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@ -3,7 +3,9 @@ |
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// http://numerics.mathdotnet.com
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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// http://mathnetnumerics.codeplex.com
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// Copyright (c) 2009-2010 Math.NET
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//
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// Copyright (c) 2009-2013 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// files (the "Software"), to deal in the Software without
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@ -12,8 +14,10 @@ |
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// copies of the Software, and to permit persons to whom the
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// Software is furnished to do so, subject to the following
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// conditions:
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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@ -24,13 +28,14 @@ |
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// OTHER DEALINGS IN THE SOFTWARE.
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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// </copyright>
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using System; |
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using System.Collections.Generic; |
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using MathNet.Numerics.Properties; |
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namespace MathNet.Numerics.Distributions |
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namespace MathNet.Numerics.Distributions |
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{ |
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{ |
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using System; |
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using System.Collections.Generic; |
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using Properties; |
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/// <summary>
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/// <summary>
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/// Continuous Univariate Stable distribution.
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/// A random variable is said to be stable (or to have a stable distribution) if it has
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/// A random variable is said to be stable (or to have a stable distribution) if it has
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/// the property that a linear combination of two independent copies of the variable has
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/// the property that a linear combination of two independent copies of the variable has
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/// the same distribution, up to location and scale parameters.
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/// the same distribution, up to location and scale parameters.
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@ -67,7 +72,7 @@ namespace MathNet.Numerics.Distributions |
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/// <summary>
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/// <summary>
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/// The distribution's random number generator.
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/// The distribution's random number generator.
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/// </summary>
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/// </summary>
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Random _random; |
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System.Random _random; |
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/// <summary>
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/// <summary>
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/// Initializes a new instance of the <see cref="Stable"/> class.
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/// Initializes a new instance of the <see cref="Stable"/> class.
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@ -78,7 +83,7 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="location">The location parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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public Stable(double alpha, double beta, double scale, double location) |
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public Stable(double alpha, double beta, double scale, double location) |
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{ |
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{ |
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_random = new Random(); |
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_random = new System.Random(); |
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SetParameters(alpha, beta, scale, location); |
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SetParameters(alpha, beta, scale, location); |
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} |
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} |
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@ -90,9 +95,9 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <param name="randomSource">The random number generator which is used to draw random samples.</param>
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/// <param name="randomSource">The random number generator which is used to draw random samples.</param>
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public Stable(double alpha, double beta, double scale, double location, Random randomSource) |
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public Stable(double alpha, double beta, double scale, double location, System.Random randomSource) |
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{ |
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{ |
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_random = randomSource ?? new Random(); |
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_random = randomSource ?? new System.Random(); |
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SetParameters(alpha, beta, scale, location); |
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SetParameters(alpha, beta, scale, location); |
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} |
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} |
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@ -174,12 +179,10 @@ namespace MathNet.Numerics.Distributions |
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return "Stable(" + "Stability = " + _alpha + ", Skewness = " + _beta + ", Scale = " + _scale + ", Location = " + _location + ")"; |
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return "Stable(" + "Stability = " + _alpha + ", Skewness = " + _beta + ", Scale = " + _scale + ", Location = " + _location + ")"; |
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} |
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} |
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#region IDistribution Members
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/// <summary>
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/// <summary>
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/// Gets or sets the random number generator which is used to draw random samples.
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/// Gets or sets the random number generator which is used to draw random samples.
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/// </summary>
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/// </summary>
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public Random RandomSource |
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public System.Random RandomSource |
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{ |
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{ |
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get { return _random; } |
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get { return _random; } |
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set |
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set |
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@ -267,51 +270,6 @@ namespace MathNet.Numerics.Distributions |
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} |
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} |
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} |
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} |
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/// <summary>
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/// Computes the cumulative distribution function of the distribution.
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/// </summary>
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/// <param name="x">The location at which to compute the cumulative density.</param>
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/// <returns>the cumulative density at <paramref name="x"/>.</returns>
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/// <remarks>Throws a not supported exception if <c>Alpha != 2</c>, <c>(Alpha != 1 and Beta !=0)</c>, or <c>(Alpha != 0.5 and Beta != 1)</c></remarks>
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public double CumulativeDistribution(double x) |
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{ |
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if (_alpha == 2) |
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{ |
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return (new Normal(_location, StdDev)).CumulativeDistribution(x); |
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} |
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if (_alpha == 1 && _beta == 0) |
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{ |
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return (new Cauchy(_location, _scale)).CumulativeDistribution(x); |
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} |
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if (_alpha == 0.5 && _beta == 1) |
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{ |
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return LevyCumulativeDistribution(_scale, _location, x); |
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} |
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throw new NotSupportedException(); |
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} |
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/// <summary>
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/// Computes the cumulative distribution function of the Levy distribution.
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/// </summary>
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/// <param name="scale">The scale parameter.</param>
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/// <param name="location">The location parameter.</param>
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/// <param name="x">The location at which to compute the cumulative density.</param>
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/// <returns>
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/// the cumulative density at <paramref name="x"/>.
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/// </returns>
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static double LevyCumulativeDistribution(double scale, double location, double x) |
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{ |
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// The parameters scale and location must be correct
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return SpecialFunctions.Erfc(Math.Sqrt(scale/(2*(x - location)))); |
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} |
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#endregion
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#region IContinuousDistribution Members
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/// <summary>
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/// <summary>
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/// Gets the mode of the distribution.
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/// Gets the mode of the distribution.
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/// </summary>
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/// </summary>
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@ -371,7 +329,7 @@ namespace MathNet.Numerics.Distributions |
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} |
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} |
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/// <summary>
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/// <summary>
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/// Computes the density of the distribution.
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/// Computes the density of the distribution (PDF), i.e. dP(X <= x)/dx.
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/// </summary>
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/// </summary>
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/// <param name="x">The location at which to compute the density.</param>
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/// <param name="x">The location at which to compute the density.</param>
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/// <returns>the density at <paramref name="x"/>.</returns>
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/// <returns>the density at <paramref name="x"/>.</returns>
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@ -414,7 +372,7 @@ namespace MathNet.Numerics.Distributions |
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} |
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} |
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/// <summary>
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/// <summary>
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/// Computes the log density of the distribution.
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/// Computes the log density of the distribution (lnPDF), i.e. ln(dP(X <= x)/dx).
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/// </summary>
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/// </summary>
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/// <param name="x">The location at which to compute the log density.</param>
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/// <param name="x">The location at which to compute the log density.</param>
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/// <returns>the log density at <paramref name="x"/>.</returns>
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/// <returns>the log density at <paramref name="x"/>.</returns>
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@ -423,7 +381,44 @@ namespace MathNet.Numerics.Distributions |
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return Math.Log(Density(x)); |
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return Math.Log(Density(x)); |
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} |
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} |
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#endregion
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/// <summary>
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/// Computes the cumulative distribution (CDF) of the distribution, i.e. P(X <= x).
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/// </summary>
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/// <param name="x">The location at which to compute the cumulative distribution function.</param>
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/// <returns>the cumulative distribution at location <paramref name="x"/>.</returns>
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/// <remarks>Throws a not supported exception if <c>Alpha != 2</c>, <c>(Alpha != 1 and Beta !=0)</c>, or <c>(Alpha != 0.5 and Beta != 1)</c></remarks>
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public double CumulativeDistribution(double x) |
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{ |
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if (_alpha == 2) |
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{ |
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return (new Normal(_location, StdDev)).CumulativeDistribution(x); |
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} |
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if (_alpha == 1 && _beta == 0) |
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{ |
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return (new Cauchy(_location, _scale)).CumulativeDistribution(x); |
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} |
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if (_alpha == 0.5 && _beta == 1) |
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{ |
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return LevyCumulativeDistribution(_scale, _location, x); |
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} |
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throw new NotSupportedException(); |
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} |
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/// <summary>
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/// Computes the cumulative distribution function of the Levy distribution.
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/// </summary>
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/// <param name="scale">The scale parameter.</param>
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/// <param name="location">The location parameter.</param>
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/// <param name="x">The location at which to compute the cumulative density.</param>
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/// <returns>the cumulative density at <paramref name="x"/>.</returns>
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static double LevyCumulativeDistribution(double scale, double location, double x) |
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{ |
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// The parameters scale and location must be correct
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return SpecialFunctions.Erfc(Math.Sqrt(scale/(2*(x - location)))); |
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} |
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/// <summary>
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/// <summary>
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/// Samples the distribution.
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/// Samples the distribution.
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@ -434,7 +429,7 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <returns>a random number from the distribution.</returns>
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/// <returns>a random number from the distribution.</returns>
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internal static double SampleUnchecked(Random rnd, double alpha, double beta, double scale, double location) |
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internal static double SampleUnchecked(System.Random rnd, double alpha, double beta, double scale, double location) |
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{ |
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{ |
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var randTheta = ContinuousUniform.Sample(rnd, -Constants.PiOver2, Constants.PiOver2); |
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var randTheta = ContinuousUniform.Sample(rnd, -Constants.PiOver2, Constants.PiOver2); |
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var randW = Exponential.Sample(rnd, 1.0); |
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var randW = Exponential.Sample(rnd, 1.0); |
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@ -492,7 +487,7 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <returns>a sample from the distribution.</returns>
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/// <returns>a sample from the distribution.</returns>
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public static double Sample(Random rnd, double alpha, double beta, double scale, double location) |
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public static double Sample(System.Random rnd, double alpha, double beta, double scale, double location) |
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{ |
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{ |
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if (Control.CheckDistributionParameters && !IsValidParameterSet(alpha, beta, scale, location)) |
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if (Control.CheckDistributionParameters && !IsValidParameterSet(alpha, beta, scale, location)) |
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{ |
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{ |
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@ -511,7 +506,7 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <returns>a sequence of samples from the distribution.</returns>
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/// <returns>a sequence of samples from the distribution.</returns>
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public static IEnumerable<double> Samples(Random rnd, double alpha, double beta, double scale, double location) |
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public static IEnumerable<double> Samples(System.Random rnd, double alpha, double beta, double scale, double location) |
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{ |
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{ |
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if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale, scale, location)) |
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if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale, scale, location)) |
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{ |
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{ |
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@ -524,4 +519,4 @@ namespace MathNet.Numerics.Distributions |
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} |
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} |
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} |
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} |
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} |
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} |
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} |
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} |
Christoph Ruegg
13 years ago