| // 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) |
| |
| #ifndef BOOST_STATS_LOGNORMAL_HPP |
| #define BOOST_STATS_LOGNORMAL_HPP |
| |
| // http://www.itl.nist.gov/div898/handbook/eda/section3/eda3669.htm |
| // http://mathworld.wolfram.com/LogNormalDistribution.html |
| // http://en.wikipedia.org/wiki/Lognormal_distribution |
| |
| #include <boost/math/distributions/fwd.hpp> |
| #include <boost/math/distributions/normal.hpp> |
| #include <boost/math/special_functions/expm1.hpp> |
| #include <boost/math/distributions/detail/common_error_handling.hpp> |
| |
| #include <utility> |
| |
| namespace boost{ namespace math |
| { |
| namespace detail |
| { |
| |
| template <class RealType, class Policy> |
| inline bool check_lognormal_x( |
| const char* function, |
| RealType const& x, |
| RealType* result, const Policy& pol) |
| { |
| if((x < 0) || !(boost::math::isfinite)(x)) |
| { |
| *result = policies::raise_domain_error<RealType>( |
| function, |
| "Random variate is %1% but must be >= 0 !", x, pol); |
| return false; |
| } |
| return true; |
| } |
| |
| } // namespace detail |
| |
| |
| template <class RealType = double, class Policy = policies::policy<> > |
| class lognormal_distribution |
| { |
| public: |
| typedef RealType value_type; |
| typedef Policy policy_type; |
| |
| lognormal_distribution(RealType location = 0, RealType scale = 1) |
| : m_location(location), m_scale(scale) |
| { |
| RealType result; |
| detail::check_scale("boost::math::lognormal_distribution<%1%>::lognormal_distribution", scale, &result, Policy()); |
| } |
| |
| RealType location()const |
| { |
| return m_location; |
| } |
| |
| RealType scale()const |
| { |
| return m_scale; |
| } |
| private: |
| // |
| // Data members: |
| // |
| RealType m_location; // distribution location. |
| RealType m_scale; // distribution scale. |
| }; |
| |
| typedef lognormal_distribution<double> lognormal; |
| |
| template <class RealType, class Policy> |
| inline const std::pair<RealType, RealType> range(const lognormal_distribution<RealType, Policy>& /*dist*/) |
| { // Range of permissible values for random variable x is >0 to +infinity. |
| using boost::math::tools::max_value; |
| return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); |
| } |
| |
| template <class RealType, class Policy> |
| inline const std::pair<RealType, RealType> support(const lognormal_distribution<RealType, Policy>& /*dist*/) |
| { // Range of supported values for random variable x. |
| // 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>()); |
| } |
| |
| template <class RealType, class Policy> |
| RealType pdf(const lognormal_distribution<RealType, Policy>& dist, const RealType& x) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| RealType mu = dist.location(); |
| RealType sigma = dist.scale(); |
| |
| static const char* function = "boost::math::pdf(const lognormal_distribution<%1%>&, %1%)"; |
| |
| RealType result; |
| if(0 == detail::check_scale(function, sigma, &result, Policy())) |
| return result; |
| if(0 == detail::check_lognormal_x(function, x, &result, Policy())) |
| return result; |
| |
| if(x == 0) |
| return 0; |
| |
| RealType exponent = log(x) - mu; |
| exponent *= -exponent; |
| exponent /= 2 * sigma * sigma; |
| |
| result = exp(exponent); |
| result /= sigma * sqrt(2 * constants::pi<RealType>()) * x; |
| |
| return result; |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType cdf(const lognormal_distribution<RealType, Policy>& dist, const RealType& x) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| static const char* function = "boost::math::cdf(const lognormal_distribution<%1%>&, %1%)"; |
| |
| RealType result; |
| if(0 == detail::check_lognormal_x(function, x, &result, Policy())) |
| return result; |
| |
| if(x == 0) |
| return 0; |
| |
| normal_distribution<RealType, Policy> norm(dist.location(), dist.scale()); |
| return cdf(norm, log(x)); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType quantile(const lognormal_distribution<RealType, Policy>& dist, const RealType& p) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| static const char* function = "boost::math::quantile(const lognormal_distribution<%1%>&, %1%)"; |
| |
| RealType result; |
| if(0 == detail::check_probability(function, p, &result, Policy())) |
| return result; |
| |
| if(p == 0) |
| return 0; |
| if(p == 1) |
| return policies::raise_overflow_error<RealType>(function, 0, Policy()); |
| |
| normal_distribution<RealType, Policy> norm(dist.location(), dist.scale()); |
| return exp(quantile(norm, p)); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType cdf(const complemented2_type<lognormal_distribution<RealType, Policy>, RealType>& c) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| static const char* function = "boost::math::cdf(const lognormal_distribution<%1%>&, %1%)"; |
| |
| RealType result; |
| if(0 == detail::check_lognormal_x(function, c.param, &result, Policy())) |
| return result; |
| |
| if(c.param == 0) |
| return 1; |
| |
| normal_distribution<RealType, Policy> norm(c.dist.location(), c.dist.scale()); |
| return cdf(complement(norm, log(c.param))); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType quantile(const complemented2_type<lognormal_distribution<RealType, Policy>, RealType>& c) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| static const char* function = "boost::math::quantile(const lognormal_distribution<%1%>&, %1%)"; |
| |
| RealType result; |
| if(0 == detail::check_probability(function, c.param, &result, Policy())) |
| return result; |
| |
| if(c.param == 1) |
| return 0; |
| if(c.param == 0) |
| return policies::raise_overflow_error<RealType>(function, 0, Policy()); |
| |
| normal_distribution<RealType, Policy> norm(c.dist.location(), c.dist.scale()); |
| return exp(quantile(complement(norm, c.param))); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType mean(const lognormal_distribution<RealType, Policy>& dist) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| RealType mu = dist.location(); |
| RealType sigma = dist.scale(); |
| |
| RealType result; |
| if(0 == detail::check_scale("boost::math::mean(const lognormal_distribution<%1%>&)", sigma, &result, Policy())) |
| return result; |
| |
| return exp(mu + sigma * sigma / 2); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType variance(const lognormal_distribution<RealType, Policy>& dist) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| RealType mu = dist.location(); |
| RealType sigma = dist.scale(); |
| |
| RealType result; |
| if(0 == detail::check_scale("boost::math::variance(const lognormal_distribution<%1%>&)", sigma, &result, Policy())) |
| return result; |
| |
| return boost::math::expm1(sigma * sigma, Policy()) * exp(2 * mu + sigma * sigma); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType mode(const lognormal_distribution<RealType, Policy>& dist) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| RealType mu = dist.location(); |
| RealType sigma = dist.scale(); |
| |
| RealType result; |
| if(0 == detail::check_scale("boost::math::mode(const lognormal_distribution<%1%>&)", sigma, &result, Policy())) |
| return result; |
| |
| return exp(mu - sigma * sigma); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType median(const lognormal_distribution<RealType, Policy>& dist) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| RealType mu = dist.location(); |
| return exp(mu); // e^mu |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType skewness(const lognormal_distribution<RealType, Policy>& dist) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| //RealType mu = dist.location(); |
| RealType sigma = dist.scale(); |
| |
| RealType ss = sigma * sigma; |
| RealType ess = exp(ss); |
| |
| RealType result; |
| if(0 == detail::check_scale("boost::math::skewness(const lognormal_distribution<%1%>&)", sigma, &result, Policy())) |
| return result; |
| |
| return (ess + 2) * sqrt(boost::math::expm1(ss, Policy())); |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType kurtosis(const lognormal_distribution<RealType, Policy>& dist) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| //RealType mu = dist.location(); |
| RealType sigma = dist.scale(); |
| RealType ss = sigma * sigma; |
| |
| RealType result; |
| if(0 == detail::check_scale("boost::math::kurtosis(const lognormal_distribution<%1%>&)", sigma, &result, Policy())) |
| return result; |
| |
| return exp(4 * ss) + 2 * exp(3 * ss) + 3 * exp(2 * ss) - 3; |
| } |
| |
| template <class RealType, class Policy> |
| inline RealType kurtosis_excess(const lognormal_distribution<RealType, Policy>& dist) |
| { |
| BOOST_MATH_STD_USING // for ADL of std functions |
| |
| // RealType mu = dist.location(); |
| RealType sigma = dist.scale(); |
| RealType ss = sigma * sigma; |
| |
| RealType result; |
| if(0 == detail::check_scale("boost::math::kurtosis_excess(const lognormal_distribution<%1%>&)", sigma, &result, Policy())) |
| return result; |
| |
| return exp(4 * ss) + 2 * exp(3 * ss) + 3 * exp(2 * ss) - 6; |
| } |
| |
| } // 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_STUDENTS_T_HPP |
| |
| |