| // boost\math\distributions\non_central_chi_squared.hpp
|
|
|
| // Copyright John Maddock 2008.
|
|
|
| // 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_MATH_SPECIAL_NON_CENTRAL_CHI_SQUARE_HPP
|
| #define BOOST_MATH_SPECIAL_NON_CENTRAL_CHI_SQUARE_HPP
|
|
|
| #include <boost/math/distributions/fwd.hpp>
|
| #include <boost/math/special_functions/gamma.hpp> // for incomplete gamma. gamma_q
|
| #include <boost/math/special_functions/bessel.hpp> // for cyl_bessel_i
|
| #include <boost/math/special_functions/round.hpp> // for iround
|
| #include <boost/math/distributions/complement.hpp> // complements
|
| #include <boost/math/distributions/chi_squared.hpp> // central distribution
|
| #include <boost/math/distributions/detail/common_error_handling.hpp> // error checks
|
| #include <boost/math/special_functions/fpclassify.hpp> // isnan.
|
| #include <boost/math/tools/roots.hpp> // for root finding.
|
| #include <boost/math/distributions/detail/generic_mode.hpp>
|
| #include <boost/math/distributions/detail/generic_quantile.hpp>
|
|
|
| namespace boost
|
| {
|
| namespace math
|
| {
|
|
|
| template <class RealType, class Policy>
|
| class non_central_chi_squared_distribution;
|
|
|
| namespace detail{
|
|
|
| template <class T, class Policy>
|
| T non_central_chi_square_q(T x, T f, T theta, const Policy& pol, T init_sum = 0)
|
| {
|
| //
|
| // Computes the complement of the Non-Central Chi-Square
|
| // Distribution CDF by summing a weighted sum of complements
|
| // of the central-distributions. The weighting factor is
|
| // a Poisson Distribution.
|
| //
|
| // This is an application of the technique described in:
|
| //
|
| // Computing discrete mixtures of continuous
|
| // distributions: noncentral chisquare, noncentral t
|
| // and the distribution of the square of the sample
|
| // multiple correlation coeficient.
|
| // D. Benton, K. Krishnamoorthy.
|
| // Computational Statistics & Data Analysis 43 (2003) 249 - 267
|
| //
|
| BOOST_MATH_STD_USING
|
|
|
| // Special case:
|
| if(x == 0)
|
| return 1;
|
|
|
| //
|
| // Initialize the variables we'll be using:
|
| //
|
| T lambda = theta / 2;
|
| T del = f / 2;
|
| T y = x / 2;
|
| boost::uintmax_t max_iter = policies::get_max_series_iterations<Policy>();
|
| T errtol = boost::math::policies::get_epsilon<T, Policy>();
|
| T sum = init_sum;
|
| //
|
| // k is the starting location for iteration, we'll
|
| // move both forwards and backwards from this point.
|
| // k is chosen as the peek of the Poisson weights, which
|
| // will occur *before* the largest term.
|
| //
|
| int k = iround(lambda, pol);
|
| // Forwards and backwards Poisson weights:
|
| T poisf = boost::math::gamma_p_derivative(1 + k, lambda, pol);
|
| T poisb = poisf * k / lambda;
|
| // Initial forwards central chi squared term:
|
| T gamf = boost::math::gamma_q(del + k, y, pol);
|
| // Forwards and backwards recursion terms on the central chi squared:
|
| T xtermf = boost::math::gamma_p_derivative(del + 1 + k, y, pol);
|
| T xtermb = xtermf * (del + k) / y;
|
| // Initial backwards central chi squared term:
|
| T gamb = gamf - xtermb;
|
|
|
| //
|
| // Forwards iteration first, this is the
|
| // stable direction for the gamma function
|
| // recurrences:
|
| //
|
| int i;
|
| for(i = k; static_cast<boost::uintmax_t>(i-k) < max_iter; ++i)
|
| {
|
| T term = poisf * gamf;
|
| sum += term;
|
| poisf *= lambda / (i + 1);
|
| gamf += xtermf;
|
| xtermf *= y / (del + i + 1);
|
| if(((sum == 0) || (fabs(term / sum) < errtol)) && (term >= poisf * gamf))
|
| break;
|
| }
|
| //Error check:
|
| if(static_cast<boost::uintmax_t>(i-k) >= max_iter)
|
| policies::raise_evaluation_error(
|
| "cdf(non_central_chi_squared_distribution<%1%>, %1%)",
|
| "Series did not converge, closest value was %1%", sum, pol);
|
| //
|
| // Now backwards iteration: the gamma
|
| // function recurrences are unstable in this
|
| // direction, we rely on the terms deminishing in size
|
| // faster than we introduce cancellation errors.
|
| // For this reason it's very important that we start
|
| // *before* the largest term so that backwards iteration
|
| // is strictly converging.
|
| //
|
| for(i = k - 1; i >= 0; --i)
|
| {
|
| T term = poisb * gamb;
|
| sum += term;
|
| poisb *= i / lambda;
|
| xtermb *= (del + i) / y;
|
| gamb -= xtermb;
|
| if((sum == 0) || (fabs(term / sum) < errtol))
|
| break;
|
| }
|
|
|
| return sum;
|
| }
|
|
|
| template <class T, class Policy>
|
| T non_central_chi_square_p_ding(T x, T f, T theta, const Policy& pol, T init_sum = 0)
|
| {
|
| //
|
| // This is an implementation of:
|
| //
|
| // Algorithm AS 275:
|
| // Computing the Non-Central #2 Distribution Function
|
| // Cherng G. Ding
|
| // Applied Statistics, Vol. 41, No. 2. (1992), pp. 478-482.
|
| //
|
| // This uses a stable forward iteration to sum the
|
| // CDF, unfortunately this can not be used for large
|
| // values of the non-centrality parameter because:
|
| // * The first term may underfow to zero.
|
| // * We may need an extra-ordinary number of terms
|
| // before we reach the first *significant* term.
|
| //
|
| BOOST_MATH_STD_USING
|
| // Special case:
|
| if(x == 0)
|
| return 0;
|
| T tk = boost::math::gamma_p_derivative(f/2 + 1, x/2, pol);
|
| T lambda = theta / 2;
|
| T vk = exp(-lambda);
|
| T uk = vk;
|
| T sum = init_sum + tk * vk;
|
| if(sum == 0)
|
| return sum;
|
|
|
| boost::uintmax_t max_iter = policies::get_max_series_iterations<Policy>();
|
| T errtol = boost::math::policies::get_epsilon<T, Policy>();
|
|
|
| int i;
|
| T lterm(0), term(0);
|
| for(i = 1; static_cast<boost::uintmax_t>(i) < max_iter; ++i)
|
| {
|
| tk = tk * x / (f + 2 * i);
|
| uk = uk * lambda / i;
|
| vk = vk + uk;
|
| lterm = term;
|
| term = vk * tk;
|
| sum += term;
|
| if((fabs(term / sum) < errtol) && (term <= lterm))
|
| break;
|
| }
|
| //Error check:
|
| if(static_cast<boost::uintmax_t>(i) >= max_iter)
|
| policies::raise_evaluation_error(
|
| "cdf(non_central_chi_squared_distribution<%1%>, %1%)",
|
| "Series did not converge, closest value was %1%", sum, pol);
|
| return sum;
|
| }
|
|
|
|
|
| template <class T, class Policy>
|
| T non_central_chi_square_p(T y, T n, T lambda, const Policy& pol, T init_sum)
|
| {
|
| //
|
| // This is taken more or less directly from:
|
| //
|
| // Computing discrete mixtures of continuous
|
| // distributions: noncentral chisquare, noncentral t
|
| // and the distribution of the square of the sample
|
| // multiple correlation coeficient.
|
| // D. Benton, K. Krishnamoorthy.
|
| // Computational Statistics & Data Analysis 43 (2003) 249 - 267
|
| //
|
| // We're summing a Poisson weighting term multiplied by
|
| // a central chi squared distribution.
|
| //
|
| BOOST_MATH_STD_USING
|
| // Special case:
|
| if(y == 0)
|
| return 0;
|
| boost::uintmax_t max_iter = policies::get_max_series_iterations<Policy>();
|
| T errtol = boost::math::policies::get_epsilon<T, Policy>();
|
| T errorf(0), errorb(0);
|
|
|
| T x = y / 2;
|
| T del = lambda / 2;
|
| //
|
| // Starting location for the iteration, we'll iterate
|
| // both forwards and backwards from this point. The
|
| // location chosen is the maximum of the Poisson weight
|
| // function, which ocurrs *after* the largest term in the
|
| // sum.
|
| //
|
| int k = iround(del, pol);
|
| T a = n / 2 + k;
|
| // Central chi squared term for forward iteration:
|
| T gamkf = boost::math::gamma_p(a, x, pol);
|
|
|
| if(lambda == 0)
|
| return gamkf;
|
| // Central chi squared term for backward iteration:
|
| T gamkb = gamkf;
|
| // Forwards Poisson weight:
|
| T poiskf = gamma_p_derivative(k+1, del, pol);
|
| // Backwards Poisson weight:
|
| T poiskb = poiskf;
|
| // Forwards gamma function recursion term:
|
| T xtermf = boost::math::gamma_p_derivative(a, x, pol);
|
| // Backwards gamma function recursion term:
|
| T xtermb = xtermf * x / a;
|
| T sum = init_sum + poiskf * gamkf;
|
| if(sum == 0)
|
| return sum;
|
| int i = 1;
|
| //
|
| // Backwards recursion first, this is the stable
|
| // direction for gamma function recurrences:
|
| //
|
| while(i <= k)
|
| {
|
| xtermb *= (a - i + 1) / x;
|
| gamkb += xtermb;
|
| poiskb = poiskb * (k - i + 1) / del;
|
| errorf = errorb;
|
| errorb = gamkb * poiskb;
|
| sum += errorb;
|
| if((fabs(errorb / sum) < errtol) && (errorb <= errorf))
|
| break;
|
| ++i;
|
| }
|
| i = 1;
|
| //
|
| // Now forwards recursion, the gamma function
|
| // recurrence relation is unstable in this direction,
|
| // so we rely on the magnitude of successive terms
|
| // decreasing faster than we introduce cancellation error.
|
| // For this reason it's vital that k is chosen to be *after*
|
| // the largest term, so that successive forward iterations
|
| // are strictly (and rapidly) converging.
|
| //
|
| do
|
| {
|
| xtermf = xtermf * x / (a + i - 1);
|
| gamkf = gamkf - xtermf;
|
| poiskf = poiskf * del / (k + i);
|
| errorf = poiskf * gamkf;
|
| sum += errorf;
|
| ++i;
|
| }while((fabs(errorf / sum) > errtol) && (static_cast<boost::uintmax_t>(i) < max_iter));
|
|
|
| //Error check:
|
| if(static_cast<boost::uintmax_t>(i) >= max_iter)
|
| policies::raise_evaluation_error(
|
| "cdf(non_central_chi_squared_distribution<%1%>, %1%)",
|
| "Series did not converge, closest value was %1%", sum, pol);
|
|
|
| return sum;
|
| }
|
|
|
| template <class T, class Policy>
|
| T non_central_chi_square_pdf(T x, T n, T lambda, const Policy& pol)
|
| {
|
| //
|
| // As above but for the PDF:
|
| //
|
| BOOST_MATH_STD_USING
|
| boost::uintmax_t max_iter = policies::get_max_series_iterations<Policy>();
|
| T errtol = boost::math::policies::get_epsilon<T, Policy>();
|
| T x2 = x / 2;
|
| T n2 = n / 2;
|
| T l2 = lambda / 2;
|
| T sum = 0;
|
| int k = itrunc(l2);
|
| T pois = gamma_p_derivative(k + 1, l2, pol) * gamma_p_derivative(n2 + k, x2);
|
| if(pois == 0)
|
| return 0;
|
| T poisb = pois;
|
| for(int i = k; ; ++i)
|
| {
|
| sum += pois;
|
| if(pois / sum < errtol)
|
| break;
|
| if(static_cast<boost::uintmax_t>(i - k) >= max_iter)
|
| return policies::raise_evaluation_error(
|
| "pdf(non_central_chi_squared_distribution<%1%>, %1%)",
|
| "Series did not converge, closest value was %1%", sum, pol);
|
| pois *= l2 * x2 / ((i + 1) * (n2 + i));
|
| }
|
| for(int i = k - 1; i >= 0; --i)
|
| {
|
| poisb *= (i + 1) * (n2 + i) / (l2 * x2);
|
| sum += poisb;
|
| if(poisb / sum < errtol)
|
| break;
|
| }
|
| return sum / 2;
|
| }
|
|
|
| template <class RealType, class Policy>
|
| inline RealType non_central_chi_squared_cdf(RealType x, RealType k, RealType l, bool invert, const Policy&)
|
| {
|
| typedef typename policies::evaluation<RealType, Policy>::type value_type;
|
| typedef typename policies::normalise<
|
| Policy,
|
| policies::promote_float<false>,
|
| policies::promote_double<false>,
|
| policies::discrete_quantile<>,
|
| policies::assert_undefined<> >::type forwarding_policy;
|
|
|
| BOOST_MATH_STD_USING
|
| value_type result;
|
| if(l == 0)
|
| result = cdf(boost::math::chi_squared_distribution<RealType, Policy>(k), x);
|
| else if(x > k + l)
|
| {
|
| // Complement is the smaller of the two:
|
| result = detail::non_central_chi_square_q(
|
| static_cast<value_type>(x),
|
| static_cast<value_type>(k),
|
| static_cast<value_type>(l),
|
| forwarding_policy(),
|
| static_cast<value_type>(invert ? 0 : -1));
|
| invert = !invert;
|
| }
|
| else if(l < 200)
|
| {
|
| // For small values of the non-centrality parameter
|
| // we can use Ding's method:
|
| result = detail::non_central_chi_square_p_ding(
|
| static_cast<value_type>(x),
|
| static_cast<value_type>(k),
|
| static_cast<value_type>(l),
|
| forwarding_policy(),
|
| static_cast<value_type>(invert ? -1 : 0));
|
| }
|
| else
|
| {
|
| // For largers values of the non-centrality
|
| // parameter Ding's method will consume an
|
| // extra-ordinary number of terms, and worse
|
| // may return zero when the result is in fact
|
| // finite, use Krishnamoorthy's method instead:
|
| result = detail::non_central_chi_square_p(
|
| static_cast<value_type>(x),
|
| static_cast<value_type>(k),
|
| static_cast<value_type>(l),
|
| forwarding_policy(),
|
| static_cast<value_type>(invert ? -1 : 0));
|
| }
|
| if(invert)
|
| result = -result;
|
| return policies::checked_narrowing_cast<RealType, forwarding_policy>(
|
| result,
|
| "boost::math::non_central_chi_squared_cdf<%1%>(%1%, %1%, %1%)");
|
| }
|
|
|
| template <class T, class Policy>
|
| struct nccs_quantile_functor
|
| {
|
| nccs_quantile_functor(const non_central_chi_squared_distribution<T,Policy>& d, T t, bool c)
|
| : dist(d), target(t), comp(c) {}
|
|
|
| T operator()(const T& x)
|
| {
|
| return comp ?
|
| target - cdf(complement(dist, x))
|
| : cdf(dist, x) - target;
|
| }
|
|
|
| private:
|
| non_central_chi_squared_distribution<T,Policy> dist;
|
| T target;
|
| bool comp;
|
| };
|
|
|
| template <class RealType, class Policy>
|
| RealType nccs_quantile(const non_central_chi_squared_distribution<RealType, Policy>& dist, const RealType& p, bool comp)
|
| {
|
| static const char* function = "quantile(non_central_chi_squared_distribution<%1%>, %1%)";
|
| typedef typename policies::evaluation<RealType, Policy>::type value_type;
|
| typedef typename policies::normalise<
|
| Policy,
|
| policies::promote_float<false>,
|
| policies::promote_double<false>,
|
| policies::discrete_quantile<>,
|
| policies::assert_undefined<> >::type forwarding_policy;
|
|
|
| value_type k = dist.degrees_of_freedom();
|
| value_type l = dist.non_centrality();
|
| value_type r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy())
|
| ||
|
| !detail::check_probability(
|
| function,
|
| static_cast<value_type>(p),
|
| &r,
|
| Policy()))
|
| return (RealType)r;
|
|
|
| value_type b = (l * l) / (k + 3 * l);
|
| value_type c = (k + 3 * l) / (k + 2 * l);
|
| value_type ff = (k + 2 * l) / (c * c);
|
| value_type guess;
|
| if(comp)
|
| guess = b + c * quantile(complement(chi_squared_distribution<value_type, forwarding_policy>(ff), p));
|
| else
|
| guess = b + c * quantile(chi_squared_distribution<value_type, forwarding_policy>(ff), p);
|
|
|
| if(guess < 0)
|
| guess = tools::min_value<value_type>();
|
|
|
| value_type result = detail::generic_quantile(
|
| non_central_chi_squared_distribution<value_type, forwarding_policy>(k, l),
|
| p,
|
| guess,
|
| comp,
|
| function);
|
| return policies::checked_narrowing_cast<RealType, forwarding_policy>(
|
| result,
|
| function);
|
| }
|
|
|
| template <class RealType, class Policy>
|
| RealType nccs_pdf(const non_central_chi_squared_distribution<RealType, Policy>& dist, const RealType& x)
|
| {
|
| BOOST_MATH_STD_USING
|
| static const char* function = "pdf(non_central_chi_squared_distribution<%1%>, %1%)";
|
| typedef typename policies::evaluation<RealType, Policy>::type value_type;
|
| typedef typename policies::normalise<
|
| Policy,
|
| policies::promote_float<false>,
|
| policies::promote_double<false>,
|
| policies::discrete_quantile<>,
|
| policies::assert_undefined<> >::type forwarding_policy;
|
|
|
| value_type k = dist.degrees_of_freedom();
|
| value_type l = dist.non_centrality();
|
| value_type r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy())
|
| ||
|
| !detail::check_positive_x(
|
| function,
|
| (value_type)x,
|
| &r,
|
| Policy()))
|
| return (RealType)r;
|
|
|
| if(l == 0)
|
| return pdf(boost::math::chi_squared_distribution<RealType, forwarding_policy>(dist.degrees_of_freedom()), x);
|
|
|
| // Special case:
|
| if(x == 0)
|
| return 0;
|
| if(l > 50)
|
| {
|
| r = non_central_chi_square_pdf(static_cast<value_type>(x), k, l, forwarding_policy());
|
| }
|
| else
|
| {
|
| r = log(x / l) * (k / 4 - 0.5f) - (x + l) / 2;
|
| if(fabs(r) >= tools::log_max_value<RealType>() / 4)
|
| {
|
| r = non_central_chi_square_pdf(static_cast<value_type>(x), k, l, forwarding_policy());
|
| }
|
| else
|
| {
|
| r = exp(r);
|
| r = 0.5f * r
|
| * boost::math::cyl_bessel_i(k/2 - 1, sqrt(l * x), forwarding_policy());
|
| }
|
| }
|
| return policies::checked_narrowing_cast<RealType, forwarding_policy>(
|
| r,
|
| function);
|
| }
|
|
|
| template <class RealType, class Policy>
|
| struct degrees_of_freedom_finder
|
| {
|
| degrees_of_freedom_finder(
|
| RealType lam_, RealType x_, RealType p_, bool c)
|
| : lam(lam_), x(x_), p(p_), comp(c) {}
|
|
|
| RealType operator()(const RealType& v)
|
| {
|
| non_central_chi_squared_distribution<RealType, Policy> d(v, lam);
|
| return comp ?
|
| p - cdf(complement(d, x))
|
| : cdf(d, x) - p;
|
| }
|
| private:
|
| RealType lam;
|
| RealType x;
|
| RealType p;
|
| bool comp;
|
| };
|
|
|
| template <class RealType, class Policy>
|
| inline RealType find_degrees_of_freedom(
|
| RealType lam, RealType x, RealType p, RealType q, const Policy& pol)
|
| {
|
| const char* function = "non_central_chi_squared<%1%>::find_degrees_of_freedom";
|
| if((p == 0) || (q == 0))
|
| {
|
| //
|
| // Can't a thing if one of p and q is zero:
|
| //
|
| return policies::raise_evaluation_error<RealType>(function,
|
| "Can't find degrees of freedom when the probability is 0 or 1, only possible answer is %1%",
|
| RealType(std::numeric_limits<RealType>::quiet_NaN()), Policy());
|
| }
|
| degrees_of_freedom_finder<RealType, Policy> f(lam, x, p < q ? p : q, p < q ? false : true);
|
| tools::eps_tolerance<RealType> tol(policies::digits<RealType, Policy>());
|
| boost::uintmax_t max_iter = policies::get_max_root_iterations<Policy>();
|
| //
|
| // Pick an initial guess that we know will give us a probability
|
| // right around 0.5.
|
| //
|
| RealType guess = x - lam;
|
| if(guess < 1)
|
| guess = 1;
|
| std::pair<RealType, RealType> ir = tools::bracket_and_solve_root(
|
| f, guess, RealType(2), false, tol, max_iter, pol);
|
| RealType result = ir.first + (ir.second - ir.first) / 2;
|
| if(max_iter >= policies::get_max_root_iterations<Policy>())
|
| {
|
| policies::raise_evaluation_error<RealType>(function, "Unable to locate solution in a reasonable time:"
|
| " or there is no answer to problem. Current best guess is %1%", result, Policy());
|
| }
|
| return result;
|
| }
|
|
|
| template <class RealType, class Policy>
|
| struct non_centrality_finder
|
| {
|
| non_centrality_finder(
|
| RealType v_, RealType x_, RealType p_, bool c)
|
| : v(v_), x(x_), p(p_), comp(c) {}
|
|
|
| RealType operator()(const RealType& lam)
|
| {
|
| non_central_chi_squared_distribution<RealType, Policy> d(v, lam);
|
| return comp ?
|
| p - cdf(complement(d, x))
|
| : cdf(d, x) - p;
|
| }
|
| private:
|
| RealType v;
|
| RealType x;
|
| RealType p;
|
| bool comp;
|
| };
|
|
|
| template <class RealType, class Policy>
|
| inline RealType find_non_centrality(
|
| RealType v, RealType x, RealType p, RealType q, const Policy& pol)
|
| {
|
| const char* function = "non_central_chi_squared<%1%>::find_non_centrality";
|
| if((p == 0) || (q == 0))
|
| {
|
| //
|
| // Can't do a thing if one of p and q is zero:
|
| //
|
| return policies::raise_evaluation_error<RealType>(function,
|
| "Can't find non centrality parameter when the probability is 0 or 1, only possible answer is %1%",
|
| RealType(std::numeric_limits<RealType>::quiet_NaN()), Policy());
|
| }
|
| non_centrality_finder<RealType, Policy> f(v, x, p < q ? p : q, p < q ? false : true);
|
| tools::eps_tolerance<RealType> tol(policies::digits<RealType, Policy>());
|
| boost::uintmax_t max_iter = policies::get_max_root_iterations<Policy>();
|
| //
|
| // Pick an initial guess that we know will give us a probability
|
| // right around 0.5.
|
| //
|
| RealType guess = x - v;
|
| if(guess < 1)
|
| guess = 1;
|
| std::pair<RealType, RealType> ir = tools::bracket_and_solve_root(
|
| f, guess, RealType(2), false, tol, max_iter, pol);
|
| RealType result = ir.first + (ir.second - ir.first) / 2;
|
| if(max_iter >= policies::get_max_root_iterations<Policy>())
|
| {
|
| policies::raise_evaluation_error<RealType>(function, "Unable to locate solution in a reasonable time:"
|
| " or there is no answer to problem. Current best guess is %1%", result, Policy());
|
| }
|
| return result;
|
| }
|
|
|
| }
|
|
|
| template <class RealType = double, class Policy = policies::policy<> >
|
| class non_central_chi_squared_distribution
|
| {
|
| public:
|
| typedef RealType value_type;
|
| typedef Policy policy_type;
|
|
|
| non_central_chi_squared_distribution(RealType df_, RealType lambda) : df(df_), ncp(lambda)
|
| {
|
| const char* function = "boost::math::non_central_chi_squared_distribution<%1%>::non_central_chi_squared_distribution(%1%,%1%)";
|
| RealType r;
|
| detail::check_df(
|
| function,
|
| df, &r, Policy());
|
| detail::check_non_centrality(
|
| function,
|
| ncp,
|
| &r,
|
| Policy());
|
| } // non_central_chi_squared_distribution constructor.
|
|
|
| RealType degrees_of_freedom() const
|
| { // Private data getter function.
|
| return df;
|
| }
|
| RealType non_centrality() const
|
| { // Private data getter function.
|
| return ncp;
|
| }
|
| static RealType find_degrees_of_freedom(RealType lam, RealType x, RealType p)
|
| {
|
| const char* function = "non_central_chi_squared<%1%>::find_degrees_of_freedom";
|
| typedef typename policies::evaluation<RealType, Policy>::type value_type;
|
| typedef typename policies::normalise<
|
| Policy,
|
| policies::promote_float<false>,
|
| policies::promote_double<false>,
|
| policies::discrete_quantile<>,
|
| policies::assert_undefined<> >::type forwarding_policy;
|
| value_type result = detail::find_degrees_of_freedom(
|
| static_cast<value_type>(lam),
|
| static_cast<value_type>(x),
|
| static_cast<value_type>(p),
|
| static_cast<value_type>(1-p),
|
| forwarding_policy());
|
| return policies::checked_narrowing_cast<RealType, forwarding_policy>(
|
| result,
|
| function);
|
| }
|
| template <class A, class B, class C>
|
| static RealType find_degrees_of_freedom(const complemented3_type<A,B,C>& c)
|
| {
|
| const char* function = "non_central_chi_squared<%1%>::find_degrees_of_freedom";
|
| typedef typename policies::evaluation<RealType, Policy>::type value_type;
|
| typedef typename policies::normalise<
|
| Policy,
|
| policies::promote_float<false>,
|
| policies::promote_double<false>,
|
| policies::discrete_quantile<>,
|
| policies::assert_undefined<> >::type forwarding_policy;
|
| value_type result = detail::find_degrees_of_freedom(
|
| static_cast<value_type>(c.dist),
|
| static_cast<value_type>(c.param1),
|
| static_cast<value_type>(1-c.param2),
|
| static_cast<value_type>(c.param2),
|
| forwarding_policy());
|
| return policies::checked_narrowing_cast<RealType, forwarding_policy>(
|
| result,
|
| function);
|
| }
|
| static RealType find_non_centrality(RealType v, RealType x, RealType p)
|
| {
|
| const char* function = "non_central_chi_squared<%1%>::find_non_centrality";
|
| typedef typename policies::evaluation<RealType, Policy>::type value_type;
|
| typedef typename policies::normalise<
|
| Policy,
|
| policies::promote_float<false>,
|
| policies::promote_double<false>,
|
| policies::discrete_quantile<>,
|
| policies::assert_undefined<> >::type forwarding_policy;
|
| value_type result = detail::find_non_centrality(
|
| static_cast<value_type>(v),
|
| static_cast<value_type>(x),
|
| static_cast<value_type>(p),
|
| static_cast<value_type>(1-p),
|
| forwarding_policy());
|
| return policies::checked_narrowing_cast<RealType, forwarding_policy>(
|
| result,
|
| function);
|
| }
|
| template <class A, class B, class C>
|
| static RealType find_non_centrality(const complemented3_type<A,B,C>& c)
|
| {
|
| const char* function = "non_central_chi_squared<%1%>::find_non_centrality";
|
| typedef typename policies::evaluation<RealType, Policy>::type value_type;
|
| typedef typename policies::normalise<
|
| Policy,
|
| policies::promote_float<false>,
|
| policies::promote_double<false>,
|
| policies::discrete_quantile<>,
|
| policies::assert_undefined<> >::type forwarding_policy;
|
| value_type result = detail::find_non_centrality(
|
| static_cast<value_type>(c.dist),
|
| static_cast<value_type>(c.param1),
|
| static_cast<value_type>(1-c.param2),
|
| static_cast<value_type>(c.param2),
|
| forwarding_policy());
|
| return policies::checked_narrowing_cast<RealType, forwarding_policy>(
|
| result,
|
| function);
|
| }
|
| private:
|
| // Data member, initialized by constructor.
|
| RealType df; // degrees of freedom.
|
| RealType ncp; // non-centrality parameter
|
| }; // template <class RealType, class Policy> class non_central_chi_squared_distribution
|
|
|
| typedef non_central_chi_squared_distribution<double> non_central_chi_squared; // Reserved name of type double.
|
|
|
| // Non-member functions to give properties of the distribution.
|
|
|
| template <class RealType, class Policy>
|
| inline const std::pair<RealType, RealType> range(const non_central_chi_squared_distribution<RealType, Policy>& /* dist */)
|
| { // Range of permissible values for random variable k.
|
| using boost::math::tools::max_value;
|
| return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); // Max integer?
|
| }
|
|
|
| template <class RealType, class Policy>
|
| inline const std::pair<RealType, RealType> support(const non_central_chi_squared_distribution<RealType, Policy>& /* dist */)
|
| { // Range of supported values for random variable k.
|
| // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
|
| using boost::math::tools::max_value;
|
| return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>());
|
| }
|
|
|
| template <class RealType, class Policy>
|
| inline RealType mean(const non_central_chi_squared_distribution<RealType, Policy>& dist)
|
| { // Mean of poisson distribution = lambda.
|
| const char* function = "boost::math::non_central_chi_squared_distribution<%1%>::mean()";
|
| RealType k = dist.degrees_of_freedom();
|
| RealType l = dist.non_centrality();
|
| RealType r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy()))
|
| return r;
|
| return k + l;
|
| } // mean
|
|
|
| template <class RealType, class Policy>
|
| inline RealType mode(const non_central_chi_squared_distribution<RealType, Policy>& dist)
|
| { // mode.
|
| static const char* function = "mode(non_central_chi_squared_distribution<%1%> const&)";
|
|
|
| RealType k = dist.degrees_of_freedom();
|
| RealType l = dist.non_centrality();
|
| RealType r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy()))
|
| return (RealType)r;
|
| return detail::generic_find_mode(dist, 1 + k, function);
|
| }
|
|
|
| template <class RealType, class Policy>
|
| inline RealType variance(const non_central_chi_squared_distribution<RealType, Policy>& dist)
|
| { // variance.
|
| const char* function = "boost::math::non_central_chi_squared_distribution<%1%>::variance()";
|
| RealType k = dist.degrees_of_freedom();
|
| RealType l = dist.non_centrality();
|
| RealType r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy()))
|
| return r;
|
| return 2 * (2 * l + k);
|
| }
|
|
|
| // RealType standard_deviation(const non_central_chi_squared_distribution<RealType, Policy>& dist)
|
| // standard_deviation provided by derived accessors.
|
|
|
| template <class RealType, class Policy>
|
| inline RealType skewness(const non_central_chi_squared_distribution<RealType, Policy>& dist)
|
| { // skewness = sqrt(l).
|
| const char* function = "boost::math::non_central_chi_squared_distribution<%1%>::skewness()";
|
| RealType k = dist.degrees_of_freedom();
|
| RealType l = dist.non_centrality();
|
| RealType r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy()))
|
| return r;
|
| BOOST_MATH_STD_USING
|
| return pow(2 / (k + 2 * l), RealType(3)/2) * (k + 3 * l);
|
| }
|
|
|
| template <class RealType, class Policy>
|
| inline RealType kurtosis_excess(const non_central_chi_squared_distribution<RealType, Policy>& dist)
|
| {
|
| const char* function = "boost::math::non_central_chi_squared_distribution<%1%>::kurtosis_excess()";
|
| RealType k = dist.degrees_of_freedom();
|
| RealType l = dist.non_centrality();
|
| RealType r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy()))
|
| return r;
|
| return 12 * (k + 4 * l) / ((k + 2 * l) * (k + 2 * l));
|
| } // kurtosis_excess
|
|
|
| template <class RealType, class Policy>
|
| inline RealType kurtosis(const non_central_chi_squared_distribution<RealType, Policy>& dist)
|
| {
|
| return kurtosis_excess(dist) + 3;
|
| }
|
|
|
| template <class RealType, class Policy>
|
| inline RealType pdf(const non_central_chi_squared_distribution<RealType, Policy>& dist, const RealType& x)
|
| { // Probability Density/Mass Function.
|
| return detail::nccs_pdf(dist, x);
|
| } // pdf
|
|
|
| template <class RealType, class Policy>
|
| RealType cdf(const non_central_chi_squared_distribution<RealType, Policy>& dist, const RealType& x)
|
| {
|
| const char* function = "boost::math::non_central_chi_squared_distribution<%1%>::cdf(%1%)";
|
| RealType k = dist.degrees_of_freedom();
|
| RealType l = dist.non_centrality();
|
| RealType r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy())
|
| ||
|
| !detail::check_positive_x(
|
| function,
|
| x,
|
| &r,
|
| Policy()))
|
| return r;
|
|
|
| return detail::non_central_chi_squared_cdf(x, k, l, false, Policy());
|
| } // cdf
|
|
|
| template <class RealType, class Policy>
|
| RealType cdf(const complemented2_type<non_central_chi_squared_distribution<RealType, Policy>, RealType>& c)
|
| { // Complemented Cumulative Distribution Function
|
| const char* function = "boost::math::non_central_chi_squared_distribution<%1%>::cdf(%1%)";
|
| non_central_chi_squared_distribution<RealType, Policy> const& dist = c.dist;
|
| RealType x = c.param;
|
| RealType k = dist.degrees_of_freedom();
|
| RealType l = dist.non_centrality();
|
| RealType r;
|
| if(!detail::check_df(
|
| function,
|
| k, &r, Policy())
|
| ||
|
| !detail::check_non_centrality(
|
| function,
|
| l,
|
| &r,
|
| Policy())
|
| ||
|
| !detail::check_positive_x(
|
| function,
|
| x,
|
| &r,
|
| Policy()))
|
| return r;
|
|
|
| return detail::non_central_chi_squared_cdf(x, k, l, true, Policy());
|
| } // ccdf
|
|
|
| template <class RealType, class Policy>
|
| inline RealType quantile(const non_central_chi_squared_distribution<RealType, Policy>& dist, const RealType& p)
|
| { // Quantile (or Percent Point) function.
|
| return detail::nccs_quantile(dist, p, false);
|
| } // quantile
|
|
|
| template <class RealType, class Policy>
|
| inline RealType quantile(const complemented2_type<non_central_chi_squared_distribution<RealType, Policy>, RealType>& c)
|
| { // Quantile (or Percent Point) function.
|
| return detail::nccs_quantile(c.dist, c.param, true);
|
| } // quantile complement.
|
|
|
| } // namespace math
|
| } // namespace boost
|
|
|
| // This include must be at the end, *after* the accessors
|
| // for this distribution have been defined, in order to
|
| // keep compilers that support two-phase lookup happy.
|
| #include <boost/math/distributions/detail/derived_accessors.hpp>
|
|
|
| #endif // BOOST_MATH_SPECIAL_NON_CENTRAL_CHI_SQUARE_HPP
|
|
|
|
|
|
|
