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/* 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 <boost/config/no_tr1/cmath.hpp>
#include <iosfwd>
#include <boost/config.hpp>
#include <boost/limits.hpp>
#include <boost/random/detail/operators.hpp>
#include <boost/random/chi_squared_distribution.hpp>
#include <boost/random/normal_distribution.hpp>
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 RealType = double>
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<class URNG>
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<class URNG>
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<RealType>::infinity(); }
/** Returns the largest value that the distribution can produce. */
RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const
{ return std::numeric_limits<RealType>::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<RealType> 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<RealType> _normal;
chi_squared_distribution<RealType> _chi_squared;
};
} // namespace random
} // namespace boost
#endif // BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP
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