public void inverse_cdf()
{
// Consider the following hazard rates, occurring at the given time steps
double[] times = { 0.5, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 14, 17, 20, 21 };
double[] hazards =
{
0, 0.111111111111111, 0.0625, 0.0714285714285714, 0.0769230769230769,
0, 0.0909090909090909, 0, 0.111111111111111, 0.125,0,
0.166666666666667, 0.2, 0, 0.5, 0
};
var distribution = new EmpiricalHazardDistribution(times, hazards);
Assert.AreEqual(0, distribution.Support.Min);
Assert.AreEqual(22, distribution.Support.Max);
Assert.AreEqual(0, distribution.InverseDistributionFunction(0));
Assert.AreEqual(22, distribution.InverseDistributionFunction(1));
Assert.AreEqual(22, distribution.InverseDistributionFunction(0.999));
Assert.AreEqual(0, distribution.DistributionFunction(0));
Assert.AreEqual(0.1051606831856301d, distribution.DistributionFunction(1));
Assert.AreEqual(0.1593762566654946d, distribution.DistributionFunction(2));
Assert.AreEqual(0.78033456236530996d, distribution.DistributionFunction(20));
Assert.AreEqual(0.78033456236530996d, distribution.DistributionFunction(21));
Assert.AreEqual(0.78033456236530996d, distribution.InnerDistributionFunction(21));
Assert.AreEqual(1.0, distribution.DistributionFunction(22));
Assert.AreEqual(1.0, distribution.InnerDistributionFunction(22));
Assert.AreEqual(1.0, distribution.InnerDistributionFunction(23));
Assert.AreEqual(1.0, distribution.InnerDistributionFunction(24));
Assert.AreEqual(1.0, distribution.DistributionFunction(22));
double[] percentiles = Vector.Interval(0.0, 1.0, stepSize: 0.1);
for (int i = 0; i < percentiles.Length; i++)
{
double p = percentiles[i];
double icdf = distribution.InverseDistributionFunction(p);
double cdf = distribution.DistributionFunction(icdf);
Assert.AreEqual(cdf, p, 0.1);
}
}