forked from tsai/mathnet-numerics
Christoph Ruegg
14 years ago
4 changed files with 151 additions and 89 deletions
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// <copyright file="SortedArrayStatistics.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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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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// 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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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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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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// conditions:
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//
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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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//
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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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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using System; |
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namespace MathNet.Numerics.Statistics |
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{ |
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public enum QuantileCompatibility |
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{ |
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Default=0, |
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Nist,Nearest,Excel, |
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R1,R2,R3,R4,R5,R6,R7,R8,R9, |
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SAS1,SAS2,SAS3,SAS4,SAS5 |
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} |
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public static class SortedArrayStatistics |
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{ |
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const double Third = 1d / 3d; |
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const double Half = 1d / 2d; |
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/// <remarks>
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/// R-8, SciPy-(1/3,1/3):
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/// Linear interpolation of the approximate medians for order statistics.
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/// When tau < (2/3) / (N + 1/3), use x1. When tau >= (N - 1/3) / (N + 1/3), use xN.
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/// </remarks>
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public static double Quantile(double[] data, double tau) |
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{ |
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if (tau < 0d || tau > 1d || data == null || data.Length == 0) return double.NaN; |
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if (tau == 0d || data.Length == 1) return data[0]; |
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if (tau == 1d) return data[data.Length - 1]; |
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double h = (data.Length + Third)*tau + Third; |
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var hf = (int) h; |
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return data[hf - 1] + (h - hf)*(data[hf] - data[hf - 1]); |
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} |
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public static double QuantileCompatible(double[] data, double tau, QuantileCompatibility compatibility) |
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{ |
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if (tau < 0d || tau > 1d || data == null || data.Length == 0) return double.NaN; |
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if (tau == 0d || data.Length == 1) return data[0]; |
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if (tau == 1d) return data[data.Length - 1]; |
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switch (compatibility) |
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{ |
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case QuantileCompatibility.R1: |
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case QuantileCompatibility.SAS3: |
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{ |
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double h = data.Length*tau + Half; |
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return data[(int) Math.Ceiling(h - Half) - 1]; |
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} |
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case QuantileCompatibility.R2: |
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case QuantileCompatibility.SAS5: |
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{ |
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double h = data.Length * tau + Half; |
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return (data[(int) Math.Ceiling(h - Half) - 1] + data[(int) (h + Half) - 1])*Half; |
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} |
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case QuantileCompatibility.R3: |
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case QuantileCompatibility.SAS2: |
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case QuantileCompatibility.Nearest: |
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{ |
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double h = data.Length*tau; |
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return data[(int) Math.Round(h) - 1]; |
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} |
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case QuantileCompatibility.R4: |
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case QuantileCompatibility.SAS1: |
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{ |
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double h = data.Length*tau; |
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var hf = (int)h; |
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return data[hf - 1] + (h - hf) * (data[hf] - data[hf - 1]); |
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} |
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case QuantileCompatibility.R5: |
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{ |
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double h = data.Length*tau + Half; |
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var hf = (int)h; |
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return data[hf - 1] + (h - hf) * (data[hf] - data[hf - 1]); |
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} |
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case QuantileCompatibility.R6: |
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case QuantileCompatibility.SAS4: |
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case QuantileCompatibility.Nist: |
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{ |
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double h = (data.Length + 1)*tau; |
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var hf = (int)h; |
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return data[hf - 1] + (h - hf) * (data[hf] - data[hf - 1]); |
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} |
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case QuantileCompatibility.R7: |
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case QuantileCompatibility.Excel: |
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{ |
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double h = (data.Length - 1)*tau + 1d; |
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var hf = (int)h; |
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return data[hf - 1] + (h - hf) * (data[hf] - data[hf - 1]); |
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} |
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case QuantileCompatibility.R8: |
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case QuantileCompatibility.Default: |
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{ |
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double h = (data.Length + Third) * tau + Third; |
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var hf = (int)h; |
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return data[hf - 1] + (h - hf) * (data[hf] - data[hf - 1]); |
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} |
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case QuantileCompatibility.R9: |
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{ |
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double h = (data.Length + 1d/4d) * tau + 3d/8d; |
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var hf = (int)h; |
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return data[hf - 1] + (h - hf) * (data[hf] - data[hf - 1]); |
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} |
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default: |
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throw new NotSupportedException(); |
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} |
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} |
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} |
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} |
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