To check out this repository please hg clone the following URL, or open the URL using EasyMercurial or your preferred Mercurial client.
The primary repository for this project is hosted at https://github.com/sonic-visualiser/sv-dependency-builds .
This repository is a read-only copy which is updated automatically every hour.
root / any / include / boost / math / distributions / binomial.hpp @ 160:cff480c41f97
History | View | Annotate | Download (28.7 KB)
| 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 |
|