source: trunk/sources/HeuristicLab.ExtLibs/HeuristicLab.ALGLIB/2.5.0/ALGLIB-2.5.0/studenttdistr.cs @ 3932

/*************************************************************************
Cephes Math Library Release 2.8:  June, 2000
Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier

Contributors:
    * Sergey Bochkanov (ALGLIB project). Translation from C to
      pseudocode.

See subroutines comments for additional copyrights.

>>> SOURCE LICENSE >>>
This program is free software; you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation (www.fsf.org); either version 2 of the 
License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

A copy of the GNU General Public License is available at
http://www.fsf.org/licensing/licenses

>>> END OF LICENSE >>>
*************************************************************************/

using System;

namespace alglib
{
    public class studenttdistr
    {
        /*************************************************************************
        Student's t distribution

        Computes the integral from minus infinity to t of the Student
        t distribution with integer k > 0 degrees of freedom:

                                             t
                                             -
                                            | |
                     -                      |         2   -(k+1)/2
                    | ( (k+1)/2 )           |  (     x   )
              ----------------------        |  ( 1 + --- )        dx
                            -               |  (      k  )
              sqrt( k pi ) | ( k/2 )        |
                                          | |
                                           -
                                          -inf.

        Relation to incomplete beta integral:

               1 - stdtr(k,t) = 0.5 * incbet( k/2, 1/2, z )
        where
               z = k/(k + t**2).

        For t < -2, this is the method of computation.  For higher t,
        a direct method is derived from integration by parts.
        Since the function is symmetric about t=0, the area under the
        right tail of the density is found by calling the function
        with -t instead of t.

        ACCURACY:

        Tested at random 1 <= k <= 25.  The "domain" refers to t.
                             Relative error:
        arithmetic   domain     # trials      peak         rms
           IEEE     -100,-2      50000       5.9e-15     1.4e-15
           IEEE     -2,100      500000       2.7e-15     4.9e-17

        Cephes Math Library Release 2.8:  June, 2000
        Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
        *************************************************************************/
        public static double studenttdistribution(int k,
            double t)
        {
            double result = 0;
            double x = 0;
            double rk = 0;
            double z = 0;
            double f = 0;
            double tz = 0;
            double p = 0;
            double xsqk = 0;
            int j = 0;

            System.Diagnostics.Debug.Assert(k>0, "Domain error in StudentTDistribution");
            if( (double)(t)==(double)(0) )
            {
                result = 0.5;
                return result;
            }
            if( (double)(t)<(double)(-2.0) )
            {
                rk = k;
                z = rk/(rk+t*t);
                result = 0.5*ibetaf.incompletebeta(0.5*rk, 0.5, z);
                return result;
            }
            if( (double)(t)<(double)(0) )
            {
                x = -t;
            }
            else
            {
                x = t;
            }
            rk = k;
            z = 1.0+x*x/rk;
            if( k%2!=0 )
            {
                xsqk = x/Math.Sqrt(rk);
                p = Math.Atan(xsqk);
                if( k>1 )
                {
                    f = 1.0;
                    tz = 1.0;
                    j = 3;
                    while( j<=k-2 & (double)(tz/f)>(double)(AP.Math.MachineEpsilon) )
                    {
                        tz = tz*((j-1)/(z*j));
                        f = f+tz;
                        j = j+2;
                    }
                    p = p+f*xsqk/z;
                }
                p = p*2.0/Math.PI;
            }
            else
            {
                f = 1.0;
                tz = 1.0;
                j = 2;
                while( j<=k-2 & (double)(tz/f)>(double)(AP.Math.MachineEpsilon) )
                {
                    tz = tz*((j-1)/(z*j));
                    f = f+tz;
                    j = j+2;
                }
                p = f*x/Math.Sqrt(z*rk);
            }
            if( (double)(t)<(double)(0) )
            {
                p = -p;
            }
            result = 0.5+0.5*p;
            return result;
        }


        /*************************************************************************
        Functional inverse of Student's t distribution

        Given probability p, finds the argument t such that stdtr(k,t)
        is equal to p.

        ACCURACY:

        Tested at random 1 <= k <= 100.  The "domain" refers to p:
                             Relative error:
        arithmetic   domain     # trials      peak         rms
           IEEE    .001,.999     25000       5.7e-15     8.0e-16
           IEEE    10^-6,.001    25000       2.0e-12     2.9e-14

        Cephes Math Library Release 2.8:  June, 2000
        Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
        *************************************************************************/
        public static double invstudenttdistribution(int k,
            double p)
        {
            double result = 0;
            double t = 0;
            double rk = 0;
            double z = 0;
            int rflg = 0;

            System.Diagnostics.Debug.Assert(k>0 & (double)(p)>(double)(0) & (double)(p)<(double)(1), "Domain error in InvStudentTDistribution");
            rk = k;
            if( (double)(p)>(double)(0.25) & (double)(p)<(double)(0.75) )
            {
                if( (double)(p)==(double)(0.5) )
                {
                    result = 0;
                    return result;
                }
                z = 1.0-2.0*p;
                z = ibetaf.invincompletebeta(0.5, 0.5*rk, Math.Abs(z));
                t = Math.Sqrt(rk*z/(1.0-z));
                if( (double)(p)<(double)(0.5) )
                {
                    t = -t;
                }
                result = t;
                return result;
            }
            rflg = -1;
            if( (double)(p)>=(double)(0.5) )
            {
                p = 1.0-p;
                rflg = 1;
            }
            z = ibetaf.invincompletebeta(0.5*rk, 0.5, 2.0*p);
            if( (double)(AP.Math.MaxRealNumber*z)<(double)(rk) )
            {
                result = rflg*AP.Math.MaxRealNumber;
                return result;
            }
            t = Math.Sqrt(rk/z-rk);
            result = rflg*t;
            return result;
        }
    }
}