/// <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.");
}
public void BatchTest2()
{
double x = 16.6;
double phi = Normal.Function(x);
double phic = Normal.Complemented(x);
double hphic = Normal.HighAccuracyComplemented(x);
double hphi = Normal.HighAccuracyFunction(x);
Assert.AreEqual(1.0, phi);
Assert.AreEqual(3.4845465199504055E-62, phic);
Assert.AreEqual(0.99999999999999556, hphi);
Assert.AreEqual(3.48454651995264E-62, hphic);
}
public void BatchTest()
{
double x = 0.42;
double phi = Normal.Function(x);
double phic = Normal.Complemented(x);
double inv = Normal.Inverse(x);
double hphic = Normal.Complemented(x);
double hphi = Normal.HighAccuracyFunction(x);
Assert.AreEqual(0.66275727315175048, phi);
Assert.AreEqual(0.33724272684824952, phic);
Assert.AreEqual(-0.20189347914185085, inv);
Assert.AreEqual(0.66275727315175048, hphi);
Assert.AreEqual(0.33724272684824946, hphic, 1e-10);
}
/// <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>
///
/// <param name="x">A single point in the distribution range.</param>
///
public override double ComplementaryDistributionFunction(double x)
{
return(Normal.Complemented((x - mean) / stdDev));
}
/// <summary>
/// Computes the cumulative probability at <c>t</c> of the
/// non-central T-distribution with DF degrees of freedom
/// and non-centrality parameter.
/// </summary>
///
/// <remarks>
/// This function is based on the original work done by
/// Russell Lent hand John Burkardt, shared under the
/// LGPL license. Original FORTRAN code can be found at:
/// http://people.sc.fsu.edu/~jburkardt/f77_src/asa243/asa243.html
/// </remarks>
///
private static double distributionFunctionLowerTail(double t, double df, double delta)
{
double alnrpi = 0.57236494292470008707;
double errmax = 1.0E-10;
int itrmax = 100;
double r2pi = 0.79788456080286535588;
if (df <= 0.0)
{
throw new ArgumentOutOfRangeException("df",
"Degrees of freedom must be positive.");
}
double tt;
double del;
bool negdel;
if (t < 0.0)
{
tt = -t;
del = -delta;
negdel = true;
}
else
{
tt = t;
del = delta;
negdel = false;
}
// Initialize twin series.
double en = 1.0;
double x = t * t / (t * t + df);
double value = 0;
if (x <= 0.0)
{
// upper tail of normal cumulative function
value += Normal.Complemented(del);
if (negdel)
{
value = 1.0 - value;
}
return(value);
}
double lambda = del * del;
double p = 0.5 * Math.Exp(-0.5 * lambda);
double q = r2pi * p * del;
double s = 0.5 - p;
double a = 0.5;
double b = 0.5 * df;
double rxb = Math.Pow(1.0 - x, b);
double albeta = alnrpi + Gamma.Log(b) - Gamma.Log(a + b);
double xodd = Beta.Incomplete(a, b, x);
double godd = 2.0 * rxb * Math.Exp(a * Math.Log(x) - albeta);
double xeven = 1.0 - rxb;
double geven = b * x * rxb;
value = p * xodd + q * xeven;
// Repeat until convergence.
while (true)
{
a = a + 1.0;
xodd = xodd - godd;
xeven = xeven - geven;
godd = godd * x * (a + b - 1.0) / a;
geven = geven * x * (a + b - 0.5) / (a + 0.5);
p = p * lambda / (2.0 * en);
q = q * lambda / (2.0 * en + 1.0);
s = s - p;
en = en + 1.0;
value = value + p * xodd + q * xeven;
double errbd = 2.0 * s * (xodd - godd);
if (errbd <= errmax)
{
break;
}
if (itrmax < en)
{
throw new ConvergenceException("Maximum number of iterations reached.");
}
}
// upper tail of normal cumulative function
value = value + Normal.Complemented(del);
if (negdel)
{
value = 1.0 - value;
}
return(value);
}
/// <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>
///
/// <param name="x">A single point in the distribution range.</param>
///
public override double ComplementaryDistributionFunction(double x)
{
double ccdf = Normal.Complemented((x - mean) / stdDev);
return(ccdf);
}
/// <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>
///
/// <param name="x">A single point in the distribution range.</param>
///
protected internal override double InnerComplementaryDistributionFunction(double x)
{
return(Normal.Complemented((x - mean) / stdDev));
}
