| package org.apache.samoa.moa.core; |
| |
| /* |
| * #%L |
| * SAMOA |
| * %% |
| * Copyright (C) 2014 - 2015 Apache Software Foundation |
| * %% |
| * Licensed under the Apache License, Version 2.0 (the "License"); |
| * you may not use this file except in compliance with the License. |
| * You may obtain a copy of the License at |
| * |
| * http://www.apache.org/licenses/LICENSE-2.0 |
| * |
| * Unless required by applicable law or agreed to in writing, software |
| * distributed under the License is distributed on an "AS IS" BASIS, |
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
| * See the License for the specific language governing permissions and |
| * limitations under the License. |
| * #L% |
| */ |
| |
| public class Statistics { |
| |
| /** Some constants */ |
| protected static final double MACHEP = 1.11022302462515654042E-16; |
| protected static final double MAXLOG = 7.09782712893383996732E2; |
| protected static final double MINLOG = -7.451332191019412076235E2; |
| protected static final double MAXGAM = 171.624376956302725; |
| protected static final double SQTPI = 2.50662827463100050242E0; |
| protected static final double SQRTH = 7.07106781186547524401E-1; |
| protected static final double LOGPI = 1.14472988584940017414; |
| |
| protected static final double big = 4.503599627370496e15; |
| protected static final double biginv = 2.22044604925031308085e-16; |
| |
| /************************************************* |
| * COEFFICIENTS FOR METHOD normalInverse() * |
| *************************************************/ |
| /* approximation for 0 <= |y - 0.5| <= 3/8 */ |
| protected static final double P0[] = { |
| -5.99633501014107895267E1, |
| 9.80010754185999661536E1, |
| -5.66762857469070293439E1, |
| 1.39312609387279679503E1, |
| -1.23916583867381258016E0, |
| }; |
| protected static final double Q0[] = { |
| /* 1.00000000000000000000E0, */ |
| 1.95448858338141759834E0, |
| 4.67627912898881538453E0, |
| 8.63602421390890590575E1, |
| -2.25462687854119370527E2, |
| 2.00260212380060660359E2, |
| -8.20372256168333339912E1, |
| 1.59056225126211695515E1, |
| -1.18331621121330003142E0, |
| }; |
| |
| /* |
| * Approximation for interval z = sqrt(-2 log y ) between 2 and 8 i.e., y |
| * between exp(-2) = .135 and exp(-32) = 1.27e-14. |
| */ |
| protected static final double P1[] = { |
| 4.05544892305962419923E0, |
| 3.15251094599893866154E1, |
| 5.71628192246421288162E1, |
| 4.40805073893200834700E1, |
| 1.46849561928858024014E1, |
| 2.18663306850790267539E0, |
| -1.40256079171354495875E-1, |
| -3.50424626827848203418E-2, |
| -8.57456785154685413611E-4, |
| }; |
| protected static final double Q1[] = { |
| /* 1.00000000000000000000E0, */ |
| 1.57799883256466749731E1, |
| 4.53907635128879210584E1, |
| 4.13172038254672030440E1, |
| 1.50425385692907503408E1, |
| 2.50464946208309415979E0, |
| -1.42182922854787788574E-1, |
| -3.80806407691578277194E-2, |
| -9.33259480895457427372E-4, |
| }; |
| |
| /* |
| * Approximation for interval z = sqrt(-2 log y ) between 8 and 64 i.e., y |
| * between exp(-32) = 1.27e-14 and exp(-2048) = 3.67e-890. |
| */ |
| protected static final double P2[] = { |
| 3.23774891776946035970E0, |
| 6.91522889068984211695E0, |
| 3.93881025292474443415E0, |
| 1.33303460815807542389E0, |
| 2.01485389549179081538E-1, |
| 1.23716634817820021358E-2, |
| 3.01581553508235416007E-4, |
| 2.65806974686737550832E-6, |
| 6.23974539184983293730E-9, |
| }; |
| protected static final double Q2[] = { |
| /* 1.00000000000000000000E0, */ |
| 6.02427039364742014255E0, |
| 3.67983563856160859403E0, |
| 1.37702099489081330271E0, |
| 2.16236993594496635890E-1, |
| 1.34204006088543189037E-2, |
| 3.28014464682127739104E-4, |
| 2.89247864745380683936E-6, |
| 6.79019408009981274425E-9, |
| }; |
| |
| /** |
| * Computes standard error for observed values of a binomial random variable. |
| * |
| * @param p |
| * the probability of success |
| * @param n |
| * the size of the sample |
| * @return the standard error |
| */ |
| public static double binomialStandardError(double p, int n) { |
| |
| if (n == 0) { |
| return 0; |
| } |
| return Math.sqrt((p * (1 - p)) / (double) n); |
| } |
| |
| /** |
| * Returns chi-squared probability for given value and degrees of freedom. (The probability that the chi-squared |
| * variate will be greater than x for the given degrees of freedom.) |
| * |
| * @param x |
| * the value |
| * @param v |
| * the number of degrees of freedom |
| * @return the chi-squared probability |
| */ |
| public static double chiSquaredProbability(double x, double v) { |
| |
| if (x < 0.0 || v < 1.0) |
| return 0.0; |
| return incompleteGammaComplement(v / 2.0, x / 2.0); |
| } |
| |
| /** |
| * Computes probability of F-ratio. |
| * |
| * @param F |
| * the F-ratio |
| * @param df1 |
| * the first number of degrees of freedom |
| * @param df2 |
| * the second number of degrees of freedom |
| * @return the probability of the F-ratio. |
| */ |
| public static double FProbability(double F, int df1, int df2) { |
| |
| return incompleteBeta(df2 / 2.0, df1 / 2.0, df2 / (df2 + df1 * F)); |
| } |
| |
| /** |
| * Returns the area under the Normal (Gaussian) probability density function, integrated from minus infinity to |
| * <tt>x</tt> (assumes mean is zero, variance is one). |
| * |
| * <pre> |
| * x |
| * - |
| * 1 | | 2 |
| * normal(x) = --------- | exp( - t /2 ) dt |
| * sqrt(2pi) | | |
| * - |
| * -inf. |
| * |
| * = ( 1 + erf(z) ) / 2 |
| * = erfc(z) / 2 |
| * </pre> |
| * |
| * where <tt>z = x/sqrt(2)</tt>. Computation is via the functions <tt>errorFunction</tt> and |
| * <tt>errorFunctionComplement</tt>. |
| * |
| * @param a |
| * the z-value |
| * @return the probability of the z value according to the normal pdf |
| */ |
| public static double normalProbability(double a) { |
| |
| double x, y, z; |
| |
| x = a * SQRTH; |
| z = Math.abs(x); |
| |
| if (z < SQRTH) |
| y = 0.5 + 0.5 * errorFunction(x); |
| else { |
| y = 0.5 * errorFunctionComplemented(z); |
| if (x > 0) |
| y = 1.0 - y; |
| } |
| return y; |
| } |
| |
| /** |
| * Returns the value, <tt>x</tt>, for which the area under the Normal (Gaussian) probability density function |
| * (integrated from minus infinity to <tt>x</tt>) is equal to the argument <tt>y</tt> (assumes mean is zero, variance |
| * is one). |
| * <p> |
| * For small arguments <tt>0 < y < exp(-2)</tt>, the program computes <tt>z = sqrt( -2.0 * log(y) )</tt>; then the |
| * approximation is <tt>x = z - log(z)/z - (1/z) P(1/z) / Q(1/z)</tt>. There are two rational functions P/Q, one for |
| * <tt>0 < y < exp(-32)</tt> and the other for <tt>y</tt> up to <tt>exp(-2)</tt>. For larger arguments, |
| * <tt>w = y - 0.5</tt>, and <tt>x/sqrt(2pi) = w + w**3 R(w**2)/S(w**2))</tt>. |
| * |
| * @param y0 |
| * the area under the normal pdf |
| * @return the z-value |
| */ |
| public static double normalInverse(double y0) { |
| |
| double x, y, z, y2, x0, x1; |
| int code; |
| |
| final double s2pi = Math.sqrt(2.0 * Math.PI); |
| |
| if (y0 <= 0.0) |
| throw new IllegalArgumentException(); |
| if (y0 >= 1.0) |
| throw new IllegalArgumentException(); |
| code = 1; |
| y = y0; |
| if (y > (1.0 - 0.13533528323661269189)) { /* 0.135... = exp(-2) */ |
| y = 1.0 - y; |
| code = 0; |
| } |
| |
| if (y > 0.13533528323661269189) { |
| y = y - 0.5; |
| y2 = y * y; |
| x = y + y * (y2 * polevl(y2, P0, 4) / p1evl(y2, Q0, 8)); |
| x = x * s2pi; |
| return (x); |
| } |
| |
| x = Math.sqrt(-2.0 * Math.log(y)); |
| x0 = x - Math.log(x) / x; |
| |
| z = 1.0 / x; |
| if (x < 8.0) /* y > exp(-32) = 1.2664165549e-14 */ |
| x1 = z * polevl(z, P1, 8) / p1evl(z, Q1, 8); |
| else |
| x1 = z * polevl(z, P2, 8) / p1evl(z, Q2, 8); |
| x = x0 - x1; |
| if (code != 0) |
| x = -x; |
| return (x); |
| } |
| |
| /** |
| * Returns natural logarithm of gamma function. |
| * |
| * @param x |
| * the value |
| * @return natural logarithm of gamma function |
| */ |
| public static double lnGamma(double x) { |
| |
| double p, q, w, z; |
| |
| double A[] = { |
| 8.11614167470508450300E-4, |
| -5.95061904284301438324E-4, |
| 7.93650340457716943945E-4, |
| -2.77777777730099687205E-3, |
| 8.33333333333331927722E-2 |
| }; |
| double B[] = { |
| -1.37825152569120859100E3, |
| -3.88016315134637840924E4, |
| -3.31612992738871184744E5, |
| -1.16237097492762307383E6, |
| -1.72173700820839662146E6, |
| -8.53555664245765465627E5 |
| }; |
| double C[] = { |
| /* 1.00000000000000000000E0, */ |
| -3.51815701436523470549E2, |
| -1.70642106651881159223E4, |
| -2.20528590553854454839E5, |
| -1.13933444367982507207E6, |
| -2.53252307177582951285E6, |
| -2.01889141433532773231E6 |
| }; |
| |
| if (x < -34.0) { |
| q = -x; |
| w = lnGamma(q); |
| p = Math.floor(q); |
| if (p == q) |
| throw new ArithmeticException("lnGamma: Overflow"); |
| z = q - p; |
| if (z > 0.5) { |
| p += 1.0; |
| z = p - q; |
| } |
| z = q * Math.sin(Math.PI * z); |
| if (z == 0.0) |
| throw new ArithmeticException("lnGamma: Overflow"); |
| z = LOGPI - Math.log(z) - w; |
| return z; |
| } |
| |
| if (x < 13.0) { |
| z = 1.0; |
| while (x >= 3.0) { |
| x -= 1.0; |
| z *= x; |
| } |
| while (x < 2.0) { |
| if (x == 0.0) |
| throw new ArithmeticException("lnGamma: Overflow"); |
| z /= x; |
| x += 1.0; |
| } |
| if (z < 0.0) |
| z = -z; |
| if (x == 2.0) |
| return Math.log(z); |
| x -= 2.0; |
| p = x * polevl(x, B, 5) / p1evl(x, C, 6); |
| return (Math.log(z) + p); |
| } |
| |
| if (x > 2.556348e305) |
| throw new ArithmeticException("lnGamma: Overflow"); |
| |
| q = (x - 0.5) * Math.log(x) - x + 0.91893853320467274178; |
| |
| if (x > 1.0e8) |
| return (q); |
| |
| p = 1.0 / (x * x); |
| if (x >= 1000.0) |
| q += ((7.9365079365079365079365e-4 * p |
| - 2.7777777777777777777778e-3) * p |
| + 0.0833333333333333333333) / x; |
| else |
| q += polevl(p, A, 4) / x; |
| return q; |
| } |
| |
| /** |
| * Returns the error function of the normal distribution. The integral is |
| * |
| * <pre> |
| * x |
| * - |
| * 2 | | 2 |
| * erf(x) = -------- | exp( - t ) dt. |
| * sqrt(pi) | | |
| * - |
| * 0 |
| * </pre> |
| * |
| * <b>Implementation:</b> For <tt>0 <= |x| < 1, erf(x) = x * P4(x**2)/Q5(x**2)</tt>; otherwise |
| * <tt>erf(x) = 1 - erfc(x)</tt>. |
| * <p> |
| * Code adapted from the <A HREF="http://www.sci.usq.edu.au/staff/leighb/graph/Top.html"> Java 2D Graph Package |
| * 2.4</A>, which in turn is a port from the <A HREF="http://people.ne.mediaone.net/moshier/index.html#Cephes">Cephes |
| * 2.2</A> Math Library (C). |
| * |
| * @param a |
| * the argument to the function. |
| */ |
| public static double errorFunction(double x) { |
| double y, z; |
| final double T[] = { |
| 9.60497373987051638749E0, |
| 9.00260197203842689217E1, |
| 2.23200534594684319226E3, |
| 7.00332514112805075473E3, |
| 5.55923013010394962768E4 |
| }; |
| final double U[] = { |
| // 1.00000000000000000000E0, |
| 3.35617141647503099647E1, |
| 5.21357949780152679795E2, |
| 4.59432382970980127987E3, |
| 2.26290000613890934246E4, |
| 4.92673942608635921086E4 |
| }; |
| |
| if (Math.abs(x) > 1.0) |
| return (1.0 - errorFunctionComplemented(x)); |
| z = x * x; |
| y = x * polevl(z, T, 4) / p1evl(z, U, 5); |
| return y; |
| } |
| |
| /** |
| * Returns the complementary Error function of the normal distribution. |
| * |
| * <pre> |
| * 1 - erf(x) = |
| * |
| * inf. |
| * - |
| * 2 | | 2 |
| * erfc(x) = -------- | exp( - t ) dt |
| * sqrt(pi) | | |
| * - |
| * x |
| * </pre> |
| * |
| * <b>Implementation:</b> For small x, <tt>erfc(x) = 1 - erf(x)</tt>; otherwise rational approximations are computed. |
| * <p> |
| * Code adapted from the <A HREF="http://www.sci.usq.edu.au/staff/leighb/graph/Top.html"> Java 2D Graph Package |
| * 2.4</A>, which in turn is a port from the <A HREF="http://people.ne.mediaone.net/moshier/index.html#Cephes">Cephes |
| * 2.2</A> Math Library (C). |
| * |
| * @param a |
| * the argument to the function. |
| */ |
| public static double errorFunctionComplemented(double a) { |
| double x, y, z, p, q; |
| |
| double P[] = { |
| 2.46196981473530512524E-10, |
| 5.64189564831068821977E-1, |
| 7.46321056442269912687E0, |
| 4.86371970985681366614E1, |
| 1.96520832956077098242E2, |
| 5.26445194995477358631E2, |
| 9.34528527171957607540E2, |
| 1.02755188689515710272E3, |
| 5.57535335369399327526E2 |
| }; |
| double Q[] = { |
| // 1.0 |
| 1.32281951154744992508E1, |
| 8.67072140885989742329E1, |
| 3.54937778887819891062E2, |
| 9.75708501743205489753E2, |
| 1.82390916687909736289E3, |
| 2.24633760818710981792E3, |
| 1.65666309194161350182E3, |
| 5.57535340817727675546E2 |
| }; |
| |
| double R[] = { |
| 5.64189583547755073984E-1, |
| 1.27536670759978104416E0, |
| 5.01905042251180477414E0, |
| 6.16021097993053585195E0, |
| 7.40974269950448939160E0, |
| 2.97886665372100240670E0 |
| }; |
| double S[] = { |
| // 1.00000000000000000000E0, |
| 2.26052863220117276590E0, |
| 9.39603524938001434673E0, |
| 1.20489539808096656605E1, |
| 1.70814450747565897222E1, |
| 9.60896809063285878198E0, |
| 3.36907645100081516050E0 |
| }; |
| |
| if (a < 0.0) |
| x = -a; |
| else |
| x = a; |
| |
| if (x < 1.0) |
| return 1.0 - errorFunction(a); |
| |
| z = -a * a; |
| |
| if (z < -MAXLOG) { |
| if (a < 0) |
| return (2.0); |
| else |
| return (0.0); |
| } |
| |
| z = Math.exp(z); |
| |
| if (x < 8.0) { |
| p = polevl(x, P, 8); |
| q = p1evl(x, Q, 8); |
| } else { |
| p = polevl(x, R, 5); |
| q = p1evl(x, S, 6); |
| } |
| |
| y = (z * p) / q; |
| |
| if (a < 0) |
| y = 2.0 - y; |
| |
| if (y == 0.0) { |
| if (a < 0) |
| return 2.0; |
| else |
| return (0.0); |
| } |
| return y; |
| } |
| |
| /** |
| * Evaluates the given polynomial of degree <tt>N</tt> at <tt>x</tt>. Evaluates polynomial when coefficient of N is |
| * 1.0. Otherwise same as <tt>polevl()</tt>. |
| * |
| * <pre> |
| * 2 N |
| * y = C + C x + C x +...+ C x |
| * 0 1 2 N |
| * |
| * Coefficients are stored in reverse order: |
| * |
| * coef[0] = C , ..., coef[N] = C . |
| * N 0 |
| * </pre> |
| * |
| * The function <tt>p1evl()</tt> assumes that <tt>coef[N] = 1.0</tt> and is omitted from the array. Its calling |
| * arguments are otherwise the same as <tt>polevl()</tt>. |
| * <p> |
| * In the interest of speed, there are no checks for out of bounds arithmetic. |
| * |
| * @param x |
| * argument to the polynomial. |
| * @param coef |
| * the coefficients of the polynomial. |
| * @param N |
| * the degree of the polynomial. |
| */ |
| public static double p1evl(double x, double coef[], int N) { |
| |
| double ans; |
| ans = x + coef[0]; |
| |
| for (int i = 1; i < N; i++) |
| ans = ans * x + coef[i]; |
| |
| return ans; |
| } |
| |
| /** |
| * Evaluates the given polynomial of degree <tt>N</tt> at <tt>x</tt>. |
| * |
| * <pre> |
| * 2 N |
| * y = C + C x + C x +...+ C x |
| * 0 1 2 N |
| * |
| * Coefficients are stored in reverse order: |
| * |
| * coef[0] = C , ..., coef[N] = C . |
| * N 0 |
| * </pre> |
| * |
| * In the interest of speed, there are no checks for out of bounds arithmetic. |
| * |
| * @param x |
| * argument to the polynomial. |
| * @param coef |
| * the coefficients of the polynomial. |
| * @param N |
| * the degree of the polynomial. |
| */ |
| public static double polevl(double x, double coef[], int N) { |
| |
| double ans; |
| ans = coef[0]; |
| |
| for (int i = 1; i <= N; i++) |
| ans = ans * x + coef[i]; |
| |
| return ans; |
| } |
| |
| /** |
| * Returns the Incomplete Gamma function. |
| * |
| * @param a |
| * the parameter of the gamma distribution. |
| * @param x |
| * the integration end point. |
| */ |
| public static double incompleteGamma(double a, double x) |
| { |
| |
| double ans, ax, c, r; |
| |
| if (x <= 0 || a <= 0) |
| return 0.0; |
| |
| if (x > 1.0 && x > a) |
| return 1.0 - incompleteGammaComplement(a, x); |
| |
| /* Compute x**a * exp(-x) / gamma(a) */ |
| ax = a * Math.log(x) - x - lnGamma(a); |
| if (ax < -MAXLOG) |
| return (0.0); |
| |
| ax = Math.exp(ax); |
| |
| /* power series */ |
| r = a; |
| c = 1.0; |
| ans = 1.0; |
| |
| do { |
| r += 1.0; |
| c *= x / r; |
| ans += c; |
| } while (c / ans > MACHEP); |
| |
| return (ans * ax / a); |
| } |
| |
| /** |
| * Returns the Complemented Incomplete Gamma function. |
| * |
| * @param a |
| * the parameter of the gamma distribution. |
| * @param x |
| * the integration start point. |
| */ |
| public static double incompleteGammaComplement(double a, double x) { |
| |
| double ans, ax, c, yc, r, t, y, z; |
| double pk, pkm1, pkm2, qk, qkm1, qkm2; |
| |
| if (x <= 0 || a <= 0) |
| return 1.0; |
| |
| if (x < 1.0 || x < a) |
| return 1.0 - incompleteGamma(a, x); |
| |
| ax = a * Math.log(x) - x - lnGamma(a); |
| if (ax < -MAXLOG) |
| return 0.0; |
| |
| ax = Math.exp(ax); |
| |
| /* continued fraction */ |
| y = 1.0 - a; |
| z = x + y + 1.0; |
| c = 0.0; |
| pkm2 = 1.0; |
| qkm2 = x; |
| pkm1 = x + 1.0; |
| qkm1 = z * x; |
| ans = pkm1 / qkm1; |
| |
| do { |
| c += 1.0; |
| y += 1.0; |
| z += 2.0; |
| yc = y * c; |
| pk = pkm1 * z - pkm2 * yc; |
| qk = qkm1 * z - qkm2 * yc; |
| if (qk != 0) { |
| r = pk / qk; |
| t = Math.abs((ans - r) / r); |
| ans = r; |
| } else |
| t = 1.0; |
| |
| pkm2 = pkm1; |
| pkm1 = pk; |
| qkm2 = qkm1; |
| qkm1 = qk; |
| if (Math.abs(pk) > big) { |
| pkm2 *= biginv; |
| pkm1 *= biginv; |
| qkm2 *= biginv; |
| qkm1 *= biginv; |
| } |
| } while (t > MACHEP); |
| |
| return ans * ax; |
| } |
| |
| /** |
| * Returns the Gamma function of the argument. |
| */ |
| public static double gamma(double x) { |
| |
| double P[] = { |
| 1.60119522476751861407E-4, |
| 1.19135147006586384913E-3, |
| 1.04213797561761569935E-2, |
| 4.76367800457137231464E-2, |
| 2.07448227648435975150E-1, |
| 4.94214826801497100753E-1, |
| 9.99999999999999996796E-1 |
| }; |
| double Q[] = { |
| -2.31581873324120129819E-5, |
| 5.39605580493303397842E-4, |
| -4.45641913851797240494E-3, |
| 1.18139785222060435552E-2, |
| 3.58236398605498653373E-2, |
| -2.34591795718243348568E-1, |
| 7.14304917030273074085E-2, |
| 1.00000000000000000320E0 |
| }; |
| |
| double p, z; |
| int i; |
| |
| double q = Math.abs(x); |
| |
| if (q > 33.0) { |
| if (x < 0.0) { |
| p = Math.floor(q); |
| if (p == q) |
| throw new ArithmeticException("gamma: overflow"); |
| i = (int) p; |
| z = q - p; |
| if (z > 0.5) { |
| p += 1.0; |
| z = q - p; |
| } |
| z = q * Math.sin(Math.PI * z); |
| if (z == 0.0) |
| throw new ArithmeticException("gamma: overflow"); |
| z = Math.abs(z); |
| z = Math.PI / (z * stirlingFormula(q)); |
| |
| return -z; |
| } else { |
| return stirlingFormula(x); |
| } |
| } |
| |
| z = 1.0; |
| while (x >= 3.0) { |
| x -= 1.0; |
| z *= x; |
| } |
| |
| while (x < 0.0) { |
| if (x == 0.0) { |
| throw new ArithmeticException("gamma: singular"); |
| } else if (x > -1.E-9) { |
| return (z / ((1.0 + 0.5772156649015329 * x) * x)); |
| } |
| z /= x; |
| x += 1.0; |
| } |
| |
| while (x < 2.0) { |
| if (x == 0.0) { |
| throw new ArithmeticException("gamma: singular"); |
| } else if (x < 1.e-9) { |
| return (z / ((1.0 + 0.5772156649015329 * x) * x)); |
| } |
| z /= x; |
| x += 1.0; |
| } |
| |
| if ((x == 2.0) || (x == 3.0)) |
| return z; |
| |
| x -= 2.0; |
| p = polevl(x, P, 6); |
| q = polevl(x, Q, 7); |
| return z * p / q; |
| } |
| |
| /** |
| * Returns the Gamma function computed by Stirling's formula. The polynomial STIR is valid for 33 <= x <= 172. |
| */ |
| public static double stirlingFormula(double x) { |
| |
| double STIR[] = { |
| 7.87311395793093628397E-4, |
| -2.29549961613378126380E-4, |
| -2.68132617805781232825E-3, |
| 3.47222221605458667310E-3, |
| 8.33333333333482257126E-2, |
| }; |
| double MAXSTIR = 143.01608; |
| |
| double w = 1.0 / x; |
| double y = Math.exp(x); |
| |
| w = 1.0 + w * polevl(w, STIR, 4); |
| |
| if (x > MAXSTIR) { |
| /* Avoid overflow in Math.pow() */ |
| double v = Math.pow(x, 0.5 * x - 0.25); |
| y = v * (v / y); |
| } else { |
| y = Math.pow(x, x - 0.5) / y; |
| } |
| y = SQTPI * y * w; |
| return y; |
| } |
| |
| /** |
| * Returns the Incomplete Beta Function evaluated from zero to <tt>xx</tt>. |
| * |
| * @param aa |
| * the alpha parameter of the beta distribution. |
| * @param bb |
| * the beta parameter of the beta distribution. |
| * @param xx |
| * the integration end point. |
| */ |
| public static double incompleteBeta(double aa, double bb, double xx) { |
| |
| double a, b, t, x, xc, w, y; |
| boolean flag; |
| |
| if (aa <= 0.0 || bb <= 0.0) |
| throw new ArithmeticException("ibeta: Domain error!"); |
| |
| if ((xx <= 0.0) || (xx >= 1.0)) { |
| if (xx == 0.0) |
| return 0.0; |
| if (xx == 1.0) |
| return 1.0; |
| throw new ArithmeticException("ibeta: Domain error!"); |
| } |
| |
| flag = false; |
| if ((bb * xx) <= 1.0 && xx <= 0.95) { |
| t = powerSeries(aa, bb, xx); |
| return t; |
| } |
| |
| w = 1.0 - xx; |
| |
| /* Reverse a and b if x is greater than the mean. */ |
| if (xx > (aa / (aa + bb))) { |
| flag = true; |
| a = bb; |
| b = aa; |
| xc = xx; |
| x = w; |
| } else { |
| a = aa; |
| b = bb; |
| xc = w; |
| x = xx; |
| } |
| |
| if (flag && (b * x) <= 1.0 && x <= 0.95) { |
| t = powerSeries(a, b, x); |
| if (t <= MACHEP) |
| t = 1.0 - MACHEP; |
| else |
| t = 1.0 - t; |
| return t; |
| } |
| |
| /* Choose expansion for better convergence. */ |
| y = x * (a + b - 2.0) - (a - 1.0); |
| if (y < 0.0) |
| w = incompleteBetaFraction1(a, b, x); |
| else |
| w = incompleteBetaFraction2(a, b, x) / xc; |
| |
| /* |
| * Multiply w by the factor a b _ _ _ x (1-x) | (a+b) / ( a | (a) | (b) ) . |
| */ |
| |
| y = a * Math.log(x); |
| t = b * Math.log(xc); |
| if ((a + b) < MAXGAM && Math.abs(y) < MAXLOG && Math.abs(t) < MAXLOG) { |
| t = Math.pow(xc, b); |
| t *= Math.pow(x, a); |
| t /= a; |
| t *= w; |
| t *= gamma(a + b) / (gamma(a) * gamma(b)); |
| if (flag) { |
| if (t <= MACHEP) |
| t = 1.0 - MACHEP; |
| else |
| t = 1.0 - t; |
| } |
| return t; |
| } |
| /* Resort to logarithms. */ |
| y += t + lnGamma(a + b) - lnGamma(a) - lnGamma(b); |
| y += Math.log(w / a); |
| if (y < MINLOG) |
| t = 0.0; |
| else |
| t = Math.exp(y); |
| |
| if (flag) { |
| if (t <= MACHEP) |
| t = 1.0 - MACHEP; |
| else |
| t = 1.0 - t; |
| } |
| return t; |
| } |
| |
| /** |
| * Continued fraction expansion #1 for incomplete beta integral. |
| */ |
| public static double incompleteBetaFraction1(double a, double b, double x) { |
| |
| double xk, pk, pkm1, pkm2, qk, qkm1, qkm2; |
| double k1, k2, k3, k4, k5, k6, k7, k8; |
| double r, t, ans, thresh; |
| int n; |
| |
| k1 = a; |
| k2 = a + b; |
| k3 = a; |
| k4 = a + 1.0; |
| k5 = 1.0; |
| k6 = b - 1.0; |
| k7 = k4; |
| k8 = a + 2.0; |
| |
| pkm2 = 0.0; |
| qkm2 = 1.0; |
| pkm1 = 1.0; |
| qkm1 = 1.0; |
| ans = 1.0; |
| r = 1.0; |
| n = 0; |
| thresh = 3.0 * MACHEP; |
| do { |
| xk = -(x * k1 * k2) / (k3 * k4); |
| pk = pkm1 + pkm2 * xk; |
| qk = qkm1 + qkm2 * xk; |
| pkm2 = pkm1; |
| pkm1 = pk; |
| qkm2 = qkm1; |
| qkm1 = qk; |
| |
| xk = (x * k5 * k6) / (k7 * k8); |
| pk = pkm1 + pkm2 * xk; |
| qk = qkm1 + qkm2 * xk; |
| pkm2 = pkm1; |
| pkm1 = pk; |
| qkm2 = qkm1; |
| qkm1 = qk; |
| |
| if (qk != 0) |
| r = pk / qk; |
| if (r != 0) { |
| t = Math.abs((ans - r) / r); |
| ans = r; |
| } else |
| t = 1.0; |
| |
| if (t < thresh) |
| return ans; |
| |
| k1 += 1.0; |
| k2 += 1.0; |
| k3 += 2.0; |
| k4 += 2.0; |
| k5 += 1.0; |
| k6 -= 1.0; |
| k7 += 2.0; |
| k8 += 2.0; |
| |
| if ((Math.abs(qk) + Math.abs(pk)) > big) { |
| pkm2 *= biginv; |
| pkm1 *= biginv; |
| qkm2 *= biginv; |
| qkm1 *= biginv; |
| } |
| if ((Math.abs(qk) < biginv) || (Math.abs(pk) < biginv)) { |
| pkm2 *= big; |
| pkm1 *= big; |
| qkm2 *= big; |
| qkm1 *= big; |
| } |
| } while (++n < 300); |
| |
| return ans; |
| } |
| |
| /** |
| * Continued fraction expansion #2 for incomplete beta integral. |
| */ |
| public static double incompleteBetaFraction2(double a, double b, double x) { |
| |
| double xk, pk, pkm1, pkm2, qk, qkm1, qkm2; |
| double k1, k2, k3, k4, k5, k6, k7, k8; |
| double r, t, ans, z, thresh; |
| int n; |
| |
| k1 = a; |
| k2 = b - 1.0; |
| k3 = a; |
| k4 = a + 1.0; |
| k5 = 1.0; |
| k6 = a + b; |
| k7 = a + 1.0; |
| ; |
| k8 = a + 2.0; |
| |
| pkm2 = 0.0; |
| qkm2 = 1.0; |
| pkm1 = 1.0; |
| qkm1 = 1.0; |
| z = x / (1.0 - x); |
| ans = 1.0; |
| r = 1.0; |
| n = 0; |
| thresh = 3.0 * MACHEP; |
| do { |
| xk = -(z * k1 * k2) / (k3 * k4); |
| pk = pkm1 + pkm2 * xk; |
| qk = qkm1 + qkm2 * xk; |
| pkm2 = pkm1; |
| pkm1 = pk; |
| qkm2 = qkm1; |
| qkm1 = qk; |
| |
| xk = (z * k5 * k6) / (k7 * k8); |
| pk = pkm1 + pkm2 * xk; |
| qk = qkm1 + qkm2 * xk; |
| pkm2 = pkm1; |
| pkm1 = pk; |
| qkm2 = qkm1; |
| qkm1 = qk; |
| |
| if (qk != 0) |
| r = pk / qk; |
| if (r != 0) { |
| t = Math.abs((ans - r) / r); |
| ans = r; |
| } else |
| t = 1.0; |
| |
| if (t < thresh) |
| return ans; |
| |
| k1 += 1.0; |
| k2 -= 1.0; |
| k3 += 2.0; |
| k4 += 2.0; |
| k5 += 1.0; |
| k6 += 1.0; |
| k7 += 2.0; |
| k8 += 2.0; |
| |
| if ((Math.abs(qk) + Math.abs(pk)) > big) { |
| pkm2 *= biginv; |
| pkm1 *= biginv; |
| qkm2 *= biginv; |
| qkm1 *= biginv; |
| } |
| if ((Math.abs(qk) < biginv) || (Math.abs(pk) < biginv)) { |
| pkm2 *= big; |
| pkm1 *= big; |
| qkm2 *= big; |
| qkm1 *= big; |
| } |
| } while (++n < 300); |
| |
| return ans; |
| } |
| |
| /** |
| * Power series for incomplete beta integral. Use when b*x is small and x not too close to 1. |
| */ |
| public static double powerSeries(double a, double b, double x) { |
| |
| double s, t, u, v, n, t1, z, ai; |
| |
| ai = 1.0 / a; |
| u = (1.0 - b) * x; |
| v = u / (a + 1.0); |
| t1 = v; |
| t = u; |
| n = 2.0; |
| s = 0.0; |
| z = MACHEP * ai; |
| while (Math.abs(v) > z) { |
| u = (n - b) * x / n; |
| t *= u; |
| v = t / (a + n); |
| s += v; |
| n += 1.0; |
| } |
| s += t1; |
| s += ai; |
| |
| u = a * Math.log(x); |
| if ((a + b) < MAXGAM && Math.abs(u) < MAXLOG) { |
| t = gamma(a + b) / (gamma(a) * gamma(b)); |
| s = s * t * Math.pow(x, a); |
| } else { |
| t = lnGamma(a + b) - lnGamma(a) - lnGamma(b) + u + Math.log(s); |
| if (t < MINLOG) |
| s = 0.0; |
| else |
| s = Math.exp(t); |
| } |
| return s; |
| } |
| |
| } |
