/// <summary>
/// Inverse of incomplete beta integral.
/// </summary>
///
/// <example>
/// Please see <see cref="Beta"/>
/// </example>
///
public static double IncompleteInverse(double aa, double bb, double yy0)
{
double a, b, y0, d, y, x, x0, x1, lgm, yp, di, dithresh, yl, yh;
int i, dir;
bool nflg;
bool rflg;
if (yy0 <= 0)
{
return(0.0);
}
if (yy0 >= 1.0)
{
return(1.0);
}
if (aa <= 1.0 || bb <= 1.0)
{
nflg = true;
dithresh = 4.0 * Constants.DoubleEpsilon;
rflg = false;
a = aa;
b = bb;
y0 = yy0;
x = a / (a + b);
y = Incomplete(a, b, x);
goto ihalve;
}
else
{
nflg = false;
dithresh = 1.0e-4;
}
/* approximation to inverse function */
yp = -Normal.Inverse(yy0);
if (yy0 > 0.5)
{
rflg = true;
a = bb;
b = aa;
y0 = 1.0 - yy0;
yp = -yp;
}
else
{
rflg = false;
a = aa;
b = bb;
y0 = yy0;
}
lgm = (yp * yp - 3.0) / 6.0;
x0 = 2.0 / (1.0 / (2.0 * a - 1.0) + 1.0 / (2.0 * b - 1.0));
y = yp * Math.Sqrt(x0 + lgm) / x0
- (1.0 / (2.0 * b - 1.0) - 1.0 / (2.0 * a - 1.0))
* (lgm + 5.0 / 6.0 - 2.0 / (3.0 * x0));
y = 2.0 * y;
if (y < Constants.LogMin)
{
x0 = 1.0;
throw new ArithmeticException("underflow");
}
x = a / (a + b * Math.Exp(y));
y = Incomplete(a, b, x);
yp = (y - y0) / y0;
if (Math.Abs(yp) < 1.0e-2)
{
goto newt;
}
ihalve:
/* Resort to interval halving if not close enough */
x0 = 0.0;
yl = 0.0;
x1 = 1.0;
yh = 1.0;
di = 0.5;
dir = 0;
for (i = 0; i < 400; i++)
{
if (i != 0)
{
x = x0 + di * (x1 - x0);
if (x == 1.0)
{
x = 1.0 - Constants.DoubleEpsilon;
}
y = Incomplete(a, b, x);
yp = (x1 - x0) / (x1 + x0);
if (Math.Abs(yp) < dithresh)
{
x0 = x;
goto newt;
}
}
if (y < y0)
{
x0 = x;
yl = y;
if (dir < 0)
{
dir = 0;
di = 0.5;
}
else if (dir > 1)
{
di = 0.5 * di + 0.5;
}
else
{
di = (y0 - y) / (yh - yl);
}
dir += 1;
if (x0 > 0.75)
{
if (rflg)
{
rflg = false;
a = aa;
b = bb;
y0 = yy0;
}
else
{
rflg = true;
a = bb;
b = aa;
y0 = 1.0 - yy0;
}
x = 1.0 - x;
y = Incomplete(a, b, x);
goto ihalve;
}
}
else
{
x1 = x;
if (rflg && x1 < Constants.DoubleEpsilon)
{
x0 = 0.0;
goto done;
}
yh = y;
if (dir > 0)
{
dir = 0;
di = 0.5;
}
else if (dir < -1)
{
di = 0.5 * di;
}
else
{
di = (y - y0) / (yh - yl);
}
dir -= 1;
}
}
if (x0 >= 1.0)
{
x0 = 1.0 - Constants.DoubleEpsilon;
goto done;
}
if (x == 0.0)
{
throw new ArithmeticException("underflow");
}
newt:
if (nflg)
{
goto done;
}
x0 = x;
lgm = Gamma.Log(a + b) - Gamma.Log(a) - Gamma.Log(b);
for (i = 0; i < 10; i++)
{
/* Compute the function at this point. */
if (i != 0)
{
y = Incomplete(a, b, x0);
}
/* Compute the derivative of the function at this point. */
d = (a - 1.0) * Math.Log(x0) + (b - 1.0) * Math.Log(1.0 - x0) + lgm;
if (d < Constants.LogMin)
{
throw new ArithmeticException("underflow");
}
d = Math.Exp(d);
/* compute the step to the next approximation of x */
d = (y - y0) / d;
x = x0;
x0 = x0 - d;
if (x0 <= 0.0)
{
throw new ArithmeticException("underflow");
}
if (x0 >= 1.0)
{
x0 = 1.0 - Constants.DoubleEpsilon;
goto done;
}
if (Math.Abs(d / x0) < 64.0 * Constants.DoubleEpsilon)
{
goto done;
}
}
done:
if (rflg)
{
if (x0 <= Double.Epsilon)
{
x0 = 1.0 - Double.Epsilon;
}
else
{
x0 = 1.0 - x0;
}
}
return(x0);
}
/// <summary>
/// A function for computing bivariate normal probabilities.
/// BVND calculates the probability that X > DH and Y > DK.
/// </summary>
///
/// <remarks>
/// <para>
/// This method is based on the work done by Alan Genz, Department of
/// Mathematics, Washington State University. Pullman, WA 99164-3113
/// Email: [email protected]. This work was shared under a 3-clause BSD
/// license. Please see source file for more details and the actual
/// license text.</para>
///
/// <para>
/// This function is based on the method described by Drezner, Z and G.O.
/// Wesolowsky, (1989), On the computation of the bivariate normal integral,
/// Journal of Statist. Comput. Simul. 35, pp. 101-107, with major modifications
/// for double precision, and for |R| close to 1.</para>
/// </remarks>
///
private static double BVND(double dh, double dk, double r)
{
// Copyright (C) 2013, Alan Genz, All rights reserved.
//
// Redistribution and use in source and binary forms, with or without
// modification, are permitted provided the following conditions are met:
// 1. Redistributions of source code must retain the above copyright
// notice, this list of conditions and the following disclaimer.
// 2. Redistributions in binary form must reproduce the above copyright
// notice, this list of conditions and the following disclaimer in
// the documentation and/or other materials provided with the
// distribution.
// 3. The contributor name(s) may not be used to endorse or promote
// products derived from this software without specific prior
// written permission.
// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
// "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
// LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS
// FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE
// COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT,
// INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING,
// BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS
// OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND
// ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR
// TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF USE
// OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
const double TWOPI = 2.0 * Math.PI;
double[] x;
double[] w;
if (Math.Abs(r) < 0.3)
{
// Gauss Legendre Points and Weights N = 6
x = BVND_XN6;
w = BVND_WN6;
}
else if (Math.Abs(r) < 0.75)
{
// Gauss Legendre Points and Weights N = 12
x = BVND_XN12;
w = BVND_WN12;
}
else
{
// Gauss Legendre Points and Weights N = 20
x = BVND_XN20;
w = BVND_WN20;
}
double h = dh;
double k = dk;
double hk = h * k;
double bvn = 0;
if (Math.Abs(r) < 0.925)
{
if (Math.Abs(r) > 0)
{
double sh = (h * h + k * k) / 2;
double asr = Math.Asin(r);
for (int i = 0; i < x.Length; i++)
{
for (int j = -1; j <= 1; j += 2)
{
double sn = Math.Sin(asr * (j * x[i] + 1) / 2);
bvn = bvn + w[i] * Math.Exp((sn * hk - sh) / (1 - sn * sn));
}
}
bvn = bvn * asr / (2 * TWOPI);
}
return(bvn + Normal.Function(-h) * Normal.Function(-k));
}
if (r < 0)
{
k = -k;
hk = -hk;
}
if (Math.Abs(r) < 1)
{
double sa = (1 - r) * (1 + r);
double A = Math.Sqrt(sa);
double sb = (h - k);
sb = sb * sb;
double c = (4 - hk) / 8;
double d = (12 - hk) / 16;
double asr = -(sb / sa + hk) / 2;
if (asr > -100)
{
bvn = A * Math.Exp(asr) * (1 - c * (sb - sa) * (1 - d * sb / 5) / 3 + c * d * sa * sa / 5);
}
if (-hk < 100)
{
double B = Math.Sqrt(sb);
bvn = bvn - Math.Exp(-hk / 2) * Math.Sqrt(TWOPI) * Normal.Function(-B / A) * B
* (1 - c * sb * (1 - d * sb / 5) / 3);
}
A = A / 2;
for (int i = 0; i < x.Length; i++)
{
for (int j = -1; j <= 1; j += 2)
{
double xs = (A * (j * x[i] + 1));
xs = xs * xs;
double rs = Math.Sqrt(1 - xs);
asr = -(sb / xs + hk) / 2;
if (asr > -100)
{
bvn = bvn + A * w[i] * Math.Exp(asr)
* (Math.Exp(-hk * xs / (2 * (1 + rs) * (1 + rs))) / rs
- (1 + c * xs * (1 + d * xs)));
}
}
}
bvn = -bvn / TWOPI;
}
if (r > 0)
{
return(bvn + Normal.Function(-Math.Max(h, k)));
}
bvn = -bvn;
if (k <= h)
{
return(bvn);
}
if (h < 0)
{
return(bvn + Normal.Function(k) - Normal.Function(h));
}
return(bvn + Normal.Function(-h) - Normal.Function(-k));
}
