2
0
mirror of https://github.com/boostorg/math.git synced 2026-01-28 07:22:12 +00:00

Updates for skew normal, non_num facets and roadmap

[SVN r78039]
This commit is contained in:
Paul A. Bristow
2012-04-17 13:37:08 +00:00
parent c5d72195f3
commit c8a4105f4e

112
doc/sf_and_dist/owens_t.qbk Normal file
View File

@@ -0,0 +1,112 @@
[section:owens_t Owen's T function]
[h4 Synopsis]
``
#include <boost/math/special_functions/owens_t.hpp>
``
namespace boost{ namespace math{
template <class T>
``__sf_result`` owens_t(T h, T a);
template <class T, class ``__Policy``>
``__sf_result`` owens_t(T h, T a, const ``__Policy``&);
}} // namespaces
[h4 Description]
Returns the
[@http://en.wikipedia.org/wiki/Owen%27s_T_function Owens_t function]
of ['h] and ['a].
[optional_policy]
[sixemspace][sixemspace][equation owens_t]
[$plot_owens_t.png]
The function `owens_t(h, a)` gives the probability
of the event ['(X > h and 0 < Y < a * X)],
where ['X] and ['Y] are independent standard normal random variables.
For h and a > 0, T(h,a),
gives the volume of an uncorrelated bivariate normal distribution
with zero means and unit variances over the area between
['y = ax] and ['y = 0] and to the right of ['x = h].
That is the area shaded in the figure below (Owens 1956).
[graph owens_integration_area]
and is also illustrated by a 3D plot.
[$plot_owens_3d_xyp.png]
This function is used in the computation of the __skew_normal_distrib.
It is also used in the computation of bivariate and
multivariate normal distribution probabilities.
The return type of this function is computed using the __arg_pomotion_rules:
the result is of type `double` when T is an integer type, and type T otherwise.
[h4 Accuracy]
The Patefield-Tandy algorithm provides six methods of evalualution;
the best method is selected according to the values of ['a] and ['h].
See the original paper and the source in
[@../../../../../boost/math/special_functions/owens_t.hpp owens_t.hpp] for details.
Over the built-in types and range tested,
errors are less than 10 * std::numeric_limits<RealType>::epsilon().
There is no fully generic version of this function: all the implementations
are tuned to specific accuracy levels, the most precise of which delivers
about 30-digits of precision.
For arbitrary precision calculation we just provide a
T1 method as the default case and warn that only absolute errors can be guaranteed.
We could maybe include T1b as well for h < 1,
but the real problems come when h gets large.
[h4 Testing]
Test data was generated by T1 and T4.
* T1 was rejected if the result was too small compared to `atan(a)` (ie cancellation),
* T4 was rejected if there was no convergence,
* Both were rejected if they didn't agree.
Over the built-in types and range tested,
errors are less than 10 std::numeric_limits<RealType>::epsilon().
However, that there was a whole domain (large ['h], small ['a])
where it was not possible to generate any reliable test values
(all the methods got rejected for one reason or another).
There are also two sets of sanity tests: spot values are computed using __Mathematica and ???? TODO.
[h4 Implementation]
The function was proposed and evaluated by
D. B. Owen, Tables for computing bivariate normal probabilities,
Ann. Math. Statist., 27, 1075-1090 (1956).
The algorithms of Patefield, M. and Tandy, D.
"Fast and accurate Calculation of Owen's T-Function", Journal of Statistical Software, 5 (5), 1 - 25 (2000)
are adapted for C++ with arbitrary RealType.
However, at present, some coefficients are limited to long double precision of 20 decimal digits,
so this places a constraint on the accuracy of results,
even if RealType provides high precision, for example 50 decimal digits.
[endsect] [/section:owens_t The owens_t Function]
[/
Copyright 2012 Bejamin Sobotta, John Maddock and Paul A. Bristow.
Distributed under 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).
]