1 // Copyright Paul A. Bristow 2012.
2 // Copyright John Maddock 2012.
3 // Copyright Benjamin Sobotta 2012
4
5 // Use, modification and distribution are subject to the
6 // Boost Software License, Version 1.0.
7 // (See accompanying file LICENSE_1_0.txt
8 // or copy at http://www.boost.org/LICENSE_1_0.txt)
9
10 #ifdef _MSC_VER
11 # pragma warning (disable : 4127) // conditional expression is constant.
12 # pragma warning (disable : 4305) // 'initializing' : truncation from 'double' to 'const float'.
13 # pragma warning (disable : 4310) // cast truncates constant value.
14 # pragma warning (disable : 4512) // assignment operator could not be generated.
15 #endif
16
17 //#include <pch.hpp> // include directory libs/math/src/tr1/ is needed.
18
19 #include <boost/math/concepts/real_concept.hpp> // for real_concept
20 #define BOOST_TEST_MAIN
21 #include <boost/test/unit_test.hpp> // Boost.Test
22 #include <boost/test/floating_point_comparison.hpp>
23
24 #include <boost/math/distributions/skew_normal.hpp>
25 using boost::math::skew_normal_distribution;
26 using boost::math::skew_normal;
27
28 #include <iostream>
29 #include <iomanip>
30 using std::cout;
31 using std::endl;
32 using std::setprecision;
33 #include <limits>
34 using std::numeric_limits;
35 #include "test_out_of_range.hpp"
36
37 template <class RealType>
check_skew_normal(RealType mean,RealType scale,RealType shape,RealType x,RealType p,RealType q,RealType tol)38 void check_skew_normal(RealType mean, RealType scale, RealType shape, RealType x, RealType p, RealType q, RealType tol)
39 {
40 using boost::math::skew_normal_distribution;
41
42 BOOST_CHECK_CLOSE_FRACTION(
43 ::boost::math::cdf( // Check cdf
44 skew_normal_distribution<RealType>(mean, scale, shape), // distribution.
45 x), // random variable.
46 p, // probability.
47 tol); // tolerance.
48 BOOST_CHECK_CLOSE_FRACTION(
49 ::boost::math::cdf( // Check cdf complement
50 complement(
51 skew_normal_distribution<RealType>(mean, scale, shape), // distribution.
52 x)), // random variable.
53 q, // probability complement.
54 tol); // %tolerance.
55 BOOST_CHECK_CLOSE_FRACTION(
56 ::boost::math::quantile( // Check quantile
57 skew_normal_distribution<RealType>(mean, scale, shape), // distribution.
58 p), // probability.
59 x, // random variable.
60 tol); // tolerance.
61 BOOST_CHECK_CLOSE_FRACTION(
62 ::boost::math::quantile( // Check quantile complement
63 complement(
64 skew_normal_distribution<RealType>(mean, scale, shape), // distribution.
65 q)), // probability complement.
66 x, // random variable.
67 tol); // tolerance.
68
69 skew_normal_distribution<RealType> dist (mean, scale, shape);
70
71 if((p < 0.999) && (q < 0.999))
72 { // We can only check this if P is not too close to 1,
73 // so that we can guarantee Q is accurate:
74 BOOST_CHECK_CLOSE_FRACTION(
75 cdf(complement(dist, x)), q, tol); // 1 - cdf
76 BOOST_CHECK_CLOSE_FRACTION(
77 quantile(dist, p), x, tol); // quantile(cdf) = x
78 BOOST_CHECK_CLOSE_FRACTION(
79 quantile(complement(dist, q)), x, tol); // quantile(complement(1 - cdf)) = x
80 }
81 } // template <class RealType>void check_skew_normal()
82
83
84 template <class RealType>
test_spots(RealType)85 void test_spots(RealType)
86 {
87 // Basic sanity checks
88 RealType tolerance = 1e-4f; // 1e-4 (as %)
89
90 // Check some bad parameters to the distribution,
91
92 BOOST_CHECK_THROW(boost::math::skew_normal_distribution<RealType> nbad1(0, 0), std::domain_error); // zero sd
93 BOOST_CHECK_THROW(boost::math::skew_normal_distribution<RealType> nbad1(0, -1), std::domain_error); // negative sd
94
95 // Tests on extreme values of random variate x, if has numeric_limit infinity etc.
96 skew_normal_distribution<RealType> N01;
97 if(std::numeric_limits<RealType>::has_infinity)
98 {
99 BOOST_CHECK_EQUAL(pdf(N01, +std::numeric_limits<RealType>::infinity()), 0); // x = + infinity, pdf = 0
100 BOOST_CHECK_EQUAL(pdf(N01, -std::numeric_limits<RealType>::infinity()), 0); // x = - infinity, pdf = 0
101 BOOST_CHECK_EQUAL(cdf(N01, +std::numeric_limits<RealType>::infinity()), 1); // x = + infinity, cdf = 1
102 BOOST_CHECK_EQUAL(cdf(N01, -std::numeric_limits<RealType>::infinity()), 0); // x = - infinity, cdf = 0
103 BOOST_CHECK_EQUAL(cdf(complement(N01, +std::numeric_limits<RealType>::infinity())), 0); // x = + infinity, c cdf = 0
104 BOOST_CHECK_EQUAL(cdf(complement(N01, -std::numeric_limits<RealType>::infinity())), 1); // x = - infinity, c cdf = 1
105 BOOST_CHECK_THROW(boost::math::skew_normal_distribution<RealType> nbad1(std::numeric_limits<RealType>::infinity(), static_cast<RealType>(1)), std::domain_error); // +infinite mean
106 BOOST_CHECK_THROW(boost::math::skew_normal_distribution<RealType> nbad1(-std::numeric_limits<RealType>::infinity(), static_cast<RealType>(1)), std::domain_error); // -infinite mean
107 BOOST_CHECK_THROW(boost::math::skew_normal_distribution<RealType> nbad1(static_cast<RealType>(0), std::numeric_limits<RealType>::infinity()), std::domain_error); // infinite sd
108 }
109
110 if (std::numeric_limits<RealType>::has_quiet_NaN)
111 {
112 // No longer allow x to be NaN, then these tests should throw.
113 BOOST_CHECK_THROW(pdf(N01, +std::numeric_limits<RealType>::quiet_NaN()), std::domain_error); // x = NaN
114 BOOST_CHECK_THROW(cdf(N01, +std::numeric_limits<RealType>::quiet_NaN()), std::domain_error); // x = NaN
115 BOOST_CHECK_THROW(cdf(complement(N01, +std::numeric_limits<RealType>::quiet_NaN())), std::domain_error); // x = + infinity
116 BOOST_CHECK_THROW(quantile(N01, +std::numeric_limits<RealType>::quiet_NaN()), std::domain_error); // p = + infinity
117 BOOST_CHECK_THROW(quantile(complement(N01, +std::numeric_limits<RealType>::quiet_NaN())), std::domain_error); // p = + infinity
118 }
119
120 cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
121
122 // Tests where shape = 0, so same as normal tests.
123 // (These might be removed later).
124 check_skew_normal(
125 static_cast<RealType>(5),
126 static_cast<RealType>(2),
127 static_cast<RealType>(0),
128 static_cast<RealType>(4.8),
129 static_cast<RealType>(0.46017),
130 static_cast<RealType>(1 - 0.46017),
131 tolerance);
132
133 check_skew_normal(
134 static_cast<RealType>(5),
135 static_cast<RealType>(2),
136 static_cast<RealType>(0),
137 static_cast<RealType>(5.2),
138 static_cast<RealType>(1 - 0.46017),
139 static_cast<RealType>(0.46017),
140 tolerance);
141
142 check_skew_normal(
143 static_cast<RealType>(5),
144 static_cast<RealType>(2),
145 static_cast<RealType>(0),
146 static_cast<RealType>(2.2),
147 static_cast<RealType>(0.08076),
148 static_cast<RealType>(1 - 0.08076),
149 tolerance);
150
151 check_skew_normal(
152 static_cast<RealType>(5),
153 static_cast<RealType>(2),
154 static_cast<RealType>(0),
155 static_cast<RealType>(7.8),
156 static_cast<RealType>(1 - 0.08076),
157 static_cast<RealType>(0.08076),
158 tolerance);
159
160 check_skew_normal(
161 static_cast<RealType>(-3),
162 static_cast<RealType>(5),
163 static_cast<RealType>(0),
164 static_cast<RealType>(-4.5),
165 static_cast<RealType>(0.38209),
166 static_cast<RealType>(1 - 0.38209),
167 tolerance);
168
169 check_skew_normal(
170 static_cast<RealType>(-3),
171 static_cast<RealType>(5),
172 static_cast<RealType>(0),
173 static_cast<RealType>(-1.5),
174 static_cast<RealType>(1 - 0.38209),
175 static_cast<RealType>(0.38209),
176 tolerance);
177
178 check_skew_normal(
179 static_cast<RealType>(-3),
180 static_cast<RealType>(5),
181 static_cast<RealType>(0),
182 static_cast<RealType>(-8.5),
183 static_cast<RealType>(0.13567),
184 static_cast<RealType>(1 - 0.13567),
185 tolerance);
186
187 check_skew_normal(
188 static_cast<RealType>(-3),
189 static_cast<RealType>(5),
190 static_cast<RealType>(0),
191 static_cast<RealType>(2.5),
192 static_cast<RealType>(1 - 0.13567),
193 static_cast<RealType>(0.13567),
194 tolerance);
195
196 // Tests where shape != 0, specific to skew_normal distribution.
197 //void check_skew_normal(RealType mean, RealType scale, RealType shape, RealType x, RealType p, RealType q, RealType tol)
198 check_skew_normal( // 1st R example.
199 static_cast<RealType>(1.1),
200 static_cast<RealType>(2.2),
201 static_cast<RealType>(-3.3),
202 static_cast<RealType>(0.4), // x
203 static_cast<RealType>(0.733918618927874), // p == psn
204 static_cast<RealType>(1 - 0.733918618927874), // q
205 tolerance);
206
207 // Not sure about these yet.
208 //check_skew_normal( // 2nd R example.
209 //static_cast<RealType>(1.1),
210 //static_cast<RealType>(0.02),
211 //static_cast<RealType>(0.03),
212 //static_cast<RealType>(1.3), // x
213 //static_cast<RealType>(0.01), // p
214 //static_cast<RealType>(0.09), // q
215 //tolerance);
216 //check_skew_normal( // 3nd R example.
217 //static_cast<RealType>(10.1),
218 //static_cast<RealType>(5.),
219 //static_cast<RealType>(-0.03),
220 //static_cast<RealType>(-1.3), // x
221 //static_cast<RealType>(0.01201290665838824), // p
222 //static_cast<RealType>(1. - 0.01201290665838824), // q 0.987987101
223 //tolerance);
224
225 // Tests for PDF: we know that the normal peak value is at 1/sqrt(2*pi)
226 //
227 tolerance = boost::math::tools::epsilon<RealType>() * 5; // 5 eps as a fraction
228 BOOST_CHECK_CLOSE_FRACTION(
229 pdf(skew_normal_distribution<RealType>(), static_cast<RealType>(0)),
230 static_cast<RealType>(0.3989422804014326779399460599343818684759L), // 1/sqrt(2*pi)
231 tolerance);
232 BOOST_CHECK_CLOSE_FRACTION(
233 pdf(skew_normal_distribution<RealType>(3), static_cast<RealType>(3)),
234 static_cast<RealType>(0.3989422804014326779399460599343818684759L),
235 tolerance);
236 BOOST_CHECK_CLOSE_FRACTION(
237 pdf(skew_normal_distribution<RealType>(3, 5), static_cast<RealType>(3)),
238 static_cast<RealType>(0.3989422804014326779399460599343818684759L / 5),
239 tolerance);
240
241 // Shape != 0.
242 BOOST_CHECK_CLOSE_FRACTION(
243 pdf(skew_normal_distribution<RealType>(3,5,1e-6), static_cast<RealType>(3)),
244 static_cast<RealType>(0.3989422804014326779399460599343818684759L / 5),
245 tolerance);
246
247
248 // Checks on mean, variance cumulants etc.
249 // Checks on shape ==0
250
251 RealType tol5 = boost::math::tools::epsilon<RealType>() * 5;
252 skew_normal_distribution<RealType> dist(8, 3);
253 RealType x = static_cast<RealType>(0.125);
254
255 BOOST_MATH_STD_USING // ADL of std math lib names
256
257 // mean:
258 BOOST_CHECK_CLOSE(
259 mean(dist)
260 , static_cast<RealType>(8), tol5);
261 // variance:
262 BOOST_CHECK_CLOSE(
263 variance(dist)
264 , static_cast<RealType>(9), tol5);
265 // std deviation:
266 BOOST_CHECK_CLOSE(
267 standard_deviation(dist)
268 , static_cast<RealType>(3), tol5);
269 // hazard:
270 BOOST_CHECK_CLOSE(
271 hazard(dist, x)
272 , pdf(dist, x) / cdf(complement(dist, x)), tol5);
273 // cumulative hazard:
274 BOOST_CHECK_CLOSE(
275 chf(dist, x)
276 , -log(cdf(complement(dist, x))), tol5);
277 // coefficient_of_variation:
278 BOOST_CHECK_CLOSE(
279 coefficient_of_variation(dist)
280 , standard_deviation(dist) / mean(dist), tol5);
281 // mode:
282 BOOST_CHECK_CLOSE_FRACTION(mode(dist), static_cast<RealType>(8), 0.001f);
283
284 BOOST_CHECK_CLOSE(
285 median(dist)
286 , static_cast<RealType>(8), tol5);
287
288 // skewness:
289 BOOST_CHECK_CLOSE(
290 skewness(dist)
291 , static_cast<RealType>(0), tol5);
292 // kurtosis:
293 BOOST_CHECK_CLOSE(
294 kurtosis(dist)
295 , static_cast<RealType>(3), tol5);
296 // kurtosis excess:
297 BOOST_CHECK_CLOSE(
298 kurtosis_excess(dist)
299 , static_cast<RealType>(0), tol5);
300
301 skew_normal_distribution<RealType> norm01(0, 1); // Test default (0, 1)
302 BOOST_CHECK_CLOSE(
303 mean(norm01),
304 static_cast<RealType>(0), 0); // Mean == zero
305
306 skew_normal_distribution<RealType> defsd_norm01(0); // Test default (0, sd = 1)
307 BOOST_CHECK_CLOSE(
308 mean(defsd_norm01),
309 static_cast<RealType>(0), 0); // Mean == zero
310
311 skew_normal_distribution<RealType> def_norm01; // Test default (0, sd = 1)
312 BOOST_CHECK_CLOSE(
313 mean(def_norm01),
314 static_cast<RealType>(0), 0); // Mean == zero
315
316 BOOST_CHECK_CLOSE(
317 standard_deviation(def_norm01),
318 static_cast<RealType>(1), 0); //
319
320 BOOST_CHECK_CLOSE(
321 mode(def_norm01),
322 static_cast<RealType>(0), 0); // Mode == zero
323
324
325 // Skew_normal tests with shape != 0.
326 {
327 // Note these tolerances are expressed as percentages, hence the extra * 100 on the end:
328 RealType tol10 = boost::math::tools::epsilon<RealType>() * 10 * 100;
329 RealType tol100 = boost::math::tools::epsilon<RealType>() * 100 * 100;
330
331 //skew_normal_distribution<RealType> dist(1.1, 0.02, 0.03);
332
333 BOOST_MATH_STD_USING // ADL of std math lib names.
334
335 // Test values from R = see skew_normal_drv.cpp which included the R code used.
336 {
337 dist = skew_normal_distribution<RealType>(static_cast<RealType>(1.1l), static_cast<RealType>(2.2l), static_cast<RealType>(-3.3l));
338
339 BOOST_CHECK_CLOSE( // mean:
340 mean(dist)
341 , static_cast<RealType>(-0.579908992539856825862549L), tol10 * 2);
342
343 std::cout << std::setprecision(17) << "Variance = " << variance(dist) << std::endl;
344 BOOST_CHECK_CLOSE( // variance: N[variance[skewnormaldistribution[1.1, 2.2, -3.3]], 50]
345 variance(dist)
346 , static_cast<RealType>(2.0179057767837232633904061072049998357047989154484L), tol10);
347
348 BOOST_CHECK_CLOSE( // skewness:
349 skewness(dist)
350 , static_cast<RealType>(-0.709854548171537509192897824663L), tol100);
351 BOOST_CHECK_CLOSE( // kurtosis:
352 kurtosis(dist)
353 , static_cast<RealType>(3.5538752625241790601377L), tol100);
354 BOOST_CHECK_CLOSE( // kurtosis excess:
355 kurtosis_excess(dist)
356 , static_cast<RealType>(0.5538752625241790601377L), tol100);
357
358 BOOST_CHECK_CLOSE(
359 pdf(dist, static_cast<RealType>(0.4L)),
360 static_cast<RealType>(0.294140110156599539564571L),
361 tol10);
362
363 BOOST_CHECK_CLOSE(
364 cdf(dist, static_cast<RealType>(0.4L)),
365 static_cast<RealType>(0.7339186189278737976326676452L),
366 tol100);
367
368 BOOST_CHECK_CLOSE(
369 quantile(dist, static_cast<RealType>(0.3L)),
370 static_cast<RealType>(-1.180104068086875314419247L),
371 tol100);
372
373
374 { // mode tests
375
376 dist = skew_normal_distribution<RealType>(static_cast<RealType>(0.l), static_cast<RealType>(1.l), static_cast<RealType>(4.l));
377
378 // cout << "pdf(dist, 0) = " << pdf(dist, 0) << ", pdf(dist, 0.45) = " << pdf(dist, 0.45) << endl;
379 // BOOST_CHECK_CLOSE(mode(dist), boost::math::constants::root_two<RealType>() / 2, tol5);
380 BOOST_CHECK_CLOSE(mode(dist), static_cast<RealType>(0.41697299497388863932L), tol100);
381 }
382
383
384 }
385 {
386 dist = skew_normal_distribution<RealType>(static_cast<RealType>(1.1l), static_cast<RealType>(0.02l), static_cast<RealType>(0.03l));
387
388 BOOST_CHECK_CLOSE( // mean:
389 mean(dist)
390 , static_cast<RealType>(1.1004785154529557886162L), tol10);
391 BOOST_CHECK_CLOSE( // variance:
392 variance(dist)
393 , static_cast<RealType>(0.00039977102296128251645L), tol10);
394
395 BOOST_CHECK_CLOSE( // skewness:
396 skewness(dist)
397 , static_cast<RealType>(5.8834811259890359782e-006L), tol100);
398 BOOST_CHECK_CLOSE( // kurtosis:
399 kurtosis(dist)
400 , static_cast<RealType>(3.L + 9.2903475812137800239002e-008L), tol100);
401 BOOST_CHECK_CLOSE( // kurtosis excess:
402 kurtosis_excess(dist)
403 , static_cast<RealType>(9.2903475812137800239002e-008L), tol100);
404 }
405 {
406 dist = skew_normal_distribution<RealType>(static_cast<RealType>(10.1l), static_cast<RealType>(5.l), static_cast<RealType>(-0.03l));
407 BOOST_CHECK_CLOSE( // mean:
408 mean(dist)
409 , static_cast<RealType>(9.9803711367610528459485937L), tol10);
410 BOOST_CHECK_CLOSE( // variance:
411 variance(dist)
412 , static_cast<RealType>(24.98568893508015727823L), tol10);
413
414 BOOST_CHECK_CLOSE( // skewness:
415 skewness(dist)
416 , static_cast<RealType>(-5.8834811259890359782085e-006L), tol100);
417 BOOST_CHECK_CLOSE( // kurtosis:
418 kurtosis(dist)
419 , static_cast<RealType>(3.L + 9.2903475812137800239002e-008L), tol100);
420 BOOST_CHECK_CLOSE( // kurtosis excess:
421 kurtosis_excess(dist)
422 , static_cast<RealType>(9.2903475812137800239002e-008L), tol100);
423 }
424 {
425 dist = skew_normal_distribution<RealType>(static_cast<RealType>(-10.1l), static_cast<RealType>(5.l), static_cast<RealType>(30.l));
426 BOOST_CHECK_CLOSE( // mean:
427 mean(dist)
428 , static_cast<RealType>(-6.11279169674138408531365L), 2 * tol10);
429 BOOST_CHECK_CLOSE( // variance:
430 variance(dist)
431 , static_cast<RealType>(9.10216994642554914628242L), tol10 * 2);
432
433 BOOST_CHECK_CLOSE( // skewness:
434 skewness(dist)
435 , static_cast<RealType>(0.99072425443686904424L), tol100);
436 BOOST_CHECK_CLOSE( // kurtosis:
437 kurtosis(dist)
438 , static_cast<RealType>(3.L + 0.8638862008406084244563L), tol100);
439 BOOST_CHECK_CLOSE( // kurtosis excess:
440 kurtosis_excess(dist)
441 , static_cast<RealType>(0.8638862008406084244563L), tol100);
442 }
443
444 BOOST_CHECK_THROW(cdf(skew_normal_distribution<RealType>(0, 0, 0), 0), std::domain_error);
445 BOOST_CHECK_THROW(cdf(skew_normal_distribution<RealType>(0, -1, 0), 0), std::domain_error);
446 BOOST_CHECK_THROW(quantile(skew_normal_distribution<RealType>(0, 1, 0), -1), std::domain_error);
447 BOOST_CHECK_THROW(quantile(skew_normal_distribution<RealType>(0, 1, 0), 2), std::domain_error);
448 check_out_of_range<skew_normal_distribution<RealType> >(1, 1, 1);
449 }
450
451
452 } // template <class RealType>void test_spots(RealType)
453
BOOST_AUTO_TEST_CASE(test_main)454 BOOST_AUTO_TEST_CASE( test_main )
455 {
456
457
458 using boost::math::skew_normal;
459 using boost::math::skew_normal_distribution;
460
461 //int precision = 17; // std::numeric_limits<double::max_digits10;
462 double tolfeweps = numeric_limits<double>::epsilon() * 5;
463 //double tol6decdigits = numeric_limits<float>::epsilon() * 2;
464 // Check that can generate skew_normal distribution using the two convenience methods:
465 boost::math::skew_normal w12(1., 2); // Using typedef.
466 boost::math::skew_normal_distribution<> w01; // Use default unity values for mean and scale.
467 // Note NOT myn01() as the compiler will interpret as a function!
468
469 // Checks on constructors.
470 // Default parameters.
471 BOOST_CHECK_EQUAL(w01.location(), 0);
472 BOOST_CHECK_EQUAL(w01.scale(), 1);
473 BOOST_CHECK_EQUAL(w01.shape(), 0);
474
475 skew_normal_distribution<> w23(2., 3); // Using default RealType double.
476 BOOST_CHECK_EQUAL(w23.scale(), 3);
477 BOOST_CHECK_EQUAL(w23.shape(), 0);
478
479 skew_normal_distribution<> w123(1., 2., 3.); // Using default RealType double.
480 BOOST_CHECK_EQUAL(w123.location(), 1.);
481 BOOST_CHECK_EQUAL(w123.scale(), 2.);
482 BOOST_CHECK_EQUAL(w123.shape(), 3.);
483
484 BOOST_CHECK_CLOSE_FRACTION(mean(w01), static_cast<double>(0), tolfeweps); // Default mean == zero
485 BOOST_CHECK_CLOSE_FRACTION(scale(w01), static_cast<double>(1), tolfeweps); // Default scale == unity
486
487 // Basic sanity-check spot values for all floating-point types..
488 // (Parameter value, arbitrarily zero, only communicates the floating point type).
489 test_spots(0.0F); // Test float. OK at decdigits = 0 tolerance = 0.0001 %
490 test_spots(0.0); // Test double. OK at decdigits 7, tolerance = 1e07 %
491 #ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
492 test_spots(0.0L); // Test long double.
493 #ifndef BOOST_MATH_NO_REAL_CONCEPT_TESTS
494 test_spots(boost::math::concepts::real_concept(0.)); // Test real concept.
495 #endif
496 #else
497 std::cout << "<note>The long double tests have been disabled on this platform "
498 "either because the long double overloads of the usual math functions are "
499 "not available at all, or because they are too inaccurate for these tests "
500 "to pass.</note>" << std::cout;
501 #endif
502 /* */
503
504 } // BOOST_AUTO_TEST_CASE( test_main )
505
506 /*
507
508 Output:
509
510
511 */
512
513
514