annotate DEPENDENCIES/generic/include/boost/math/distributions/binomial.hpp @ 125:34e428693f5d vext

Vext -> Repoint
author Chris Cannam
date Thu, 14 Jun 2018 11:15:39 +0100
parents 2665513ce2d3
children
rev   line source
Chris@16 1 // boost\math\distributions\binomial.hpp
Chris@16 2
Chris@16 3 // Copyright John Maddock 2006.
Chris@16 4 // Copyright Paul A. Bristow 2007.
Chris@16 5
Chris@16 6 // Use, modification and distribution are subject to the
Chris@16 7 // Boost Software License, Version 1.0.
Chris@16 8 // (See accompanying file LICENSE_1_0.txt
Chris@16 9 // or copy at http://www.boost.org/LICENSE_1_0.txt)
Chris@16 10
Chris@16 11 // http://en.wikipedia.org/wiki/binomial_distribution
Chris@16 12
Chris@16 13 // Binomial distribution is the discrete probability distribution of
Chris@16 14 // the number (k) of successes, in a sequence of
Chris@16 15 // n independent (yes or no, success or failure) Bernoulli trials.
Chris@16 16
Chris@16 17 // It expresses the probability of a number of events occurring in a fixed time
Chris@16 18 // if these events occur with a known average rate (probability of success),
Chris@16 19 // and are independent of the time since the last event.
Chris@16 20
Chris@16 21 // The number of cars that pass through a certain point on a road during a given period of time.
Chris@16 22 // The number of spelling mistakes a secretary makes while typing a single page.
Chris@16 23 // The number of phone calls at a call center per minute.
Chris@16 24 // The number of times a web server is accessed per minute.
Chris@16 25 // The number of light bulbs that burn out in a certain amount of time.
Chris@16 26 // The number of roadkill found per unit length of road
Chris@16 27
Chris@16 28 // http://en.wikipedia.org/wiki/binomial_distribution
Chris@16 29
Chris@16 30 // Given a sample of N measured values k[i],
Chris@16 31 // we wish to estimate the value of the parameter x (mean)
Chris@16 32 // of the binomial population from which the sample was drawn.
Chris@16 33 // To calculate the maximum likelihood value = 1/N sum i = 1 to N of k[i]
Chris@16 34
Chris@16 35 // Also may want a function for EXACTLY k.
Chris@16 36
Chris@16 37 // And probability that there are EXACTLY k occurrences is
Chris@16 38 // exp(-x) * pow(x, k) / factorial(k)
Chris@16 39 // where x is expected occurrences (mean) during the given interval.
Chris@16 40 // For example, if events occur, on average, every 4 min,
Chris@16 41 // and we are interested in number of events occurring in 10 min,
Chris@16 42 // then x = 10/4 = 2.5
Chris@16 43
Chris@16 44 // http://www.itl.nist.gov/div898/handbook/eda/section3/eda366i.htm
Chris@16 45
Chris@16 46 // The binomial distribution is used when there are
Chris@16 47 // exactly two mutually exclusive outcomes of a trial.
Chris@16 48 // These outcomes are appropriately labeled "success" and "failure".
Chris@16 49 // The binomial distribution is used to obtain
Chris@16 50 // the probability of observing x successes in N trials,
Chris@16 51 // with the probability of success on a single trial denoted by p.
Chris@16 52 // The binomial distribution assumes that p is fixed for all trials.
Chris@16 53
Chris@16 54 // P(x, p, n) = n!/(x! * (n-x)!) * p^x * (1-p)^(n-x)
Chris@16 55
Chris@16 56 // http://mathworld.wolfram.com/BinomialCoefficient.html
Chris@16 57
Chris@16 58 // The binomial coefficient (n; k) is the number of ways of picking
Chris@16 59 // k unordered outcomes from n possibilities,
Chris@16 60 // also known as a combination or combinatorial number.
Chris@16 61 // The symbols _nC_k and (n; k) are used to denote a binomial coefficient,
Chris@16 62 // and are sometimes read as "n choose k."
Chris@16 63 // (n; k) therefore gives the number of k-subsets possible out of a set of n distinct items.
Chris@16 64
Chris@16 65 // For example:
Chris@16 66 // The 2-subsets of {1,2,3,4} are the six pairs {1,2}, {1,3}, {1,4}, {2,3}, {2,4}, and {3,4}, so (4; 2)==6.
Chris@16 67
Chris@16 68 // http://functions.wolfram.com/GammaBetaErf/Binomial/ for evaluation.
Chris@16 69
Chris@16 70 // But note that the binomial distribution
Chris@16 71 // (like others including the poisson, negative binomial & Bernoulli)
Chris@16 72 // is strictly defined as a discrete function: only integral values of k are envisaged.
Chris@16 73 // However because of the method of calculation using a continuous gamma function,
Chris@16 74 // it is convenient to treat it as if a continous function,
Chris@16 75 // and permit non-integral values of k.
Chris@16 76 // To enforce the strict mathematical model, users should use floor or ceil functions
Chris@16 77 // on k outside this function to ensure that k is integral.
Chris@16 78
Chris@16 79 #ifndef BOOST_MATH_SPECIAL_BINOMIAL_HPP
Chris@16 80 #define BOOST_MATH_SPECIAL_BINOMIAL_HPP
Chris@16 81
Chris@16 82 #include <boost/math/distributions/fwd.hpp>
Chris@16 83 #include <boost/math/special_functions/beta.hpp> // for incomplete beta.
Chris@16 84 #include <boost/math/distributions/complement.hpp> // complements
Chris@16 85 #include <boost/math/distributions/detail/common_error_handling.hpp> // error checks
Chris@16 86 #include <boost/math/distributions/detail/inv_discrete_quantile.hpp> // error checks
Chris@16 87 #include <boost/math/special_functions/fpclassify.hpp> // isnan.
Chris@16 88 #include <boost/math/tools/roots.hpp> // for root finding.
Chris@16 89
Chris@16 90 #include <utility>
Chris@16 91
Chris@16 92 namespace boost
Chris@16 93 {
Chris@16 94 namespace math
Chris@16 95 {
Chris@16 96
Chris@16 97 template <class RealType, class Policy>
Chris@16 98 class binomial_distribution;
Chris@16 99
Chris@16 100 namespace binomial_detail{
Chris@16 101 // common error checking routines for binomial distribution functions:
Chris@16 102 template <class RealType, class Policy>
Chris@16 103 inline bool check_N(const char* function, const RealType& N, RealType* result, const Policy& pol)
Chris@16 104 {
Chris@16 105 if((N < 0) || !(boost::math::isfinite)(N))
Chris@16 106 {
Chris@16 107 *result = policies::raise_domain_error<RealType>(
Chris@16 108 function,
Chris@16 109 "Number of Trials argument is %1%, but must be >= 0 !", N, pol);
Chris@16 110 return false;
Chris@16 111 }
Chris@16 112 return true;
Chris@16 113 }
Chris@16 114 template <class RealType, class Policy>
Chris@16 115 inline bool check_success_fraction(const char* function, const RealType& p, RealType* result, const Policy& pol)
Chris@16 116 {
Chris@16 117 if((p < 0) || (p > 1) || !(boost::math::isfinite)(p))
Chris@16 118 {
Chris@16 119 *result = policies::raise_domain_error<RealType>(
Chris@16 120 function,
Chris@16 121 "Success fraction argument is %1%, but must be >= 0 and <= 1 !", p, pol);
Chris@16 122 return false;
Chris@16 123 }
Chris@16 124 return true;
Chris@16 125 }
Chris@16 126 template <class RealType, class Policy>
Chris@16 127 inline bool check_dist(const char* function, const RealType& N, const RealType& p, RealType* result, const Policy& pol)
Chris@16 128 {
Chris@16 129 return check_success_fraction(
Chris@16 130 function, p, result, pol)
Chris@16 131 && check_N(
Chris@16 132 function, N, result, pol);
Chris@16 133 }
Chris@16 134 template <class RealType, class Policy>
Chris@16 135 inline bool check_dist_and_k(const char* function, const RealType& N, const RealType& p, RealType k, RealType* result, const Policy& pol)
Chris@16 136 {
Chris@16 137 if(check_dist(function, N, p, result, pol) == false)
Chris@16 138 return false;
Chris@16 139 if((k < 0) || !(boost::math::isfinite)(k))
Chris@16 140 {
Chris@16 141 *result = policies::raise_domain_error<RealType>(
Chris@16 142 function,
Chris@16 143 "Number of Successes argument is %1%, but must be >= 0 !", k, pol);
Chris@16 144 return false;
Chris@16 145 }
Chris@16 146 if(k > N)
Chris@16 147 {
Chris@16 148 *result = policies::raise_domain_error<RealType>(
Chris@16 149 function,
Chris@16 150 "Number of Successes argument is %1%, but must be <= Number of Trials !", k, pol);
Chris@16 151 return false;
Chris@16 152 }
Chris@16 153 return true;
Chris@16 154 }
Chris@16 155 template <class RealType, class Policy>
Chris@16 156 inline bool check_dist_and_prob(const char* function, const RealType& N, RealType p, RealType prob, RealType* result, const Policy& pol)
Chris@16 157 {
Chris@16 158 if(check_dist(function, N, p, result, pol) && detail::check_probability(function, prob, result, pol) == false)
Chris@16 159 return false;
Chris@16 160 return true;
Chris@16 161 }
Chris@16 162
Chris@16 163 template <class T, class Policy>
Chris@16 164 T inverse_binomial_cornish_fisher(T n, T sf, T p, T q, const Policy& pol)
Chris@16 165 {
Chris@16 166 BOOST_MATH_STD_USING
Chris@16 167 // mean:
Chris@16 168 T m = n * sf;
Chris@16 169 // standard deviation:
Chris@16 170 T sigma = sqrt(n * sf * (1 - sf));
Chris@16 171 // skewness
Chris@16 172 T sk = (1 - 2 * sf) / sigma;
Chris@16 173 // kurtosis:
Chris@16 174 // T k = (1 - 6 * sf * (1 - sf) ) / (n * sf * (1 - sf));
Chris@16 175 // Get the inverse of a std normal distribution:
Chris@16 176 T x = boost::math::erfc_inv(p > q ? 2 * q : 2 * p, pol) * constants::root_two<T>();
Chris@16 177 // Set the sign:
Chris@16 178 if(p < 0.5)
Chris@16 179 x = -x;
Chris@16 180 T x2 = x * x;
Chris@16 181 // w is correction term due to skewness
Chris@16 182 T w = x + sk * (x2 - 1) / 6;
Chris@16 183 /*
Chris@16 184 // Add on correction due to kurtosis.
Chris@16 185 // Disabled for now, seems to make things worse?
Chris@16 186 //
Chris@16 187 if(n >= 10)
Chris@16 188 w += k * x * (x2 - 3) / 24 + sk * sk * x * (2 * x2 - 5) / -36;
Chris@16 189 */
Chris@16 190 w = m + sigma * w;
Chris@16 191 if(w < tools::min_value<T>())
Chris@16 192 return sqrt(tools::min_value<T>());
Chris@16 193 if(w > n)
Chris@16 194 return n;
Chris@16 195 return w;
Chris@16 196 }
Chris@16 197
Chris@16 198 template <class RealType, class Policy>
Chris@16 199 RealType quantile_imp(const binomial_distribution<RealType, Policy>& dist, const RealType& p, const RealType& q, bool comp)
Chris@16 200 { // Quantile or Percent Point Binomial function.
Chris@16 201 // Return the number of expected successes k,
Chris@16 202 // for a given probability p.
Chris@16 203 //
Chris@16 204 // Error checks:
Chris@16 205 BOOST_MATH_STD_USING // ADL of std names
Chris@16 206 RealType result = 0;
Chris@16 207 RealType trials = dist.trials();
Chris@16 208 RealType success_fraction = dist.success_fraction();
Chris@16 209 if(false == binomial_detail::check_dist_and_prob(
Chris@16 210 "boost::math::quantile(binomial_distribution<%1%> const&, %1%)",
Chris@16 211 trials,
Chris@16 212 success_fraction,
Chris@16 213 p,
Chris@16 214 &result, Policy()))
Chris@16 215 {
Chris@16 216 return result;
Chris@16 217 }
Chris@16 218
Chris@16 219 // Special cases:
Chris@16 220 //
Chris@16 221 if(p == 0)
Chris@16 222 { // There may actually be no answer to this question,
Chris@16 223 // since the probability of zero successes may be non-zero,
Chris@16 224 // but zero is the best we can do:
Chris@16 225 return 0;
Chris@16 226 }
Chris@16 227 if(p == 1)
Chris@16 228 { // Probability of n or fewer successes is always one,
Chris@16 229 // so n is the most sensible answer here:
Chris@16 230 return trials;
Chris@16 231 }
Chris@16 232 if (p <= pow(1 - success_fraction, trials))
Chris@16 233 { // p <= pdf(dist, 0) == cdf(dist, 0)
Chris@16 234 return 0; // So the only reasonable result is zero.
Chris@16 235 } // And root finder would fail otherwise.
Chris@16 236 if(success_fraction == 1)
Chris@16 237 { // our formulae break down in this case:
Chris@16 238 return p > 0.5f ? trials : 0;
Chris@16 239 }
Chris@16 240
Chris@16 241 // Solve for quantile numerically:
Chris@16 242 //
Chris@16 243 RealType guess = binomial_detail::inverse_binomial_cornish_fisher(trials, success_fraction, p, q, Policy());
Chris@16 244 RealType factor = 8;
Chris@16 245 if(trials > 100)
Chris@16 246 factor = 1.01f; // guess is pretty accurate
Chris@16 247 else if((trials > 10) && (trials - 1 > guess) && (guess > 3))
Chris@16 248 factor = 1.15f; // less accurate but OK.
Chris@16 249 else if(trials < 10)
Chris@16 250 {
Chris@16 251 // pretty inaccurate guess in this area:
Chris@16 252 if(guess > trials / 64)
Chris@16 253 {
Chris@16 254 guess = trials / 4;
Chris@16 255 factor = 2;
Chris@16 256 }
Chris@16 257 else
Chris@16 258 guess = trials / 1024;
Chris@16 259 }
Chris@16 260 else
Chris@16 261 factor = 2; // trials largish, but in far tails.
Chris@16 262
Chris@16 263 typedef typename Policy::discrete_quantile_type discrete_quantile_type;
Chris@16 264 boost::uintmax_t max_iter = policies::get_max_root_iterations<Policy>();
Chris@16 265 return detail::inverse_discrete_quantile(
Chris@16 266 dist,
Chris@16 267 comp ? q : p,
Chris@16 268 comp,
Chris@16 269 guess,
Chris@16 270 factor,
Chris@16 271 RealType(1),
Chris@16 272 discrete_quantile_type(),
Chris@16 273 max_iter);
Chris@16 274 } // quantile
Chris@16 275
Chris@16 276 }
Chris@16 277
Chris@16 278 template <class RealType = double, class Policy = policies::policy<> >
Chris@16 279 class binomial_distribution
Chris@16 280 {
Chris@16 281 public:
Chris@16 282 typedef RealType value_type;
Chris@16 283 typedef Policy policy_type;
Chris@16 284
Chris@16 285 binomial_distribution(RealType n = 1, RealType p = 0.5) : m_n(n), m_p(p)
Chris@16 286 { // Default n = 1 is the Bernoulli distribution
Chris@16 287 // with equal probability of 'heads' or 'tails.
Chris@16 288 RealType r;
Chris@16 289 binomial_detail::check_dist(
Chris@16 290 "boost::math::binomial_distribution<%1%>::binomial_distribution",
Chris@16 291 m_n,
Chris@16 292 m_p,
Chris@16 293 &r, Policy());
Chris@16 294 } // binomial_distribution constructor.
Chris@16 295
Chris@16 296 RealType success_fraction() const
Chris@16 297 { // Probability.
Chris@16 298 return m_p;
Chris@16 299 }
Chris@16 300 RealType trials() const
Chris@16 301 { // Total number of trials.
Chris@16 302 return m_n;
Chris@16 303 }
Chris@16 304
Chris@16 305 enum interval_type{
Chris@16 306 clopper_pearson_exact_interval,
Chris@16 307 jeffreys_prior_interval
Chris@16 308 };
Chris@16 309
Chris@16 310 //
Chris@16 311 // Estimation of the success fraction parameter.
Chris@16 312 // The best estimate is actually simply successes/trials,
Chris@16 313 // these functions are used
Chris@16 314 // to obtain confidence intervals for the success fraction.
Chris@16 315 //
Chris@16 316 static RealType find_lower_bound_on_p(
Chris@16 317 RealType trials,
Chris@16 318 RealType successes,
Chris@16 319 RealType probability,
Chris@16 320 interval_type t = clopper_pearson_exact_interval)
Chris@16 321 {
Chris@16 322 static const char* function = "boost::math::binomial_distribution<%1%>::find_lower_bound_on_p";
Chris@16 323 // Error checks:
Chris@16 324 RealType result = 0;
Chris@16 325 if(false == binomial_detail::check_dist_and_k(
Chris@16 326 function, trials, RealType(0), successes, &result, Policy())
Chris@16 327 &&
Chris@16 328 binomial_detail::check_dist_and_prob(
Chris@16 329 function, trials, RealType(0), probability, &result, Policy()))
Chris@16 330 { return result; }
Chris@16 331
Chris@16 332 if(successes == 0)
Chris@16 333 return 0;
Chris@16 334
Chris@16 335 // NOTE!!! The Clopper Pearson formula uses "successes" not
Chris@16 336 // "successes+1" as usual to get the lower bound,
Chris@16 337 // see http://www.itl.nist.gov/div898/handbook/prc/section2/prc241.htm
Chris@16 338 return (t == clopper_pearson_exact_interval) ? ibeta_inv(successes, trials - successes + 1, probability, static_cast<RealType*>(0), Policy())
Chris@16 339 : ibeta_inv(successes + 0.5f, trials - successes + 0.5f, probability, static_cast<RealType*>(0), Policy());
Chris@16 340 }
Chris@16 341 static RealType find_upper_bound_on_p(
Chris@16 342 RealType trials,
Chris@16 343 RealType successes,
Chris@16 344 RealType probability,
Chris@16 345 interval_type t = clopper_pearson_exact_interval)
Chris@16 346 {
Chris@16 347 static const char* function = "boost::math::binomial_distribution<%1%>::find_upper_bound_on_p";
Chris@16 348 // Error checks:
Chris@16 349 RealType result = 0;
Chris@16 350 if(false == binomial_detail::check_dist_and_k(
Chris@16 351 function, trials, RealType(0), successes, &result, Policy())
Chris@16 352 &&
Chris@16 353 binomial_detail::check_dist_and_prob(
Chris@16 354 function, trials, RealType(0), probability, &result, Policy()))
Chris@16 355 { return result; }
Chris@16 356
Chris@16 357 if(trials == successes)
Chris@16 358 return 1;
Chris@16 359
Chris@16 360 return (t == clopper_pearson_exact_interval) ? ibetac_inv(successes + 1, trials - successes, probability, static_cast<RealType*>(0), Policy())
Chris@16 361 : ibetac_inv(successes + 0.5f, trials - successes + 0.5f, probability, static_cast<RealType*>(0), Policy());
Chris@16 362 }
Chris@16 363 // Estimate number of trials parameter:
Chris@16 364 //
Chris@16 365 // "How many trials do I need to be P% sure of seeing k events?"
Chris@16 366 // or
Chris@16 367 // "How many trials can I have to be P% sure of seeing fewer than k events?"
Chris@16 368 //
Chris@16 369 static RealType find_minimum_number_of_trials(
Chris@16 370 RealType k, // number of events
Chris@16 371 RealType p, // success fraction
Chris@16 372 RealType alpha) // risk level
Chris@16 373 {
Chris@16 374 static const char* function = "boost::math::binomial_distribution<%1%>::find_minimum_number_of_trials";
Chris@16 375 // Error checks:
Chris@16 376 RealType result = 0;
Chris@16 377 if(false == binomial_detail::check_dist_and_k(
Chris@16 378 function, k, p, k, &result, Policy())
Chris@16 379 &&
Chris@16 380 binomial_detail::check_dist_and_prob(
Chris@16 381 function, k, p, alpha, &result, Policy()))
Chris@16 382 { return result; }
Chris@16 383
Chris@16 384 result = ibetac_invb(k + 1, p, alpha, Policy()); // returns n - k
Chris@16 385 return result + k;
Chris@16 386 }
Chris@16 387
Chris@16 388 static RealType find_maximum_number_of_trials(
Chris@16 389 RealType k, // number of events
Chris@16 390 RealType p, // success fraction
Chris@16 391 RealType alpha) // risk level
Chris@16 392 {
Chris@16 393 static const char* function = "boost::math::binomial_distribution<%1%>::find_maximum_number_of_trials";
Chris@16 394 // Error checks:
Chris@16 395 RealType result = 0;
Chris@16 396 if(false == binomial_detail::check_dist_and_k(
Chris@16 397 function, k, p, k, &result, Policy())
Chris@16 398 &&
Chris@16 399 binomial_detail::check_dist_and_prob(
Chris@16 400 function, k, p, alpha, &result, Policy()))
Chris@16 401 { return result; }
Chris@16 402
Chris@16 403 result = ibeta_invb(k + 1, p, alpha, Policy()); // returns n - k
Chris@16 404 return result + k;
Chris@16 405 }
Chris@16 406
Chris@16 407 private:
Chris@16 408 RealType m_n; // Not sure if this shouldn't be an int?
Chris@16 409 RealType m_p; // success_fraction
Chris@16 410 }; // template <class RealType, class Policy> class binomial_distribution
Chris@16 411
Chris@16 412 typedef binomial_distribution<> binomial;
Chris@16 413 // typedef binomial_distribution<double> binomial;
Chris@16 414 // IS now included since no longer a name clash with function binomial.
Chris@16 415 //typedef binomial_distribution<double> binomial; // Reserved name of type double.
Chris@16 416
Chris@16 417 template <class RealType, class Policy>
Chris@16 418 const std::pair<RealType, RealType> range(const binomial_distribution<RealType, Policy>& dist)
Chris@16 419 { // Range of permissible values for random variable k.
Chris@16 420 using boost::math::tools::max_value;
Chris@16 421 return std::pair<RealType, RealType>(static_cast<RealType>(0), dist.trials());
Chris@16 422 }
Chris@16 423
Chris@16 424 template <class RealType, class Policy>
Chris@16 425 const std::pair<RealType, RealType> support(const binomial_distribution<RealType, Policy>& dist)
Chris@16 426 { // Range of supported values for random variable k.
Chris@16 427 // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
Chris@16 428 return std::pair<RealType, RealType>(static_cast<RealType>(0), dist.trials());
Chris@16 429 }
Chris@16 430
Chris@16 431 template <class RealType, class Policy>
Chris@16 432 inline RealType mean(const binomial_distribution<RealType, Policy>& dist)
Chris@16 433 { // Mean of Binomial distribution = np.
Chris@16 434 return dist.trials() * dist.success_fraction();
Chris@16 435 } // mean
Chris@16 436
Chris@16 437 template <class RealType, class Policy>
Chris@16 438 inline RealType variance(const binomial_distribution<RealType, Policy>& dist)
Chris@16 439 { // Variance of Binomial distribution = np(1-p).
Chris@16 440 return dist.trials() * dist.success_fraction() * (1 - dist.success_fraction());
Chris@16 441 } // variance
Chris@16 442
Chris@16 443 template <class RealType, class Policy>
Chris@16 444 RealType pdf(const binomial_distribution<RealType, Policy>& dist, const RealType& k)
Chris@16 445 { // Probability Density/Mass Function.
Chris@16 446 BOOST_FPU_EXCEPTION_GUARD
Chris@16 447
Chris@16 448 BOOST_MATH_STD_USING // for ADL of std functions
Chris@16 449
Chris@16 450 RealType n = dist.trials();
Chris@16 451
Chris@16 452 // Error check:
Chris@16 453 RealType result = 0; // initialization silences some compiler warnings
Chris@16 454 if(false == binomial_detail::check_dist_and_k(
Chris@16 455 "boost::math::pdf(binomial_distribution<%1%> const&, %1%)",
Chris@16 456 n,
Chris@16 457 dist.success_fraction(),
Chris@16 458 k,
Chris@16 459 &result, Policy()))
Chris@16 460 {
Chris@16 461 return result;
Chris@16 462 }
Chris@16 463
Chris@16 464 // Special cases of success_fraction, regardless of k successes and regardless of n trials.
Chris@16 465 if (dist.success_fraction() == 0)
Chris@16 466 { // probability of zero successes is 1:
Chris@16 467 return static_cast<RealType>(k == 0 ? 1 : 0);
Chris@16 468 }
Chris@16 469 if (dist.success_fraction() == 1)
Chris@16 470 { // probability of n successes is 1:
Chris@16 471 return static_cast<RealType>(k == n ? 1 : 0);
Chris@16 472 }
Chris@16 473 // k argument may be integral, signed, or unsigned, or floating point.
Chris@16 474 // If necessary, it has already been promoted from an integral type.
Chris@16 475 if (n == 0)
Chris@16 476 {
Chris@16 477 return 1; // Probability = 1 = certainty.
Chris@16 478 }
Chris@16 479 if (k == 0)
Chris@16 480 { // binomial coeffic (n 0) = 1,
Chris@16 481 // n ^ 0 = 1
Chris@16 482 return pow(1 - dist.success_fraction(), n);
Chris@16 483 }
Chris@16 484 if (k == n)
Chris@16 485 { // binomial coeffic (n n) = 1,
Chris@16 486 // n ^ 0 = 1
Chris@16 487 return pow(dist.success_fraction(), k); // * pow((1 - dist.success_fraction()), (n - k)) = 1
Chris@16 488 }
Chris@16 489
Chris@16 490 // Probability of getting exactly k successes
Chris@16 491 // if C(n, k) is the binomial coefficient then:
Chris@16 492 //
Chris@16 493 // f(k; n,p) = C(n, k) * p^k * (1-p)^(n-k)
Chris@16 494 // = (n!/(k!(n-k)!)) * p^k * (1-p)^(n-k)
Chris@16 495 // = (tgamma(n+1) / (tgamma(k+1)*tgamma(n-k+1))) * p^k * (1-p)^(n-k)
Chris@16 496 // = p^k (1-p)^(n-k) / (beta(k+1, n-k+1) * (n+1))
Chris@16 497 // = ibeta_derivative(k+1, n-k+1, p) / (n+1)
Chris@16 498 //
Chris@16 499 using boost::math::ibeta_derivative; // a, b, x
Chris@16 500 return ibeta_derivative(k+1, n-k+1, dist.success_fraction(), Policy()) / (n+1);
Chris@16 501
Chris@16 502 } // pdf
Chris@16 503
Chris@16 504 template <class RealType, class Policy>
Chris@16 505 inline RealType cdf(const binomial_distribution<RealType, Policy>& dist, const RealType& k)
Chris@16 506 { // Cumulative Distribution Function Binomial.
Chris@16 507 // The random variate k is the number of successes in n trials.
Chris@16 508 // k argument may be integral, signed, or unsigned, or floating point.
Chris@16 509 // If necessary, it has already been promoted from an integral type.
Chris@16 510
Chris@16 511 // Returns the sum of the terms 0 through k of the Binomial Probability Density/Mass:
Chris@16 512 //
Chris@16 513 // i=k
Chris@16 514 // -- ( n ) i n-i
Chris@16 515 // > | | p (1-p)
Chris@16 516 // -- ( i )
Chris@16 517 // i=0
Chris@16 518
Chris@16 519 // The terms are not summed directly instead
Chris@16 520 // the incomplete beta integral is employed,
Chris@16 521 // according to the formula:
Chris@16 522 // P = I[1-p]( n-k, k+1).
Chris@16 523 // = 1 - I[p](k + 1, n - k)
Chris@16 524
Chris@16 525 BOOST_MATH_STD_USING // for ADL of std functions
Chris@16 526
Chris@16 527 RealType n = dist.trials();
Chris@16 528 RealType p = dist.success_fraction();
Chris@16 529
Chris@16 530 // Error check:
Chris@16 531 RealType result = 0;
Chris@16 532 if(false == binomial_detail::check_dist_and_k(
Chris@16 533 "boost::math::cdf(binomial_distribution<%1%> const&, %1%)",
Chris@16 534 n,
Chris@16 535 p,
Chris@16 536 k,
Chris@16 537 &result, Policy()))
Chris@16 538 {
Chris@16 539 return result;
Chris@16 540 }
Chris@16 541 if (k == n)
Chris@16 542 {
Chris@16 543 return 1;
Chris@16 544 }
Chris@16 545
Chris@16 546 // Special cases, regardless of k.
Chris@16 547 if (p == 0)
Chris@16 548 { // This need explanation:
Chris@16 549 // the pdf is zero for all cases except when k == 0.
Chris@16 550 // For zero p the probability of zero successes is one.
Chris@16 551 // Therefore the cdf is always 1:
Chris@16 552 // the probability of k or *fewer* successes is always 1
Chris@16 553 // if there are never any successes!
Chris@16 554 return 1;
Chris@16 555 }
Chris@16 556 if (p == 1)
Chris@16 557 { // This is correct but needs explanation:
Chris@16 558 // when k = 1
Chris@16 559 // all the cdf and pdf values are zero *except* when k == n,
Chris@16 560 // and that case has been handled above already.
Chris@16 561 return 0;
Chris@16 562 }
Chris@16 563 //
Chris@16 564 // P = I[1-p](n - k, k + 1)
Chris@16 565 // = 1 - I[p](k + 1, n - k)
Chris@16 566 // Use of ibetac here prevents cancellation errors in calculating
Chris@16 567 // 1-p if p is very small, perhaps smaller than machine epsilon.
Chris@16 568 //
Chris@16 569 // Note that we do not use a finite sum here, since the incomplete
Chris@16 570 // beta uses a finite sum internally for integer arguments, so
Chris@16 571 // we'll just let it take care of the necessary logic.
Chris@16 572 //
Chris@16 573 return ibetac(k + 1, n - k, p, Policy());
Chris@16 574 } // binomial cdf
Chris@16 575
Chris@16 576 template <class RealType, class Policy>
Chris@16 577 inline RealType cdf(const complemented2_type<binomial_distribution<RealType, Policy>, RealType>& c)
Chris@16 578 { // Complemented Cumulative Distribution Function Binomial.
Chris@16 579 // The random variate k is the number of successes in n trials.
Chris@16 580 // k argument may be integral, signed, or unsigned, or floating point.
Chris@16 581 // If necessary, it has already been promoted from an integral type.
Chris@16 582
Chris@16 583 // Returns the sum of the terms k+1 through n of the Binomial Probability Density/Mass:
Chris@16 584 //
Chris@16 585 // i=n
Chris@16 586 // -- ( n ) i n-i
Chris@16 587 // > | | p (1-p)
Chris@16 588 // -- ( i )
Chris@16 589 // i=k+1
Chris@16 590
Chris@16 591 // The terms are not summed directly instead
Chris@16 592 // the incomplete beta integral is employed,
Chris@16 593 // according to the formula:
Chris@16 594 // Q = 1 -I[1-p]( n-k, k+1).
Chris@16 595 // = I[p](k + 1, n - k)
Chris@16 596
Chris@16 597 BOOST_MATH_STD_USING // for ADL of std functions
Chris@16 598
Chris@16 599 RealType const& k = c.param;
Chris@16 600 binomial_distribution<RealType, Policy> const& dist = c.dist;
Chris@16 601 RealType n = dist.trials();
Chris@16 602 RealType p = dist.success_fraction();
Chris@16 603
Chris@16 604 // Error checks:
Chris@16 605 RealType result = 0;
Chris@16 606 if(false == binomial_detail::check_dist_and_k(
Chris@16 607 "boost::math::cdf(binomial_distribution<%1%> const&, %1%)",
Chris@16 608 n,
Chris@16 609 p,
Chris@16 610 k,
Chris@16 611 &result, Policy()))
Chris@16 612 {
Chris@16 613 return result;
Chris@16 614 }
Chris@16 615
Chris@16 616 if (k == n)
Chris@16 617 { // Probability of greater than n successes is necessarily zero:
Chris@16 618 return 0;
Chris@16 619 }
Chris@16 620
Chris@16 621 // Special cases, regardless of k.
Chris@16 622 if (p == 0)
Chris@16 623 {
Chris@16 624 // This need explanation: the pdf is zero for all
Chris@16 625 // cases except when k == 0. For zero p the probability
Chris@16 626 // of zero successes is one. Therefore the cdf is always
Chris@16 627 // 1: the probability of *more than* k successes is always 0
Chris@16 628 // if there are never any successes!
Chris@16 629 return 0;
Chris@16 630 }
Chris@16 631 if (p == 1)
Chris@16 632 {
Chris@16 633 // This needs explanation, when p = 1
Chris@16 634 // we always have n successes, so the probability
Chris@16 635 // of more than k successes is 1 as long as k < n.
Chris@16 636 // The k == n case has already been handled above.
Chris@16 637 return 1;
Chris@16 638 }
Chris@16 639 //
Chris@16 640 // Calculate cdf binomial using the incomplete beta function.
Chris@16 641 // Q = 1 -I[1-p](n - k, k + 1)
Chris@16 642 // = I[p](k + 1, n - k)
Chris@16 643 // Use of ibeta here prevents cancellation errors in calculating
Chris@16 644 // 1-p if p is very small, perhaps smaller than machine epsilon.
Chris@16 645 //
Chris@16 646 // Note that we do not use a finite sum here, since the incomplete
Chris@16 647 // beta uses a finite sum internally for integer arguments, so
Chris@16 648 // we'll just let it take care of the necessary logic.
Chris@16 649 //
Chris@16 650 return ibeta(k + 1, n - k, p, Policy());
Chris@16 651 } // binomial cdf
Chris@16 652
Chris@16 653 template <class RealType, class Policy>
Chris@16 654 inline RealType quantile(const binomial_distribution<RealType, Policy>& dist, const RealType& p)
Chris@16 655 {
Chris@16 656 return binomial_detail::quantile_imp(dist, p, RealType(1-p), false);
Chris@16 657 } // quantile
Chris@16 658
Chris@16 659 template <class RealType, class Policy>
Chris@16 660 RealType quantile(const complemented2_type<binomial_distribution<RealType, Policy>, RealType>& c)
Chris@16 661 {
Chris@16 662 return binomial_detail::quantile_imp(c.dist, RealType(1-c.param), c.param, true);
Chris@16 663 } // quantile
Chris@16 664
Chris@16 665 template <class RealType, class Policy>
Chris@16 666 inline RealType mode(const binomial_distribution<RealType, Policy>& dist)
Chris@16 667 {
Chris@16 668 BOOST_MATH_STD_USING // ADL of std functions.
Chris@16 669 RealType p = dist.success_fraction();
Chris@16 670 RealType n = dist.trials();
Chris@16 671 return floor(p * (n + 1));
Chris@16 672 }
Chris@16 673
Chris@16 674 template <class RealType, class Policy>
Chris@16 675 inline RealType median(const binomial_distribution<RealType, Policy>& dist)
Chris@16 676 { // Bounds for the median of the negative binomial distribution
Chris@16 677 // VAN DE VEN R. ; WEBER N. C. ;
Chris@16 678 // Univ. Sydney, school mathematics statistics, Sydney N.S.W. 2006, AUSTRALIE
Chris@16 679 // Metrika (Metrika) ISSN 0026-1335 CODEN MTRKA8
Chris@16 680 // 1993, vol. 40, no3-4, pp. 185-189 (4 ref.)
Chris@16 681
Chris@16 682 // Bounds for median and 50 percetage point of binomial and negative binomial distribution
Chris@16 683 // Metrika, ISSN 0026-1335 (Print) 1435-926X (Online)
Chris@16 684 // Volume 41, Number 1 / December, 1994, DOI 10.1007/BF01895303
Chris@16 685 BOOST_MATH_STD_USING // ADL of std functions.
Chris@16 686 RealType p = dist.success_fraction();
Chris@16 687 RealType n = dist.trials();
Chris@16 688 // Wikipedia says one of floor(np) -1, floor (np), floor(np) +1
Chris@16 689 return floor(p * n); // Chose the middle value.
Chris@16 690 }
Chris@16 691
Chris@16 692 template <class RealType, class Policy>
Chris@16 693 inline RealType skewness(const binomial_distribution<RealType, Policy>& dist)
Chris@16 694 {
Chris@16 695 BOOST_MATH_STD_USING // ADL of std functions.
Chris@16 696 RealType p = dist.success_fraction();
Chris@16 697 RealType n = dist.trials();
Chris@16 698 return (1 - 2 * p) / sqrt(n * p * (1 - p));
Chris@16 699 }
Chris@16 700
Chris@16 701 template <class RealType, class Policy>
Chris@16 702 inline RealType kurtosis(const binomial_distribution<RealType, Policy>& dist)
Chris@16 703 {
Chris@16 704 RealType p = dist.success_fraction();
Chris@16 705 RealType n = dist.trials();
Chris@16 706 return 3 - 6 / n + 1 / (n * p * (1 - p));
Chris@16 707 }
Chris@16 708
Chris@16 709 template <class RealType, class Policy>
Chris@16 710 inline RealType kurtosis_excess(const binomial_distribution<RealType, Policy>& dist)
Chris@16 711 {
Chris@16 712 RealType p = dist.success_fraction();
Chris@16 713 RealType q = 1 - p;
Chris@16 714 RealType n = dist.trials();
Chris@16 715 return (1 - 6 * p * q) / (n * p * q);
Chris@16 716 }
Chris@16 717
Chris@16 718 } // namespace math
Chris@16 719 } // namespace boost
Chris@16 720
Chris@16 721 // This include must be at the end, *after* the accessors
Chris@16 722 // for this distribution have been defined, in order to
Chris@16 723 // keep compilers that support two-phase lookup happy.
Chris@16 724 #include <boost/math/distributions/detail/derived_accessors.hpp>
Chris@16 725
Chris@16 726 #endif // BOOST_MATH_SPECIAL_BINOMIAL_HPP
Chris@16 727
Chris@16 728