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248 lines
8.8 KiB
C++
248 lines
8.8 KiB
C++
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// Copyright John Maddock 2006.
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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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// test_extreme_value.cpp
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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/extreme_value.hpp>
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using boost::math::extreme_value_distribution;
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#define BOOST_TEST_MAIN
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#include <boost/test/unit_test.hpp> // Boost.Test
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#include <boost/test/floating_point_comparison.hpp>
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#include "test_out_of_range.hpp"
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#include <iostream>
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using std::cout;
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using std::endl;
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using std::setprecision;
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template <class RealType>
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void test_spot(RealType a, RealType b, RealType x, RealType p, RealType q, RealType tolerance)
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{
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BOOST_CHECK_CLOSE(
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::boost::math::cdf(
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extreme_value_distribution<RealType>(a, b),
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x),
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p,
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::cdf(
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complement(extreme_value_distribution<RealType>(a, b),
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x)),
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q,
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tolerance); // %
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if((p < 0.999) && (p > 0))
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{
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BOOST_CHECK_CLOSE(
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::boost::math::quantile(
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extreme_value_distribution<RealType>(a, b),
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p),
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x,
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tolerance); // %
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}
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if((q < 0.999) && (q > 0))
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{
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BOOST_CHECK_CLOSE(
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::boost::math::quantile(
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complement(extreme_value_distribution<RealType>(a, b),
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q)),
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x,
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tolerance); // %
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}
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}
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template <class RealType>
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void test_spots(RealType)
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{
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// Basic sanity checks.
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// 50eps as a percentage, up to a maximum of double precision
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// (that's the limit of our test data).
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RealType tolerance = (std::max)(
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static_cast<RealType>(boost::math::tools::epsilon<double>()),
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boost::math::tools::epsilon<RealType>());
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tolerance *= 50 * 100;
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cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
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// Results calculated by punching numbers into a calculator,
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// and using the formula at http://mathworld.wolfram.com/ExtremeValueDistribution.html
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test_spot(
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static_cast<RealType>(0.5), // a
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static_cast<RealType>(1.5), // b
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static_cast<RealType>(0.125), // x
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static_cast<RealType>(0.27692033409990891617007608217222L), // p
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static_cast<RealType>(0.72307966590009108382992391782778L), //q
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tolerance);
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test_spot(
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static_cast<RealType>(0.5), // a
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static_cast<RealType>(2), // b
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static_cast<RealType>(-5), // x
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static_cast<RealType>(1.6087601139887776413169427645933e-7L), // p
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static_cast<RealType>(0.99999983912398860112223586830572L), //q
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tolerance);
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test_spot(
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static_cast<RealType>(0.5), // a
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static_cast<RealType>(0.25), // b
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static_cast<RealType>(0.75), // x
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static_cast<RealType>(0.69220062755534635386542199718279L), // p
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static_cast<RealType>(0.30779937244465364613457800281721), //q
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tolerance);
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test_spot(
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static_cast<RealType>(0.5), // a
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static_cast<RealType>(0.25), // b
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static_cast<RealType>(5), // x
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static_cast<RealType>(0.99999998477002037126351248727041L), // p
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static_cast<RealType>(1.5229979628736487512729586276294e-8L), //q
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tolerance);
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BOOST_CHECK_CLOSE(
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::boost::math::pdf(
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extreme_value_distribution<RealType>(0.5, 2),
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static_cast<RealType>(0.125)), // x
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static_cast<RealType>(0.18052654830890205978204427757846L), // probability.
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::pdf(
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extreme_value_distribution<RealType>(1, 3),
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static_cast<RealType>(5)), // x
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static_cast<RealType>(0.0675057324099851209129017326286L), // probability.
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::pdf(
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extreme_value_distribution<RealType>(1, 3),
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static_cast<RealType>(0)), // x
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static_cast<RealType>(0.11522236828583456431277265757312L), // probability.
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::mean(
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extreme_value_distribution<RealType>(2, 3)),
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static_cast<RealType>(3.731646994704598581819536270246L),
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::standard_deviation(
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extreme_value_distribution<RealType>(1, 0.5)),
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static_cast<RealType>(0.6412749150809320477720181798355L),
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::mode(
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extreme_value_distribution<RealType>(2, 3)),
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static_cast<RealType>(2),
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::median(
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extreme_value_distribution<RealType>(0, 1)),
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static_cast<RealType>(+0.36651292058166432701243915823266946945426344783710526305367771367056),
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::skewness(
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extreme_value_distribution<RealType>(2, 3)),
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static_cast<RealType>(1.1395470994046486574927930193898461120875997958366L),
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::kurtosis(
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extreme_value_distribution<RealType>(2, 3)),
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static_cast<RealType>(5.4),
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tolerance); // %
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BOOST_CHECK_CLOSE(
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::boost::math::kurtosis_excess(
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extreme_value_distribution<RealType>(2, 3)),
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static_cast<RealType>(2.4),
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tolerance); // %
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//
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// Things that are errors:
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//
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extreme_value_distribution<RealType> dist(0.5, 2);
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BOOST_MATH_CHECK_THROW(
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quantile(dist, RealType(1.0)),
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std::overflow_error);
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BOOST_MATH_CHECK_THROW(
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quantile(complement(dist, RealType(0.0))),
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std::overflow_error);
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BOOST_MATH_CHECK_THROW(
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quantile(dist, RealType(0.0)),
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std::overflow_error);
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BOOST_MATH_CHECK_THROW(
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quantile(complement(dist, RealType(1.0))),
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std::overflow_error);
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BOOST_MATH_CHECK_THROW(
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cdf(extreme_value_distribution<RealType>(0, -1), RealType(1)),
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std::domain_error);
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BOOST_MATH_CHECK_THROW(
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quantile(dist, RealType(-1)),
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std::domain_error);
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BOOST_MATH_CHECK_THROW(
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quantile(dist, RealType(2)),
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std::domain_error);
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check_out_of_range<extreme_value_distribution<RealType> >(1, 2);
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if(std::numeric_limits<RealType>::has_infinity)
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{
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RealType inf = std::numeric_limits<RealType>::infinity();
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BOOST_CHECK_EQUAL(pdf(extreme_value_distribution<RealType>(), -inf), 0);
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BOOST_CHECK_EQUAL(pdf(extreme_value_distribution<RealType>(), inf), 0);
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BOOST_CHECK_EQUAL(cdf(extreme_value_distribution<RealType>(), -inf), 0);
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BOOST_CHECK_EQUAL(cdf(extreme_value_distribution<RealType>(), inf), 1);
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BOOST_CHECK_EQUAL(cdf(complement(extreme_value_distribution<RealType>(), -inf)), 1);
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BOOST_CHECK_EQUAL(cdf(complement(extreme_value_distribution<RealType>(), inf)), 0);
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}
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//
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// Bug reports:
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//
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// https://svn.boost.org/trac/boost/ticket/10938:
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BOOST_CHECK_CLOSE(
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::boost::math::pdf(
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extreme_value_distribution<RealType>(0, 1),
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static_cast<RealType>(-1000)), // x
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static_cast<RealType>(0), // probability.
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tolerance); // %
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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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// Check that can generate extreme_value distribution using the two convenience methods:
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boost::math::extreme_value mycev1(1.); // Using typedef
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extreme_value_distribution<> myev2(1.); // Using default RealType double.
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// Basic sanity-check spot values.
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// (Parameter value, arbitrarily zero, only communicates the floating point type).
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test_spots(0.0F); // Test float. OK at decdigits = 0 tolerance = 0.0001 %
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test_spots(0.0); // Test double. OK at decdigits 7, tolerance = 1e07 %
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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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#else
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std::cout << "<note>The long double tests have been disabled on this platform "
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"either because the long double overloads of the usual math functions are "
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"not available at all, or because they are too inaccurate for these tests "
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"to pass.</note>" << std::endl;
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#endif
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} // BOOST_AUTO_TEST_CASE( test_main )
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/*
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Output is:
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-Running 1 test case...
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Tolerance for type float is 0.000596046 %
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Tolerance for type double is 1.11022e-012 %
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Tolerance for type long double is 1.11022e-012 %
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Tolerance for type class boost::math::concepts::real_concept is 1.11022e-012 %
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*** No errors detected
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*/
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