boost/math/distributions/inverse_gaussian.hpp
// Copyright John Maddock 2010.
// Copyright Paul A. Bristow 2010.
// Use, modification and distribution are subject to the
// Boost Software License, Version 1.0. (See accompanying file
// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
#ifndef BOOST_STATS_INVERSE_GAUSSIAN_HPP
#define BOOST_STATS_INVERSE_GAUSSIAN_HPP
#ifdef _MSC_VER
#pragma warning(disable: 4512) // assignment operator could not be generated
#endif
// http://en.wikipedia.org/wiki/Normal-inverse_Gaussian_distribution
// http://mathworld.wolfram.com/InverseGaussianDistribution.html
// The normal-inverse Gaussian distribution
// also called the Wald distribution (some sources limit this to when mean = 1).
// It is the continuous probability distribution
// that is defined as the normal variance-mean mixture where the mixing density is the
// inverse Gaussian distribution. The tails of the distribution decrease more slowly
// than the normal distribution. It is therefore suitable to model phenomena
// where numerically large values are more probable than is the case for the normal distribution.
// The Inverse Gaussian distribution was first studied in relationship to Brownian motion.
// In 1956 M.C.K. Tweedie used the name 'Inverse Gaussian' because there is an inverse
// relationship between the time to cover a unit distance and distance covered in unit time.
// Examples are returns from financial assets and turbulent wind speeds.
// The normal-inverse Gaussian distributions form
// a subclass of the generalised hyperbolic distributions.
// See also
// http://en.wikipedia.org/wiki/Normal_distribution
// http://www.itl.nist.gov/div898/handbook/eda/section3/eda3661.htm
// Also:
// Weisstein, Eric W. "Normal Distribution."
// From MathWorld--A Wolfram Web Resource.
// http://mathworld.wolfram.com/NormalDistribution.html
// http://www.jstatsoft.org/v26/i04/paper General class of inverse Gaussian distributions.
// ig package - withdrawn but at http://cran.r-project.org/src/contrib/Archive/ig/
// http://www.stat.ucl.ac.be/ISdidactique/Rhelp/library/SuppDists/html/inverse_gaussian.html
// R package for dinverse_gaussian, ...
// http://www.statsci.org/s/inverse_gaussian.s and http://www.statsci.org/s/inverse_gaussian.html
//#include <boost/math/distributions/fwd.hpp>
#include <boost/math/special_functions/erf.hpp> // for erf/erfc.
#include <boost/math/distributions/complement.hpp>
#include <boost/math/distributions/detail/common_error_handling.hpp>
#include <boost/math/distributions/normal.hpp>
#include <boost/math/distributions/gamma.hpp> // for gamma function
#include <boost/math/tools/tuple.hpp>
#include <boost/math/tools/roots.hpp>
#include <utility>
namespace boost{ namespace math{
template <class RealType = double, class Policy = policies::policy<> >
class inverse_gaussian_distribution
{
public:
using value_type = RealType;
using policy_type = Policy;
explicit inverse_gaussian_distribution(RealType l_mean = 1, RealType l_scale = 1)
: m_mean(l_mean), m_scale(l_scale)
{ // Default is a 1,1 inverse_gaussian distribution.
static const char* function = "boost::math::inverse_gaussian_distribution<%1%>::inverse_gaussian_distribution";
RealType result;
detail::check_scale(function, l_scale, &result, Policy());
detail::check_location(function, l_mean, &result, Policy());
detail::check_x_gt0(function, l_mean, &result, Policy());
}
RealType mean()const
{ // alias for location.
return m_mean; // aka mu
}
// Synonyms, provided to allow generic use of find_location and find_scale.
RealType location()const
{ // location, aka mu.
return m_mean;
}
RealType scale()const
{ // scale, aka lambda.
return m_scale;
}
RealType shape()const
{ // shape, aka phi = lambda/mu.
return m_scale / m_mean;
}
private:
//
// Data members:
//
RealType m_mean; // distribution mean or location, aka mu.
RealType m_scale; // distribution standard deviation or scale, aka lambda.
}; // class normal_distribution
using inverse_gaussian = inverse_gaussian_distribution<double>;
#ifdef __cpp_deduction_guides
template <class RealType>
inverse_gaussian_distribution(RealType)->inverse_gaussian_distribution<typename boost::math::tools::promote_args<RealType>::type>;
template <class RealType>
inverse_gaussian_distribution(RealType,RealType)->inverse_gaussian_distribution<typename boost::math::tools::promote_args<RealType>::type>;
#endif
template <class RealType, class Policy>
inline std::pair<RealType, RealType> range(const inverse_gaussian_distribution<RealType, Policy>& /*dist*/)
{ // Range of permissible values for random variable x, zero to max.
using boost::math::tools::max_value;
return std::pair<RealType, RealType>(static_cast<RealType>(0.), max_value<RealType>()); // - to + max value.
}
template <class RealType, class Policy>
inline std::pair<RealType, RealType> support(const inverse_gaussian_distribution<RealType, Policy>& /*dist*/)
{ // Range of supported values for random variable x, zero to max.
// This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
using boost::math::tools::max_value;
return std::pair<RealType, RealType>(static_cast<RealType>(0.), max_value<RealType>()); // - to + max value.
}
template <class RealType, class Policy>
inline RealType pdf(const inverse_gaussian_distribution<RealType, Policy>& dist, const RealType& x)
{ // Probability Density Function
BOOST_MATH_STD_USING // for ADL of std functions
RealType scale = dist.scale();
RealType mean = dist.mean();
RealType result = 0;
static const char* function = "boost::math::pdf(const inverse_gaussian_distribution<%1%>&, %1%)";
if(false == detail::check_scale(function, scale, &result, Policy()))
{
return result;
}
if(false == detail::check_location(function, mean, &result, Policy()))
{
return result;
}
if(false == detail::check_x_gt0(function, mean, &result, Policy()))
{
return result;
}
if(false == detail::check_positive_x(function, x, &result, Policy()))
{
return result;
}
if (x == 0)
{
return 0; // Convenient, even if not defined mathematically.
}
result =
sqrt(scale / (constants::two_pi<RealType>() * x * x * x))
* exp(-scale * (x - mean) * (x - mean) / (2 * x * mean * mean));
return result;
} // pdf
template <class RealType, class Policy>
inline RealType logpdf(const inverse_gaussian_distribution<RealType, Policy>& dist, const RealType& x)
{ // Probability Density Function
BOOST_MATH_STD_USING // for ADL of std functions
RealType scale = dist.scale();
RealType mean = dist.mean();
RealType result = -std::numeric_limits<RealType>::infinity();
static const char* function = "boost::math::logpdf(const inverse_gaussian_distribution<%1%>&, %1%)";
if(false == detail::check_scale(function, scale, &result, Policy()))
{
return result;
}
if(false == detail::check_location(function, mean, &result, Policy()))
{
return result;
}
if(false == detail::check_x_gt0(function, mean, &result, Policy()))
{
return result;
}
if(false == detail::check_positive_x(function, x, &result, Policy()))
{
return result;
}
if (x == 0)
{
return std::numeric_limits<RealType>::quiet_NaN(); // Convenient, even if not defined mathematically. log(0)
}
const RealType two_pi = boost::math::constants::two_pi<RealType>();
result = (-scale*pow(mean - x, RealType(2))/(mean*mean*x) + log(scale) - 3*log(x) - log(two_pi)) / 2;
return result;
} // pdf
template <class RealType, class Policy>
inline RealType cdf(const inverse_gaussian_distribution<RealType, Policy>& dist, const RealType& x)
{ // Cumulative Density Function.
BOOST_MATH_STD_USING // for ADL of std functions.
RealType scale = dist.scale();
RealType mean = dist.mean();
static const char* function = "boost::math::cdf(const inverse_gaussian_distribution<%1%>&, %1%)";
RealType result = 0;
if(false == detail::check_scale(function, scale, &result, Policy()))
{
return result;
}
if(false == detail::check_location(function, mean, &result, Policy()))
{
return result;
}
if (false == detail::check_x_gt0(function, mean, &result, Policy()))
{
return result;
}
if(false == detail::check_positive_x(function, x, &result, Policy()))
{
return result;
}
if (x == 0)
{
return 0; // Convenient, even if not defined mathematically.
}
// Problem with this formula for large scale > 1000 or small x
// so use normal distribution version:
// Wikipedia CDF equation http://en.wikipedia.org/wiki/Inverse_Gaussian_distribution.
normal_distribution<RealType> n01;
RealType n0 = sqrt(scale / x);
n0 *= ((x / mean) -1);
RealType n1 = cdf(n01, n0);
RealType expfactor = exp(2 * scale / mean);
RealType n3 = - sqrt(scale / x);
n3 *= (x / mean) + 1;
RealType n4 = cdf(n01, n3);
result = n1 + expfactor * n4;
return result;
} // cdf
template <class RealType, class Policy>
struct inverse_gaussian_quantile_functor
{
inverse_gaussian_quantile_functor(const boost::math::inverse_gaussian_distribution<RealType, Policy> dist, RealType const& p)
: distribution(dist), prob(p)
{
}
boost::math::tuple<RealType, RealType> operator()(RealType const& x)
{
RealType c = cdf(distribution, x);
RealType fx = c - prob; // Difference cdf - value - to minimize.
RealType dx = pdf(distribution, x); // pdf is 1st derivative.
// return both function evaluation difference f(x) and 1st derivative f'(x).
return boost::math::make_tuple(fx, dx);
}
private:
const boost::math::inverse_gaussian_distribution<RealType, Policy> distribution;
RealType prob;
};
template <class RealType, class Policy>
struct inverse_gaussian_quantile_complement_functor
{
inverse_gaussian_quantile_complement_functor(const boost::math::inverse_gaussian_distribution<RealType, Policy> dist, RealType const& p)
: distribution(dist), prob(p)
{
}
boost::math::tuple<RealType, RealType> operator()(RealType const& x)
{
RealType c = cdf(complement(distribution, x));
RealType fx = c - prob; // Difference cdf - value - to minimize.
RealType dx = -pdf(distribution, x); // pdf is 1st derivative.
// return both function evaluation difference f(x) and 1st derivative f'(x).
//return std::tr1::make_tuple(fx, dx); if available.
return boost::math::make_tuple(fx, dx);
}
private:
const boost::math::inverse_gaussian_distribution<RealType, Policy> distribution;
RealType prob;
};
namespace detail
{
template <class RealType>
inline RealType guess_ig(RealType p, RealType mu = 1, RealType lambda = 1)
{ // guess at random variate value x for inverse gaussian quantile.
BOOST_MATH_STD_USING
using boost::math::policies::policy;
// Error type.
using boost::math::policies::overflow_error;
// Action.
using boost::math::policies::ignore_error;
using no_overthrow_policy = policy<overflow_error<ignore_error>>;
RealType x; // result is guess at random variate value x.
RealType phi = lambda / mu;
if (phi > 2.)
{ // Big phi, so starting to look like normal Gaussian distribution.
//
// Whitmore, G.A. and Yalovsky, M.
// A normalising logarithmic transformation for inverse Gaussian random variables,
// Technometrics 20-2, 207-208 (1978), but using expression from
// V Seshadri, Inverse Gaussian distribution (1998) ISBN 0387 98618 9, page 6.
normal_distribution<RealType, no_overthrow_policy> n01;
x = mu * exp(quantile(n01, p) / sqrt(phi) - 1/(2 * phi));
}
else
{ // phi < 2 so much less symmetrical with long tail,
// so use gamma distribution as an approximation.
using boost::math::gamma_distribution;
// Define the distribution, using gamma_nooverflow:
using gamma_nooverflow = gamma_distribution<RealType, no_overthrow_policy>;
gamma_nooverflow g(static_cast<RealType>(0.5), static_cast<RealType>(1.));
// R qgamma(0.2, 0.5, 1) = 0.0320923
RealType qg = quantile(complement(g, p));
x = lambda / (qg * 2);
//
if (x > mu/2) // x > mu /2?
{ // x too large for the gamma approximation to work well.
//x = qgamma(p, 0.5, 1.0); // qgamma(0.270614, 0.5, 1) = 0.05983807
RealType q = quantile(g, p);
// x = mu * exp(q * static_cast<RealType>(0.1)); // Said to improve at high p
// x = mu * x; // Improves at high p?
x = mu * exp(q / sqrt(phi) - 1/(2 * phi));
}
}
return x;
} // guess_ig
} // namespace detail
template <class RealType, class Policy>
inline RealType quantile(const inverse_gaussian_distribution<RealType, Policy>& dist, const RealType& p)
{
BOOST_MATH_STD_USING // for ADL of std functions.
// No closed form exists so guess and use Newton Raphson iteration.
RealType mean = dist.mean();
RealType scale = dist.scale();
static const char* function = "boost::math::quantile(const inverse_gaussian_distribution<%1%>&, %1%)";
RealType result = 0;
if(false == detail::check_scale(function, scale, &result, Policy()))
return result;
if(false == detail::check_location(function, mean, &result, Policy()))
return result;
if (false == detail::check_x_gt0(function, mean, &result, Policy()))
return result;
if(false == detail::check_probability(function, p, &result, Policy()))
return result;
if (p == 0)
{
return 0; // Convenient, even if not defined mathematically?
}
if (p == 1)
{ // overflow
result = policies::raise_overflow_error<RealType>(function,
"probability parameter is 1, but must be < 1!", Policy());
return result; // infinity;
}
RealType guess = detail::guess_ig(p, dist.mean(), dist.scale());
using boost::math::tools::max_value;
RealType min = 0.; // Minimum possible value is bottom of range of distribution.
RealType max = max_value<RealType>();// Maximum possible value is top of range.
// int digits = std::numeric_limits<RealType>::digits; // Maximum possible binary digits accuracy for type T.
// digits used to control how accurate to try to make the result.
// To allow user to control accuracy versus speed,
int get_digits = policies::digits<RealType, Policy>();// get digits from policy,
std::uintmax_t m = policies::get_max_root_iterations<Policy>(); // and max iterations.
using boost::math::tools::newton_raphson_iterate;
result =
newton_raphson_iterate(inverse_gaussian_quantile_functor<RealType, Policy>(dist, p), guess, min, max, get_digits, m);
return result;
} // quantile
template <class RealType, class Policy>
inline RealType cdf(const complemented2_type<inverse_gaussian_distribution<RealType, Policy>, RealType>& c)
{
BOOST_MATH_STD_USING // for ADL of std functions.
RealType scale = c.dist.scale();
RealType mean = c.dist.mean();
RealType x = c.param;
static const char* function = "boost::math::cdf(const complement(inverse_gaussian_distribution<%1%>&), %1%)";
RealType result = 0;
if(false == detail::check_scale(function, scale, &result, Policy()))
return result;
if(false == detail::check_location(function, mean, &result, Policy()))
return result;
if (false == detail::check_x_gt0(function, mean, &result, Policy()))
return result;
if(false == detail::check_positive_x(function, x, &result, Policy()))
return result;
normal_distribution<RealType> n01;
RealType n0 = sqrt(scale / x);
n0 *= ((x / mean) -1);
RealType cdf_1 = cdf(complement(n01, n0));
RealType expfactor = exp(2 * scale / mean);
RealType n3 = - sqrt(scale / x);
n3 *= (x / mean) + 1;
//RealType n5 = +sqrt(scale/x) * ((x /mean) + 1); // note now positive sign.
RealType n6 = cdf(complement(n01, +sqrt(scale/x) * ((x /mean) + 1)));
// RealType n4 = cdf(n01, n3); // =
result = cdf_1 - expfactor * n6;
return result;
} // cdf complement
template <class RealType, class Policy>
inline RealType quantile(const complemented2_type<inverse_gaussian_distribution<RealType, Policy>, RealType>& c)
{
BOOST_MATH_STD_USING // for ADL of std functions
RealType scale = c.dist.scale();
RealType mean = c.dist.mean();
static const char* function = "boost::math::quantile(const complement(inverse_gaussian_distribution<%1%>&), %1%)";
RealType result = 0;
if(false == detail::check_scale(function, scale, &result, Policy()))
return result;
if(false == detail::check_location(function, mean, &result, Policy()))
return result;
if (false == detail::check_x_gt0(function, mean, &result, Policy()))
return result;
RealType q = c.param;
if(false == detail::check_probability(function, q, &result, Policy()))
return result;
RealType guess = detail::guess_ig(q, mean, scale);
// Complement.
using boost::math::tools::max_value;
RealType min = 0.; // Minimum possible value is bottom of range of distribution.
RealType max = max_value<RealType>();// Maximum possible value is top of range.
// int digits = std::numeric_limits<RealType>::digits; // Maximum possible binary digits accuracy for type T.
// digits used to control how accurate to try to make the result.
int get_digits = policies::digits<RealType, Policy>();
std::uintmax_t m = policies::get_max_root_iterations<Policy>();
using boost::math::tools::newton_raphson_iterate;
result =
newton_raphson_iterate(inverse_gaussian_quantile_complement_functor<RealType, Policy>(c.dist, q), guess, min, max, get_digits, m);
return result;
} // quantile
template <class RealType, class Policy>
inline RealType mean(const inverse_gaussian_distribution<RealType, Policy>& dist)
{ // aka mu
return dist.mean();
}
template <class RealType, class Policy>
inline RealType scale(const inverse_gaussian_distribution<RealType, Policy>& dist)
{ // aka lambda
return dist.scale();
}
template <class RealType, class Policy>
inline RealType shape(const inverse_gaussian_distribution<RealType, Policy>& dist)
{ // aka phi
return dist.shape();
}
template <class RealType, class Policy>
inline RealType standard_deviation(const inverse_gaussian_distribution<RealType, Policy>& dist)
{
BOOST_MATH_STD_USING
RealType scale = dist.scale();
RealType mean = dist.mean();
RealType result = sqrt(mean * mean * mean / scale);
return result;
}
template <class RealType, class Policy>
inline RealType mode(const inverse_gaussian_distribution<RealType, Policy>& dist)
{
BOOST_MATH_STD_USING
RealType scale = dist.scale();
RealType mean = dist.mean();
RealType result = mean * (sqrt(1 + (9 * mean * mean)/(4 * scale * scale))
- 3 * mean / (2 * scale));
return result;
}
template <class RealType, class Policy>
inline RealType skewness(const inverse_gaussian_distribution<RealType, Policy>& dist)
{
BOOST_MATH_STD_USING
RealType scale = dist.scale();
RealType mean = dist.mean();
RealType result = 3 * sqrt(mean/scale);
return result;
}
template <class RealType, class Policy>
inline RealType kurtosis(const inverse_gaussian_distribution<RealType, Policy>& dist)
{
RealType scale = dist.scale();
RealType mean = dist.mean();
RealType result = 15 * mean / scale -3;
return result;
}
template <class RealType, class Policy>
inline RealType kurtosis_excess(const inverse_gaussian_distribution<RealType, Policy>& dist)
{
RealType scale = dist.scale();
RealType mean = dist.mean();
RealType result = 15 * mean / scale;
return result;
}
} // namespace math
} // namespace boost
// This include must be at the end, *after* the accessors
// for this distribution have been defined, in order to
// keep compilers that support two-phase lookup happy.
#include <boost/math/distributions/detail/derived_accessors.hpp>
#endif // BOOST_STATS_INVERSE_GAUSSIAN_HPP