path: root/src/main/java/org/apache/commons/math3/distribution/FDistribution.java

/*
 * 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.math3.distribution;

import org.apache.commons.math3.exception.NotStrictlyPositiveException;
import org.apache.commons.math3.exception.util.LocalizedFormats;
import org.apache.commons.math3.random.RandomGenerator;
import org.apache.commons.math3.random.Well19937c;
import org.apache.commons.math3.special.Beta;
import org.apache.commons.math3.util.FastMath;

/**
 * Implementation of the F-distribution.
 *
 * @see <a href="http://en.wikipedia.org/wiki/F-distribution">F-distribution (Wikipedia)</a>
 * @see <a href="http://mathworld.wolfram.com/F-Distribution.html">F-distribution (MathWorld)</a>
 */
public class FDistribution extends AbstractRealDistribution {
    /**
     * 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 = -8516354193418641566L;

    /** The numerator degrees of freedom. */
    private final double numeratorDegreesOfFreedom;

    /** The numerator degrees of freedom. */
    private final double denominatorDegreesOfFreedom;

    /** Inverse cumulative probability accuracy. */
    private final double solverAbsoluteAccuracy;

    /** Cached numerical variance */
    private double numericalVariance = Double.NaN;

    /** Whether or not the numerical variance has been calculated */
    private boolean numericalVarianceIsCalculated = false;

    /**
     * Creates an F distribution using the given degrees of freedom.
     *
     * <p><b>Note:</b> this constructor will implicitly create an instance of {@link Well19937c} as
     * random generator to be used for sampling only (see {@link #sample()} and {@link
     * #sample(int)}). In case no sampling is needed for the created distribution, it is advised to
     * pass {@code null} as random generator via the appropriate constructors to avoid the
     * additional initialisation overhead.
     *
     * @param numeratorDegreesOfFreedom Numerator degrees of freedom.
     * @param denominatorDegreesOfFreedom Denominator degrees of freedom.
     * @throws NotStrictlyPositiveException if {@code numeratorDegreesOfFreedom <= 0} or {@code
     *     denominatorDegreesOfFreedom <= 0}.
     */
    public FDistribution(double numeratorDegreesOfFreedom, double denominatorDegreesOfFreedom)
            throws NotStrictlyPositiveException {
        this(
                numeratorDegreesOfFreedom,
                denominatorDegreesOfFreedom,
                DEFAULT_INVERSE_ABSOLUTE_ACCURACY);
    }

    /**
     * Creates an F distribution using the given degrees of freedom and inverse cumulative
     * probability accuracy.
     *
     * <p><b>Note:</b> this constructor will implicitly create an instance of {@link Well19937c} as
     * random generator to be used for sampling only (see {@link #sample()} and {@link
     * #sample(int)}). In case no sampling is needed for the created distribution, it is advised to
     * pass {@code null} as random generator via the appropriate constructors to avoid the
     * additional initialisation overhead.
     *
     * @param numeratorDegreesOfFreedom Numerator degrees of freedom.
     * @param denominatorDegreesOfFreedom Denominator degrees of freedom.
     * @param inverseCumAccuracy the maximum absolute error in inverse cumulative probability
     *     estimates.
     * @throws NotStrictlyPositiveException if {@code numeratorDegreesOfFreedom <= 0} or {@code
     *     denominatorDegreesOfFreedom <= 0}.
     * @since 2.1
     */
    public FDistribution(
            double numeratorDegreesOfFreedom,
            double denominatorDegreesOfFreedom,
            double inverseCumAccuracy)
            throws NotStrictlyPositiveException {
        this(
                new Well19937c(),
                numeratorDegreesOfFreedom,
                denominatorDegreesOfFreedom,
                inverseCumAccuracy);
    }

    /**
     * Creates an F distribution.
     *
     * @param rng Random number generator.
     * @param numeratorDegreesOfFreedom Numerator degrees of freedom.
     * @param denominatorDegreesOfFreedom Denominator degrees of freedom.
     * @throws NotStrictlyPositiveException if {@code numeratorDegreesOfFreedom <= 0} or {@code
     *     denominatorDegreesOfFreedom <= 0}.
     * @since 3.3
     */
    public FDistribution(
            RandomGenerator rng,
            double numeratorDegreesOfFreedom,
            double denominatorDegreesOfFreedom)
            throws NotStrictlyPositiveException {
        this(
                rng,
                numeratorDegreesOfFreedom,
                denominatorDegreesOfFreedom,
                DEFAULT_INVERSE_ABSOLUTE_ACCURACY);
    }

    /**
     * Creates an F distribution.
     *
     * @param rng Random number generator.
     * @param numeratorDegreesOfFreedom Numerator degrees of freedom.
     * @param denominatorDegreesOfFreedom Denominator degrees of freedom.
     * @param inverseCumAccuracy the maximum absolute error in inverse cumulative probability
     *     estimates.
     * @throws NotStrictlyPositiveException if {@code numeratorDegreesOfFreedom <= 0} or {@code
     *     denominatorDegreesOfFreedom <= 0}.
     * @since 3.1
     */
    public FDistribution(
            RandomGenerator rng,
            double numeratorDegreesOfFreedom,
            double denominatorDegreesOfFreedom,
            double inverseCumAccuracy)
            throws NotStrictlyPositiveException {
        super(rng);

        if (numeratorDegreesOfFreedom <= 0) {
            throw new NotStrictlyPositiveException(
                    LocalizedFormats.DEGREES_OF_FREEDOM, numeratorDegreesOfFreedom);
        }
        if (denominatorDegreesOfFreedom <= 0) {
            throw new NotStrictlyPositiveException(
                    LocalizedFormats.DEGREES_OF_FREEDOM, denominatorDegreesOfFreedom);
        }
        this.numeratorDegreesOfFreedom = numeratorDegreesOfFreedom;
        this.denominatorDegreesOfFreedom = denominatorDegreesOfFreedom;
        solverAbsoluteAccuracy = inverseCumAccuracy;
    }

    /**
     * {@inheritDoc}
     *
     * @since 2.1
     */
    public double density(double x) {
        return FastMath.exp(logDensity(x));
    }

    /** {@inheritDoc} * */
    @Override
    public double logDensity(double x) {
        final double nhalf = numeratorDegreesOfFreedom / 2;
        final double mhalf = denominatorDegreesOfFreedom / 2;
        final double logx = FastMath.log(x);
        final double logn = FastMath.log(numeratorDegreesOfFreedom);
        final double logm = FastMath.log(denominatorDegreesOfFreedom);
        final double lognxm =
                FastMath.log(numeratorDegreesOfFreedom * x + denominatorDegreesOfFreedom);
        return nhalf * logn
                + nhalf * logx
                - logx
                + mhalf * logm
                - nhalf * lognxm
                - mhalf * lognxm
                - Beta.logBeta(nhalf, mhalf);
    }

    /**
     * {@inheritDoc}
     *
     * <p>The implementation of this method is based on
     *
     * <ul>
     *   <li><a href="http://mathworld.wolfram.com/F-Distribution.html">F-Distribution</a>, equation
     *       (4).
     * </ul>
     */
    public double cumulativeProbability(double x) {
        double ret;
        if (x <= 0) {
            ret = 0;
        } else {
            double n = numeratorDegreesOfFreedom;
            double m = denominatorDegreesOfFreedom;

            ret = Beta.regularizedBeta((n * x) / (m + n * x), 0.5 * n, 0.5 * m);
        }
        return ret;
    }

    /**
     * Access the numerator degrees of freedom.
     *
     * @return the numerator degrees of freedom.
     */
    public double getNumeratorDegreesOfFreedom() {
        return numeratorDegreesOfFreedom;
    }

    /**
     * Access the denominator degrees of freedom.
     *
     * @return the denominator degrees of freedom.
     */
    public double getDenominatorDegreesOfFreedom() {
        return denominatorDegreesOfFreedom;
    }

    /** {@inheritDoc} */
    @Override
    protected double getSolverAbsoluteAccuracy() {
        return solverAbsoluteAccuracy;
    }

    /**
     * {@inheritDoc}
     *
     * <p>For denominator degrees of freedom parameter {@code b}, the mean is
     *
     * <ul>
     *   <li>if {@code b > 2} then {@code b / (b - 2)},
     *   <li>else undefined ({@code Double.NaN}).
     * </ul>
     */
    public double getNumericalMean() {
        final double denominatorDF = getDenominatorDegreesOfFreedom();

        if (denominatorDF > 2) {
            return denominatorDF / (denominatorDF - 2);
        }

        return Double.NaN;
    }

    /**
     * {@inheritDoc}
     *
     * <p>For numerator degrees of freedom parameter {@code a} and denominator degrees of freedom
     * parameter {@code b}, the variance is
     *
     * <ul>
     *   <li>if {@code b > 4} then {@code [2 * b^2 * (a + b - 2)] / [a * (b - 2)^2 * (b - 4)]},
     *   <li>else undefined ({@code Double.NaN}).
     * </ul>
     */
    public double getNumericalVariance() {
        if (!numericalVarianceIsCalculated) {
            numericalVariance = calculateNumericalVariance();
            numericalVarianceIsCalculated = true;
        }
        return numericalVariance;
    }

    /**
     * used by {@link #getNumericalVariance()}
     *
     * @return the variance of this distribution
     */
    protected double calculateNumericalVariance() {
        final double denominatorDF = getDenominatorDegreesOfFreedom();

        if (denominatorDF > 4) {
            final double numeratorDF = getNumeratorDegreesOfFreedom();
            final double denomDFMinusTwo = denominatorDF - 2;

            return (2 * (denominatorDF * denominatorDF) * (numeratorDF + denominatorDF - 2))
                    / ((numeratorDF * (denomDFMinusTwo * denomDFMinusTwo) * (denominatorDF - 4)));
        }

        return Double.NaN;
    }

    /**
     * {@inheritDoc}
     *
     * <p>The lower bound of the support is always 0 no matter the parameters.
     *
     * @return lower bound of the support (always 0)
     */
    public double getSupportLowerBound() {
        return 0;
    }

    /**
     * {@inheritDoc}
     *
     * <p>The upper bound of the support is always positive infinity no matter the parameters.
     *
     * @return upper bound of the support (always Double.POSITIVE_INFINITY)
     */
    public double getSupportUpperBound() {
        return Double.POSITIVE_INFINITY;
    }

    /** {@inheritDoc} */
    public boolean isSupportLowerBoundInclusive() {
        return false;
    }

    /** {@inheritDoc} */
    public boolean isSupportUpperBoundInclusive() {
        return false;
    }

    /**
     * {@inheritDoc}
     *
     * <p>The support of this distribution is connected.
     *
     * @return {@code true}
     */
    public boolean isSupportConnected() {
        return true;
    }
}