[Boost-commit] svn:boost r66751 - trunk/boost/math/distributions

Subject: [Boost-commit] svn:boost r66751 - trunk/boost/math/distributions
From: pbristow_at_[hidden]
Date: 2010-11-25 07:11:25

Author: pbristow
Date: 2010-11-25 07:11:19 EST (Thu, 25 Nov 2010)
New Revision: 66751
URL: http://svn.boost.org/trac/boost/changeset/66751

Log:
Removed inverse_normal
Removed:
   trunk/boost/math/distributions/inverse_normal.hpp

Deleted: trunk/boost/math/distributions/inverse_normal.hpp
==============================================================================
--- trunk/boost/math/distributions/inverse_normal.hpp	2010-11-25 07:11:19 EST (Thu, 25 Nov 2010)
+++ (empty file)
@@ -1,361 +0,0 @@
-//  Copyright John Maddock 2010.
-//  Copyright Paul A. Bristow 2010.
-
-//  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_INVERSE_NORMAL_HPP
-#define BOOST_STATS_INVERSE_NORMAL_HPP
-
-// http://en.wikipedia.org/wiki/Normal-inverse_Gaussian_distribution
-// http://mathworld.wolfram.com/InverseGaussianDistribution.html
-
-// The normal-inverse Gaussian distribution (also called the Wald distribution when mean = 1)
-// is the continuous probability distribution
-// that is defined as the normal variance-mean mixture where the mixing density is the 
-// inverse Gaussian distribution. The tails of the distribution decrease more slowly
-// than the normal distribution. It is therefore suitable to model phenomena
-// where numerically large values are more probable than is the case for the normal distribution.
-
-// Examples are returns from financial assets and turbulent wind speeds. 
-// The normal-inverse Gaussian distributions form
-// a subclass of the generalised hyperbolic distributions.
-
-// See also
-
-// http://en.wikipedia.org/wiki/Normal_distribution
-// http://www.itl.nist.gov/div898/handbook/eda/section3/eda3661.htm
-// Also:
-// Weisstein, Eric W. "Normal Distribution."
-// From MathWorld--A Wolfram Web Resource.
-// http://mathworld.wolfram.com/NormalDistribution.html
-
-// http://www.jstatsoft.org/v26/i04/paper General class of inverse Gaussian distributions.
-// ig package - withdrawn but at http://cran.r-project.org/src/contrib/Archive/ig/
-
-// http://www.stat.ucl.ac.be/ISdidactique/Rhelp/library/SuppDists/html/invGauss.html
-// R package for dinvGauss, ...
-
-#include <boost/math/distributions/fwd.hpp>
-#include <boost/math/special_functions/erf.hpp> // for erf/erfc.
-#include <boost/math/distributions/complement.hpp>
-#include <boost/math/distributions/detail/common_error_handling.hpp>
-#include <boost/math/distributions/normal.hpp>
-
-#include <utility>
-
-namespace boost{ namespace math{
-
-template <class RealType = double, class Policy = policies::policy<> >
-class inverse_normal_distribution
-{
-public:
-   typedef RealType value_type;
-   typedef Policy policy_type;
-
-   inverse_normal_distribution(RealType mean = 1, RealType sd = 1)
-      : m_mean(mean), m_sd(sd)
-   { // Default is a 1,1 inverse_normal distribution.
-     static const char* function = "boost::math::inverse_normal_distribution<%1%>::inverse_normal_distribution";
-
-     RealType result;
-     detail::check_scale(function, sd, &result, Policy());
-     detail::check_location(function, mean, &result, Policy());
-   }
-
-   RealType mean()const
-   { // alias for location.
-      return m_mean; // aka mu
-   }
-
-   RealType standard_deviation()const
-   { // alias for scale.
-      return m_sd; // aka lambda.
-   }
-
-   // Synonyms, provided to allow generic use of find_location and find_scale.
-   RealType location()const
-   { // location, aka mu.
-      return m_mean;
-   }
-   RealType scale()const
-   { // scale, aka lambda.
-      return m_sd;
-   }
-
-private:
-   //
-   // Data members:
-   //
-   RealType m_mean;  // distribution mean or location, aka mu.
-   RealType m_sd;    // distribution standard deviation or scale, aka lambda.
-}; // class normal_distribution
-
-typedef inverse_normal_distribution<double> inverse_normal;
-
-template <class RealType, class Policy>
-inline const std::pair<RealType, RealType> range(const inverse_normal_distribution<RealType, Policy>& /*dist*/)
-{ // Range of permissible values for random variable x, zero to max.
-   using boost::math::tools::max_value;
-   return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); // - to + max value.
-}
-
-template <class RealType, class Policy>
-inline const std::pair<RealType, RealType> support(const inverse_normal_distribution<RealType, Policy>& /*dist*/)
-{ // Range of supported values for random variable x, zero to max.
-   // 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>()); // - to + max value.
-}
-
-template <class RealType, class Policy>
-inline RealType pdf(const inverse_normal_distribution<RealType, Policy>& dist, const RealType& x)
-{ // Probability Density Function
-   BOOST_MATH_STD_USING  // for ADL of std functions
-
-   RealType scale = dist.scale();
-   RealType mean = dist.mean();
-   RealType result;
-   static const char* function = "boost::math::pdf(const inverse_normal_distribution<%1%>&, %1%)";
-   if(false == detail::check_scale(function, scale, &result, Policy()))
-   {
-      return result;
-   }
-   if(false == detail::check_location(function, mean, &result, Policy()))
-   {
-      return result;
-   }
-   if(false == detail::check_x_gt0(function, x, &result, Policy()))
-   {
-      return numeric_limits<RealType>::quiet_NaN();
-   }
-
-   //result =
-   //  sqrt(scale / (2 * constants::pi<RealType>() * x * x * x))
-   // * exp(-scale * (x - mean) * (x - mean) / (2 * x * mean * mean));
-
-   result =
-     sqrt(scale / (constants::two_pi<RealType>() * x * x * x))
-    * exp(-scale * (x - mean) * (x - mean) / (2 * x * mean * mean));
-   return result;
-} // pdf
-
-template <class RealType, class Policy>
-inline RealType cdf(const inverse_normal_distribution<RealType, Policy>& dist, const RealType& x)
-{ // Cumulative Density Function.
-   BOOST_MATH_STD_USING  // for ADL of std functions
-
-   RealType scale = dist.scale();
-   RealType mean = dist.mean();
-   static const char* function = "boost::math::cdf(const inverse_normal_distribution<%1%>&, %1%)";
-   RealType result;
-   if(false == detail::check_scale(function, scale, &result, Policy()))
-   {
-      return result;
-   }
-   if(false == detail::check_location(function, mean, &result, Policy()))
-   {
-      return result;
-   }
-   if(false == detail::check_x_gt0(function, x, &result, Policy()))
-   {
-     return result;
-   }
-
-   //result = 0.5 * (erf(sqrt(scale / x) * (x / mean -1) / sqrt(2.L), Policy()) + 1)
-   //  + exp(2 * scale / mean) / 2 
-   //  * (1 - erf(sqrt(scale / x) * (x / mean +1) / sqrt(2.L), Policy()));
-
-   result = 0.5 * (erf(sqrt(scale / x) * (x / mean - 1) / constants::root_two<RealType>(), Policy()) + 1)
-     + exp(2 * scale / mean) / 2 
-     * (1 - erf(sqrt(scale / x) * (x / mean + 1) / constants::root_two<RealType>(), Policy()));
-
-   return result;
-} // cdf
-
-template <class RealType, class Policy>
-inline RealType quantile(const inverse_normal_distribution<RealType, Policy>& dist, const RealType& x)
-{
-   BOOST_MATH_STD_USING  // for ADL of std functions
-
-   RealType mean = dist.mean();
-   RealType scale = dist.scale();
-   static const char* function = "boost::math::quantile(const inverse_normal_distribution<%1%>&, %1%)";
-
-   RealType result;
-   if(false == detail::check_scale(function, scale, &result, Policy()))
-      return result;
-   if(false == detail::check_location(function, mean, &result, Policy()))
-      return result;
-   if(false == detail::check_probability(function, x, &result, Policy()))
-      return result;
-
-   cout << "x " << x << endl;
-   RealType a = sqrt(scale / x); // a scale = lambda/x
-   RealType b = x / mean; // b = x/mu
-
-   // pnorm q, mean, sd, lower.tail = true;
-
-  //double q=1.0-pnorm(+a*(b-1.0), 0, 1, true, false);
-  //double p=    pnorm(-a*(b+1.0), 0, 1, true, false);
-
-   //boost::math::normal_distribution<RealType> norm01;
-   using boost::math::normal;
-   normal norm01;
-
-   double qx = a * (b - 1.0);
-   RealType q = 1 - ((qx <= 0) ? 0 : cdf(norm01, qx));
-   cout << "a = " << a << ", b = " <<  b << ", qx = " << qx << ", pnorm= " << pnorm01(qx) << ", cdf= "  << cdf(norm01, qx) << " q = " << q << endl;
-
-   //cout << "1 - pnorm01(qx) " << 1.0 - pnorm01(qx) << endl;
-
-
-
-   RealType px =  -a * (b + 1.0);
-   RealType p =  pnorm01(px);
-   RealType cdfpx = (px <= 0) ? 0 : cdf(norm01, px);
-   cout << "-a*(b+1.0) == px = " << px <<", pnorm01(p) = " << p << ", cdfpx = " << cdfpx << endl;
-
-   if (p == 0)
-   {
-     result = q;
-   }
-   else
-   {
-     RealType r2 = 2 * scale / mean;
-     if (r2 >= numeric_limits<RealType>::max() )
-     {
-       result = numeric_limits<RealType>::quiet_NaN();
-     }
-     else
-     {
-       result = q - exp(r2) * p;
-     }
-   }
-   return result;
-} // quantile
-
-template <class RealType, class Policy>
-inline RealType cdf(const complemented2_type<inverse_normal_distribution<RealType, Policy>, RealType>& c)
-{
-   BOOST_MATH_STD_USING  // for ADL of std functions
-
-   RealType sd = c.dist.standard_deviation();
-   RealType mean = c.dist.mean();
-   RealType x = c.param;
-   static const char* function = "boost::math::cdf(const complement(inverse_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;
-   if(false == detail::check_scale(function, sd, &result, Policy()))
-      return result;
-   if(false == detail::check_location(function, mean, &result, Policy()))
-      return result;
-   if(false == detail::check_x(function, x, &result, Policy()))
-      return result;
-
-   RealType diff = (x - mean) / (sd * constants::root_two<RealType>());
-   result = boost::math::erfc(diff, Policy()) / 2;
-   return result;
-} // cdf complement
-
-template <class RealType, class Policy>
-inline RealType quantile(const complemented2_type<inverse_normal_distribution<RealType, Policy>, RealType>& c)
-{
-   BOOST_MATH_STD_USING  // for ADL of std functions
-
-   RealType sd = c.dist.standard_deviation();
-   RealType mean = c.dist.mean();
-   static const char* function = "boost::math::quantile(const complement(inverse_normal_distribution<%1%>&), %1%)";
-   RealType result;
-   if(false == detail::check_scale(function, sd, &result, Policy()))
-      return result;
-   if(false == detail::check_location(function, mean, &result, Policy()))
-      return result;
-   RealType q = c.param;
-   if(false == detail::check_probability(function, q, &result, Policy()))
-      return result;
-   result = boost::math::erfc_inv(2 * q, Policy());
-   result *= sd * constants::root_two<RealType>();
-   result += mean;
-   return result;
-} // quantile
-
-template <class RealType, class Policy>
-inline RealType mean(const inverse_normal_distribution<RealType, Policy>& dist)
-{
-   return dist.mean();
-}
-
-template <class RealType, class Policy>
-inline RealType standard_deviation(const inverse_normal_distribution<RealType, Policy>& dist)
-{
-  RealType scale = dist.scale();
-  RealType mean = dist.mean();
-  RealType result = sqrt(mean * mean * mean / scale)
-  return result;
-}
-
-template <class RealType, class Policy>
-inline RealType mode(const inverse_normal_distribution<RealType, Policy>& dist)
-{
-  RealType scale = dist.scale();
-  RealType  mean = dist.mean();
-  RealType result = mean * (sqrt(1 + (9 * mean * mean)/(4 * scale * scale)) 
-      - 3 * mean / (2 * scale));
-  return result;
-}
-
-template <class RealType, class Policy>
-inline RealType skewness(const inverse_normal_distribution<RealType, Policy>& /*dist*/)
-{
-   RealType scale = dist.scale();
-  RealType  mean = dist.mean();
-  RealType result = 3 * sqrt(mean/scale);
-  return result;
-}
-
-template <class RealType, class Policy>
-inline RealType kurtosis(const inverse_normal_distribution<RealType, Policy>& /*dist*/)
-{
-  RealType scale = dist.scale();
-  RealType  mean = dist.mean();
-  RealType result = 12 * mean / scale ;
-  return result;
-}
-
-template <class RealType, class Policy>
-inline RealType kurtosis_excess(const inverse_normal_distribution<RealType, Policy>& /*dist*/)
-{
-  RealType scale = dist.scale();
-  RealType  mean = dist.mean();
-  RealType result = 15 * mean / scale;
-  return result;
-}
-
-} // 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_INVERSE_NORMAL_HPP
-
-