non_central_t.hpp

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               ++count;
               if(count > max_iter)
               {
                  return policies::raise_evaluation_error(
                     "pdf(non_central_t_distribution<%1%>, %1%)", 
                     "Series did not converge, closest value was %1%", sum, pol);
               }
            }
            for(int i = k + 1; ; ++i)
            {
               poisf *= d2 / (i + 0.5f);
               xtermf *= (x * (n / 2 + i)) / (i);
               T term = poisf * xtermf;
               sum += term;
               if((fabs(term/sum) < errtol) || (term == 0))
                  break;
               ++count;
               if(count > max_iter)
               {
                  return policies::raise_evaluation_error(
                     "pdf(non_central_t_distribution<%1%>, %1%)", 
                     "Series did not converge, closest value was %1%", sum, pol);
               }
            }
            return sum;
         }

         template <class T, class Policy>
         T non_central_t_pdf(T n, T delta, T t, const Policy& pol)
         {
            BOOST_MATH_STD_USING
            //
            // For t < 0 we have to use the reflection formula:
            //
            if(t < 0)
            {
               t = -t;
               delta = -delta;
            }
            if(t == 0)
            {
               //
               // Handle this as a special case, using the formula
               // from Weisstein, Eric W. 
               // "Noncentral Student's t-Distribution." 
               // From MathWorld--A Wolfram Web Resource. 
               // http://mathworld.wolfram.com/NoncentralStudentst-Distribution.html 
               // 
               // The formula is simplified thanks to the relation
               // 1F1(a,b,0) = 1.
               //
               return tgamma_delta_ratio(n / 2 + 0.5f, T(0.5f))
                  * sqrt(n / constants::pi<T>()) 
                  * exp(-delta * delta / 2) / 2;
            }
            //
            // x and y are the corresponding random
            // variables for the noncentral beta distribution,
            // with y = 1 - x:
            //
            T x = t * t / (n + t * t);
            T y = n / (n + t * t);
            T a = 0.5f;
            T b = n / 2;
            T d2 = delta * delta;
            //
            // Calculate pdf:
            //
            T dt = n * t / (n * n + 2 * n * t * t + t * t * t * t);
            T result = non_central_beta_pdf(a, b, d2, x, y, pol);
            T tol = tools::epsilon<T>() * result * 500;
            result = non_central_t2_pdf(n, delta, x, y, pol, result);
            if(result <= tol)
               result = 0;
            result *= dt;
            return result;
         }

         template <class T, class Policy>
         T mean(T v, T delta, const Policy& pol)
         {
            BOOST_MATH_STD_USING
            return delta * sqrt(v / 2) * tgamma_delta_ratio((v - 1) * 0.5f, T(0.5f), pol);
         }

         template <class T, class Policy>
         T variance(T v, T delta, const Policy& pol)
         {
            T result = ((delta * delta + 1) * v) / (v - 2);
            T m = mean(v, delta, pol);
            result -= m * m;
            return result;
         }

         template <class T, class Policy>
         T skewness(T v, T delta, const Policy& pol)
         {
            BOOST_MATH_STD_USING
            T mean = boost::math::detail::mean(v, delta, pol);
            T l2 = delta * delta;
            T var = ((l2 + 1) * v) / (v - 2) - mean * mean;
            T result = -2 * var;
            result += v * (l2 + 2 * v - 3) / ((v - 3) * (v - 2));
            result *= mean;
            result /= pow(var, T(1.5f));
            return result;
         }

         template <class T, class Policy>
         T kurtosis_excess(T v, T delta, const Policy& pol)
         {
            BOOST_MATH_STD_USING
            T mean = boost::math::detail::mean(v, delta, pol);
            T l2 = delta * delta;
            T var = ((l2 + 1) * v) / (v - 2) - mean * mean;
            T result = -3 * var;
            result += v * (l2 * (v + 1) + 3 * (3 * v - 5)) / ((v - 3) * (v - 2));
            result *= -mean * mean;
            result += v * v * (l2 * l2 + 6 * l2 + 3) / ((v - 4) * (v - 2));
            result /= var * var;
            return result;
         }

#if 0
         // 
         // This code is disabled, since there can be multiple answers to the
         // question, and it's not clear how to find the "right" one.
         //
         template <class RealType, class Policy>
         struct t_degrees_of_freedom_finder
         {
            t_degrees_of_freedom_finder(
               RealType delta_, RealType x_, RealType p_, bool c)
               : delta(delta_), x(x_), p(p_), comp(c) {}

            RealType operator()(const RealType& v)
            {
               non_central_t_distribution<RealType, Policy> d(v, delta);
               return comp ?
                  p - cdf(complement(d, x))
                  : cdf(d, x) - p;
            }
         private:
            RealType delta;
            RealType x;
            RealType p;
            bool comp;
         };

         template <class RealType, class Policy>
         inline RealType find_t_degrees_of_freedom(
            RealType delta, RealType x, RealType p, RealType q, const Policy& pol)
         {
            const char* function = "non_central_t<%1%>::find_degrees_of_freedom";
            if((p == 0) || (q == 0))
            {
               //
               // Can't a thing if one of p and q is zero:
               //
               return policies::raise_evaluation_error<RealType>(function, 
                  "Can't find degrees of freedom when the probability is 0 or 1, only possible answer is %1%", 
                  RealType(std::numeric_limits<RealType>::quiet_NaN()), Policy());
            }
            t_degrees_of_freedom_finder<RealType, Policy> f(delta, x, p < q ? p : q, p < q ? false : true);
            tools::eps_tolerance<RealType> tol(policies::digits<RealType, Policy>());
            boost::uintmax_t max_iter = policies::get_max_root_iterations<Policy>();
            //
            // Pick an initial guess:
            //
            RealType guess = 200;
            std::pair<RealType, RealType> ir = tools::bracket_and_solve_root(
               f, guess, RealType(2), false, tol, max_iter, pol);
            RealType result = ir.first + (ir.second - ir.first) / 2;
            if(max_iter >= policies::get_max_root_iterations<Policy>())
            {
               policies::raise_evaluation_error<RealType>(function, "Unable to locate solution in a reasonable time:"
                  " or there is no answer to problem.  Current best guess is %1%", result, Policy());
            }
            return result;
         }

         template <class RealType, class Policy>
         struct t_non_centrality_finder
         {
            t_non_centrality_finder(
               RealType v_, RealType x_, RealType p_, bool c)
               : v(v_), x(x_), p(p_), comp(c) {}

            RealType operator()(const RealType& delta)
            {
               non_central_t_distribution<RealType, Policy> d(v, delta);
               return comp ?
                  p - cdf(complement(d, x))
                  : cdf(d, x) - p;
            }
         private:
            RealType v;
            RealType x;
            RealType p;
            bool comp;
         };

         template <class RealType, class Policy>
         inline RealType find_t_non_centrality(
            RealType v, RealType x, RealType p, RealType q, const Policy& pol)
         {
            const char* function = "non_central_t<%1%>::find_t_non_centrality";
            if((p == 0) || (q == 0))
            {
               //
               // Can't do a thing if one of p and q is zero:
               //
               return policies::raise_evaluation_error<RealType>(function, 
                  "Can't find non centrality parameter when the probability is 0 or 1, only possible answer is %1%", 
                  RealType(std::numeric_limits<RealType>::quiet_NaN()), Policy());
            }
            t_non_centrality_finder<RealType, Policy> f(v, x, p < q ? p : q, p < q ? false : true);
            tools::eps_tolerance<RealType> tol(policies::digits<RealType, Policy>());
            boost::uintmax_t max_iter = policies::get_max_root_iterations<Policy>();
            //
            // Pick an initial guess that we know is the right side of
            // zero:
            //
            RealType guess;
            if(f(0) < 0)
               guess = 1;
            else
               guess = -1;
            std::pair<RealType, RealType> ir = tools::bracket_and_solve_root(
               f, guess, RealType(2), false, tol, max_iter, pol);
            RealType result = ir.first + (ir.second - ir.first) / 2;
            if(max_iter >= policies::get_max_root_iterations<Policy>())
            {
               policies::raise_evaluation_error<RealType>(function, "Unable to locate solution in a reasonable time:"
                  " or there is no answer to problem.  Current best guess is %1%", result, Policy());
            }
            return result;
         }
#endif
      } // namespace detail

      template <class RealType = double, class Policy = policies::policy<> >
      class non_central_t_distribution
      {
      public:
         typedef RealType value_type;
         typedef Policy policy_type;

         non_central_t_distribution(RealType v_, RealType lambda) : v(v_), ncp(lambda)
         { 
            const char* function = "boost::math::non_central_t_distribution<%1%>::non_central_t_distribution(%1%,%1%)";
            RealType r;
            detail::check_df(
               function,
               v, &r, Policy());
            detail::check_finite(
               function,
               lambda,
               &r,
               Policy());
         } // non_central_t_distribution constructor.

         RealType degrees_of_freedom() const
         { // Private data getter function.
            return v;
         }
         RealType non_centrality() const
         { // Private data getter function.
            return ncp;
         }
#if 0
         // 
         // This code is disabled, since there can be multiple answers to the
         // question, and it's not clear how to find the "right" one.
         //
         static RealType find_degrees_of_freedom(RealType delta, RealType x, RealType p)
         {
            const char* function = "non_central_t<%1%>::find_degrees_of_freedom";
            typedef typename policies::evaluation<RealType, Policy>::type value_type;
            typedef typename policies::normalise<
               Policy, 
               policies::promote_float<false>, 
               policies::promote_double<false>, 
               policies::discrete_quantile<>,
               policies::assert_undefined<> >::type forwarding_policy;
            value_type result = detail::find_t_degrees_of_freedom(
               static_cast<value_type>(delta), 
               static_cast<value_type>(x), 
               static_cast<value_type>(p), 
               static_cast<value_type>(1-p), 
               forwarding_policy());
            return policies::checked_narrowing_cast<RealType, forwarding_policy>(
               result, 
               function);
         }
         template <class A, class B, class C>
         static RealType find_degrees_of_freedom(const complemented3_type<A,B,C>& c)
         {
            const char* function = "non_central_t<%1%>::find_degrees_of_freedom";
            typedef typename policies::evaluation<RealType, Policy>::type value_type;
            typedef typename policies::normalise<
               Policy, 
               policies::promote_float<false>, 
               policies::promote_double<false>, 
               policies::discrete_quantile<>,
               policies::assert_undefined<> >::type forwarding_policy;
            value_type result = detail::find_t_degrees_of_freedom(
               static_cast<value_type>(c.dist), 
               static_cast<value_type>(c.param1), 
               static_cast<value_type>(1-c.param2), 
               static_cast<value_type>(c.param2), 
               forwarding_policy());
            return policies::checked_narrowing_cast<RealType, forwarding_policy>(
               result, 
               function);
         }
         static RealType find_non_centrality(RealType v, RealType x, RealType p)
         {
            const char* function = "non_central_t<%1%>::find_t_non_centrality";
            typedef typename policies::evaluation<RealType, Policy>::type value_type;
            typedef typename policies::normalise<
               Policy, 
               policies::promote_float<false>, 
               policies::promote_double<false>, 
               policies::discrete_quantile<>,
               policies::assert_undefined<> >::type forwarding_policy;
            value_type result = detail::find_t_non_centrality(
               static_cast<value_type>(v), 
               static_cast<value_type>(x), 
               static_cast<value_type>(p), 
               static_cast<value_type>(1-p), 
               forwarding_policy());
            return policies::checked_narrowing_cast<RealType, forwarding_policy>(
               result, 
               function);
         }
         template <class A, class B, class C>
         static RealType find_non_centrality(const complemented3_type<A,B,C>& c)
         {
            const char* function = "non_central_t<%1%>::find_t_non_centrality";
            typedef typename policies::evaluation<RealType, Policy>::type value_type;
            typedef typename policies::normalise<
               Policy, 
               policies::promote_float<false>, 
               policies::promote_double<false>, 
               policies::discrete_quantile<>,
               policies::assert_undefined<> >::type forwarding_policy;
            value_type result = detail::find_t_non_centrality(
               static_cast<value_type>(c.dist), 
               static_cast<value_type>(c.param1), 
               static_cast<value_type>(1-c.param2), 
               static_cast<value_type>(c.param2), 
               forwarding_policy());
            return policies::checked_narrowing_cast<RealType, forwarding_policy>(
               result, 
               function);