[TestCase(0.9, 1.0, 0.0, 1.0, double.PositiveInfinity, 0.6123, 0.3328656172)] // Mean shifted Laplace
public void ValidateCDF(double location, double scale, double skew, double p, double q, double x, double pr)
{
var n = new SkewedGeneralizedT(location, scale, skew, p, q);
var cpr = n.CumulativeDistribution(x);
AssertHelpers.AlmostEqualRelative(pr, cpr, 8);
}
[TestCase(0.9, 1.0, 0.0, 1.0, double.PositiveInfinity, 0.6123, 1.079871174)] // Mean shifted Laplace
public void ValidateInvCDF(double location, double scale, double skew, double p, double q, double quantile, double x)
{
var n = new SkewedGeneralizedT(location, scale, skew, p, q);
var xq = n.InverseCumulativeDistribution(quantile);
AssertHelpers.AlmostEqualRelative(x, xq, 8);
AssertHelpers.AlmostEqualRelative(quantile, n.CumulativeDistribution(xq), 8);
}
public void ValidateSkewedNormalDistribution(double location, double scale, double skew, double x)
{
var sn = new SkewedGeneralizedT(location, scale, skew, 2, double.PositiveInfinity);
var n = new Normal(location, scale);
var sp = sn.CumulativeDistribution(x);
var p = n.CumulativeDistribution(x);
if (skew > 0)
{
Assert.IsTrue(sp > p);
}
else
{
Assert.IsTrue(sp < p);
}
}