123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156157158159160161162163164165166167168169170171172173174175176177178179180181182183184185186187188189190191192193194195196197198199200201202203204205206207208209210211212213214215216217218219220221222223224225226227228229230231232233234235236237238239240241242243244245246247248249250251252253254255256257258259260261262263264265266267268269270271272273274275276277278279280281282283284285286287288289290291292293294295296297298299300301302303304305306307308309310311312313314315316317318319320321322323324325326327328329330331332333334335336337338339340341342343344345346347348349350351352353354355356357358359360361362363364365366367368369370371372373374375376377378379380381382383384385386387388389390391392393394395396397398399400401402403404405406407408409410411412413414415416417418419420421422423424425426427428429430431432433434435436437438439440441442443444445446447448449450451452453454455456457458459460461462463464465466467468469470471472473474475476477478479480481482483484485486487488489490491492493494495496497498499500501502503504505506507508509510511512513514515516517518519520521522523524525526527528529530531532533534535536537538539540541542543544545546547548549550551552553554555556557558559560561562563564565566567568569570571572573574575576577578579580581582583584585586587588589590591592593594595596597598599600601602603604605606607608609610611612613614615616617618619620621622623624625626627628629630631632633634635636637638639640641642643644645646647648649650651652653654655656657658659660661662663664665666667668669670671672673674675676677678679680681682683684685686687688689690691692693694695696697698699700701702703704705706707708709710711712713714715716717718719 |
- // Copyright Benjamin Sobotta 2012
- // 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_SKEW_NORMAL_HPP
- #define BOOST_STATS_SKEW_NORMAL_HPP
- // http://en.wikipedia.org/wiki/Skew_normal_distribution
- // http://azzalini.stat.unipd.it/SN/
- // Also:
- // Azzalini, A. (1985). "A class of distributions which includes the normal ones".
- // Scand. J. Statist. 12: 171-178.
- #include <boost/math/distributions/fwd.hpp> // TODO add skew_normal distribution to fwd.hpp!
- #include <boost/math/special_functions/owens_t.hpp> // Owen's T function
- #include <boost/math/distributions/complement.hpp>
- #include <boost/math/distributions/normal.hpp>
- #include <boost/math/distributions/detail/common_error_handling.hpp>
- #include <boost/math/constants/constants.hpp>
- #include <boost/math/tools/tuple.hpp>
- #include <boost/math/tools/roots.hpp> // Newton-Raphson
- #include <boost/assert.hpp>
- #include <boost/math/distributions/detail/generic_mode.hpp> // pdf max finder.
- #include <utility>
- #include <algorithm> // std::lower_bound, std::distance
- namespace boost{ namespace math{
- namespace detail
- {
- template <class RealType, class Policy>
- inline bool check_skew_normal_shape(
- const char* function,
- RealType shape,
- RealType* result,
- const Policy& pol)
- {
- if(!(boost::math::isfinite)(shape))
- {
- *result =
- policies::raise_domain_error<RealType>(function,
- "Shape parameter is %1%, but must be finite!",
- shape, pol);
- return false;
- }
- return true;
- }
- } // namespace detail
- template <class RealType = double, class Policy = policies::policy<> >
- class skew_normal_distribution
- {
- public:
- typedef RealType value_type;
- typedef Policy policy_type;
- skew_normal_distribution(RealType l_location = 0, RealType l_scale = 1, RealType l_shape = 0)
- : location_(l_location), scale_(l_scale), shape_(l_shape)
- { // Default is a 'standard' normal distribution N01. (shape=0 results in the normal distribution with no skew)
- static const char* function = "boost::math::skew_normal_distribution<%1%>::skew_normal_distribution";
- RealType result;
- detail::check_scale(function, l_scale, &result, Policy());
- detail::check_location(function, l_location, &result, Policy());
- detail::check_skew_normal_shape(function, l_shape, &result, Policy());
- }
- RealType location()const
- {
- return location_;
- }
- RealType scale()const
- {
- return scale_;
- }
- RealType shape()const
- {
- return shape_;
- }
- private:
- //
- // Data members:
- //
- RealType location_; // distribution location.
- RealType scale_; // distribution scale.
- RealType shape_; // distribution shape.
- }; // class skew_normal_distribution
- typedef skew_normal_distribution<double> skew_normal;
- template <class RealType, class Policy>
- inline const std::pair<RealType, RealType> range(const skew_normal_distribution<RealType, Policy>& /*dist*/)
- { // Range of permissible values for random variable x.
- using boost::math::tools::max_value;
- return std::pair<RealType, RealType>(
- std::numeric_limits<RealType>::has_infinity ? -std::numeric_limits<RealType>::infinity() : -max_value<RealType>(),
- std::numeric_limits<RealType>::has_infinity ? std::numeric_limits<RealType>::infinity() : max_value<RealType>()); // - to + max value.
- }
- template <class RealType, class Policy>
- inline const std::pair<RealType, RealType> support(const skew_normal_distribution<RealType, Policy>& /*dist*/)
- { // Range of supported values for random variable x.
- // 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>(-max_value<RealType>(), max_value<RealType>()); // - to + max value.
- }
- template <class RealType, class Policy>
- inline RealType pdf(const skew_normal_distribution<RealType, Policy>& dist, const RealType& x)
- {
- const RealType scale = dist.scale();
- const RealType location = dist.location();
- const RealType shape = dist.shape();
- static const char* function = "boost::math::pdf(const skew_normal_distribution<%1%>&, %1%)";
- RealType result = 0;
- if(false == detail::check_scale(function, scale, &result, Policy()))
- {
- return result;
- }
- if(false == detail::check_location(function, location, &result, Policy()))
- {
- return result;
- }
- if(false == detail::check_skew_normal_shape(function, shape, &result, Policy()))
- {
- return result;
- }
- if((boost::math::isinf)(x))
- {
- return 0; // pdf + and - infinity is zero.
- }
- // Below produces MSVC 4127 warnings, so the above used instead.
- //if(std::numeric_limits<RealType>::has_infinity && abs(x) == std::numeric_limits<RealType>::infinity())
- //{ // pdf + and - infinity is zero.
- // return 0;
- //}
- if(false == detail::check_x(function, x, &result, Policy()))
- {
- return result;
- }
- const RealType transformed_x = (x-location)/scale;
- normal_distribution<RealType, Policy> std_normal;
- result = pdf(std_normal, transformed_x) * cdf(std_normal, shape*transformed_x) * 2 / scale;
- return result;
- } // pdf
- template <class RealType, class Policy>
- inline RealType cdf(const skew_normal_distribution<RealType, Policy>& dist, const RealType& x)
- {
- const RealType scale = dist.scale();
- const RealType location = dist.location();
- const RealType shape = dist.shape();
- static const char* function = "boost::math::cdf(const skew_normal_distribution<%1%>&, %1%)";
- RealType result = 0;
- if(false == detail::check_scale(function, scale, &result, Policy()))
- {
- return result;
- }
- if(false == detail::check_location(function, location, &result, Policy()))
- {
- return result;
- }
- if(false == detail::check_skew_normal_shape(function, shape, &result, Policy()))
- {
- return result;
- }
- if((boost::math::isinf)(x))
- {
- if(x < 0) return 0; // -infinity
- return 1; // + infinity
- }
- // These produce MSVC 4127 warnings, so the above used instead.
- //if(std::numeric_limits<RealType>::has_infinity && x == std::numeric_limits<RealType>::infinity())
- //{ // cdf +infinity is unity.
- // return 1;
- //}
- //if(std::numeric_limits<RealType>::has_infinity && x == -std::numeric_limits<RealType>::infinity())
- //{ // cdf -infinity is zero.
- // return 0;
- //}
- if(false == detail::check_x(function, x, &result, Policy()))
- {
- return result;
- }
- const RealType transformed_x = (x-location)/scale;
- normal_distribution<RealType, Policy> std_normal;
- result = cdf(std_normal, transformed_x) - owens_t(transformed_x, shape)*static_cast<RealType>(2);
- return result;
- } // cdf
- template <class RealType, class Policy>
- inline RealType cdf(const complemented2_type<skew_normal_distribution<RealType, Policy>, RealType>& c)
- {
- const RealType scale = c.dist.scale();
- const RealType location = c.dist.location();
- const RealType shape = c.dist.shape();
- const RealType x = c.param;
- static const char* function = "boost::math::cdf(const complement(skew_normal_distribution<%1%>&), %1%)";
- if((boost::math::isinf)(x))
- {
- if(x < 0) return 1; // cdf complement -infinity is unity.
- return 0; // cdf complement +infinity is zero
- }
- // These produce MSVC 4127 warnings, so the above used instead.
- //if(std::numeric_limits<RealType>::has_infinity && x == std::numeric_limits<RealType>::infinity())
- //{ // cdf complement +infinity is zero.
- // return 0;
- //}
- //if(std::numeric_limits<RealType>::has_infinity && x == -std::numeric_limits<RealType>::infinity())
- //{ // cdf complement -infinity is unity.
- // return 1;
- //}
- RealType result = 0;
- if(false == detail::check_scale(function, scale, &result, Policy()))
- return result;
- if(false == detail::check_location(function, location, &result, Policy()))
- return result;
- if(false == detail::check_skew_normal_shape(function, shape, &result, Policy()))
- return result;
- if(false == detail::check_x(function, x, &result, Policy()))
- return result;
- const RealType transformed_x = (x-location)/scale;
- normal_distribution<RealType, Policy> std_normal;
- result = cdf(complement(std_normal, transformed_x)) + owens_t(transformed_x, shape)*static_cast<RealType>(2);
- return result;
- } // cdf complement
- template <class RealType, class Policy>
- inline RealType location(const skew_normal_distribution<RealType, Policy>& dist)
- {
- return dist.location();
- }
- template <class RealType, class Policy>
- inline RealType scale(const skew_normal_distribution<RealType, Policy>& dist)
- {
- return dist.scale();
- }
- template <class RealType, class Policy>
- inline RealType shape(const skew_normal_distribution<RealType, Policy>& dist)
- {
- return dist.shape();
- }
- template <class RealType, class Policy>
- inline RealType mean(const skew_normal_distribution<RealType, Policy>& dist)
- {
- BOOST_MATH_STD_USING // for ADL of std functions
- using namespace boost::math::constants;
- //const RealType delta = dist.shape() / sqrt(static_cast<RealType>(1)+dist.shape()*dist.shape());
- //return dist.location() + dist.scale() * delta * root_two_div_pi<RealType>();
- return dist.location() + dist.scale() * dist.shape() / sqrt(pi<RealType>()+pi<RealType>()*dist.shape()*dist.shape()) * root_two<RealType>();
- }
- template <class RealType, class Policy>
- inline RealType variance(const skew_normal_distribution<RealType, Policy>& dist)
- {
- using namespace boost::math::constants;
- const RealType delta2 = dist.shape() != 0 ? static_cast<RealType>(1) / (static_cast<RealType>(1)+static_cast<RealType>(1)/(dist.shape()*dist.shape())) : static_cast<RealType>(0);
- //const RealType inv_delta2 = static_cast<RealType>(1)+static_cast<RealType>(1)/(dist.shape()*dist.shape());
- RealType variance = dist.scale()*dist.scale()*(static_cast<RealType>(1)-two_div_pi<RealType>()*delta2);
- //RealType variance = dist.scale()*dist.scale()*(static_cast<RealType>(1)-two_div_pi<RealType>()/inv_delta2);
- return variance;
- }
- namespace detail
- {
- /*
- TODO No closed expression for mode, so use max of pdf.
- */
-
- template <class RealType, class Policy>
- inline RealType mode_fallback(const skew_normal_distribution<RealType, Policy>& dist)
- { // mode.
- static const char* function = "mode(skew_normal_distribution<%1%> const&)";
- const RealType scale = dist.scale();
- const RealType location = dist.location();
- const RealType shape = dist.shape();
-
- RealType result;
- if(!detail::check_scale(
- function,
- scale, &result, Policy())
- ||
- !detail::check_skew_normal_shape(
- function,
- shape,
- &result,
- Policy()))
- return result;
- if( shape == 0 )
- {
- return location;
- }
- if( shape < 0 )
- {
- skew_normal_distribution<RealType, Policy> D(0, 1, -shape);
- result = mode_fallback(D);
- result = location-scale*result;
- return result;
- }
-
- BOOST_MATH_STD_USING
- // 21 elements
- static const RealType shapes[] = {
- 0.0,
- 1.000000000000000e-004,
- 2.069138081114790e-004,
- 4.281332398719396e-004,
- 8.858667904100824e-004,
- 1.832980710832436e-003,
- 3.792690190732250e-003,
- 7.847599703514606e-003,
- 1.623776739188722e-002,
- 3.359818286283781e-002,
- 6.951927961775606e-002,
- 1.438449888287663e-001,
- 2.976351441631319e-001,
- 6.158482110660261e-001,
- 1.274274985703135e+000,
- 2.636650898730361e+000,
- 5.455594781168514e+000,
- 1.128837891684688e+001,
- 2.335721469090121e+001,
- 4.832930238571753e+001,
- 1.000000000000000e+002};
- // 21 elements
- static const RealType guess[] = {
- 0.0,
- 5.000050000525391e-005,
- 1.500015000148736e-004,
- 3.500035000350010e-004,
- 7.500075000752560e-004,
- 1.450014500145258e-003,
- 3.050030500305390e-003,
- 6.250062500624765e-003,
- 1.295012950129504e-002,
- 2.675026750267495e-002,
- 5.525055250552491e-002,
- 1.132511325113255e-001,
- 2.249522495224952e-001,
- 3.992539925399257e-001,
- 5.353553535535358e-001,
- 4.954549545495457e-001,
- 3.524535245352451e-001,
- 2.182521825218249e-001,
- 1.256512565125654e-001,
- 6.945069450694508e-002,
- 3.735037350373460e-002
- };
- const RealType* result_ptr = std::lower_bound(shapes, shapes+21, shape);
- typedef typename std::iterator_traits<RealType*>::difference_type diff_type;
-
- const diff_type d = std::distance(shapes, result_ptr);
-
- BOOST_ASSERT(d > static_cast<diff_type>(0));
- // refine
- if(d < static_cast<diff_type>(21)) // shape smaller 100
- {
- result = guess[d-static_cast<diff_type>(1)]
- + (guess[d]-guess[d-static_cast<diff_type>(1)])/(shapes[d]-shapes[d-static_cast<diff_type>(1)])
- * (shape-shapes[d-static_cast<diff_type>(1)]);
- }
- else // shape greater 100
- {
- result = 1e-4;
- }
- skew_normal_distribution<RealType, Policy> helper(0, 1, shape);
-
- result = detail::generic_find_mode_01(helper, result, function);
-
- result = result*scale + location;
-
- return result;
- } // mode_fallback
-
-
- /*
- * TODO No closed expression for mode, so use f'(x) = 0
- */
- template <class RealType, class Policy>
- struct skew_normal_mode_functor
- {
- skew_normal_mode_functor(const boost::math::skew_normal_distribution<RealType, Policy> dist)
- : distribution(dist)
- {
- }
- boost::math::tuple<RealType, RealType> operator()(RealType const& x)
- {
- normal_distribution<RealType, Policy> std_normal;
- const RealType shape = distribution.shape();
- const RealType pdf_x = pdf(distribution, x);
- const RealType normpdf_x = pdf(std_normal, x);
- const RealType normpdf_ax = pdf(std_normal, x*shape);
- RealType fx = static_cast<RealType>(2)*shape*normpdf_ax*normpdf_x - x*pdf_x;
- RealType dx = static_cast<RealType>(2)*shape*x*normpdf_x*normpdf_ax*(static_cast<RealType>(1) + shape*shape) + pdf_x + x*fx;
- // return both function evaluation difference f(x) and 1st derivative f'(x).
- return boost::math::make_tuple(fx, -dx);
- }
- private:
- const boost::math::skew_normal_distribution<RealType, Policy> distribution;
- };
-
- } // namespace detail
-
- template <class RealType, class Policy>
- inline RealType mode(const skew_normal_distribution<RealType, Policy>& dist)
- {
- const RealType scale = dist.scale();
- const RealType location = dist.location();
- const RealType shape = dist.shape();
- static const char* function = "boost::math::mode(const skew_normal_distribution<%1%>&, %1%)";
- RealType result = 0;
- if(false == detail::check_scale(function, scale, &result, Policy()))
- return result;
- if(false == detail::check_location(function, location, &result, Policy()))
- return result;
- if(false == detail::check_skew_normal_shape(function, shape, &result, Policy()))
- return result;
- if( shape == 0 )
- {
- return location;
- }
- if( shape < 0 )
- {
- skew_normal_distribution<RealType, Policy> D(0, 1, -shape);
- result = mode(D);
- result = location-scale*result;
- return result;
- }
- // 21 elements
- static const RealType shapes[] = {
- 0.0,
- static_cast<RealType>(1.000000000000000e-004),
- static_cast<RealType>(2.069138081114790e-004),
- static_cast<RealType>(4.281332398719396e-004),
- static_cast<RealType>(8.858667904100824e-004),
- static_cast<RealType>(1.832980710832436e-003),
- static_cast<RealType>(3.792690190732250e-003),
- static_cast<RealType>(7.847599703514606e-003),
- static_cast<RealType>(1.623776739188722e-002),
- static_cast<RealType>(3.359818286283781e-002),
- static_cast<RealType>(6.951927961775606e-002),
- static_cast<RealType>(1.438449888287663e-001),
- static_cast<RealType>(2.976351441631319e-001),
- static_cast<RealType>(6.158482110660261e-001),
- static_cast<RealType>(1.274274985703135e+000),
- static_cast<RealType>(2.636650898730361e+000),
- static_cast<RealType>(5.455594781168514e+000),
- static_cast<RealType>(1.128837891684688e+001),
- static_cast<RealType>(2.335721469090121e+001),
- static_cast<RealType>(4.832930238571753e+001),
- static_cast<RealType>(1.000000000000000e+002)
- };
- // 21 elements
- static const RealType guess[] = {
- 0.0,
- static_cast<RealType>(5.000050000525391e-005),
- static_cast<RealType>(1.500015000148736e-004),
- static_cast<RealType>(3.500035000350010e-004),
- static_cast<RealType>(7.500075000752560e-004),
- static_cast<RealType>(1.450014500145258e-003),
- static_cast<RealType>(3.050030500305390e-003),
- static_cast<RealType>(6.250062500624765e-003),
- static_cast<RealType>(1.295012950129504e-002),
- static_cast<RealType>(2.675026750267495e-002),
- static_cast<RealType>(5.525055250552491e-002),
- static_cast<RealType>(1.132511325113255e-001),
- static_cast<RealType>(2.249522495224952e-001),
- static_cast<RealType>(3.992539925399257e-001),
- static_cast<RealType>(5.353553535535358e-001),
- static_cast<RealType>(4.954549545495457e-001),
- static_cast<RealType>(3.524535245352451e-001),
- static_cast<RealType>(2.182521825218249e-001),
- static_cast<RealType>(1.256512565125654e-001),
- static_cast<RealType>(6.945069450694508e-002),
- static_cast<RealType>(3.735037350373460e-002)
- };
- const RealType* result_ptr = std::lower_bound(shapes, shapes+21, shape);
- typedef typename std::iterator_traits<RealType*>::difference_type diff_type;
-
- const diff_type d = std::distance(shapes, result_ptr);
-
- BOOST_ASSERT(d > static_cast<diff_type>(0));
- // TODO: make the search bounds smarter, depending on the shape parameter
- RealType search_min = 0; // below zero was caught above
- RealType search_max = 0.55f; // will never go above 0.55
- // refine
- if(d < static_cast<diff_type>(21)) // shape smaller 100
- {
- // it is safe to assume that d > 0, because shape==0.0 is caught earlier
- result = guess[d-static_cast<diff_type>(1)]
- + (guess[d]-guess[d-static_cast<diff_type>(1)])/(shapes[d]-shapes[d-static_cast<diff_type>(1)])
- * (shape-shapes[d-static_cast<diff_type>(1)]);
- }
- else // shape greater 100
- {
- result = 1e-4f;
- search_max = guess[19]; // set 19 instead of 20 to have a safety margin because the table may not be exact @ shape=100
- }
-
- const int get_digits = policies::digits<RealType, Policy>();// get digits from policy,
- boost::uintmax_t m = policies::get_max_root_iterations<Policy>(); // and max iterations.
- skew_normal_distribution<RealType, Policy> helper(0, 1, shape);
- result = tools::newton_raphson_iterate(detail::skew_normal_mode_functor<RealType, Policy>(helper), result,
- search_min, search_max, get_digits, m);
-
- result = result*scale + location;
- return result;
- }
-
-
- template <class RealType, class Policy>
- inline RealType skewness(const skew_normal_distribution<RealType, Policy>& dist)
- {
- BOOST_MATH_STD_USING // for ADL of std functions
- using namespace boost::math::constants;
- static const RealType factor = four_minus_pi<RealType>()/static_cast<RealType>(2);
- const RealType delta = dist.shape() / sqrt(static_cast<RealType>(1)+dist.shape()*dist.shape());
- return factor * pow(root_two_div_pi<RealType>() * delta, 3) /
- pow(static_cast<RealType>(1)-two_div_pi<RealType>()*delta*delta, static_cast<RealType>(1.5));
- }
- template <class RealType, class Policy>
- inline RealType kurtosis(const skew_normal_distribution<RealType, Policy>& dist)
- {
- return kurtosis_excess(dist)+static_cast<RealType>(3);
- }
- template <class RealType, class Policy>
- inline RealType kurtosis_excess(const skew_normal_distribution<RealType, Policy>& dist)
- {
- using namespace boost::math::constants;
- static const RealType factor = pi_minus_three<RealType>()*static_cast<RealType>(2);
- const RealType delta2 = dist.shape() != 0 ? static_cast<RealType>(1) / (static_cast<RealType>(1)+static_cast<RealType>(1)/(dist.shape()*dist.shape())) : static_cast<RealType>(0);
- const RealType x = static_cast<RealType>(1)-two_div_pi<RealType>()*delta2;
- const RealType y = two_div_pi<RealType>() * delta2;
- return factor * y*y / (x*x);
- }
- namespace detail
- {
- template <class RealType, class Policy>
- struct skew_normal_quantile_functor
- {
- skew_normal_quantile_functor(const boost::math::skew_normal_distribution<RealType, Policy> dist, RealType const& p)
- : distribution(dist), prob(p)
- {
- }
- boost::math::tuple<RealType, RealType> operator()(RealType const& x)
- {
- RealType c = cdf(distribution, x);
- RealType fx = c - prob; // Difference cdf - value - to minimize.
- RealType dx = pdf(distribution, x); // pdf is 1st derivative.
- // return both function evaluation difference f(x) and 1st derivative f'(x).
- return boost::math::make_tuple(fx, dx);
- }
- private:
- const boost::math::skew_normal_distribution<RealType, Policy> distribution;
- RealType prob;
- };
- } // namespace detail
- template <class RealType, class Policy>
- inline RealType quantile(const skew_normal_distribution<RealType, Policy>& dist, const RealType& p)
- {
- const RealType scale = dist.scale();
- const RealType location = dist.location();
- const RealType shape = dist.shape();
- static const char* function = "boost::math::quantile(const skew_normal_distribution<%1%>&, %1%)";
- RealType result = 0;
- if(false == detail::check_scale(function, scale, &result, Policy()))
- return result;
- if(false == detail::check_location(function, location, &result, Policy()))
- return result;
- if(false == detail::check_skew_normal_shape(function, shape, &result, Policy()))
- return result;
- if(false == detail::check_probability(function, p, &result, Policy()))
- return result;
- // Compute initial guess via Cornish-Fisher expansion.
- RealType x = -boost::math::erfc_inv(2 * p, Policy()) * constants::root_two<RealType>();
- // Avoid unnecessary computations if there is no skew.
- if(shape != 0)
- {
- const RealType skew = skewness(dist);
- const RealType exk = kurtosis_excess(dist);
- x = x + (x*x-static_cast<RealType>(1))*skew/static_cast<RealType>(6)
- + x*(x*x-static_cast<RealType>(3))*exk/static_cast<RealType>(24)
- - x*(static_cast<RealType>(2)*x*x-static_cast<RealType>(5))*skew*skew/static_cast<RealType>(36);
- } // if(shape != 0)
- result = standard_deviation(dist)*x+mean(dist);
- // handle special case of non-skew normal distribution.
- if(shape == 0)
- return result;
- // refine the result by numerically searching the root of (p-cdf)
- const RealType search_min = range(dist).first;
- const RealType search_max = range(dist).second;
- const int get_digits = policies::digits<RealType, Policy>();// get digits from policy,
- boost::uintmax_t m = policies::get_max_root_iterations<Policy>(); // and max iterations.
- result = tools::newton_raphson_iterate(detail::skew_normal_quantile_functor<RealType, Policy>(dist, p), result,
- search_min, search_max, get_digits, m);
- return result;
- } // quantile
- template <class RealType, class Policy>
- inline RealType quantile(const complemented2_type<skew_normal_distribution<RealType, Policy>, RealType>& c)
- {
- const RealType scale = c.dist.scale();
- const RealType location = c.dist.location();
- const RealType shape = c.dist.shape();
- static const char* function = "boost::math::quantile(const complement(skew_normal_distribution<%1%>&), %1%)";
- RealType result = 0;
- if(false == detail::check_scale(function, scale, &result, Policy()))
- return result;
- if(false == detail::check_location(function, location, &result, Policy()))
- return result;
- if(false == detail::check_skew_normal_shape(function, shape, &result, Policy()))
- return result;
- RealType q = c.param;
- if(false == detail::check_probability(function, q, &result, Policy()))
- return result;
- skew_normal_distribution<RealType, Policy> D(-location, scale, -shape);
- result = -quantile(D, q);
- return result;
- } // quantile
- } // 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_STATS_SKEW_NORMAL_HPP
|