/* boost random/student_t_distribution.hpp header file * * Copyright Steven Watanabe 2011 * Distributed under the Boost Software License, Version 1.0. (See * accompanying file LICENSE_1_0.txt or copy at * http://www.boost.org/LICENSE_1_0.txt) * * See http://www.boost.org for most recent version including documentation. * * $Id$ */ #ifndef BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP #define BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP #include #include #include #include #include #include #include namespace boost { namespace random { /** * The Student t distribution is a real valued distribution with one * parameter n, the number of degrees of freedom. * * It has \f$\displaystyle p(x) = * \frac{1}{\sqrt{n\pi}} * \frac{\Gamma((n+1)/2)}{\Gamma(n/2)} * \left(1+\frac{x^2}{n}\right)^{-(n+1)/2} * \f$. */ template class student_t_distribution { public: typedef RealType result_type; typedef RealType input_type; class param_type { public: typedef student_t_distribution distribution_type; /** * Constructs a @c param_type with "n" degrees of freedom. * * Requires: n > 0 */ explicit param_type(RealType n_arg = RealType(1.0)) : _n(n_arg) {} /** Returns the number of degrees of freedom of the distribution. */ RealType n() const { return _n; } /** Writes a @c param_type to a @c std::ostream. */ BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, param_type, parm) { os << parm._n; return os; } /** Reads a @c param_type from a @c std::istream. */ BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, param_type, parm) { is >> parm._n; return is; } /** Returns true if the two sets of parameters are the same. */ BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(param_type, lhs, rhs) { return lhs._n == rhs._n; } /** Returns true if the two sets of parameters are the different. */ BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(param_type) private: RealType _n; }; /** * Constructs an @c student_t_distribution with "n" degrees of freedom. * * Requires: n > 0 */ explicit student_t_distribution(RealType n_arg = RealType(1.0)) : _normal(), _chi_squared(n_arg) {} /** Constructs an @c student_t_distribution from its parameters. */ explicit student_t_distribution(const param_type& parm) : _normal(), _chi_squared(parm.n()) {} /** * Returns a random variate distributed according to the * Student t distribution. */ template RealType operator()(URNG& urng) { using std::sqrt; return _normal(urng) / sqrt(_chi_squared(urng) / n()); } /** * Returns a random variate distributed accordint to the Student * t distribution with parameters specified by @c param. */ template RealType operator()(URNG& urng, const param_type& parm) const { return student_t_distribution(parm)(urng); } /** Returns the number of degrees of freedom. */ RealType n() const { return _chi_squared.n(); } /** Returns the smallest value that the distribution can produce. */ RealType min BOOST_PREVENT_MACRO_SUBSTITUTION () const { return -std::numeric_limits::infinity(); } /** Returns the largest value that the distribution can produce. */ RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const { return std::numeric_limits::infinity(); } /** Returns the parameters of the distribution. */ param_type param() const { return param_type(n()); } /** Sets the parameters of the distribution. */ void param(const param_type& parm) { typedef chi_squared_distribution chi_squared_type; typename chi_squared_type::param_type chi_squared_param(parm.n()); _chi_squared.param(chi_squared_param); } /** * Effects: Subsequent uses of the distribution do not depend * on values produced by any engine prior to invoking reset. */ void reset() { _normal.reset(); _chi_squared.reset(); } /** Writes a @c student_t_distribution to a @c std::ostream. */ BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, student_t_distribution, td) { os << td.param(); return os; } /** Reads a @c student_t_distribution from a @c std::istream. */ BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, student_t_distribution, td) { param_type parm; if(is >> parm) { td.param(parm); } return is; } /** * Returns true if the two instances of @c student_t_distribution will * return identical sequences of values given equal generators. */ BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(student_t_distribution, lhs, rhs) { return lhs._normal == rhs._normal && lhs._chi_squared == rhs._chi_squared; } /** * Returns true if the two instances of @c student_t_distribution will * return different sequences of values given equal generators. */ BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(student_t_distribution) private: normal_distribution _normal; chi_squared_distribution _chi_squared; }; } // namespace random } // namespace boost #endif // BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP