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Reference Guide
QuantFuncMathCore.cxx
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1 // @(#)root/mathcore:$Id$
2 // Authors: L. Moneta, A. Zsenei 08/2005
3 
4 
5 #include "Math/Math.h"
7 #include "SpecFuncCephes.h"
8 #include <limits>
9 
10 
11 namespace ROOT {
12 namespace Math {
13 
14 
15 
16  double beta_quantile_c(double z, double a, double b) {
17  // use Cephes and proprety of icomplete beta function
18  if ( z < 0.5)
19  return 1. - ROOT::Math::Cephes::incbi(b,a,z);
20  else
21  return ROOT::Math::Cephes::incbi(a,b,1.0-z);
22 
23  }
24 
25 
26  double beta_quantile(double z, double a, double b ) {
27  // use Cephes function
28  return ROOT::Math::Cephes::incbi(a,b,z);
29 
30  }
31 
32 
33  double cauchy_quantile_c(double z, double b) {
34  // inverse of Caucy is simply the tan(PI(z-0.5))
35  if (z == 0) return std::numeric_limits<double>::infinity();
36  if (z == 1) return - std::numeric_limits<double>::infinity();
37  if (z < 0.5)
38  // use fact that tan(PI(0.5-z)) = 1/tan(PI*z)
39  return b / std::tan( M_PI * z );
40  else
41  return b * std::tan( M_PI * (0.5 - z ) );
42  }
43 
44 
45 
46  double cauchy_quantile(double z, double b) {
47  // inverse of Caucy is simply the tan(PI(z-0.5))
48  if (z == 0) return - std::numeric_limits<double>::infinity();
49  if (z == 1) return + std::numeric_limits<double>::infinity();
50  if (z < 0.5)
51  // use fact that tan(PI(0.5-z)) = 1/tan(PI*z)
52  return - b / std::tan( M_PI * z );
53  else
54  return b * std::tan( M_PI * ( z - 0.5 ) );
55 
56  }
57 
58 
59 
60  double chisquared_quantile_c(double z, double r) {
61  // use Cephes igami which return inverse of complemented regularized gamma
62  return 2.* ROOT::Math::Cephes::igami( 0.5 *r, z);
63 
64  }
65 
66 
67  double chisquared_quantile(double z, double r) {
68  // if possible, should use MathMore function ROOT::Math::chisquared_quantile for z close to zero
69  // otherwise will always return zero for z value smaller than eps
70  return 2.* ROOT::Math::Cephes::igami( 0.5 *r, 1. - z);
71  }
72 
73 
74  double exponential_quantile_c(double z, double lambda) {
75 
76  return - std::log(z)/ lambda;
77 
78  }
79 
80 
81 
82  double exponential_quantile(double z, double lambda) {
83  // use log1p for avoid errors at small z
84  return - ROOT::Math::log1p(-z)/lambda;
85 
86  }
87 
88 
89  double fdistribution_quantile_c(double z, double n, double m) {
90  // use cephes incbi function and use propreties of incomplete beta for case <> 0.5
91  if (n == 0) return 0; // is value of cdf for n = 0
92  if (z < 0.5) {
93  double y = ROOT::Math::Cephes::incbi( .5*m, .5*n, z);
94  return m/(n * y) - m/n;
95  }
96  else {
97  double y = ROOT::Math::Cephes::incbi( .5*n, .5*m, 1.0 - z);
98  // will lose precision for y approx to 1
99  return m * y /(n * ( 1. - y) );
100  }
101  }
102 
103  double fdistribution_quantile(double z, double n, double m) {
104  // use cephes incbi function
105  if (n == 0) return 0; // is value of cdf for n = 0
106  double y = ROOT::Math::Cephes::incbi( .5*n, .5*m, z);
107  // will lose precision for y approx to 1
108  return m * y /(n * ( 1. - y) );
109  }
110 
111 
112  double gamma_quantile_c(double z, double alpha, double theta) {
113 
114  return theta * ROOT::Math::Cephes::igami( alpha, z);
115 
116  }
117 
118  double gamma_quantile(double z, double alpha, double theta) {
119  // if possible, should use MathMore function ROOT::Math::gamma_quantile for z close to zero
120  // otherwise will always return zero for z value smaller than eps
121  return theta * ROOT::Math::Cephes::igami( alpha, 1.- z);
122  }
123 
124 
125 
126  double normal_quantile_c(double z, double sigma) {
127  // use cephes and fact that ntri(1.-x) = - ndtri(x)
128  return - sigma * ROOT::Math::Cephes::ndtri(z);
129 
130  }
131 
132 
133 
134  double normal_quantile(double z, double sigma) {
135  // use cephes ndtri function
136  return sigma * ROOT::Math::Cephes::ndtri(z);
137 
138  }
139 
140 
141 
142 
143  double lognormal_quantile_c(double z, double m, double s) {
144  // if y is log normal, u = exp(y) is log-normal distributed
145  double y = - s * ROOT::Math::Cephes::ndtri(z) + m;
146  return std::exp(y);
147  }
148 
149 
150 
151  double lognormal_quantile(double z, double m, double s) {
152  // if y is log normal, u = exp(y) is log-normal distributed
153  double y = s * ROOT::Math::Cephes::ndtri(z) + m;
154  return std::exp(y);
155 
156  }
157 
158 
159 // double tdistribution_quantile_c(double z, double r) {
160 
161 // return gsl_cdf_tdist_Qinv(z, r);
162 
163 // }
164 
165 
166 
167 // double tdistribution_quantile(double z, double r) {
168 
169 // return gsl_cdf_tdist_Pinv(z, r);
170 
171 // }
172 
173 
174 
175  double uniform_quantile_c(double z, double a, double b) {
176 
177  return a * z + b * (1.0 - z);
178 
179  }
180 
181 
182 
183  double uniform_quantile(double z, double a, double b) {
184 
185  return b * z + a * (1.0 - z);
186 
187  }
188 
189  double landau_quantile(double z, double xi) {
190  // LANDAU quantile : algorithm from CERNLIB G110 ranlan
191  // with scale parameter xi
192  // Converted by Rene Brun from CERNLIB routine ranlan(G110),
193  // Moved and adapted to QuantFuncMathCore by B. List 29.4.2010
194 
195  static double f[982] = {
196  0 , 0 , 0 ,0 ,0 ,-2.244733,
197  -2.204365,-2.168163,-2.135219,-2.104898,-2.076740,-2.050397,
198  -2.025605,-2.002150,-1.979866,-1.958612,-1.938275,-1.918760,
199  -1.899984,-1.881879,-1.864385,-1.847451,-1.831030,-1.815083,
200  -1.799574,-1.784473,-1.769751,-1.755383,-1.741346,-1.727620,
201  -1.714187,-1.701029,-1.688130,-1.675477,-1.663057,-1.650858,
202  -1.638868,-1.627078,-1.615477,-1.604058,-1.592811,-1.581729,
203  -1.570806,-1.560034,-1.549407,-1.538919,-1.528565,-1.518339,
204  -1.508237,-1.498254,-1.488386,-1.478628,-1.468976,-1.459428,
205  -1.449979,-1.440626,-1.431365,-1.422195,-1.413111,-1.404112,
206  -1.395194,-1.386356,-1.377594,-1.368906,-1.360291,-1.351746,
207  -1.343269,-1.334859,-1.326512,-1.318229,-1.310006,-1.301843,
208  -1.293737,-1.285688,-1.277693,-1.269752,-1.261863,-1.254024,
209  -1.246235,-1.238494,-1.230800,-1.223153,-1.215550,-1.207990,
210  -1.200474,-1.192999,-1.185566,-1.178172,-1.170817,-1.163500,
211  -1.156220,-1.148977,-1.141770,-1.134598,-1.127459,-1.120354,
212  -1.113282,-1.106242,-1.099233,-1.092255,
213  -1.085306,-1.078388,-1.071498,-1.064636,-1.057802,-1.050996,
214  -1.044215,-1.037461,-1.030733,-1.024029,-1.017350,-1.010695,
215  -1.004064, -.997456, -.990871, -.984308, -.977767, -.971247,
216  -.964749, -.958271, -.951813, -.945375, -.938957, -.932558,
217  -.926178, -.919816, -.913472, -.907146, -.900838, -.894547,
218  -.888272, -.882014, -.875773, -.869547, -.863337, -.857142,
219  -.850963, -.844798, -.838648, -.832512, -.826390, -.820282,
220  -.814187, -.808106, -.802038, -.795982, -.789940, -.783909,
221  -.777891, -.771884, -.765889, -.759906, -.753934, -.747973,
222  -.742023, -.736084, -.730155, -.724237, -.718328, -.712429,
223  -.706541, -.700661, -.694791, -.688931, -.683079, -.677236,
224  -.671402, -.665576, -.659759, -.653950, -.648149, -.642356,
225  -.636570, -.630793, -.625022, -.619259, -.613503, -.607754,
226  -.602012, -.596276, -.590548, -.584825, -.579109, -.573399,
227  -.567695, -.561997, -.556305, -.550618, -.544937, -.539262,
228  -.533592, -.527926, -.522266, -.516611, -.510961, -.505315,
229  -.499674, -.494037, -.488405, -.482777,
230  -.477153, -.471533, -.465917, -.460305, -.454697, -.449092,
231  -.443491, -.437893, -.432299, -.426707, -.421119, -.415534,
232  -.409951, -.404372, -.398795, -.393221, -.387649, -.382080,
233  -.376513, -.370949, -.365387, -.359826, -.354268, -.348712,
234  -.343157, -.337604, -.332053, -.326503, -.320955, -.315408,
235  -.309863, -.304318, -.298775, -.293233, -.287692, -.282152,
236  -.276613, -.271074, -.265536, -.259999, -.254462, -.248926,
237  -.243389, -.237854, -.232318, -.226783, -.221247, -.215712,
238  -.210176, -.204641, -.199105, -.193568, -.188032, -.182495,
239  -.176957, -.171419, -.165880, -.160341, -.154800, -.149259,
240  -.143717, -.138173, -.132629, -.127083, -.121537, -.115989,
241  -.110439, -.104889, -.099336, -.093782, -.088227, -.082670,
242  -.077111, -.071550, -.065987, -.060423, -.054856, -.049288,
243  -.043717, -.038144, -.032569, -.026991, -.021411, -.015828,
244  -.010243, -.004656, .000934, .006527, .012123, .017722,
245  .023323, .028928, .034535, .040146, .045759, .051376,
246  .056997, .062620, .068247, .073877,
247  .079511, .085149, .090790, .096435, .102083, .107736,
248  .113392, .119052, .124716, .130385, .136057, .141734,
249  .147414, .153100, .158789, .164483, .170181, .175884,
250  .181592, .187304, .193021, .198743, .204469, .210201,
251  .215937, .221678, .227425, .233177, .238933, .244696,
252  .250463, .256236, .262014, .267798, .273587, .279382,
253  .285183, .290989, .296801, .302619, .308443, .314273,
254  .320109, .325951, .331799, .337654, .343515, .349382,
255  .355255, .361135, .367022, .372915, .378815, .384721,
256  .390634, .396554, .402481, .408415, .414356, .420304,
257  .426260, .432222, .438192, .444169, .450153, .456145,
258  .462144, .468151, .474166, .480188, .486218, .492256,
259  .498302, .504356, .510418, .516488, .522566, .528653,
260  .534747, .540850, .546962, .553082, .559210, .565347,
261  .571493, .577648, .583811, .589983, .596164, .602355,
262  .608554, .614762, .620980, .627207, .633444, .639689,
263  .645945, .652210, .658484, .664768,
264  .671062, .677366, .683680, .690004, .696338, .702682,
265  .709036, .715400, .721775, .728160, .734556, .740963,
266  .747379, .753807, .760246, .766695, .773155, .779627,
267  .786109, .792603, .799107, .805624, .812151, .818690,
268  .825241, .831803, .838377, .844962, .851560, .858170,
269  .864791, .871425, .878071, .884729, .891399, .898082,
270  .904778, .911486, .918206, .924940, .931686, .938446,
271  .945218, .952003, .958802, .965614, .972439, .979278,
272  .986130, .992996, .999875, 1.006769, 1.013676, 1.020597,
273  1.027533, 1.034482, 1.041446, 1.048424, 1.055417, 1.062424,
274  1.069446, 1.076482, 1.083534, 1.090600, 1.097681, 1.104778,
275  1.111889, 1.119016, 1.126159, 1.133316, 1.140490, 1.147679,
276  1.154884, 1.162105, 1.169342, 1.176595, 1.183864, 1.191149,
277  1.198451, 1.205770, 1.213105, 1.220457, 1.227826, 1.235211,
278  1.242614, 1.250034, 1.257471, 1.264926, 1.272398, 1.279888,
279  1.287395, 1.294921, 1.302464, 1.310026, 1.317605, 1.325203,
280  1.332819, 1.340454, 1.348108, 1.355780,
281  1.363472, 1.371182, 1.378912, 1.386660, 1.394429, 1.402216,
282  1.410024, 1.417851, 1.425698, 1.433565, 1.441453, 1.449360,
283  1.457288, 1.465237, 1.473206, 1.481196, 1.489208, 1.497240,
284  1.505293, 1.513368, 1.521465, 1.529583, 1.537723, 1.545885,
285  1.554068, 1.562275, 1.570503, 1.578754, 1.587028, 1.595325,
286  1.603644, 1.611987, 1.620353, 1.628743, 1.637156, 1.645593,
287  1.654053, 1.662538, 1.671047, 1.679581, 1.688139, 1.696721,
288  1.705329, 1.713961, 1.722619, 1.731303, 1.740011, 1.748746,
289  1.757506, 1.766293, 1.775106, 1.783945, 1.792810, 1.801703,
290  1.810623, 1.819569, 1.828543, 1.837545, 1.846574, 1.855631,
291  1.864717, 1.873830, 1.882972, 1.892143, 1.901343, 1.910572,
292  1.919830, 1.929117, 1.938434, 1.947781, 1.957158, 1.966566,
293  1.976004, 1.985473, 1.994972, 2.004503, 2.014065, 2.023659,
294  2.033285, 2.042943, 2.052633, 2.062355, 2.072110, 2.081899,
295  2.091720, 2.101575, 2.111464, 2.121386, 2.131343, 2.141334,
296  2.151360, 2.161421, 2.171517, 2.181648, 2.191815, 2.202018,
297  2.212257, 2.222533, 2.232845, 2.243195,
298  2.253582, 2.264006, 2.274468, 2.284968, 2.295507, 2.306084,
299  2.316701, 2.327356, 2.338051, 2.348786, 2.359562, 2.370377,
300  2.381234, 2.392131, 2.403070, 2.414051, 2.425073, 2.436138,
301  2.447246, 2.458397, 2.469591, 2.480828, 2.492110, 2.503436,
302  2.514807, 2.526222, 2.537684, 2.549190, 2.560743, 2.572343,
303  2.583989, 2.595682, 2.607423, 2.619212, 2.631050, 2.642936,
304  2.654871, 2.666855, 2.678890, 2.690975, 2.703110, 2.715297,
305  2.727535, 2.739825, 2.752168, 2.764563, 2.777012, 2.789514,
306  2.802070, 2.814681, 2.827347, 2.840069, 2.852846, 2.865680,
307  2.878570, 2.891518, 2.904524, 2.917588, 2.930712, 2.943894,
308  2.957136, 2.970439, 2.983802, 2.997227, 3.010714, 3.024263,
309  3.037875, 3.051551, 3.065290, 3.079095, 3.092965, 3.106900,
310  3.120902, 3.134971, 3.149107, 3.163312, 3.177585, 3.191928,
311  3.206340, 3.220824, 3.235378, 3.250005, 3.264704, 3.279477,
312  3.294323, 3.309244, 3.324240, 3.339312, 3.354461, 3.369687,
313  3.384992, 3.400375, 3.415838, 3.431381, 3.447005, 3.462711,
314  3.478500, 3.494372, 3.510328, 3.526370,
315  3.542497, 3.558711, 3.575012, 3.591402, 3.607881, 3.624450,
316  3.641111, 3.657863, 3.674708, 3.691646, 3.708680, 3.725809,
317  3.743034, 3.760357, 3.777779, 3.795300, 3.812921, 3.830645,
318  3.848470, 3.866400, 3.884434, 3.902574, 3.920821, 3.939176,
319  3.957640, 3.976215, 3.994901, 4.013699, 4.032612, 4.051639,
320  4.070783, 4.090045, 4.109425, 4.128925, 4.148547, 4.168292,
321  4.188160, 4.208154, 4.228275, 4.248524, 4.268903, 4.289413,
322  4.310056, 4.330832, 4.351745, 4.372794, 4.393982, 4.415310,
323  4.436781, 4.458395, 4.480154, 4.502060, 4.524114, 4.546319,
324  4.568676, 4.591187, 4.613854, 4.636678, 4.659662, 4.682807,
325  4.706116, 4.729590, 4.753231, 4.777041, 4.801024, 4.825179,
326  4.849511, 4.874020, 4.898710, 4.923582, 4.948639, 4.973883,
327  4.999316, 5.024942, 5.050761, 5.076778, 5.102993, 5.129411,
328  5.156034, 5.182864, 5.209903, 5.237156, 5.264625, 5.292312,
329  5.320220, 5.348354, 5.376714, 5.405306, 5.434131, 5.463193,
330  5.492496, 5.522042, 5.551836, 5.581880, 5.612178, 5.642734,
331  5.673552, 5.704634, 5.735986, 5.767610,
332  5.799512, 5.831694, 5.864161, 5.896918, 5.929968, 5.963316,
333  5.996967, 6.030925, 6.065194, 6.099780, 6.134687, 6.169921,
334  6.205486, 6.241387, 6.277630, 6.314220, 6.351163, 6.388465,
335  6.426130, 6.464166, 6.502578, 6.541371, 6.580553, 6.620130,
336  6.660109, 6.700495, 6.741297, 6.782520, 6.824173, 6.866262,
337  6.908795, 6.951780, 6.995225, 7.039137, 7.083525, 7.128398,
338  7.173764, 7.219632, 7.266011, 7.312910, 7.360339, 7.408308,
339  7.456827, 7.505905, 7.555554, 7.605785, 7.656608, 7.708035,
340  7.760077, 7.812747, 7.866057, 7.920019, 7.974647, 8.029953,
341  8.085952, 8.142657, 8.200083, 8.258245, 8.317158, 8.376837,
342  8.437300, 8.498562, 8.560641, 8.623554, 8.687319, 8.751955,
343  8.817481, 8.883916, 8.951282, 9.019600, 9.088889, 9.159174,
344  9.230477, 9.302822, 9.376233, 9.450735, 9.526355, 9.603118,
345  9.681054, 9.760191, 9.840558, 9.922186,10.005107,10.089353,
346  10.174959,10.261958,10.350389,10.440287,10.531693,10.624646,
347  10.719188,10.815362,10.913214,11.012789,11.114137,11.217307,
348  11.322352,11.429325,11.538283,11.649285,
349  11.762390,11.877664,11.995170,12.114979,12.237161,12.361791,
350  12.488946,12.618708,12.751161,12.886394,13.024498,13.165570,
351  13.309711,13.457026,13.607625,13.761625,13.919145,14.080314,
352  14.245263,14.414134,14.587072,14.764233,14.945778,15.131877,
353  15.322712,15.518470,15.719353,15.925570,16.137345,16.354912,
354  16.578520,16.808433,17.044929,17.288305,17.538873,17.796967,
355  18.062943,18.337176,18.620068,18.912049,19.213574,19.525133,
356  19.847249,20.180480,20.525429,20.882738,21.253102,21.637266,
357  22.036036,22.450278,22.880933,23.329017,23.795634,24.281981,
358  24.789364,25.319207,25.873062,26.452634,27.059789,27.696581,
359  28.365274,29.068370,29.808638,30.589157,31.413354,32.285060,
360  33.208568,34.188705,35.230920,36.341388,37.527131,38.796172,
361  40.157721,41.622399,43.202525,44.912465,46.769077,48.792279,
362  51.005773,53.437996,56.123356,59.103894 };
363 
364  if (xi <= 0) return 0;
365  if (z <= 0) return -std::numeric_limits<double>::infinity();
366  if (z >= 1) return std::numeric_limits<double>::infinity();
367 
368  double ranlan, u, v;
369  u = 1000*z;
370  int i = int(u);
371  u -= i;
372  if (i >= 70 && i < 800) {
373  ranlan = f[i-1] + u*(f[i] - f[i-1]);
374  } else if (i >= 7 && i <= 980) {
375  ranlan = f[i-1] + u*(f[i]-f[i-1]-0.25*(1-u)*(f[i+1]-f[i]-f[i-1]+f[i-2]));
376  } else if (i < 7) {
377  v = std::log(z);
378  u = 1/v;
379  ranlan = ((0.99858950+(3.45213058E1+1.70854528E1*u)*u)/
380  (1 +(3.41760202E1+4.01244582 *u)*u))*
381  (-std::log(-0.91893853-v)-1);
382  } else {
383  u = 1-z;
384  v = u*u;
385  if (z <= 0.999) {
386  ranlan = (1.00060006+2.63991156E2*u+4.37320068E3*v)/
387  ((1 +2.57368075E2*u+3.41448018E3*v)*u);
388  } else {
389  ranlan = (1.00001538+6.07514119E3*u+7.34266409E5*v)/
390  ((1 +6.06511919E3*u+6.94021044E5*v)*u);
391  }
392  }
393  return xi*ranlan;
394  }
395 
396  double landau_quantile_c(double z, double xi) {
397  return landau_quantile(1.-z,xi);
398  }
399 
400 } // namespace Math
401 } // namespace ROOT
m
auto * m
Definition: textangle.C:8
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Definition: legend1.C:16
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Inverse ( ) of the cumulative distribution function of the upper tail of the Cauchy distribution (cau...
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Definition: QuantFuncMathCore.cxx:26
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Math.h
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Inverse ( ) of the cumulative distribution function of the lower tail of the f distribution (fdistrib...
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Definition: textangle.C:12
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double lognormal_quantile_c(double x, double m, double s)
Inverse ( ) of the cumulative distribution function of the upper tail of the lognormal distribution (...
Definition: QuantFuncMathCore.cxx:143
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Definition: legend1.C:17
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double fdistribution_quantile_c(double z, double n, double m)
Inverse ( ) of the cumulative distribution function of the upper tail of the f distribution (fdistrib...
Definition: QuantFuncMathCore.cxx:89
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Definition: QuantFuncMathCore.cxx:175
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Inverse ( ) of the cumulative distribution function of the upper tail of the exponential distribution...
Definition: QuantFuncMathCore.cxx:74
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Inverse ( ) of the cumulative distribution function of the lower tail of the exponential distribution...
Definition: QuantFuncMathCore.cxx:82
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Definition: Rotated.cxx:105
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Inverse ( ) of the cumulative distribution function of the lower tail of the normal (Gaussian) distri...
Definition: QuantFuncMathCore.cxx:134
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Inverse ( ) of the cumulative distribution function of the lower tail of the uniform (flat) distribut...
Definition: QuantFuncMathCore.cxx:183
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Inverse ( ) of the cumulative distribution function of the upper tail of the normal (Gaussian) distri...
Definition: QuantFuncMathCore.cxx:126
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declarations for functions which are not implemented by some compilers
Definition: Math.h:98
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Inverse ( ) of the cumulative distribution function of the lower tail of the gamma distribution (gamm...
Definition: QuantFuncMathCore.cxx:118
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Inverse ( ) of the cumulative distribution function of the lower tail of the Landau distribution (lan...
Definition: QuantFuncMathCore.cxx:189
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Inverse ( ) of the cumulative distribution function of the lower tail of the distribution with degr...
Definition: QuantFuncMathCore.cxx:67
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Inverse ( ) of the cumulative distribution function of the lower tail of the beta distribution (beta_...
Definition: QuantFuncMathCore.cxx:16
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Definition: QuantFuncMathCore.cxx:396
ROOT
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Definition: StringConv.hxx:21
Math
Namespace for new Math classes and functions.
int