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Diffstat (limited to 'src/main/java/org/apache/commons/math/distribution/ChiSquaredDistributionImpl.java')
| -rw-r--r-- | src/main/java/org/apache/commons/math/distribution/ChiSquaredDistributionImpl.java | 324 |
1 files changed, 324 insertions, 0 deletions
diff --git a/src/main/java/org/apache/commons/math/distribution/ChiSquaredDistributionImpl.java b/src/main/java/org/apache/commons/math/distribution/ChiSquaredDistributionImpl.java new file mode 100644 index 0000000..f877792 --- /dev/null +++ b/src/main/java/org/apache/commons/math/distribution/ChiSquaredDistributionImpl.java @@ -0,0 +1,324 @@ +/* + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed with + * this work for additional information regarding copyright ownership. + * The ASF licenses this file to You 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. + */ +package org.apache.commons.math.distribution; + +import java.io.Serializable; + +import org.apache.commons.math.MathException; + +/** + * The default implementation of {@link ChiSquaredDistribution} + * + * @version $Revision: 1054524 $ $Date: 2011-01-03 05:59:18 +0100 (lun. 03 janv. 2011) $ + */ +public class ChiSquaredDistributionImpl + extends AbstractContinuousDistribution + implements ChiSquaredDistribution, Serializable { + + /** + * Default inverse cumulative probability accuracy + * @since 2.1 + */ + public static final double DEFAULT_INVERSE_ABSOLUTE_ACCURACY = 1e-9; + + /** Serializable version identifier */ + private static final long serialVersionUID = -8352658048349159782L; + + /** Internal Gamma distribution. */ + private GammaDistribution gamma; + + /** Inverse cumulative probability accuracy */ + private final double solverAbsoluteAccuracy; + + /** + * Create a Chi-Squared distribution with the given degrees of freedom. + * @param df degrees of freedom. + */ + public ChiSquaredDistributionImpl(double df) { + this(df, new GammaDistributionImpl(df / 2.0, 2.0)); + } + + /** + * Create a Chi-Squared distribution with the given degrees of freedom. + * @param df degrees of freedom. + * @param g the underlying gamma distribution used to compute probabilities. + * @since 1.2 + * @deprecated as of 2.1 (to avoid possibly inconsistent state, the + * "GammaDistribution" will be instantiated internally) + */ + @Deprecated + public ChiSquaredDistributionImpl(double df, GammaDistribution g) { + super(); + setGammaInternal(g); + setDegreesOfFreedomInternal(df); + solverAbsoluteAccuracy = DEFAULT_INVERSE_ABSOLUTE_ACCURACY; + } + + /** + * Create a Chi-Squared distribution with the given degrees of freedom and + * inverse cumulative probability accuracy. + * @param df degrees of freedom. + * @param inverseCumAccuracy the maximum absolute error in inverse cumulative probability estimates + * (defaults to {@link #DEFAULT_INVERSE_ABSOLUTE_ACCURACY}) + * @since 2.1 + */ + public ChiSquaredDistributionImpl(double df, double inverseCumAccuracy) { + super(); + gamma = new GammaDistributionImpl(df / 2.0, 2.0); + setDegreesOfFreedomInternal(df); + solverAbsoluteAccuracy = inverseCumAccuracy; + } + + /** + * Modify the degrees of freedom. + * @param degreesOfFreedom the new degrees of freedom. + * @deprecated as of 2.1 (class will become immutable in 3.0) + */ + @Deprecated + public void setDegreesOfFreedom(double degreesOfFreedom) { + setDegreesOfFreedomInternal(degreesOfFreedom); + } + /** + * Modify the degrees of freedom. + * @param degreesOfFreedom the new degrees of freedom. + */ + private void setDegreesOfFreedomInternal(double degreesOfFreedom) { + gamma.setAlpha(degreesOfFreedom / 2.0); + } + + /** + * Access the degrees of freedom. + * @return the degrees of freedom. + */ + public double getDegreesOfFreedom() { + return gamma.getAlpha() * 2.0; + } + + /** + * Return the probability density for a particular point. + * + * @param x The point at which the density should be computed. + * @return The pdf at point x. + * @deprecated + */ + @Deprecated + public double density(Double x) { + return density(x.doubleValue()); + } + + /** + * Return the probability density for a particular point. + * + * @param x The point at which the density should be computed. + * @return The pdf at point x. + * @since 2.1 + */ + @Override + public double density(double x) { + return gamma.density(x); + } + + /** + * For this distribution, X, this method returns P(X < x). + * @param x the value at which the CDF is evaluated. + * @return CDF for this distribution. + * @throws MathException if the cumulative probability can not be + * computed due to convergence or other numerical errors. + */ + public double cumulativeProbability(double x) throws MathException { + return gamma.cumulativeProbability(x); + } + + /** + * For this distribution, X, this method returns the critical point x, such + * that P(X < x) = <code>p</code>. + * <p> + * Returns 0 for p=0 and <code>Double.POSITIVE_INFINITY</code> for p=1.</p> + * + * @param p the desired probability + * @return x, such that P(X < x) = <code>p</code> + * @throws MathException if the inverse cumulative probability can not be + * computed due to convergence or other numerical errors. + * @throws IllegalArgumentException if <code>p</code> is not a valid + * probability. + */ + @Override + public double inverseCumulativeProbability(final double p) + throws MathException { + if (p == 0) { + return 0d; + } + if (p == 1) { + return Double.POSITIVE_INFINITY; + } + return super.inverseCumulativeProbability(p); + } + + /** + * Access the domain value lower bound, based on <code>p</code>, used to + * bracket a CDF root. This method is used by + * {@link #inverseCumulativeProbability(double)} to find critical values. + * + * @param p the desired probability for the critical value + * @return domain value lower bound, i.e. + * P(X < <i>lower bound</i>) < <code>p</code> + */ + @Override + protected double getDomainLowerBound(double p) { + return Double.MIN_VALUE * gamma.getBeta(); + } + + /** + * Access the domain value upper bound, based on <code>p</code>, used to + * bracket a CDF root. This method is used by + * {@link #inverseCumulativeProbability(double)} to find critical values. + * + * @param p the desired probability for the critical value + * @return domain value upper bound, i.e. + * P(X < <i>upper bound</i>) > <code>p</code> + */ + @Override + protected double getDomainUpperBound(double p) { + // NOTE: chi squared is skewed to the left + // NOTE: therefore, P(X < μ) > .5 + + double ret; + + if (p < .5) { + // use mean + ret = getDegreesOfFreedom(); + } else { + // use max + ret = Double.MAX_VALUE; + } + + return ret; + } + + /** + * Access the initial domain value, based on <code>p</code>, used to + * bracket a CDF root. This method is used by + * {@link #inverseCumulativeProbability(double)} to find critical values. + * + * @param p the desired probability for the critical value + * @return initial domain value + */ + @Override + protected double getInitialDomain(double p) { + // NOTE: chi squared is skewed to the left + // NOTE: therefore, P(X < μ) > .5 + + double ret; + + if (p < .5) { + // use 1/2 mean + ret = getDegreesOfFreedom() * .5; + } else { + // use mean + ret = getDegreesOfFreedom(); + } + + return ret; + } + + /** + * Modify the underlying gamma distribution. The caller is responsible for + * insuring the gamma distribution has the proper parameter settings. + * @param g the new distribution. + * @since 1.2 made public + * @deprecated as of 2.1 (class will become immutable in 3.0) + */ + @Deprecated + public void setGamma(GammaDistribution g) { + setGammaInternal(g); + } + /** + * Modify the underlying gamma distribution. The caller is responsible for + * insuring the gamma distribution has the proper parameter settings. + * @param g the new distribution. + * @since 1.2 made public + */ + private void setGammaInternal(GammaDistribution g) { + this.gamma = g; + + } + + + /** + * Return the absolute accuracy setting of the solver used to estimate + * inverse cumulative probabilities. + * + * @return the solver absolute accuracy + * @since 2.1 + */ + @Override + protected double getSolverAbsoluteAccuracy() { + return solverAbsoluteAccuracy; + } + + /** + * Returns the lower bound of the support for the distribution. + * + * The lower bound of the support is always 0 no matter the + * degrees of freedom. + * + * @return lower bound of the support (always 0) + * @since 2.2 + */ + public double getSupportLowerBound() { + return 0; + } + + /** + * Returns the upper bound for the support for the distribution. + * + * The upper bound of the support is always positive infinity no matter the + * degrees of freedom. + * + * @return upper bound of the support (always Double.POSITIVE_INFINITY) + * @since 2.2 + */ + public double getSupportUpperBound() { + return Double.POSITIVE_INFINITY; + } + + /** + * Returns the mean of the distribution. + * + * For <code>k</code> degrees of freedom, the mean is + * <code>k</code> + * + * @return the mean + * @since 2.2 + */ + public double getNumericalMean() { + return getDegreesOfFreedom(); + } + + /** + * Returns the variance of the distribution. + * + * For <code>k</code> degrees of freedom, the variance is + * <code>2 * k</code> + * + * @return the variance + * @since 2.2 + */ + public double getNumericalVariance() { + return 2*getDegreesOfFreedom(); + } +} |