private static void test(GeneralizedNormalDistribution target, UnivariateContinuousDistribution normal)
{
Assert.AreEqual(normal.Mean, target.Mean);
Assert.AreEqual(normal.Variance, target.Variance, 1e-10);
Assert.AreEqual(normal.Entropy, target.Entropy, 1e-10);
Assert.AreEqual(normal.StandardDeviation, target.StandardDeviation, 1e-10);
Assert.AreEqual(normal.Mode, target.Mode);
Assert.AreEqual(normal.Median, target.Median);
for (double x = -10; x < 10; x += 0.0001)
{
double actual = target.ProbabilityDensityFunction(x);
double expected = normal.ProbabilityDensityFunction(x);
Assert.AreEqual(expected, actual, 1e-15);
Assert.IsFalse(Double.IsNaN(actual));
}
for (double x = -10; x < 10; x += 0.0001)
{
double actual = target.LogProbabilityDensityFunction(x);
double expected = normal.LogProbabilityDensityFunction(x);
Assert.AreEqual(expected, actual, 1e-10);
Assert.IsFalse(Double.IsNaN(actual));
}
}
private static void compare(TukeyLambdaDistribution target,
UnivariateContinuousDistribution comparison, double tol)
{
Assert.AreEqual(comparison.Mean, target.Mean);
Assert.AreEqual(comparison.Variance, target.Variance, tol);
Assert.AreEqual(comparison.Entropy, target.Entropy, 1e-4);
Assert.AreEqual(comparison.StandardDeviation, target.StandardDeviation, tol);
Assert.AreEqual(comparison.Mode, target.Mode);
Assert.AreEqual(comparison.Median, target.Median);
for (double x = -10; x < 10; x += 0.0001)
{
double actual = target.ProbabilityDensityFunction(x);
double expected = comparison.ProbabilityDensityFunction(x);
Assert.AreEqual(expected, actual, tol);
Assert.IsFalse(Double.IsNaN(actual));
}
for (double x = -10; x < 10; x += 0.0001)
{
double actual = target.DistributionFunction(x);
double expected = comparison.DistributionFunction(x);
Assert.AreEqual(expected, actual, tol);
Assert.IsFalse(Double.IsNaN(actual));
}
for (double x = -10; x < 10; x += 0.0001)
{
double actual = target.LogProbabilityDensityFunction(x);
double expected = comparison.LogProbabilityDensityFunction(x);
Assert.AreEqual(expected, actual, tol);
Assert.IsFalse(Double.IsNaN(actual));
}
}
public void LogProbabilityDensityFunctionTest()
{
UnivariateContinuousDistribution target = CreateUnivariateContinuousDistribution();
double x = 18.14;
double expected = System.Math.Log(0.011697993604177);
double actual = target.LogProbabilityDensityFunction(x);
Assert.IsFalse(double.IsNaN(actual));
Assert.AreEqual(expected, actual, 1e-10);
}
/// <summary>
/// Get the probability of occurence of <paramref name="value"/> in the given <paramref name="distribution"/>.
/// The least not 0, but epsilon.
/// <summary>
double GetProbability(UnivariateContinuousDistribution distribution, double value)
{
try
{
var p = distribution.LogProbabilityDensityFunction(value);
return(p);
}
catch (InvalidOperationException)
{
return(Math.Log(epsilon));
}
}