[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);
}
public void CanSampleSequence()
{
var n = new SkewedGeneralizedT();
var ied = n.Samples();
GC.KeepAlive(ied.Take(5).ToArray());
}
[TestCase(0.9, 1.0, 0.0, 1.0, double.PositiveInfinity, 0.6123, -0.7534428322)] // Mean shifted Laplace
public void ValidateDensityLn(double location, double scale, double skew, double p, double q, double x, double d)
{
var n = new SkewedGeneralizedT(location, scale, skew, p, q);
var density = n.DensityLn(x);
AssertHelpers.AlmostEqualRelative(d, density, 8);
}
public void ValidateNormalDensityEquivalence(double location, double scale, double x)
{
var sgt = new SkewedGeneralizedT(location, scale, 0, 2, double.PositiveInfinity);
var n = new Normal(location, scale);
AssertHelpers.AlmostEqualRelative(n.Density(x), sgt.Density(x), 8);
AssertHelpers.AlmostEqualRelative(n.DensityLn(x), sgt.DensityLn(x), 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);
}
[TestCase(0.0, 1.0, 0.0, double.PositiveInfinity, 1.0)] // Continuous Uniform
public void CanCreateSkewedGeneralizedT(double location, double scale, double skew, double p, double q)
{
var n = new SkewedGeneralizedT(location, scale, skew, p, q);
Assert.AreEqual(location, n.Location);
Assert.AreEqual(scale, n.Scale);
Assert.AreEqual(skew, n.Skew);
Assert.AreEqual(p, n.P);
Assert.AreEqual(q, n.Q);
}
public void CanCreateStandardSkewedGeneralizedT()
{
var n = new SkewedGeneralizedT();
Assert.AreEqual(0.0, n.Location);
Assert.AreEqual(1.0, n.Scale);
Assert.AreEqual(0.0, n.Skew);
Assert.AreEqual(2.0, n.P);
Assert.AreEqual(double.PositiveInfinity, n.Q);
}
public void ValidateLaplaceDensityEquivalence(double location, double scale, double x)
{
var n = new SkewedGeneralizedT(location, scale, 0, 1, double.PositiveInfinity);
var b = scale / Math.Sqrt(2.0);
var l = new Laplace(location, b);
AssertHelpers.AlmostEqualRelative(l.Density(x), n.Density(x), 8);
AssertHelpers.AlmostEqualRelative(l.DensityLn(x), n.DensityLn(x), 8);
}
public void ValidateSkewnessOfSkewGeneralizedTDistribution(double skew)
{
var sn = new SkewedGeneralizedT(0.0, 1.0, skew, 3.0, 4.0);
if (skew > 0)
{
Assert.IsTrue(sn.Skewness > 0.0);
}
else if (skew < 0)
{
Assert.IsTrue(sn.Skewness < 0.0);
}
else
{
Assert.AreEqual(skew, sn.Skewness);
}
}
public void ValidateSkewnessOfNormalDistribution(double skew)
{
var sn = new SkewedGeneralizedT(0.0, 1.0, skew, 2.0, double.PositiveInfinity);
if (skew > 0)
{
Assert.IsTrue(sn.Skewness > 0.0);
}
else if (skew < 0)
{
Assert.IsTrue(sn.Skewness < 0.0);
}
else
{
Assert.AreEqual(skew, sn.Skewness);
}
}
public void ValidateModeOfSkewedGeneralizedTDistribution(double location, double scale, double skew, double p, double q, double x)
{
var sn = new SkewedGeneralizedT(location, scale, skew, 2, double.PositiveInfinity);
var n = new Normal(location, scale);
var sm = sn.Mode;
var m = n.Mode;
if (skew < 0)
{
Assert.IsTrue(sm > m);
}
else
{
Assert.IsTrue(sm < m);
}
}
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);
}
}
public void CanSample()
{
var n = new SkewedGeneralizedT();
n.Sample();
}
public void CanSampleSequenceStatic()
{
var ied = SkewedGeneralizedT.Samples(0.0, 1.0, 0.3, 2.2, 5.6);
GC.KeepAlive(ied.Take(5).ToArray());
}
public void CanSampleStatic()
{
SkewedGeneralizedT.Sample(0.0, 1.0, 0.3, 2.2, 5.6);
}
