist*/)
|
| {
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| return 9;
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| }
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|
|
| template <class RealType, class Policy>
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| inline RealType kurtosis_excess(const exponential_distribution<RealType, Policy>& /*dist*/)
|
| {
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| return 6;
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| }
|
|
|
| } // namespace math
|
| } // namespace boost
|
|
|
| #ifdef BOOST_MSVC
|
| # pragma warning(pop)
|
| #endif
|
|
|
| // This include must be at the end, *after* the accessors
|
| // for this distribution have been defined, in order to
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| // keep compilers that support two-phase lookup happy.
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| #include <boost/math/distributions/detail/derived_accessors.hpp>
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|
|
| #endif // BOOST_STATS_EXPONENTIAL_HPP
|
