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|
{-# LANGUAGE BangPatterns, ScopedTypeVariables #-}
-- |
-- Module : Statistics.Distribution
-- Copyright : (c) 2009 Bryan O'Sullivan
-- License : BSD3
--
-- Maintainer : bos@serpentine.com
-- Stability : experimental
-- Portability : portable
--
-- Types and functions common to many probability distributions.
module Statistics.Distribution
(
Distribution(..)
, Mean(..)
, Variance(..)
, findRoot
) where
-- | The interface shared by all probability distributions.
class Distribution d where
-- | Probability density function. The probability that a
-- the random variable /X/ has the value /x/, i.e. P(/X/=/x/).
density :: d -> Double -> Double
-- | Cumulative distribution function. The probability that a
-- random variable /X/ is less than /x/, i.e. P(/X/≤/x/).
cumulative :: d -> Double -> Double
-- | Inverse of the cumulative distribution function. The value
-- /x/ for which P(/X/≤/x/).
quantile :: d -> Double -> Double
class Distribution d => Mean d where
mean :: d -> Double
class Mean d => Variance d where
variance :: d -> Double
data P = P {-# UNPACK #-} !Double {-# UNPACK #-} !Double
-- | Approximate the value of /X/ for which P(/x/>/X/)=/p/.
--
-- This method uses a combination of Newton-Raphson iteration and
-- bisection with the given guess as a starting point. The upper and
-- lower bounds specify the interval in which the probability
-- distribution reaches the value /p/.
findRoot :: Distribution d => d
-> Double -- ^ Probability /p/
-> Double -- ^ Initial guess
-> Double -- ^ Lower bound on interval
-> Double -- ^ Upper bound on interval
-> Double
findRoot d prob = loop 0 1
where
loop !(i::Int) !dx !x !lo !hi
| abs dx <= accuracy || i >= maxIters = x
| otherwise = loop (i+1) dx'' x'' lo' hi'
where
err = cumulative d x - prob
P lo' hi' | err < 0 = P x hi
| otherwise = P lo x
pdf = density d x
P dx' x' | pdf /= 0 = P (err / pdf) (x - dx)
| otherwise = P dx x
P dx'' x''
| x' < lo' || x' > hi' || pdf == 0 = let y = (lo' + hi') / 2
in P (y-x) y
| otherwise = P dx' x'
accuracy = 1e-15
maxIters = 150
|
