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