annotate any/include/boost/math/distributions/lognormal.hpp @ 160:cff480c41f97

Add some cross-platform Boost headers
author Chris Cannam <cannam@all-day-breakfast.com>
date Sat, 16 Feb 2019 16:31:25 +0000
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cannam@160 1 // Copyright John Maddock 2006.
cannam@160 2 // Use, modification and distribution are subject to the
cannam@160 3 // Boost Software License, Version 1.0. (See accompanying file
cannam@160 4 // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
cannam@160 5
cannam@160 6 #ifndef BOOST_STATS_LOGNORMAL_HPP
cannam@160 7 #define BOOST_STATS_LOGNORMAL_HPP
cannam@160 8
cannam@160 9 // http://www.itl.nist.gov/div898/handbook/eda/section3/eda3669.htm
cannam@160 10 // http://mathworld.wolfram.com/LogNormalDistribution.html
cannam@160 11 // http://en.wikipedia.org/wiki/Lognormal_distribution
cannam@160 12
cannam@160 13 #include <boost/math/distributions/fwd.hpp>
cannam@160 14 #include <boost/math/distributions/normal.hpp>
cannam@160 15 #include <boost/math/special_functions/expm1.hpp>
cannam@160 16 #include <boost/math/distributions/detail/common_error_handling.hpp>
cannam@160 17
cannam@160 18 #include <utility>
cannam@160 19
cannam@160 20 namespace boost{ namespace math
cannam@160 21 {
cannam@160 22 namespace detail
cannam@160 23 {
cannam@160 24
cannam@160 25 template <class RealType, class Policy>
cannam@160 26 inline bool check_lognormal_x(
cannam@160 27 const char* function,
cannam@160 28 RealType const& x,
cannam@160 29 RealType* result, const Policy& pol)
cannam@160 30 {
cannam@160 31 if((x < 0) || !(boost::math::isfinite)(x))
cannam@160 32 {
cannam@160 33 *result = policies::raise_domain_error<RealType>(
cannam@160 34 function,
cannam@160 35 "Random variate is %1% but must be >= 0 !", x, pol);
cannam@160 36 return false;
cannam@160 37 }
cannam@160 38 return true;
cannam@160 39 }
cannam@160 40
cannam@160 41 } // namespace detail
cannam@160 42
cannam@160 43
cannam@160 44 template <class RealType = double, class Policy = policies::policy<> >
cannam@160 45 class lognormal_distribution
cannam@160 46 {
cannam@160 47 public:
cannam@160 48 typedef RealType value_type;
cannam@160 49 typedef Policy policy_type;
cannam@160 50
cannam@160 51 lognormal_distribution(RealType l_location = 0, RealType l_scale = 1)
cannam@160 52 : m_location(l_location), m_scale(l_scale)
cannam@160 53 {
cannam@160 54 RealType result;
cannam@160 55 detail::check_scale("boost::math::lognormal_distribution<%1%>::lognormal_distribution", l_scale, &result, Policy());
cannam@160 56 detail::check_location("boost::math::lognormal_distribution<%1%>::lognormal_distribution", l_location, &result, Policy());
cannam@160 57 }
cannam@160 58
cannam@160 59 RealType location()const
cannam@160 60 {
cannam@160 61 return m_location;
cannam@160 62 }
cannam@160 63
cannam@160 64 RealType scale()const
cannam@160 65 {
cannam@160 66 return m_scale;
cannam@160 67 }
cannam@160 68 private:
cannam@160 69 //
cannam@160 70 // Data members:
cannam@160 71 //
cannam@160 72 RealType m_location; // distribution location.
cannam@160 73 RealType m_scale; // distribution scale.
cannam@160 74 };
cannam@160 75
cannam@160 76 typedef lognormal_distribution<double> lognormal;
cannam@160 77
cannam@160 78 template <class RealType, class Policy>
cannam@160 79 inline const std::pair<RealType, RealType> range(const lognormal_distribution<RealType, Policy>& /*dist*/)
cannam@160 80 { // Range of permissible values for random variable x is >0 to +infinity.
cannam@160 81 using boost::math::tools::max_value;
cannam@160 82 return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>());
cannam@160 83 }
cannam@160 84
cannam@160 85 template <class RealType, class Policy>
cannam@160 86 inline const std::pair<RealType, RealType> support(const lognormal_distribution<RealType, Policy>& /*dist*/)
cannam@160 87 { // Range of supported values for random variable x.
cannam@160 88 // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
cannam@160 89 using boost::math::tools::max_value;
cannam@160 90 return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>());
cannam@160 91 }
cannam@160 92
cannam@160 93 template <class RealType, class Policy>
cannam@160 94 RealType pdf(const lognormal_distribution<RealType, Policy>& dist, const RealType& x)
cannam@160 95 {
cannam@160 96 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 97
cannam@160 98 RealType mu = dist.location();
cannam@160 99 RealType sigma = dist.scale();
cannam@160 100
cannam@160 101 static const char* function = "boost::math::pdf(const lognormal_distribution<%1%>&, %1%)";
cannam@160 102
cannam@160 103 RealType result = 0;
cannam@160 104 if(0 == detail::check_scale(function, sigma, &result, Policy()))
cannam@160 105 return result;
cannam@160 106 if(0 == detail::check_location(function, mu, &result, Policy()))
cannam@160 107 return result;
cannam@160 108 if(0 == detail::check_lognormal_x(function, x, &result, Policy()))
cannam@160 109 return result;
cannam@160 110
cannam@160 111 if(x == 0)
cannam@160 112 return 0;
cannam@160 113
cannam@160 114 RealType exponent = log(x) - mu;
cannam@160 115 exponent *= -exponent;
cannam@160 116 exponent /= 2 * sigma * sigma;
cannam@160 117
cannam@160 118 result = exp(exponent);
cannam@160 119 result /= sigma * sqrt(2 * constants::pi<RealType>()) * x;
cannam@160 120
cannam@160 121 return result;
cannam@160 122 }
cannam@160 123
cannam@160 124 template <class RealType, class Policy>
cannam@160 125 inline RealType cdf(const lognormal_distribution<RealType, Policy>& dist, const RealType& x)
cannam@160 126 {
cannam@160 127 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 128
cannam@160 129 static const char* function = "boost::math::cdf(const lognormal_distribution<%1%>&, %1%)";
cannam@160 130
cannam@160 131 RealType result = 0;
cannam@160 132 if(0 == detail::check_scale(function, dist.scale(), &result, Policy()))
cannam@160 133 return result;
cannam@160 134 if(0 == detail::check_location(function, dist.location(), &result, Policy()))
cannam@160 135 return result;
cannam@160 136 if(0 == detail::check_lognormal_x(function, x, &result, Policy()))
cannam@160 137 return result;
cannam@160 138
cannam@160 139 if(x == 0)
cannam@160 140 return 0;
cannam@160 141
cannam@160 142 normal_distribution<RealType, Policy> norm(dist.location(), dist.scale());
cannam@160 143 return cdf(norm, log(x));
cannam@160 144 }
cannam@160 145
cannam@160 146 template <class RealType, class Policy>
cannam@160 147 inline RealType quantile(const lognormal_distribution<RealType, Policy>& dist, const RealType& p)
cannam@160 148 {
cannam@160 149 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 150
cannam@160 151 static const char* function = "boost::math::quantile(const lognormal_distribution<%1%>&, %1%)";
cannam@160 152
cannam@160 153 RealType result = 0;
cannam@160 154 if(0 == detail::check_scale(function, dist.scale(), &result, Policy()))
cannam@160 155 return result;
cannam@160 156 if(0 == detail::check_location(function, dist.location(), &result, Policy()))
cannam@160 157 return result;
cannam@160 158 if(0 == detail::check_probability(function, p, &result, Policy()))
cannam@160 159 return result;
cannam@160 160
cannam@160 161 if(p == 0)
cannam@160 162 return 0;
cannam@160 163 if(p == 1)
cannam@160 164 return policies::raise_overflow_error<RealType>(function, 0, Policy());
cannam@160 165
cannam@160 166 normal_distribution<RealType, Policy> norm(dist.location(), dist.scale());
cannam@160 167 return exp(quantile(norm, p));
cannam@160 168 }
cannam@160 169
cannam@160 170 template <class RealType, class Policy>
cannam@160 171 inline RealType cdf(const complemented2_type<lognormal_distribution<RealType, Policy>, RealType>& c)
cannam@160 172 {
cannam@160 173 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 174
cannam@160 175 static const char* function = "boost::math::cdf(const lognormal_distribution<%1%>&, %1%)";
cannam@160 176
cannam@160 177 RealType result = 0;
cannam@160 178 if(0 == detail::check_scale(function, c.dist.scale(), &result, Policy()))
cannam@160 179 return result;
cannam@160 180 if(0 == detail::check_location(function, c.dist.location(), &result, Policy()))
cannam@160 181 return result;
cannam@160 182 if(0 == detail::check_lognormal_x(function, c.param, &result, Policy()))
cannam@160 183 return result;
cannam@160 184
cannam@160 185 if(c.param == 0)
cannam@160 186 return 1;
cannam@160 187
cannam@160 188 normal_distribution<RealType, Policy> norm(c.dist.location(), c.dist.scale());
cannam@160 189 return cdf(complement(norm, log(c.param)));
cannam@160 190 }
cannam@160 191
cannam@160 192 template <class RealType, class Policy>
cannam@160 193 inline RealType quantile(const complemented2_type<lognormal_distribution<RealType, Policy>, RealType>& c)
cannam@160 194 {
cannam@160 195 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 196
cannam@160 197 static const char* function = "boost::math::quantile(const lognormal_distribution<%1%>&, %1%)";
cannam@160 198
cannam@160 199 RealType result = 0;
cannam@160 200 if(0 == detail::check_scale(function, c.dist.scale(), &result, Policy()))
cannam@160 201 return result;
cannam@160 202 if(0 == detail::check_location(function, c.dist.location(), &result, Policy()))
cannam@160 203 return result;
cannam@160 204 if(0 == detail::check_probability(function, c.param, &result, Policy()))
cannam@160 205 return result;
cannam@160 206
cannam@160 207 if(c.param == 1)
cannam@160 208 return 0;
cannam@160 209 if(c.param == 0)
cannam@160 210 return policies::raise_overflow_error<RealType>(function, 0, Policy());
cannam@160 211
cannam@160 212 normal_distribution<RealType, Policy> norm(c.dist.location(), c.dist.scale());
cannam@160 213 return exp(quantile(complement(norm, c.param)));
cannam@160 214 }
cannam@160 215
cannam@160 216 template <class RealType, class Policy>
cannam@160 217 inline RealType mean(const lognormal_distribution<RealType, Policy>& dist)
cannam@160 218 {
cannam@160 219 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 220
cannam@160 221 RealType mu = dist.location();
cannam@160 222 RealType sigma = dist.scale();
cannam@160 223
cannam@160 224 RealType result = 0;
cannam@160 225 if(0 == detail::check_scale("boost::math::mean(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
cannam@160 226 return result;
cannam@160 227 if(0 == detail::check_location("boost::math::mean(const lognormal_distribution<%1%>&)", mu, &result, Policy()))
cannam@160 228 return result;
cannam@160 229
cannam@160 230 return exp(mu + sigma * sigma / 2);
cannam@160 231 }
cannam@160 232
cannam@160 233 template <class RealType, class Policy>
cannam@160 234 inline RealType variance(const lognormal_distribution<RealType, Policy>& dist)
cannam@160 235 {
cannam@160 236 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 237
cannam@160 238 RealType mu = dist.location();
cannam@160 239 RealType sigma = dist.scale();
cannam@160 240
cannam@160 241 RealType result = 0;
cannam@160 242 if(0 == detail::check_scale("boost::math::variance(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
cannam@160 243 return result;
cannam@160 244 if(0 == detail::check_location("boost::math::variance(const lognormal_distribution<%1%>&)", mu, &result, Policy()))
cannam@160 245 return result;
cannam@160 246
cannam@160 247 return boost::math::expm1(sigma * sigma, Policy()) * exp(2 * mu + sigma * sigma);
cannam@160 248 }
cannam@160 249
cannam@160 250 template <class RealType, class Policy>
cannam@160 251 inline RealType mode(const lognormal_distribution<RealType, Policy>& dist)
cannam@160 252 {
cannam@160 253 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 254
cannam@160 255 RealType mu = dist.location();
cannam@160 256 RealType sigma = dist.scale();
cannam@160 257
cannam@160 258 RealType result = 0;
cannam@160 259 if(0 == detail::check_scale("boost::math::mode(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
cannam@160 260 return result;
cannam@160 261 if(0 == detail::check_location("boost::math::mode(const lognormal_distribution<%1%>&)", mu, &result, Policy()))
cannam@160 262 return result;
cannam@160 263
cannam@160 264 return exp(mu - sigma * sigma);
cannam@160 265 }
cannam@160 266
cannam@160 267 template <class RealType, class Policy>
cannam@160 268 inline RealType median(const lognormal_distribution<RealType, Policy>& dist)
cannam@160 269 {
cannam@160 270 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 271 RealType mu = dist.location();
cannam@160 272 return exp(mu); // e^mu
cannam@160 273 }
cannam@160 274
cannam@160 275 template <class RealType, class Policy>
cannam@160 276 inline RealType skewness(const lognormal_distribution<RealType, Policy>& dist)
cannam@160 277 {
cannam@160 278 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 279
cannam@160 280 //RealType mu = dist.location();
cannam@160 281 RealType sigma = dist.scale();
cannam@160 282
cannam@160 283 RealType ss = sigma * sigma;
cannam@160 284 RealType ess = exp(ss);
cannam@160 285
cannam@160 286 RealType result = 0;
cannam@160 287 if(0 == detail::check_scale("boost::math::skewness(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
cannam@160 288 return result;
cannam@160 289 if(0 == detail::check_location("boost::math::skewness(const lognormal_distribution<%1%>&)", dist.location(), &result, Policy()))
cannam@160 290 return result;
cannam@160 291
cannam@160 292 return (ess + 2) * sqrt(boost::math::expm1(ss, Policy()));
cannam@160 293 }
cannam@160 294
cannam@160 295 template <class RealType, class Policy>
cannam@160 296 inline RealType kurtosis(const lognormal_distribution<RealType, Policy>& dist)
cannam@160 297 {
cannam@160 298 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 299
cannam@160 300 //RealType mu = dist.location();
cannam@160 301 RealType sigma = dist.scale();
cannam@160 302 RealType ss = sigma * sigma;
cannam@160 303
cannam@160 304 RealType result = 0;
cannam@160 305 if(0 == detail::check_scale("boost::math::kurtosis(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
cannam@160 306 return result;
cannam@160 307 if(0 == detail::check_location("boost::math::kurtosis(const lognormal_distribution<%1%>&)", dist.location(), &result, Policy()))
cannam@160 308 return result;
cannam@160 309
cannam@160 310 return exp(4 * ss) + 2 * exp(3 * ss) + 3 * exp(2 * ss) - 3;
cannam@160 311 }
cannam@160 312
cannam@160 313 template <class RealType, class Policy>
cannam@160 314 inline RealType kurtosis_excess(const lognormal_distribution<RealType, Policy>& dist)
cannam@160 315 {
cannam@160 316 BOOST_MATH_STD_USING // for ADL of std functions
cannam@160 317
cannam@160 318 // RealType mu = dist.location();
cannam@160 319 RealType sigma = dist.scale();
cannam@160 320 RealType ss = sigma * sigma;
cannam@160 321
cannam@160 322 RealType result = 0;
cannam@160 323 if(0 == detail::check_scale("boost::math::kurtosis_excess(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
cannam@160 324 return result;
cannam@160 325 if(0 == detail::check_location("boost::math::kurtosis_excess(const lognormal_distribution<%1%>&)", dist.location(), &result, Policy()))
cannam@160 326 return result;
cannam@160 327
cannam@160 328 return exp(4 * ss) + 2 * exp(3 * ss) + 3 * exp(2 * ss) - 6;
cannam@160 329 }
cannam@160 330
cannam@160 331 } // namespace math
cannam@160 332 } // namespace boost
cannam@160 333
cannam@160 334 // This include must be at the end, *after* the accessors
cannam@160 335 // for this distribution have been defined, in order to
cannam@160 336 // keep compilers that support two-phase lookup happy.
cannam@160 337 #include <boost/math/distributions/detail/derived_accessors.hpp>
cannam@160 338
cannam@160 339 #endif // BOOST_STATS_STUDENTS_T_HPP
cannam@160 340
cannam@160 341