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// Copyright ©2017 The Gonum Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.
package mathext
import (
"testing"
"gonum.org/v1/gonum/floats"
"gonum.org/v1/gonum/floats/scalar"
)
func TestNormalQuantile(t *testing.T) {
t.Parallel()
// Values from https://www.johndcook.com/blog/normal_cdf_inverse/
p := []float64{
0.0000001,
0.00001,
0.001,
0.05,
0.15,
0.25,
0.35,
0.45,
0.55,
0.65,
0.75,
0.85,
0.95,
0.999,
0.99999,
0.9999999,
}
ans := []float64{
-5.199337582187471,
-4.264890793922602,
-3.090232306167813,
-1.6448536269514729,
-1.0364333894937896,
-0.6744897501960817,
-0.38532046640756773,
-0.12566134685507402,
0.12566134685507402,
0.38532046640756773,
0.6744897501960817,
1.0364333894937896,
1.6448536269514729,
3.090232306167813,
4.264890793922602,
5.199337582187471,
}
for i, v := range p {
got := NormalQuantile(v)
if !scalar.EqualWithinAbsOrRel(got, ans[i], 1e-10, 1e-10) {
t.Errorf("Quantile mismatch. Case %d, want: %v, got: %v", i, ans[i], got)
}
}
}
var nqtmp float64
func BenchmarkNormalQuantile(b *testing.B) {
ps := make([]float64, 1000) // ensure there are small values
floats.Span(ps, 0, 1)
for i := 0; i < b.N; i++ {
for _, v := range ps {
nqtmp = NormalQuantile(v)
}
}
}
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