| // Copyright John Maddock 2006. |
| |
| // 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) |
| |
| // test_extreme_value.cpp |
| |
| #include <boost/math/concepts/real_concept.hpp> // for real_concept |
| #include <boost/math/distributions/extreme_value.hpp> |
| using boost::math::extreme_value_distribution; |
| |
| #include <boost/test/test_exec_monitor.hpp> // Boost.Test |
| #include <boost/test/floating_point_comparison.hpp> |
| |
| #include <iostream> |
| using std::cout; |
| using std::endl; |
| using std::setprecision; |
| |
| template <class RealType> |
| void test_spot(RealType a, RealType b, RealType x, RealType p, RealType q, RealType tolerance) |
| { |
| BOOST_CHECK_CLOSE( |
| ::boost::math::cdf( |
| extreme_value_distribution<RealType>(a, b), |
| x), |
| p, |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::cdf( |
| complement(extreme_value_distribution<RealType>(a, b), |
| x)), |
| q, |
| tolerance); // % |
| if((p < 0.999) && (p > 0)) |
| { |
| BOOST_CHECK_CLOSE( |
| ::boost::math::quantile( |
| extreme_value_distribution<RealType>(a, b), |
| p), |
| x, |
| tolerance); // % |
| } |
| if((q < 0.999) && (q > 0)) |
| { |
| BOOST_CHECK_CLOSE( |
| ::boost::math::quantile( |
| complement(extreme_value_distribution<RealType>(a, b), |
| q)), |
| x, |
| tolerance); // % |
| } |
| } |
| |
| template <class RealType> |
| void test_spots(RealType) |
| { |
| // Basic sanity checks. |
| // 50eps as a percentage, up to a maximum of double precision |
| // (that's the limit of our test data). |
| RealType tolerance = (std::max)( |
| static_cast<RealType>(boost::math::tools::epsilon<double>()), |
| boost::math::tools::epsilon<RealType>()); |
| tolerance *= 50 * 100; |
| |
| cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl; |
| |
| // Results calculated by punching numbers into a calculator, |
| // and using the formula at http://mathworld.wolfram.com/ExtremeValueDistribution.html |
| test_spot( |
| static_cast<RealType>(0.5), // a |
| static_cast<RealType>(1.5), // b |
| static_cast<RealType>(0.125), // x |
| static_cast<RealType>(0.27692033409990891617007608217222L), // p |
| static_cast<RealType>(0.72307966590009108382992391782778L), //q |
| tolerance); |
| test_spot( |
| static_cast<RealType>(0.5), // a |
| static_cast<RealType>(2), // b |
| static_cast<RealType>(-5), // x |
| static_cast<RealType>(1.6087601139887776413169427645933e-7L), // p |
| static_cast<RealType>(0.99999983912398860112223586830572L), //q |
| tolerance); |
| test_spot( |
| static_cast<RealType>(0.5), // a |
| static_cast<RealType>(0.25), // b |
| static_cast<RealType>(0.75), // x |
| static_cast<RealType>(0.69220062755534635386542199718279L), // p |
| static_cast<RealType>(0.30779937244465364613457800281721), //q |
| tolerance); |
| test_spot( |
| static_cast<RealType>(0.5), // a |
| static_cast<RealType>(0.25), // b |
| static_cast<RealType>(5), // x |
| static_cast<RealType>(0.99999998477002037126351248727041L), // p |
| static_cast<RealType>(1.5229979628736487512729586276294e-8L), //q |
| tolerance); |
| |
| BOOST_CHECK_CLOSE( |
| ::boost::math::pdf( |
| extreme_value_distribution<RealType>(0.5, 2), |
| static_cast<RealType>(0.125)), // x |
| static_cast<RealType>(0.18052654830890205978204427757846L), // probability. |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::pdf( |
| extreme_value_distribution<RealType>(1, 3), |
| static_cast<RealType>(5)), // x |
| static_cast<RealType>(0.0675057324099851209129017326286L), // probability. |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::pdf( |
| extreme_value_distribution<RealType>(1, 3), |
| static_cast<RealType>(0)), // x |
| static_cast<RealType>(0.11522236828583456431277265757312L), // probability. |
| tolerance); // % |
| |
| BOOST_CHECK_CLOSE( |
| ::boost::math::mean( |
| extreme_value_distribution<RealType>(2, 3)), |
| static_cast<RealType>(3.731646994704598581819536270246L), |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::standard_deviation( |
| extreme_value_distribution<RealType>(-1, 0.5)), |
| static_cast<RealType>(0.6412749150809320477720181798355L), |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::mode( |
| extreme_value_distribution<RealType>(2, 3)), |
| static_cast<RealType>(2), |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::median( |
| extreme_value_distribution<RealType>(0, 1)), |
| static_cast<RealType>(+0.36651292058166432701243915823266946945426344783710526305367771367056), |
| tolerance); // % |
| |
| BOOST_CHECK_CLOSE( |
| ::boost::math::skewness( |
| extreme_value_distribution<RealType>(2, 3)), |
| static_cast<RealType>(1.1395470994046486574927930193898461120875997958366L), |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::kurtosis( |
| extreme_value_distribution<RealType>(2, 3)), |
| static_cast<RealType>(5.4), |
| tolerance); // % |
| BOOST_CHECK_CLOSE( |
| ::boost::math::kurtosis_excess( |
| extreme_value_distribution<RealType>(2, 3)), |
| static_cast<RealType>(2.4), |
| tolerance); // % |
| |
| // |
| // Things that are errors: |
| // |
| extreme_value_distribution<RealType> dist(0.5, 2); |
| BOOST_CHECK_THROW( |
| quantile(dist, RealType(1.0)), |
| std::overflow_error); |
| BOOST_CHECK_THROW( |
| quantile(complement(dist, RealType(0.0))), |
| std::overflow_error); |
| BOOST_CHECK_THROW( |
| quantile(dist, RealType(0.0)), |
| std::overflow_error); |
| BOOST_CHECK_THROW( |
| quantile(complement(dist, RealType(1.0))), |
| std::overflow_error); |
| BOOST_CHECK_THROW( |
| cdf(extreme_value_distribution<RealType>(0, -1), RealType(1)), |
| std::domain_error); |
| BOOST_CHECK_THROW( |
| quantile(dist, RealType(-1)), |
| std::domain_error); |
| BOOST_CHECK_THROW( |
| quantile(dist, RealType(2)), |
| std::domain_error); |
| } // template <class RealType>void test_spots(RealType) |
| |
| int test_main(int, char* []) |
| { |
| |
| // Check that can generate extreme_value distribution using the two convenience methods: |
| boost::math::extreme_value mycev1(1.); // Using typedef |
| extreme_value_distribution<> myev2(1.); // Using default RealType double. |
| |
| // Basic sanity-check spot values. |
| // (Parameter value, arbitrarily zero, only communicates the floating point type). |
| test_spots(0.0F); // Test float. OK at decdigits = 0 tolerance = 0.0001 % |
| test_spots(0.0); // Test double. OK at decdigits 7, tolerance = 1e07 % |
| #ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS |
| test_spots(0.0L); // Test long double. |
| #if !BOOST_WORKAROUND(__BORLANDC__, BOOST_TESTED_AT(0x582)) |
| test_spots(boost::math::concepts::real_concept(0.)); // Test real concept. |
| #endif |
| #else |
| std::cout << "<note>The long double tests have been disabled on this platform " |
| "either because the long double overloads of the usual math functions are " |
| "not available at all, or because they are too inaccurate for these tests " |
| "to pass.</note>" << std::cout; |
| #endif |
| |
| return 0; |
| } // int test_main(int, char* []) |
| |
| /* |
| |
| Output is: |
| |
| -Running 1 test case... |
| Tolerance for type float is 0.000596046 % |
| Tolerance for type double is 1.11022e-012 % |
| Tolerance for type long double is 1.11022e-012 % |
| Tolerance for type class boost::math::concepts::real_concept is 1.11022e-012 % |
| *** No errors detected |
| */ |
| |
| |
