| /* boost random/student_t_distribution.hpp header file |
| * |
| * Copyright Steven Watanabe 2011 |
| * Distributed under 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) |
| * |
| * See http://www.boost.org for most recent version including documentation. |
| * |
| * $Id$ |
| */ |
| |
| #ifndef BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP |
| #define BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP |
| |
| #include <boost/config/no_tr1/cmath.hpp> |
| #include <iosfwd> |
| #include <boost/config.hpp> |
| #include <boost/limits.hpp> |
| #include <boost/random/detail/operators.hpp> |
| #include <boost/random/chi_squared_distribution.hpp> |
| #include <boost/random/normal_distribution.hpp> |
| |
| namespace boost { |
| namespace random { |
| |
| /** |
| * The Student t distribution is a real valued distribution with one |
| * parameter n, the number of degrees of freedom. |
| * |
| * It has \f$\displaystyle p(x) = |
| * \frac{1}{\sqrt{n\pi}} |
| * \frac{\Gamma((n+1)/2)}{\Gamma(n/2)} |
| * \left(1+\frac{x^2}{n}\right)^{-(n+1)/2} |
| * \f$. |
| */ |
| template<class RealType = double> |
| class student_t_distribution { |
| public: |
| typedef RealType result_type; |
| typedef RealType input_type; |
| |
| class param_type { |
| public: |
| typedef student_t_distribution distribution_type; |
| |
| /** |
| * Constructs a @c param_type with "n" degrees of freedom. |
| * |
| * Requires: n > 0 |
| */ |
| explicit param_type(RealType n_arg = RealType(1.0)) |
| : _n(n_arg) |
| {} |
| |
| /** Returns the number of degrees of freedom of the distribution. */ |
| RealType n() const { return _n; } |
| |
| /** Writes a @c param_type to a @c std::ostream. */ |
| BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, param_type, parm) |
| { os << parm._n; return os; } |
| |
| /** Reads a @c param_type from a @c std::istream. */ |
| BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, param_type, parm) |
| { is >> parm._n; return is; } |
| |
| /** Returns true if the two sets of parameters are the same. */ |
| BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(param_type, lhs, rhs) |
| { return lhs._n == rhs._n; } |
| |
| /** Returns true if the two sets of parameters are the different. */ |
| BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(param_type) |
| |
| private: |
| RealType _n; |
| }; |
| |
| /** |
| * Constructs an @c student_t_distribution with "n" degrees of freedom. |
| * |
| * Requires: n > 0 |
| */ |
| explicit student_t_distribution(RealType n_arg = RealType(1.0)) |
| : _normal(), _chi_squared(n_arg) |
| {} |
| /** Constructs an @c student_t_distribution from its parameters. */ |
| explicit student_t_distribution(const param_type& parm) |
| : _normal(), _chi_squared(parm.n()) |
| {} |
| |
| /** |
| * Returns a random variate distributed according to the |
| * Student t distribution. |
| */ |
| template<class URNG> |
| RealType operator()(URNG& urng) |
| { |
| using std::sqrt; |
| return _normal(urng) / sqrt(_chi_squared(urng) / n()); |
| } |
| |
| /** |
| * Returns a random variate distributed accordint to the Student |
| * t distribution with parameters specified by @c param. |
| */ |
| template<class URNG> |
| RealType operator()(URNG& urng, const param_type& parm) const |
| { |
| return student_t_distribution(parm)(urng); |
| } |
| |
| /** Returns the number of degrees of freedom. */ |
| RealType n() const { return _chi_squared.n(); } |
| |
| /** Returns the smallest value that the distribution can produce. */ |
| RealType min BOOST_PREVENT_MACRO_SUBSTITUTION () const |
| { return -std::numeric_limits<RealType>::infinity(); } |
| /** Returns the largest value that the distribution can produce. */ |
| RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const |
| { return std::numeric_limits<RealType>::infinity(); } |
| |
| /** Returns the parameters of the distribution. */ |
| param_type param() const { return param_type(n()); } |
| /** Sets the parameters of the distribution. */ |
| void param(const param_type& parm) |
| { |
| typedef chi_squared_distribution<RealType> chi_squared_type; |
| typename chi_squared_type::param_type chi_squared_param(parm.n()); |
| _chi_squared.param(chi_squared_param); |
| } |
| |
| /** |
| * Effects: Subsequent uses of the distribution do not depend |
| * on values produced by any engine prior to invoking reset. |
| */ |
| void reset() |
| { |
| _normal.reset(); |
| _chi_squared.reset(); |
| } |
| |
| /** Writes a @c student_t_distribution to a @c std::ostream. */ |
| BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, student_t_distribution, td) |
| { |
| os << td.param(); |
| return os; |
| } |
| |
| /** Reads a @c student_t_distribution from a @c std::istream. */ |
| BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, student_t_distribution, td) |
| { |
| param_type parm; |
| if(is >> parm) { |
| td.param(parm); |
| } |
| return is; |
| } |
| |
| /** |
| * Returns true if the two instances of @c student_t_distribution will |
| * return identical sequences of values given equal generators. |
| */ |
| BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(student_t_distribution, lhs, rhs) |
| { return lhs._normal == rhs._normal && lhs._chi_squared == rhs._chi_squared; } |
| |
| /** |
| * Returns true if the two instances of @c student_t_distribution will |
| * return different sequences of values given equal generators. |
| */ |
| BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(student_t_distribution) |
| |
| private: |
| normal_distribution<RealType> _normal; |
| chi_squared_distribution<RealType> _chi_squared; |
| }; |
| |
| } // namespace random |
| } // namespace boost |
| |
| #endif // BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP |