1 | // Copyright John Maddock 2006. |
2 | // Use, modification and distribution are subject to the |
3 | // Boost Software License, Version 1.0. (See accompanying file |
4 | // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) |
5 | |
6 | #ifndef BOOST_STATS_DERIVED_HPP |
7 | #define BOOST_STATS_DERIVED_HPP |
8 | |
9 | // This file implements various common properties of distributions |
10 | // that can be implemented in terms of other properties: |
11 | // variance OR standard deviation (see note below), |
12 | // hazard, cumulative hazard (chf), coefficient_of_variation. |
13 | // |
14 | // Note that while both variance and standard_deviation are provided |
15 | // here, each distribution MUST SPECIALIZE AT LEAST ONE OF THESE |
16 | // otherwise these two versions will just call each other over and over |
17 | // until stack space runs out ... |
18 | |
19 | // Of course there may be more efficient means of implementing these |
20 | // that are specific to a particular distribution, but these generic |
21 | // versions give these properties "for free" with most distributions. |
22 | // |
23 | // In order to make use of this header, it must be included AT THE END |
24 | // of the distribution header, AFTER the distribution and its core |
25 | // property accessors have been defined: this is so that compilers |
26 | // that implement 2-phase lookup and early-type-checking of templates |
27 | // can find the definitions referred to herein. |
28 | // |
29 | |
30 | #include <boost/type_traits/is_same.hpp> |
31 | #include <boost/static_assert.hpp> |
32 | |
33 | #ifdef BOOST_MSVC |
34 | # pragma warning(push) |
35 | # pragma warning(disable: 4723) // potential divide by 0 |
36 | // Suppressing spurious warning in coefficient_of_variation |
37 | #endif |
38 | |
39 | namespace boost{ namespace math{ |
40 | |
41 | template <class Distribution> |
42 | typename Distribution::value_type variance(const Distribution& dist); |
43 | |
44 | template <class Distribution> |
45 | inline typename Distribution::value_type standard_deviation(const Distribution& dist) |
46 | { |
47 | BOOST_MATH_STD_USING // ADL of sqrt. |
48 | return sqrt(variance(dist)); |
49 | } |
50 | |
51 | template <class Distribution> |
52 | inline typename Distribution::value_type variance(const Distribution& dist) |
53 | { |
54 | typename Distribution::value_type result = standard_deviation(dist); |
55 | return result * result; |
56 | } |
57 | |
58 | template <class Distribution, class RealType> |
59 | inline typename Distribution::value_type hazard(const Distribution& dist, const RealType& x) |
60 | { // hazard function |
61 | // http://www.itl.nist.gov/div898/handbook/eda/section3/eda362.htm#HAZ |
62 | typedef typename Distribution::value_type value_type; |
63 | typedef typename Distribution::policy_type policy_type; |
64 | value_type p = cdf(complement(dist, x)); |
65 | value_type d = pdf(dist, x); |
66 | if(d > p * tools::max_value<value_type>()) |
67 | return policies::raise_overflow_error<value_type>( |
68 | "boost::math::hazard(const Distribution&, %1%)" , 0, policy_type()); |
69 | if(d == 0) |
70 | { |
71 | // This protects against 0/0, but is it the right thing to do? |
72 | return 0; |
73 | } |
74 | return d / p; |
75 | } |
76 | |
77 | template <class Distribution, class RealType> |
78 | inline typename Distribution::value_type chf(const Distribution& dist, const RealType& x) |
79 | { // cumulative hazard function. |
80 | // http://www.itl.nist.gov/div898/handbook/eda/section3/eda362.htm#HAZ |
81 | BOOST_MATH_STD_USING |
82 | return -log(cdf(complement(dist, x))); |
83 | } |
84 | |
85 | template <class Distribution> |
86 | inline typename Distribution::value_type coefficient_of_variation(const Distribution& dist) |
87 | { |
88 | typedef typename Distribution::value_type value_type; |
89 | typedef typename Distribution::policy_type policy_type; |
90 | |
91 | using std::abs; |
92 | |
93 | value_type m = mean(dist); |
94 | value_type d = standard_deviation(dist); |
95 | if((abs(m) < 1) && (d > abs(m) * tools::max_value<value_type>())) |
96 | { // Checks too that m is not zero, |
97 | return policies::raise_overflow_error<value_type>("boost::math::coefficient_of_variation(const Distribution&, %1%)" , 0, policy_type()); |
98 | } |
99 | return d / m; // so MSVC warning on zerodivide is spurious, and suppressed. |
100 | } |
101 | // |
102 | // Next follow overloads of some of the standard accessors with mixed |
103 | // argument types. We just use a typecast to forward on to the "real" |
104 | // implementation with all arguments of the same type: |
105 | // |
106 | template <class Distribution, class RealType> |
107 | inline typename Distribution::value_type pdf(const Distribution& dist, const RealType& x) |
108 | { |
109 | typedef typename Distribution::value_type value_type; |
110 | return pdf(dist, static_cast<value_type>(x)); |
111 | } |
112 | template <class Distribution, class RealType> |
113 | inline typename Distribution::value_type cdf(const Distribution& dist, const RealType& x) |
114 | { |
115 | typedef typename Distribution::value_type value_type; |
116 | return cdf(dist, static_cast<value_type>(x)); |
117 | } |
118 | template <class Distribution, class RealType> |
119 | inline typename Distribution::value_type quantile(const Distribution& dist, const RealType& x) |
120 | { |
121 | typedef typename Distribution::value_type value_type; |
122 | return quantile(dist, static_cast<value_type>(x)); |
123 | } |
124 | /* |
125 | template <class Distribution, class RealType> |
126 | inline typename Distribution::value_type chf(const Distribution& dist, const RealType& x) |
127 | { |
128 | typedef typename Distribution::value_type value_type; |
129 | return chf(dist, static_cast<value_type>(x)); |
130 | } |
131 | */ |
132 | template <class Distribution, class RealType> |
133 | inline typename Distribution::value_type cdf(const complemented2_type<Distribution, RealType>& c) |
134 | { |
135 | typedef typename Distribution::value_type value_type; |
136 | return cdf(complement(c.dist, static_cast<value_type>(c.param))); |
137 | } |
138 | |
139 | template <class Distribution, class RealType> |
140 | inline typename Distribution::value_type quantile(const complemented2_type<Distribution, RealType>& c) |
141 | { |
142 | typedef typename Distribution::value_type value_type; |
143 | return quantile(complement(c.dist, static_cast<value_type>(c.param))); |
144 | } |
145 | |
146 | template <class Dist> |
147 | inline typename Dist::value_type median(const Dist& d) |
148 | { // median - default definition for those distributions for which a |
149 | // simple closed form is not known, |
150 | // and for which a domain_error and/or NaN generating function is NOT defined. |
151 | typedef typename Dist::value_type value_type; |
152 | return quantile(d, static_cast<value_type>(0.5f)); |
153 | } |
154 | |
155 | } // namespace math |
156 | } // namespace boost |
157 | |
158 | |
159 | #ifdef BOOST_MSVC |
160 | # pragma warning(pop) |
161 | #endif |
162 | |
163 | #endif // BOOST_STATS_DERIVED_HPP |
164 | |