diff --git a/doc/distributions/beta.qbk b/doc/distributions/beta.qbk index 3e1af3a6c..29dcbb307 100644 --- a/doc/distributions/beta.qbk +++ b/doc/distributions/beta.qbk @@ -45,18 +45,6 @@ RealType probability); // probability cdf. }; - RealType mean(const beta_distribution& dist); - // Mean of beta distribution = a/(a+b). - RealType variance(const beta_distribution& dist); - // Variance of beta distribution = a * b / (a+b)^2 * (a + b + 1). - RealType mode(const beta_distribution& dist); - // Mode of beta distribution = (a-1) / (a + b + 2) - RealType skewness(const beta_distribution& dist); - // Skewness of beta distribution = 2 (b-a) sqrt(a+b+1)/(a+b+2) * sqrt(a * b) - RealType kurtosis(const beta_distribution& dist); - RealType kurtosis_excess(const beta_distribution& dist); - // See below. - }} // namespaces The class type `beta_distribution` represents a @@ -72,16 +60,6 @@ See also: [@http://documents.wolfram.com/calculationcenter/v2/Functions/ListsMatrices/Statistics/BetaDistribution.html beta distribution] and [@http://en.wikipedia.org/wiki/Bayesian_statistics Bayesian statistics]. -[h4 Member Functions] - - beta_distribution(RealType alpha, RealType beta); - -Constructor example: beta_distribution<> mybeta22(2., 5); - -constructs a double beta distribution with two unequal shape parameters, -whose pdf is shown in grey in the -[@http://en.wikipedia.org/wiki/Beta_distribution plot]. - The [@http://en.wikipedia.org/wiki/Probability_density_function probability density function PDF] for the [@http://en.wikipedia.org/wiki/Beta_distribution beta distribution] defined on the interval \[0,1\] is given by: @@ -90,14 +68,15 @@ f(x;[alpha],[beta]) = x[super[alpha] - 1] (1 - x)[super[beta] -1] / B([alpha], [ where B([alpha], [beta]) is the [@http://en.wikipedia.org/wiki/Beta_function beta function], -implemented in the Math Toolkit as __beta. Division by the beta function +implemented in this library as __beta. Division by the beta function ensures that the pdf is normalized to the range zero to unity. -[@http://en.wikipedia.org/wiki/Image:Beta_distribution_pdf.png Examples of pdf for various values of shape parameters are shown here.] -x is a [@http://en.wikipedia.org/wiki/Random_variate random variate] -in the interval zero to unity. -Note the [alpha] = [beta] = 2 (purple line) is dome-shaped, -and might be approximated by a symmetrical trianglar distribution. +The following graph illustrates examples of the pdf for various values +of the shape parameters. Note the [alpha] = [beta] = 2 (blue line) +is dome-shaped, and might be approximated by a symmetrical trianglar +distribution. + +[$../graphs/beta_dist.png] If [alpha] = [beta] = 1, then it is a __space [@http://en.wikipedia.org/wiki/Uniform_distribution_%28continuous%29 uniform distribution], @@ -107,8 +86,22 @@ If [alpha] != [beta], then the shape is asymmetric and could be approximated by a triangle whose apex is away from the centre (where x = half). -Accessor member functions simply retrieve the shape parameters, -/alpha/ and /beta/ used to construct the distribution. +[h4 Member Functions] + +[h5 Constructor] + + beta_distribution(RealType alpha, RealType beta); + +Constructs a beta distribution with shape parameters /alpha/ and /beta/. + +For example: + + beta_distribution<> mybeta(2, 5); + +Constructs a the beta distribution with alpha=2 and beta=5 (shown in yellow +in the graph above). + +[h5 Parameter Accessors] RealType alpha() const; @@ -118,34 +111,65 @@ Returns the parameter /alpha/ from which this distribution was constructed. Returns the parameter /beta/ from which this distribution was constructed. -So +So for example: - mybeta25.alpha() == 2.; - mybeta25.beta() == 5.; + beta_distribution<> mybeta(2, 5); + assert(mybeta.alpha() == 2.); // mybeta.alpha() returns 2 + assert(mybeta.beta() == 5.); // mybeta.beta() returns 5 [h4 Parameter Estimators] Two pairs of parameter estimators are provided. -One estimates either [alpha] __space or [beta] __space from presumed-known mean and variance. +One estimates either [alpha] __space or [beta] __space +from presumed-known mean and variance. -The other pair estimates either [alpha] __space or [beta] __space from the cdf and x. +The other pair estimates either [alpha] __space or [beta] __space from +the cdf and x. -(It is also possible to estimate [alpha] __space and [beta] __space from 'known' mode & quantile. -For example, calculators are provided -[@http://www.ausvet.com.au/pprev/content.php?page=PPscript Pooled Prevalance Calculator] and +It is also possible to estimate [alpha] __space and [beta] __space from +'known' mode & quantile. For example, calculators are provided by the +[@http://www.ausvet.com.au/pprev/content.php?page=PPscript +Pooled Prevalance Calculator] and [@http://www.epi.ucdavis.edu/diagnostictests/betabuster.html Beta Buster] -but this is NOT (yet) implemented here). +but this is not yet implemented here. + static RealType estimate_alpha( + RealType mean, // Expected value of mean. + RealType variance); // Expected value of variance. + +Returns the unique value of [alpha][space] that corresponds to a +beta distribution with mean /mean/ and variance /variance/. + + static RealType estimate_beta( + RealType mean, // Expected value of mean. + RealType variance); // Expected value of variance. + +Returns the unique value of [beta][space] that corresponds to a +beta distribution with mean /mean/ and variance /variance/. + + static RealType estimate_alpha( + RealType beta, // from beta. + RealType x, // x. + RealType probability); // probability cdf + +Returns the value of [alpha][space] that gives: +`cdf(beta_distribution(alpha, beta), x) == probability`. + + static RealType estimate_beta( + RealType alpha, // alpha. + RealType x, // probability x. + RealType probability); // probability cdf. +Returns the value of [beta][space] that gives: +`cdf(beta_distribution(alpha, beta), x) == probability`. + [h4 Non-member Accessor Functions] All the [link math_toolkit.dist.dist_ref.nmp usual non-member accessor functions] that are generic to all distributions are supported: __usual_accessors. -The formulae for calculating these are shown as comments above -(and in the table below) with the exception of the __kurtosis and __kurtosis_excess -whose formula is difficult to show as a comment but is given below, and at +The formulae for calculating these are shown in the table below, and at [@http://mathworld.wolfram.com/BetaDistribution.html Wolfram Mathworld]. [h4 Applications] @@ -185,22 +209,23 @@ please refer to these functions for information on accuracy. [h4 Implementation] -In the following table /p/ is the probablity and /q = 1-p/. +In the following table /a/ and /b/ are the parameters [alpha][space] and [beta], +/x/ is the random variable, /p/ is the probablity and /q = 1-p/. [table [[Function][Implementation Notes]] -[[pdf][`pow(x, (a-1)) * pow((1 - x), (b-1))/ beta(a, b)`]] -[[cdf][inverse incomplete beta function `ibeta(a, b, x)`]] -[[cdf complement][`1 - ibeta(a, b, x)`]] -[[quantile][inverse incomplete beta function `ibeta_inv(a, b, p)`]] -[[quantile from the complement][inverse incomplete beta function complement `ibetac_inv(a, b, q)`]] +[[pdf][f(x;[alpha],[beta]) = x[super[alpha] - 1] (1 - x)[super[beta] -1] / B([alpha], [beta])\n\n + Implemented using __ibeta_derivative(a, b, x).]] +[[cdf][Using the incomplete beta function __ibeta(a, b, x)]] +[[cdf complement][__ibetac(a, b, x)]] +[[quantile][Using the inverse incomplete beta function __ibeta_inv(a, b, p)]] +[[quantile from the complement][__ibetac_inv(a, b, q)]] [[mean][`a/(a+b)`]] [[variance][`a * b / (a+b)^2 * (a + b + 1)`]] [[mode][`(a-1) / (a + b + 2)`]] [[skewness][`2 (b-a) sqrt(a+b+1)/(a+b+2) * sqrt(a * b)`]] -[[kurtosis][`3 + 6 * a * a * a - a * a * (2 * b -1) + b * b * (b + 1) - 2 * a * b * (b + 2) / - a * b * (a + b + 2) * (a + b + 3)`]] -[[kurtosis excess][`kurtosis - 3`]] +[[kurtosis excess][ [$../equations/beta_dist_kurtosis.png] ]] +[[kurtosis][`kurtosis + 3`]] [[parameter estimation][ ]] [[alpha\n from mean and variance][`mean * (( (mean * (1 - mean)) / variance)- 1)`]] @@ -209,7 +234,7 @@ from mean and variance][`(1 - mean) * (((mean * (1 - mean)) /variance)-1)`]] [[The member functions `estimate_alpha` and `estimate_beta`\n from cdf and probability x\n and *either* `alpha` or `beta`][Implemented in terms of the inverse incomplete beta functions\n -__ibetac_inv, __ibeta_inv, and __ibetac_invb respectively.]] +__ibeta_inva, and __ibeta_invb respectively.]] [[`estimate_alpha`][`ibeta_inva(beta, x, probability)`]] [[`estimate_beta`][`ibeta_invb(alpha, x, probability)`]] ] diff --git a/doc/equations/beta_dist_kurtosis.png b/doc/equations/beta_dist_kurtosis.png new file mode 100644 index 000000000..1be258bfd Binary files /dev/null and b/doc/equations/beta_dist_kurtosis.png differ diff --git a/doc/equations/dist_reference.xml b/doc/equations/dist_reference.xml index 0cb28c4a0..d85c2c92e 100644 --- a/doc/equations/dist_reference.xml +++ b/doc/equations/dist_reference.xml @@ -997,5 +997,76 @@ + + + 6 + + + + α + 3 + + + + α + 2 + + + + 2 + β + + 1 + + + + + + β + 2 + + + + β + + 1 + + + + 2 + α + β + + + β + + + 2 + + + + + α + β + + + α + + + β + + + 2 + + + + + α + + + β + + + 3 + + + + + + \ No newline at end of file diff --git a/doc/graphs/beta_dist.png b/doc/graphs/beta_dist.png new file mode 100644 index 000000000..3ddb14f9f Binary files /dev/null and b/doc/graphs/beta_dist.png differ diff --git a/doc/graphs/beta_dist.ps b/doc/graphs/beta_dist.ps new file mode 100644 index 000000000..5bf74bb4e --- /dev/null +++ b/doc/graphs/beta_dist.ps @@ -0,0 +1,12004 @@ +%!PS-Adobe-3.0 +%%LanguageLevel: 2 +%%Title: Graph +%%Creator: RJS +%%CreationDate: 17:20:45 02/12/2006 +%%DocumentMedia: plain 841 595 0 () () 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diff --git a/include/boost/math/distributions/beta.hpp b/include/boost/math/distributions/beta.hpp index 2d492c6ec..7fc7dda6b 100644 --- a/include/boost/math/distributions/beta.hpp +++ b/include/boost/math/distributions/beta.hpp @@ -46,11 +46,11 @@ namespace boost template inline bool check_alpha(const char* function, const RealType& alpha, RealType* result) { - if(!(boost::math::isfinite)(alpha) || (alpha < 0)) + if(!(boost::math::isfinite)(alpha) || (alpha <= 0)) { *result = tools::domain_error( function, - "Alpha argument is %1%, but must be >= 0 !", alpha); + "Alpha argument is %1%, but must be > 0 !", alpha); return false; } return true; @@ -59,11 +59,11 @@ namespace boost template inline bool check_beta(const char* function, const RealType& beta, RealType* result) { - if(!(boost::math::isfinite)(beta) || (beta < 0)) + if(!(boost::math::isfinite)(beta) || (beta <= 0)) { *result = tools::domain_error( function, - "Beta argument is %1%, but must be >= 0 !", beta); + "Beta argument is %1%, but must be > 0 !", beta); return false; } return true; @@ -119,11 +119,11 @@ namespace boost template inline bool check_mean(const char* function, const RealType& mean, RealType* result) { - if(!(boost::math::isfinite)(mean) || (mean < 0)) + if(!(boost::math::isfinite)(mean) || (mean <= 0)) { *result = tools::domain_error( function, - "mean argument is %1%, but must be >= 0 !", mean); + "mean argument is %1%, but must be > 0 !", mean); return false; } return true; @@ -131,11 +131,11 @@ namespace boost template inline bool check_variance(const char* function, const RealType& variance, RealType* result) { - if(!(boost::math::isfinite)(variance) || (variance < 0)) + if(!(boost::math::isfinite)(variance) || (variance <= 0)) { *result = tools::domain_error( function, - "variance argument is %1%, but must be >= 0 !", variance); + "variance argument is %1%, but must be > 0 !", variance); return false; } return true; @@ -314,24 +314,23 @@ namespace boost return (2 * (b-a) * sqrt(a + b + 1)) / ((a + b + 2) * sqrt(a * b)); } // skewness - template - inline RealType kurtosis(const beta_distribution& dist) - { - RealType a = dist.alpha(); - RealType b = dist.beta(); - return 3 + 6 * a * a * a - a * a * (2 * b -1) + b * b * (b + 1) - 2 * a * b * (b + 2) / - a * b * (a + b + 2) * (a + b + 3); - } // kurtosis - template inline RealType kurtosis_excess(const beta_distribution& dist) { RealType a = dist.alpha(); RealType b = dist.beta(); - return 6 * a * a * a - a * a * (2 * b -1) + b * b * (b + 1) - 2 * a * b * (b + 2) / - a * b * (a + b + 2) * (a + b + 3); + RealType a_2 = a * a; + RealType n = 6 * (a_2 * a - a_2 * (2 * b - 1) + b * b * (b + 1) - 2 * a * b * (b + 2)); + RealType d = a * b * (a + b + 2) * (a + b + 3); + return n / d; } // kurtosis_excess + template + inline RealType kurtosis(const beta_distribution& dist) + { + return 3 + kurtosis_excess(dist); + } // kurtosis + template RealType pdf(const beta_distribution& dist, const RealType x) { // Probability Density/Mass Function. @@ -353,7 +352,7 @@ namespace boost return result; } using boost::math::beta; - return pow(x, (a-1)) * pow((1 - x), (b-1))/ beta(a, b); + return ibeta_derivative(a, b, x); } // pdf template @@ -418,7 +417,7 @@ namespace boost // Calculate cdf beta using the incomplete beta function. // Use of ibeta here prevents cancellation errors in calculating // 1 - x if x is very small, perhaps smaller than machine epsilon. - return 1 - ibeta(a, b, x); + return ibetac(a, b, x); } // beta cdf template diff --git a/include/boost/math/special_functions/beta.hpp b/include/boost/math/special_functions/beta.hpp index 15552ae99..1153de280 100644 --- a/include/boost/math/special_functions/beta.hpp +++ b/include/boost/math/special_functions/beta.hpp @@ -808,6 +808,15 @@ T ibeta_imp(T a, T b, T x, const L& l, bool inv, bool normalised) T fract; T y = 1 - x; + if(normalised) + { + // extend to a few very special cases: + if((a == 0) && (b != 0)) + return inv ? 0 : 1; + else if(b == 0) + return inv ? 1 : 0; + } + if(a <= 0) tools::domain_error(BOOST_CURRENT_FUNCTION, "The argument a to the incomplete beta function must be greater than zero (got a=%1%).", a); if(b <= 0) @@ -1061,12 +1070,12 @@ T ibeta_derivative_imp(T a, T b, T x, const L& l) if(x == 0) { return (a > 1) ? 0 : - (a == 1) ? 1 : tools::overflow_error(BOOST_CURRENT_FUNCTION, 0); + (a == 1) ? 1 / boost::math::beta(a, b) : tools::overflow_error(BOOST_CURRENT_FUNCTION, 0); } else if(x == 1) { return (b > 1) ? 0 : - (b == 1) ? 1 : tools::overflow_error(BOOST_CURRENT_FUNCTION, 0); + (b == 1) ? 1 / boost::math::beta(a, b) : tools::overflow_error(BOOST_CURRENT_FUNCTION, 0); } // // Now the regular cases: diff --git a/test/test_beta_dist.cpp b/test/test_beta_dist.cpp index 7f37be653..78aa7369e 100644 --- a/test/test_beta_dist.cpp +++ b/test/test_beta_dist.cpp @@ -196,10 +196,11 @@ void test_spots(RealType) pdf(beta_distribution(static_cast(1), static_cast(1)), static_cast(0)), // x static_cast(1)); - BOOST_CHECK_EQUAL( + BOOST_CHECK_CLOSE_FRACTION( pdf(beta_distribution(static_cast(1), static_cast(1)), static_cast(0.5)), // x - static_cast(1)); + static_cast(1), + tolerance); BOOST_CHECK_EQUAL( beta_distribution(static_cast(1), static_cast(1)).alpha(), @@ -225,14 +226,14 @@ void test_spots(RealType) BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(2), static_cast(2)), static_cast(0.1)), // x - static_cast(0.02800000000000000000000000000000000000000), // Seems exact. + static_cast(0.02800000000000000000000000000000000000000L), // Seems exact. // http://functions.wolfram.com/webMathematica/FunctionEvaluation.jsp?name=BetaRegularized&ptype=0&z=0.1&a=2&b=2&digits=40 tolerance); BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(2), static_cast(2)), static_cast(0.0001)), // x - static_cast(2.999800000000000000000000000000000000000e-8), + static_cast(2.999800000000000000000000000000000000000e-8L), // http://members.aol.com/iandjmsmith/BETAEX.HTM 2.9998000000004 // http://functions.wolfram.com/webMathematica/FunctionEvaluation.jsp?name=BetaRegularized&ptype=0&z=0.0001&a=2&b=2&digits=40 tolerance); @@ -241,41 +242,42 @@ void test_spots(RealType) BOOST_CHECK_CLOSE_FRACTION( pdf(beta_distribution(static_cast(2), static_cast(2)), static_cast(0.0001)), // x - static_cast(0.0005999400000000004), // http://members.aol.com/iandjmsmith/BETAEX.HTM - tolerance); + static_cast(0.0005999400000000004L), // http://members.aol.com/iandjmsmith/BETAEX.HTM + // Slightly higher tolerance for real concept: + (std::numeric_limits::is_specialized ? 1 : 10) * tolerance); BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(2), static_cast(2)), static_cast(0.9999)), // x - static_cast(0.999999970002), // http://members.aol.com/iandjmsmith/BETAEX.HTM + static_cast(0.999999970002L), // http://members.aol.com/iandjmsmith/BETAEX.HTM // Wolfram 0.9999999700020000000000000000000000000000 tolerance); BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(0.5), static_cast(2)), static_cast(0.9)), // x - static_cast(0.9961174629530394895796514664963063381217), + static_cast(0.9961174629530394895796514664963063381217L), // Wolfram tolerance); BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(0.5), static_cast(0.5)), static_cast(0.1)), // x - static_cast(0.2048327646991334516491978475505189480977), + static_cast(0.2048327646991334516491978475505189480977L), // Wolfram tolerance); BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(0.5), static_cast(0.5)), static_cast(0.9)), // x - static_cast(0.7951672353008665483508021524494810519023), + static_cast(0.7951672353008665483508021524494810519023L), // Wolfram tolerance); BOOST_CHECK_CLOSE_FRACTION( quantile(beta_distribution(static_cast(0.5), static_cast(0.5)), - static_cast(0.7951672353008665483508021524494810519023)), // x + static_cast(0.7951672353008665483508021524494810519023L)), // x static_cast(0.9), // Wolfram tolerance); @@ -283,13 +285,13 @@ void test_spots(RealType) BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(0.5), static_cast(0.5)), static_cast(0.6)), // x - static_cast(0.5640942168489749316118742861695149357858), + static_cast(0.5640942168489749316118742861695149357858L), // Wolfram tolerance); BOOST_CHECK_CLOSE_FRACTION( quantile(beta_distribution(static_cast(0.5), static_cast(0.5)), - static_cast(0.5640942168489749316118742861695149357858)), // x + static_cast(0.5640942168489749316118742861695149357858L)), // x static_cast(0.6), // Wolfram tolerance); @@ -298,13 +300,13 @@ void test_spots(RealType) BOOST_CHECK_CLOSE_FRACTION( cdf(beta_distribution(static_cast(2), static_cast(0.5)), static_cast(0.6)), // x - static_cast(0.1778078083562213736802876784474931812329), + static_cast(0.1778078083562213736802876784474931812329L), // Wolfram tolerance); BOOST_CHECK_CLOSE_FRACTION( quantile(beta_distribution(static_cast(2), static_cast(0.5)), - static_cast(0.1778078083562213736802876784474931812329)), // x + static_cast(0.1778078083562213736802876784474931812329L)), // x static_cast(0.6), // Wolfram tolerance); // gives @@ -326,13 +328,13 @@ void test_spots(RealType) BOOST_CHECK_CLOSE_FRACTION( cdf(complement(beta_distribution(static_cast(0.5), static_cast(0.5)), static_cast(0.1))), // complement of x - static_cast(0.7951672353008665483508021524494810519023), + static_cast(0.7951672353008665483508021524494810519023L), // Wolfram tolerance); BOOST_CHECK_CLOSE_FRACTION( quantile(beta_distribution(static_cast(2), static_cast(2)), - static_cast(0.0280000000000000000000000000000000000)), // x + static_cast(0.0280000000000000000000000000000000000L)), // x static_cast(0.1), // Wolfram tolerance); @@ -341,14 +343,14 @@ void test_spots(RealType) BOOST_CHECK_CLOSE_FRACTION( cdf(complement(beta_distribution(static_cast(2), static_cast(2)), static_cast(0.1))), // x - static_cast(0.9720000000000000000000000000000000000000), // Exact. + static_cast(0.9720000000000000000000000000000000000000L), // Exact. // Wolfram tolerance); BOOST_CHECK_CLOSE_FRACTION( pdf(beta_distribution(static_cast(2), static_cast(2)), static_cast(0.9999)), // x - static_cast(0.0005999399999999344), // http://members.aol.com/iandjmsmith/BETAEX.HTM + static_cast(0.0005999399999999344L), // http://members.aol.com/iandjmsmith/BETAEX.HTM tolerance*10); // Note less accurate. //void test_spot( @@ -374,8 +376,8 @@ void test_spots(RealType) static_cast(2), // alpha a static_cast(2), // beta b static_cast(0.1), // Probability p - static_cast(0.0280000000000000000000000000000000000), // Probability of result (CDF of beta), P - static_cast(1 - 0.0280000000000000000000000000000000000), // Complement of CDF Q = 1 - P + static_cast(0.0280000000000000000000000000000000000L), // Probability of result (CDF of beta), P + static_cast(1 - 0.0280000000000000000000000000000000000L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. @@ -399,56 +401,56 @@ void test_spots(RealType) static_cast(2), // alpha a static_cast(2), // beta b static_cast(0.01), // Probability p - static_cast(0.0002980000000000000000000000000000000000000), // Probability of result (CDF of beta), P - static_cast(1-0.0002980000000000000000000000000000000000000), // Complement of CDF Q = 1 - P + static_cast(0.0002980000000000000000000000000000000000000L), // Probability of result (CDF of beta), P + static_cast(1-0.0002980000000000000000000000000000000000000L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. test_spot( static_cast(2), // alpha a static_cast(2), // beta b static_cast(0.001), // Probability p - static_cast(2.998000000000000000000000000000000000000E-6), // Probability of result (CDF of beta), P - static_cast(1-2.998000000000000000000000000000000000000E-6), // Complement of CDF Q = 1 - P + static_cast(2.998000000000000000000000000000000000000E-6L), // Probability of result (CDF of beta), P + static_cast(1-2.998000000000000000000000000000000000000E-6L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. test_spot( static_cast(2), // alpha a static_cast(2), // beta b static_cast(0.0001), // Probability p - static_cast(2.999800000000000000000000000000000000000E-8), // Probability of result (CDF of beta), P - static_cast(1-2.999800000000000000000000000000000000000E-8), // Complement of CDF Q = 1 - P + static_cast(2.999800000000000000000000000000000000000E-8L), // Probability of result (CDF of beta), P + static_cast(1-2.999800000000000000000000000000000000000E-8L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. test_spot( static_cast(2), // alpha a static_cast(2), // beta b static_cast(0.99), // Probability p - static_cast(0.9997020000000000000000000000000000000000), // Probability of result (CDF of beta), P - static_cast(1-0.9997020000000000000000000000000000000000), // Complement of CDF Q = 1 - P + static_cast(0.9997020000000000000000000000000000000000L), // Probability of result (CDF of beta), P + static_cast(1-0.9997020000000000000000000000000000000000L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. test_spot( static_cast(0.5), // alpha a static_cast(2), // beta b static_cast(0.5), // Probability p - static_cast(0.8838834764831844055010554526310612991060), // Probability of result (CDF of beta), P - static_cast(1-0.8838834764831844055010554526310612991060), // Complement of CDF Q = 1 - P + static_cast(0.8838834764831844055010554526310612991060L), // Probability of result (CDF of beta), P + static_cast(1-0.8838834764831844055010554526310612991060L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. test_spot( static_cast(0.5), // alpha a static_cast(3.), // beta b static_cast(0.7), // Probability p - static_cast(0.9903963064097119299191611355232156905687), // Probability of result (CDF of beta), P - static_cast(1-0.9903963064097119299191611355232156905687), // Complement of CDF Q = 1 - P + static_cast(0.9903963064097119299191611355232156905687L), // Probability of result (CDF of beta), P + static_cast(1-0.9903963064097119299191611355232156905687L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. test_spot( static_cast(0.5), // alpha a static_cast(3.), // beta b static_cast(0.1), // Probability p - static_cast(0.5545844446520295253493059553548880128511), // Probability of result (CDF of beta), P - static_cast(1-0.5545844446520295253493059553548880128511), // Complement of CDF Q = 1 - P + static_cast(0.5545844446520295253493059553548880128511L), // Probability of result (CDF of beta), P + static_cast(1-0.5545844446520295253493059553548880128511L), // Complement of CDF Q = 1 - P tolerance); // Test tolerance. } // template void test_spots(RealType) @@ -462,99 +464,96 @@ int test_main(int, char* []) #endif - // Check that can generate beta distribution using one convenience methods: - beta_distribution<> mybeta11(1., 1.); // Using default RealType double. - // but that - //boost::math::beta mybeta1(1., 1.); // Using typedef fails. - // error C2039: 'beta' : is not a member of 'boost::math' + // Check that can generate beta distribution using one convenience methods: + beta_distribution<> mybeta11(1., 1.); // Using default RealType double. + // but that + // boost::math::beta mybeta1(1., 1.); // Using typedef fails. + // error C2039: 'beta' : is not a member of 'boost::math' - // Basic sanity-check spot values. + // Basic sanity-check spot values. - // Some simple checks using double only. - BOOST_CHECK_EQUAL(mybeta11.alpha(), 1); // - BOOST_CHECK_EQUAL(mybeta11.beta(), 1); - BOOST_CHECK_EQUAL(mean(mybeta11), 0.5); // 1 / (1 + 1) = 1/2 exactly - BOOST_CHECK_THROW(mode(mybeta11), std::domain_error); - beta_distribution<> mybeta22(2., 2.); // pdf is dome shape. - BOOST_CHECK_EQUAL(mode(mybeta22), 0.5); // 2-1 / (2+2-2) = 1/2 exactly. - beta_distribution<> mybetaH2(0.5, 2.); // - beta_distribution<> mybetaH3(0.5, 3.); // + // Some simple checks using double only. + BOOST_CHECK_EQUAL(mybeta11.alpha(), 1); // + BOOST_CHECK_EQUAL(mybeta11.beta(), 1); + BOOST_CHECK_EQUAL(mean(mybeta11), 0.5); // 1 / (1 + 1) = 1/2 exactly + BOOST_CHECK_THROW(mode(mybeta11), std::domain_error); + beta_distribution<> mybeta22(2., 2.); // pdf is dome shape. + BOOST_CHECK_EQUAL(mode(mybeta22), 0.5); // 2-1 / (2+2-2) = 1/2 exactly. + beta_distribution<> mybetaH2(0.5, 2.); // + beta_distribution<> mybetaH3(0.5, 3.); // - // Check a few values using double. - BOOST_CHECK_EQUAL(pdf(mybeta11, 1), 1); // is uniform unity over 0 to 1, - BOOST_CHECK_EQUAL(pdf(mybeta11, 0), 1); // including zero and unity. - BOOST_CHECK_EQUAL(pdf(mybeta11, 0.5), 1); - BOOST_CHECK_EQUAL(pdf(mybeta11, 0.0001), 1); - BOOST_CHECK_EQUAL(pdf(mybeta11, 0.9999), 1); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta11, 0.1), 0.1, std::numeric_limits::epsilon()); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta11, 0.5), 0.5, std::numeric_limits::epsilon()); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta11, 0.9), 0.9, std::numeric_limits::epsilon()); - BOOST_CHECK_EQUAL(cdf(mybeta11, 1), 1.); // Exact unity expected. + // Check a few values using double. + BOOST_CHECK_EQUAL(pdf(mybeta11, 1), 1); // is uniform unity over 0 to 1, + BOOST_CHECK_EQUAL(pdf(mybeta11, 0), 1); // including zero and unity. + // Although these next three have an exact result, internally they're + // *not* treated as special cases, and may be out by a couple of eps: + BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta11, 0.5), 1.0, 5*std::numeric_limits::epsilon()); + BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta11, 0.0001), 1.0, 5*std::numeric_limits::epsilon()); + BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta11, 0.9999), 1.0, 5*std::numeric_limits::epsilon()); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta11, 0.1), 0.1, std::numeric_limits::epsilon()); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta11, 0.5), 0.5, std::numeric_limits::epsilon()); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta11, 0.9), 0.9, std::numeric_limits::epsilon()); + BOOST_CHECK_EQUAL(cdf(mybeta11, 1), 1.); // Exact unity expected. - double tol = std::numeric_limits::epsilon() * 10; - BOOST_CHECK_EQUAL(pdf(mybeta22, 1), 0); // is dome shape. - BOOST_CHECK_EQUAL(pdf(mybeta22, 0), 0); - BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta22, 0.5), 1.5, tol); // top of dome, expect exactly 3/2. - BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta22, 0.0001), 5.9994000000000E-4, tol); - BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta22, 0.9999), 5.9994000000000E-4, tol*50); + double tol = std::numeric_limits::epsilon() * 10; + BOOST_CHECK_EQUAL(pdf(mybeta22, 1), 0); // is dome shape. + BOOST_CHECK_EQUAL(pdf(mybeta22, 0), 0); + BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta22, 0.5), 1.5, tol); // top of dome, expect exactly 3/2. + BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta22, 0.0001), 5.9994000000000E-4, tol); + BOOST_CHECK_CLOSE_FRACTION(pdf(mybeta22, 0.9999), 5.9994000000000E-4, tol*50); - BOOST_CHECK_EQUAL(cdf(mybeta22, 0.), 0); // cdf is a curved line from 0 to 1. - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.1), 0.028000000000000, tol); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.5), 0.5, tol); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.9), 0.972000000000000, tol); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.0001), 2.999800000000000000000000000000000000000E-8, tol); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.001), 2.998000000000000000000000000000000000000E-6, tol); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.01), 0.0002980000000000000000000000000000000000000, tol); - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.1), 0.02800000000000000000000000000000000000000, tol); // exact - BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.99), 0.9997020000000000000000000000000000000000, tol); + BOOST_CHECK_EQUAL(cdf(mybeta22, 0.), 0); // cdf is a curved line from 0 to 1. + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.1), 0.028000000000000, tol); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.5), 0.5, tol); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.9), 0.972000000000000, tol); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.0001), 2.999800000000000000000000000000000000000E-8, tol); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.001), 2.998000000000000000000000000000000000000E-6, tol); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.01), 0.0002980000000000000000000000000000000000000, tol); + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.1), 0.02800000000000000000000000000000000000000, tol); // exact + BOOST_CHECK_CLOSE_FRACTION(cdf(mybeta22, 0.99), 0.9997020000000000000000000000000000000000, tol); - BOOST_CHECK_EQUAL(cdf(mybeta22, 1), 1.); // Exact unity expected. + BOOST_CHECK_EQUAL(cdf(mybeta22, 1), 1.); // Exact unity expected. - // Complement + // Complement - BOOST_CHECK_CLOSE_FRACTION(cdf(complement(mybeta22, 0.9)), 0.028000000000000, tol); + BOOST_CHECK_CLOSE_FRACTION(cdf(complement(mybeta22, 0.9)), 0.028000000000000, tol); - // quantile. - BOOST_CHECK_CLOSE_FRACTION(quantile(mybeta22, 0.028), 0.1, tol); - BOOST_CHECK_CLOSE_FRACTION(quantile(complement(mybeta22, 1 - 0.028)), 0.1, tol); - BOOST_CHECK_EQUAL(kurtosis(mybeta11), 3+ kurtosis_excess(mybeta11)); // Check kurtosis_excess = kurtosis - 3; - BOOST_CHECK_CLOSE_FRACTION(variance(mybeta22), 0.05, tol); - BOOST_CHECK_CLOSE_FRACTION(mode(mybeta22), 0.5, tol); - BOOST_CHECK_CLOSE_FRACTION(mean(mybeta22), 0.5, tol); + // quantile. + BOOST_CHECK_CLOSE_FRACTION(quantile(mybeta22, 0.028), 0.1, tol); + BOOST_CHECK_CLOSE_FRACTION(quantile(complement(mybeta22, 1 - 0.028)), 0.1, tol); + BOOST_CHECK_EQUAL(kurtosis(mybeta11), 3+ kurtosis_excess(mybeta11)); // Check kurtosis_excess = kurtosis - 3; + BOOST_CHECK_CLOSE_FRACTION(variance(mybeta22), 0.05, tol); + BOOST_CHECK_CLOSE_FRACTION(mode(mybeta22), 0.5, tol); + BOOST_CHECK_CLOSE_FRACTION(mean(mybeta22), 0.5, tol); + BOOST_CHECK_CLOSE_FRACTION(skewness(mybeta22), 0.0, tol); + BOOST_CHECK_CLOSE_FRACTION(kurtosis_excess(mybeta22), -144.0 / 168, tol); + BOOST_CHECK_CLOSE_FRACTION(skewness(beta_distribution<>(3, 5)), 0.30983866769659335081434123198259, tol); + + BOOST_CHECK_EQUAL(beta_distribution::estimate_alpha(mean(mybeta22), variance(mybeta22)), mybeta22.alpha()); // mean, variance, probability. + BOOST_CHECK_EQUAL(beta_distribution::estimate_beta(mean(mybeta22), variance(mybeta22)), mybeta22.beta());// mean, variance, probability. + + BOOST_CHECK_CLOSE_FRACTION(mybeta22.estimate_alpha(mybeta22.beta(), 0.8, cdf(mybeta22, 0.8)), mybeta22.alpha(), tol); + BOOST_CHECK_CLOSE_FRACTION(mybeta22.estimate_beta(mybeta22.alpha(), 0.8, cdf(mybeta22, 0.8)), mybeta22.beta(), tol); - //cout << beta_distribution::estimate_alpha(mean(mybeta22), variance(mybeta22)) << endl; // 2 - //cout << beta_distribution::estimate_beta(mean(mybeta22), variance(mybeta22)) << endl; // 2 - BOOST_CHECK_EQUAL(beta_distribution::estimate_alpha(mean(mybeta22), variance(mybeta22)), mybeta22.alpha()); // mean, variance, probability. - BOOST_CHECK_EQUAL(beta_distribution::estimate_beta(mean(mybeta22), variance(mybeta22)), mybeta22.beta());// mean, variance, probability. - - // BOOST_CHECK_CLOSE_FRACTION(ibeta_inva(mybeta22.beta(), 0.8, cdf(mybeta22, 0.8)), mybeta22.alpha(), tol); - //BOOST_CHECK_CLOSE_FRACTION(ibeta_inva(mybeta22.beta(), 0.8, cdf(mybeta22, 0.8)), mybeta22.alpha(), tol); - BOOST_CHECK_CLOSE_FRACTION(mybeta22.estimate_alpha(mybeta22.beta(), 0.8, cdf(mybeta22, 0.8)), mybeta22.alpha(), tol); - BOOST_CHECK_CLOSE_FRACTION(mybeta22.estimate_beta(mybeta22.alpha(), 0.8, cdf(mybeta22, 0.8)), mybeta22.beta(), tol); + beta_distribution rcbeta22(2, 2); // Using RealType real_concept. + cout << "numeric_limits::is_specialized " << numeric_limits::is_specialized << endl; + cout << "numeric_limits::digits " << numeric_limits::digits << endl; + cout << "numeric_limits::digits10 " << numeric_limits::digits10 << endl; + cout << "numeric_limits::epsilon " << numeric_limits::epsilon() << endl; - beta_distribution rcbeta22(2, 2); // Using RealType real_concept. - cout << "numeric_limits::is_specialized " << numeric_limits::is_specialized << endl; - cout << "numeric_limits::digits " << numeric_limits::digits << endl; - cout << "numeric_limits::digits10 " << numeric_limits::digits10 << endl; - cout << "numeric_limits::epsilon " << numeric_limits::epsilon() << endl; - - // Tests for improvements to Boost.test display of errors. - //BOOST_CHECK_CLOSE_FRACTION(rcbeta22.alpha(), static_cast(2 + 3 * std::numeric_limits::epsilon()), 0); - //BOOST_CHECK_CLOSE_FRACTION(cdf(rcbeta22, 0.1), static_cast(0.028000000000009), 0); - - // (Parameter value, arbitrarily zero, only communicates the floating point type). - test_spots(0.0F); // Test float. - test_spots(0.0); // Test double. + // (Parameter value, arbitrarily zero, only communicates the floating point type). + test_spots(0.0F); // Test float. + test_spots(0.0); // Test double. #ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS - test_spots(0.0L); // Test long double. + test_spots(0.0L); // Test long double. #if !BOOST_WORKAROUND(__BORLANDC__, BOOST_TESTED_AT(0x582)) - test_spots(boost::math::concepts::real_concept(0.)); // Test real concept. + test_spots(boost::math::concepts::real_concept(0.)); // Test real concept. #endif #endif - return 0; + return 0; } // int test_main(int, char* []) /*