/// <summary>
/// Gets the complementary cumulative distribution function
/// (ccdf) for this distribution evaluated at point <c>x</c>.
/// This function is also known as the Survival function.
/// </summary>
///
/// <remarks>
/// The Complementary Cumulative Distribution Function (CCDF) is
/// the complement of the Cumulative Distribution Function, or 1
/// minus the CDF.
/// </remarks>
///
public override double ComplementaryDistributionFunction(params double[] x)
{
if (Dimension == 1)
{
double stdDev = Math.Sqrt(Covariance[0, 0]);
double z = (x[0] - mean[0]) / stdDev;
if (stdDev == 0)
{
return((x[0] == mean[0]) ? 0 : 1);
}
return(Normal.Complemented(z));
}
if (Dimension == 2)
{
double sigma1 = Math.Sqrt(Covariance[0, 0]);
double sigma2 = Math.Sqrt(Covariance[1, 1]);
double rho = Covariance[0, 1] / (sigma1 * sigma2);
if (Double.IsNaN(rho))
{
return((x.IsEqual(mean)) ? 0 : 1);
}
double z = (x[0] - mean[0]) / sigma1;
double w = (x[1] - mean[1]) / sigma2;
return(Normal.BivariateComplemented(z, w, rho));
}
throw new NotSupportedException("The cumulative distribution "
+ "function is only available for up to two dimensions.");
}
