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334 lines
12 KiB
C++
334 lines
12 KiB
C++
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// test_nc_beta.cpp
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// Copyright John Maddock 2008.
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// Use, modification and distribution are subject to the
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// Boost Software License, Version 1.0.
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// (See accompanying file LICENSE_1_0.txt
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// or copy at http://www.boost.org/LICENSE_1_0.txt)
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#include <pch.hpp>
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#ifdef _MSC_VER
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#pragma warning (disable:4127 4512)
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#endif
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#if !defined(TEST_FLOAT) && !defined(TEST_DOUBLE) && !defined(TEST_LDOUBLE) && !defined(TEST_REAL_CONCEPT)
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# define TEST_FLOAT
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# define TEST_DOUBLE
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# define TEST_LDOUBLE
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# define TEST_REAL_CONCEPT
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#endif
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#include <boost/math/tools/test.hpp>
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#include <boost/math/concepts/real_concept.hpp> // for real_concept
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#include <boost/math/distributions/non_central_f.hpp> // for chi_squared_distribution
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#define BOOST_TEST_MAIN
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#include <boost/test/unit_test.hpp> // for test_main
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#include <boost/test/results_collector.hpp>
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#include <boost/test/unit_test.hpp>
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#include <boost/test/floating_point_comparison.hpp> // for BOOST_CHECK_CLOSE
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#include "test_out_of_range.hpp"
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#include "functor.hpp"
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#include "handle_test_result.hpp"
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#include <iostream>
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#include <iomanip>
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using std::cout;
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using std::endl;
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#include <limits>
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using std::numeric_limits;
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#define BOOST_CHECK_CLOSE_EX(a, b, prec, i) \
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{\
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unsigned int failures = boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed;\
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BOOST_CHECK_CLOSE(a, b, prec); \
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if(failures != boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed)\
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{\
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std::cerr << "Failure was at row " << i << std::endl;\
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std::cerr << std::setprecision(35); \
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std::cerr << "{ " << data[i][0] << " , " << data[i][1] << " , " << data[i][2];\
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std::cerr << " , " << data[i][3] << " , " << data[i][4] << " } " << std::endl;\
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}\
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}
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#define BOOST_CHECK_EX(a, i) \
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{\
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unsigned int failures = boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed;\
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BOOST_CHECK(a); \
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if(failures != boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed)\
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{\
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std::cerr << "Failure was at row " << i << std::endl;\
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std::cerr << std::setprecision(35); \
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std::cerr << "{ " << data[i][0] << " , " << data[i][1] << " , " << data[i][2];\
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std::cerr << " , " << data[i][3] << " , " << data[i][4] << " } " << std::endl;\
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}\
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}
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void expected_results()
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{
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//
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// Define the max and mean errors expected for
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// various compilers and platforms.
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//
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const char* largest_type;
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#ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
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if(boost::math::policies::digits<double, boost::math::policies::policy<> >() == boost::math::policies::digits<long double, boost::math::policies::policy<> >())
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{
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largest_type = "(long\\s+)?double|real_concept";
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}
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else
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{
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largest_type = "long double|real_concept";
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}
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#else
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largest_type = "(long\\s+)?double|real_concept";
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#endif
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//
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// Finish off by printing out the compiler/stdlib/platform names,
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// we do this to make it easier to mark up expected error rates.
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//
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std::cout << "Tests run with " << BOOST_COMPILER << ", "
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<< BOOST_STDLIB << ", " << BOOST_PLATFORM << std::endl;
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}
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template <class RealType>
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RealType naive_pdf(RealType v1, RealType v2, RealType l, RealType f)
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{
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BOOST_MATH_STD_USING
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RealType sum = 0;
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for(int i = 0; ; ++i)
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{
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RealType term = -l/2 + log(l/2) * i;
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term += boost::math::lgamma(v2/2 + v1/2+i) - (boost::math::lgamma(v2/2) + boost::math::lgamma(v1/2+i));
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term -= boost::math::lgamma(RealType(i+1));
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term += log(v1/v2) * (v1/2+i) + log(v2 / (v2 + v1 * f)) * ((v1 + v2) / 2 + i);
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term += log(f) * (v1/2 - 1 + i);
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term = exp(term);
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sum += term;
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if((term/sum < boost::math::tools::epsilon<RealType>()) || (term == 0))
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break;
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}
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return sum;
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}
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template <class RealType>
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void test_spot(
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RealType a, // df1
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RealType b, // df2
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RealType ncp, // non-centrality param
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RealType x, // F statistic
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RealType P, // CDF
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RealType Q, // Complement of CDF
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RealType D, // PDF
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RealType tol) // Test tolerance
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{
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boost::math::non_central_f_distribution<RealType> dist(a, b, ncp);
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BOOST_CHECK_CLOSE(
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cdf(dist, x), P, tol);
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BOOST_CHECK_CLOSE(
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pdf(dist, x), D, tol);
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if(boost::math::tools::digits<RealType>() > 50)
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{
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//
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// The "naive" pdf calculation fails at float precision.
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//
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BOOST_CHECK_CLOSE(
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pdf(dist, x), naive_pdf(a, b, ncp, x), tol);
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}
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if((P < 0.99) && (Q < 0.99))
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{
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//
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// We can only check this if P is not too close to 1,
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// so that we can guarantee Q is reasonably free of error:
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//
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BOOST_CHECK_CLOSE(
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cdf(complement(dist, x)), Q, tol);
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BOOST_CHECK_CLOSE(
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quantile(dist, P), x, tol * 10);
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BOOST_CHECK_CLOSE(
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quantile(complement(dist, Q)), x, tol * 10);
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}
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if(boost::math::tools::digits<RealType>() > 50)
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{
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//
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// Sanity check mode:
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//
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RealType m = mode(dist);
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RealType p = pdf(dist, m);
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BOOST_CHECK(pdf(dist, m * (1 + sqrt(tol) * 10)) <= p);
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BOOST_CHECK(pdf(dist, m * (1 - sqrt(tol)) * 10) <= p);
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}
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}
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template <class RealType> // Any floating-point type RealType.
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void test_spots(RealType)
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{
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RealType tolerance = boost::math::tools::epsilon<RealType>() * 10000;
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cout << "Tolerance = " << (tolerance / 100) << "%." << endl;
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//
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// Spot tests from Mathematica computed values:
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//
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test_spot(
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RealType(5), // alpha
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RealType(2), // beta
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RealType(1), // non-centrality param
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RealType(1.5), // F statistic
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RealType(0.49845842011686358665786775091245664L), // CDF
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RealType(1 - 0.49845842011686358665786775091245664L), // Complement of CDF
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RealType(0.20251311620629730205859816288225385L), // PDF
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RealType(tolerance));
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test_spot(
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RealType(2), // alpha
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RealType(5), // beta
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RealType(1), // non-centrality param
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RealType(2), // F statistic
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RealType(0.64938711196845800322066756609406894L), // CDF
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RealType(1 - 0.64938711196845800322066756609406894L), // Complement of CDF
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RealType(0.15512617916132011524583796078456003L), // PDF
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RealType(tolerance));
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test_spot(
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RealType(100), // alpha
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RealType(5), // beta
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RealType(15), // non-centrality param
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RealType(105), // F statistic
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RealType(0.99996207325249555786258005958906310L), // CDF
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RealType(0.000037926747504442137419940410936905407L), // Complement of CDF
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RealType(8.9562292619539161551049126260104435e-7), // PDF
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RealType(tolerance * 10));
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test_spot(
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RealType(100), // alpha
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RealType(5), // beta
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RealType(15), // non-centrality param
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RealType(1.5), // F statistic
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RealType(0.57592315596686179870591317303126895L), // CDF
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RealType(1 - 0.57592315596686179870591317303126895L), // Complement of CDF
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RealType(0.36743745541686900593212039288061162L), // PDF
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RealType(tolerance * 5));
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test_spot(
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RealType(5), // alpha
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RealType(100), // beta
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RealType(102), // non-centrality param
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RealType(25), // F statistic
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RealType(0.74993383259829917593356265102363267L), // CDF
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RealType(1 - 0.74993383259829917593356265102363267L), // Complement of CDF
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RealType(0.054467600423154020554785779421659007L), // PDF
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RealType(tolerance * 5));
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test_spot(
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RealType(85), // alpha
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RealType(100), // beta
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RealType(0.5), // non-centrality param
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RealType(1.25), // F statistic
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RealType(0.85228624977948142884820398473385455L), // CDF
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RealType(0.14771375022051857115179601526614545L), // Complement of CDF
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RealType(0.88510283331631848299643323511414868L), // PDF
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RealType(tolerance * 5));
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//
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// Spot tests use values computed by the R statistical
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// package and the pbeta and dbeta functions:
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//
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tolerance = (std::max)(
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boost::math::tools::epsilon<RealType>() * 100,
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(RealType)1e-6) * 100;
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test_spot(
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RealType(85), // alpha
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RealType(100), // beta
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RealType(245), // non-centrality param
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RealType(3.5), // F statistic
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RealType(0.2697244), // CDF
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RealType(1 - 0.2697244), // Complement of CDF
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RealType(0.54352369104452836465948073900030320L), // PDF
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RealType(tolerance));
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BOOST_MATH_STD_USING
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//
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// 5 eps expressed as a persentage, otherwise the limit of the test data:
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//
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RealType tol2 = (std::max)(boost::math::tools::epsilon<RealType>() * 500, RealType(1e-25));
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RealType x = 2;
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boost::math::non_central_f_distribution<RealType> dist(20, 15, 30);
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// mean:
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BOOST_CHECK_CLOSE(
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mean(dist)
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, static_cast<RealType>(2.8846153846153846153846153846154L), tol2);
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// variance:
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BOOST_CHECK_CLOSE(
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variance(dist)
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, static_cast<RealType>(2.1422807961269499731038192576654L), tol2);
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// std deviation:
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BOOST_CHECK_CLOSE(
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standard_deviation(dist)
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, sqrt(variance(dist)), tol2);
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// hazard:
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BOOST_CHECK_CLOSE(
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hazard(dist, x)
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, pdf(dist, x) / cdf(complement(dist, x)), tol2);
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// cumulative hazard:
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BOOST_CHECK_CLOSE(
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chf(dist, x)
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, -log(cdf(complement(dist, x))), tol2);
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// coefficient_of_variation:
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BOOST_CHECK_CLOSE(
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coefficient_of_variation(dist)
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, standard_deviation(dist) / mean(dist), tol2);
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BOOST_CHECK_CLOSE(
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median(dist),
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quantile(
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dist,
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static_cast<RealType>(0.5)), static_cast<RealType>(tol2));
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// mode:
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BOOST_CHECK_CLOSE(
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mode(dist)
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, static_cast<RealType>(2.070019130232759428074835788815387743293972985542L), sqrt(tolerance));
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// skewness:
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BOOST_CHECK_CLOSE(
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skewness(dist)
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, static_cast<RealType>(2.1011821125804540669752380228510691320707051692719L), tol2);
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// kurtosis:
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BOOST_CHECK_CLOSE(
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kurtosis(dist)
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, 3 + kurtosis_excess(dist), tol2);
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// kurtosis excess:
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BOOST_CHECK_CLOSE(
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kurtosis_excess(dist)
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, static_cast<RealType>(13.225781681053154767604638331440974359675882226873L), tol2);
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// Error handling checks:
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check_out_of_range<boost::math::non_central_f_distribution<RealType> >(1, 1, 1);
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BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(0, 1, 1), 0), std::domain_error);
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BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(-1, 1, 1), 0), std::domain_error);
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BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(1, 0, 1), 0), std::domain_error);
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BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(1, -1, 1), 0), std::domain_error);
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BOOST_MATH_CHECK_THROW(quantile(boost::math::non_central_f_distribution<RealType>(1, 1, 1), -1), std::domain_error);
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BOOST_MATH_CHECK_THROW(quantile(boost::math::non_central_f_distribution<RealType>(1, 1, 1), 2), std::domain_error);
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} // template <class RealType>void test_spots(RealType)
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BOOST_AUTO_TEST_CASE( test_main )
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{
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BOOST_MATH_CONTROL_FP;
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// Basic sanity-check spot values.
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expected_results();
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// (Parameter value, arbitrarily zero, only communicates the floating point type).
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test_spots(0.0F); // Test float.
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test_spots(0.0); // Test double.
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#ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
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test_spots(0.0L); // Test long double.
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#if !BOOST_WORKAROUND(__BORLANDC__, BOOST_TESTED_AT(0x582))
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test_spots(boost::math::concepts::real_concept(0.)); // Test real concept.
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#endif
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#endif
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} // BOOST_AUTO_TEST_CASE( test_main )
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