boost/math
2
0
Fork 0
mirror of https://github.com/boostorg/math.git synced 2026-01-19 04:22:09 +00:00
Code Issues Projects Releases Wiki Activity

Add unit tests demonstrating that the kurtosis of various continuous distributions is calculated correctly. Add excess_kurtosis to make clear the working definition of kurtosis. [CI SKIP]

Browse Source
This commit is contained in:
Nick Thompson
2018-12-25 23:00:46 -07:00
parent 53ba643528
commit 4848accb77
3 changed files with 51 additions and 2 deletions
Download Patch File Download Diff File Expand all files Collapse all files

32
test/univariate_statistics_test.cpp
View File

@@ -220,6 +220,35 @@ void test_kurtosis()
kurt = boost::math::tools::kurtosis(v2);
BOOST_TEST(abs(kurt - Real(13)/Real(4)) < tol);
std::vector<Real> v3(10000);
std::mt19937 gen(42);
std::normal_distribution<long double> dis(0, 1);
for (size_t i = 0; i < v3.size(); ++i) {
v3[i] = dis(gen);
}
kurt = boost::math::tools::kurtosis(v3);
BOOST_TEST(abs(kurt - 3) < 0.1);
std::uniform_real_distribution<long double> udis(-1, 3);
for (size_t i = 0; i < v3.size(); ++i) {
v3[i] = udis(gen);
}
auto excess_kurtosis = boost::math::tools::excess_kurtosis(v3);
BOOST_TEST(abs(excess_kurtosis + 6.0/5.0) < 0.2);
// This test only passes when there are a large number of samples.
// Otherwise, the distribution doesn't generate enough outliers to give,
// or generates too many, giving pretty wildly different values of kurtosis on different runs.
// However, by kicking up the samples to 1,000,000, I got very close to 6 for the excess kurtosis on every run.
// The CI system, however, would die on a million long doubles.
//std::exponential_distribution<long double> edis(0.1);
//for (size_t i = 0; i < v3.size(); ++i) {
// v3[i] = edis(gen);
//}
//excess_kurtosis = boost::math::tools::kurtosis(v3) - 3;
//BOOST_TEST(abs(excess_kurtosis - 6.0) < 0.2);
}
template<class Z>
@@ -427,7 +456,8 @@ int main()
test_kurtosis<float>();
test_kurtosis<double>();
test_kurtosis<long double>();
test_kurtosis<cpp_bin_float_50>();
// Kinda expensive:
//test_kurtosis<cpp_bin_float_50>();
test_first_four_moments<float>();
test_first_four_moments<double>();