public double[] EstimateInterval(Estimate e)
{
double z = NormalConfidenceEstimator.Quantile((1.0 - this._confidence) / 2.0);
double len = Math.Abs(z * Math.Sqrt(e.Variance));
return(new double[] { e.Expectation - len, e.Expectation + len });
}
protected static double Quantile(double p)
{
// From http://www.johndcook.com/csharp_phi_inverse.html
if (p <= 0.0 || p >= 1.0)
{
string msg = String.Format("Invalid input argument: {0}.", p);
throw new ArgumentOutOfRangeException(msg);
}
// See article above for explanation of this section.
if (p < 0.5)
{
// F^-1(p) = - G^-1(p)
return(-NormalConfidenceEstimator.RationalApproximation(Math.Sqrt(-2.0 * Math.Log(p))));
}
else
{
// F^-1(p) = G^-1(1-p)
return(NormalConfidenceEstimator.RationalApproximation(Math.Sqrt(-2.0 * Math.Log(1.0 - p))));
}
}
public double EstimateAbsoluteConfidence(Estimate e)
{
return(1.0 - 2 * NormalConfidenceEstimator.CDF(-this._sizeAbs / Math.Sqrt(e.Variance)));
}
public double EstimateRelativeConfidence(Estimate e)
{
return(NormalConfidenceEstimator.CDF((e.Expectation - this._sizeRel) / Math.Sqrt(e.Variance)));
}