500 lines
21 KiB
C++
500 lines
21 KiB
C++
// Kolmogorov-Smirnov 1st order asymptotic distribution
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// Copyright Evan Miller 2020
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//
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// Use, modification and distribution are subject to the
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// Boost Software License, Version 1.0. (See accompanying file
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// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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//
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// The Kolmogorov-Smirnov test in statistics compares two empirical distributions,
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// or an empirical distribution against any theoretical distribution. It makes
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// use of a specific distribution which doesn't have a formal name, but which
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// is often called the Kolmogorv-Smirnov distribution for lack of anything
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// better. This file implements the limiting form of this distribution, first
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// identified by Andrey Kolmogorov in
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//
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// Kolmogorov, A. (1933) "Sulla Determinazione Empirica di una Legge di
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// Distribuzione." Giornale dell' Istituto Italiano degli Attuari
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//
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// This limiting form of the CDF is a first-order Taylor expansion that is
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// easily implemented by the fourth Jacobi Theta function (setting z=0). The
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// PDF is then implemented here as a derivative of the Theta function. Note
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// that this derivative is with respect to x, which enters into \tau, and not
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// with respect to the z argument, which is always zero, and so the derivative
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// identities in DLMF 20.4 do not apply here.
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//
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// A higher order order expansion is possible, and was first outlined by
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//
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// Pelz W, Good IJ (1976). "Approximating the Lower Tail-Areas of the
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// Kolmogorov-Smirnov One-sample Statistic." Journal of the Royal Statistical
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// Society B.
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//
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// The terms in this expansion get fairly complicated, and as far as I know the
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// Pelz-Good expansion is not used in any statistics software. Someone could
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// consider updating this implementation to use the Pelz-Good expansion in the
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// future, but the math gets considerably hairier with each additional term.
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//
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// A formula for an exact version of the Kolmogorov-Smirnov test is laid out in
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// Equation 2.4.4 of
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//
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// Durbin J (1973). "Distribution Theory for Tests Based on the Sample
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// Distribution Func- tion." In SIAM CBMS-NSF Regional Conference Series in
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// Applied Mathematics. SIAM, Philadelphia, PA.
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//
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// which is available in book form from Amazon and others. This exact version
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// involves taking powers of large matrices. To do that right you need to
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// compute eigenvalues and eigenvectors, which are beyond the scope of Boost.
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// (Some recent work indicates the exact form can also be computed via FFT, see
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// https://cran.r-project.org/web/packages/KSgeneral/KSgeneral.pdf).
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//
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// Even if the CDF of the exact distribution could be computed using Boost
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// libraries (which would be cumbersome), the PDF would present another
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// difficulty. Therefore I am limiting this implementation to the asymptotic
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// form, even though the exact form has trivial values for certain specific
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// values of x and n. For more on trivial values see
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//
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// Ruben H, Gambino J (1982). "The Exact Distribution of Kolmogorov's Statistic
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// Dn for n <= 10." Annals of the Institute of Statistical Mathematics.
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//
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// For a good bibliography and overview of the various algorithms, including
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// both exact and asymptotic forms, see
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// https://www.jstatsoft.org/article/view/v039i11
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//
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// As for this implementation: the distribution is parameterized by n (number
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// of observations) in the spirit of chi-squared's degrees of freedom. It then
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// takes a single argument x. In terms of the Kolmogorov-Smirnov statistical
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// test, x represents the distribution of D_n, where D_n is the maximum
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// difference between the CDFs being compared, that is,
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//
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// D_n = sup|F_n(x) - G(x)|
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//
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// In the exact distribution, x is confined to the support [0, 1], but in this
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// limiting approximation, we allow x to exceed unity (similar to how a normal
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// approximation always spills over any boundaries).
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//
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// As mentioned previously, the CDF is implemented using the \tau
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// parameterization of the fourth Jacobi Theta function as
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//
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// CDF=theta_4(0|2*x*x*n/pi)
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//
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// The PDF is a hand-coded derivative of that function. Actually, there are two
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// (independent) derivatives, as separate code paths are used for "small x"
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// (2*x*x*n < pi) and "large x", mirroring the separate code paths in the
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// Jacobi Theta implementation to achieve fast convergence. Quantiles are
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// computed using a Newton-Raphson iteration from an initial guess that I
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// arrived at by trial and error.
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//
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// The mean and variance are implemented using simple closed-form expressions.
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// Skewness and kurtosis use slightly more complicated closed-form expressions
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// that involve the zeta function. The mode is calculated at run-time by
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// maximizing the PDF. If you have an analytical solution for the mode, feel
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// free to plop it in.
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//
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// The CDF and PDF could almost certainly be re-implemented and sped up using a
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// polynomial or rational approximation, since the only meaningful argument is
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// x * sqrt(n). But that is left as an exercise for the next maintainer.
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//
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// In the future, the Pelz-Good approximation could be added. I suggest adding
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// a second parameter representing the order, e.g.
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//
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// kolmogorov_smirnov_dist<>(100) // N=100, order=1
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// kolmogorov_smirnov_dist<>(100, 1) // N=100, order=1, i.e. Kolmogorov's formula
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// kolmogorov_smirnov_dist<>(100, 4) // N=100, order=4, i.e. Pelz-Good formula
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//
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// The exact distribution could be added to the API with a special order
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// parameter (e.g. 0 or infinity), or a separate distribution type altogether
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// (e.g. kolmogorov_smirnov_exact_distribution).
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//
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#ifndef BOOST_MATH_DISTRIBUTIONS_KOLMOGOROV_SMIRNOV_HPP
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#define BOOST_MATH_DISTRIBUTIONS_KOLMOGOROV_SMIRNOV_HPP
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#include <boost/math/distributions/fwd.hpp>
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#include <boost/math/distributions/complement.hpp>
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#include <boost/math/distributions/detail/common_error_handling.hpp>
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#include <boost/math/special_functions/jacobi_theta.hpp>
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#include <boost/math/tools/tuple.hpp>
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#include <boost/math/tools/roots.hpp> // Newton-Raphson
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#include <boost/math/tools/minima.hpp> // For the mode
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namespace boost { namespace math {
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namespace detail {
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template <class RealType>
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inline RealType kolmogorov_smirnov_quantile_guess(RealType p) {
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// Choose a starting point for the Newton-Raphson iteration
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if (p > 0.9)
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return RealType(1.8) - 5 * (1 - p);
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if (p < 0.3)
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return p + RealType(0.45);
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return p + RealType(0.3);
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}
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// d/dk (theta2(0, 1/(2*k*k/M_PI))/sqrt(2*k*k*M_PI))
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template <class RealType, class Policy>
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RealType kolmogorov_smirnov_pdf_small_x(RealType x, RealType n, const Policy&) {
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BOOST_MATH_STD_USING
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RealType value = RealType(0), delta = RealType(0), last_delta = RealType(0);
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RealType eps = policies::get_epsilon<RealType, Policy>();
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int i = 0;
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RealType pi2 = constants::pi_sqr<RealType>();
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RealType x2n = x*x*n;
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if (x2n*x2n == 0.0) {
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return static_cast<RealType>(0);
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}
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while (1) {
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delta = exp(-RealType(i+0.5)*RealType(i+0.5)*pi2/(2*x2n)) * (RealType(i+0.5)*RealType(i+0.5)*pi2 - x2n);
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if (delta == 0.0)
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break;
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if (last_delta != 0.0 && fabs(delta/last_delta) < eps)
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break;
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value += delta + delta;
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last_delta = delta;
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i++;
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}
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return value * sqrt(n) * constants::root_half_pi<RealType>() / (x2n*x2n);
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}
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// d/dx (theta4(0, 2*x*x*n/M_PI))
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template <class RealType, class Policy>
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inline RealType kolmogorov_smirnov_pdf_large_x(RealType x, RealType n, const Policy&) {
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BOOST_MATH_STD_USING
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RealType value = RealType(0), delta = RealType(0), last_delta = RealType(0);
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RealType eps = policies::get_epsilon<RealType, Policy>();
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int i = 1;
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while (1) {
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delta = 8*x*i*i*exp(-2*i*i*x*x*n);
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if (delta == 0.0)
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break;
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if (last_delta != 0.0 && fabs(delta / last_delta) < eps)
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break;
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if (i%2 == 0)
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delta = -delta;
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value += delta;
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last_delta = delta;
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i++;
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}
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return value * n;
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}
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}; // detail
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template <class RealType = double, class Policy = policies::policy<> >
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class kolmogorov_smirnov_distribution
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{
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public:
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typedef RealType value_type;
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typedef Policy policy_type;
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// Constructor
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kolmogorov_smirnov_distribution( RealType n ) : n_obs_(n)
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{
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RealType result;
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detail::check_df(
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"boost::math::kolmogorov_smirnov_distribution<%1%>::kolmogorov_smirnov_distribution", n_obs_, &result, Policy());
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}
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RealType number_of_observations()const
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{
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return n_obs_;
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}
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private:
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RealType n_obs_; // positive integer
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};
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typedef kolmogorov_smirnov_distribution<double> kolmogorov_k; // Convenience typedef for double version.
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#ifdef __cpp_deduction_guides
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template <class RealType>
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kolmogorov_smirnov_distribution(RealType)->kolmogorov_smirnov_distribution<typename boost::math::tools::promote_args<RealType>::type>;
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#endif
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namespace detail {
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template <class RealType, class Policy>
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struct kolmogorov_smirnov_quantile_functor
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{
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kolmogorov_smirnov_quantile_functor(const boost::math::kolmogorov_smirnov_distribution<RealType, Policy> dist, RealType const& p)
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: distribution(dist), prob(p)
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{
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}
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boost::math::tuple<RealType, RealType> operator()(RealType const& x)
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{
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RealType fx = cdf(distribution, x) - prob; // Difference cdf - value - to minimize.
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RealType dx = pdf(distribution, x); // pdf is 1st derivative.
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// return both function evaluation difference f(x) and 1st derivative f'(x).
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return boost::math::make_tuple(fx, dx);
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}
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private:
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const boost::math::kolmogorov_smirnov_distribution<RealType, Policy> distribution;
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RealType prob;
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};
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template <class RealType, class Policy>
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struct kolmogorov_smirnov_complementary_quantile_functor
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{
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kolmogorov_smirnov_complementary_quantile_functor(const boost::math::kolmogorov_smirnov_distribution<RealType, Policy> dist, RealType const& p)
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: distribution(dist), prob(p)
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{
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}
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boost::math::tuple<RealType, RealType> operator()(RealType const& x)
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{
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RealType fx = cdf(complement(distribution, x)) - prob; // Difference cdf - value - to minimize.
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RealType dx = -pdf(distribution, x); // pdf is the negative of the derivative of (1-CDF)
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// return both function evaluation difference f(x) and 1st derivative f'(x).
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return boost::math::make_tuple(fx, dx);
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}
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private:
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const boost::math::kolmogorov_smirnov_distribution<RealType, Policy> distribution;
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RealType prob;
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};
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template <class RealType, class Policy>
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struct kolmogorov_smirnov_negative_pdf_functor
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{
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RealType operator()(RealType const& x) {
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if (2*x*x < constants::pi<RealType>()) {
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return -kolmogorov_smirnov_pdf_small_x(x, static_cast<RealType>(1), Policy());
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}
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return -kolmogorov_smirnov_pdf_large_x(x, static_cast<RealType>(1), Policy());
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}
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};
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} // namespace detail
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template <class RealType, class Policy>
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inline const std::pair<RealType, RealType> range(const kolmogorov_smirnov_distribution<RealType, Policy>& /*dist*/)
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{ // Range of permissible values for random variable x.
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using boost::math::tools::max_value;
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return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>());
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}
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template <class RealType, class Policy>
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inline const std::pair<RealType, RealType> support(const kolmogorov_smirnov_distribution<RealType, Policy>& /*dist*/)
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{ // Range of supported values for random variable x.
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// This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
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// In the exact distribution, the upper limit would be 1.
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using boost::math::tools::max_value;
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return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>());
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}
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template <class RealType, class Policy>
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inline RealType pdf(const kolmogorov_smirnov_distribution<RealType, Policy>& dist, const RealType& x)
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{
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BOOST_FPU_EXCEPTION_GUARD
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BOOST_MATH_STD_USING // for ADL of std functions.
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RealType n = dist.number_of_observations();
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RealType error_result;
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static const char* function = "boost::math::pdf(const kolmogorov_smirnov_distribution<%1%>&, %1%)";
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if(false == detail::check_x_not_NaN(function, x, &error_result, Policy()))
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return error_result;
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if(false == detail::check_df(function, n, &error_result, Policy()))
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return error_result;
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if (x < 0 || !(boost::math::isfinite)(x))
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{
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return policies::raise_domain_error<RealType>(
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function, "Kolmogorov-Smirnov parameter was %1%, but must be > 0 !", x, Policy());
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}
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if (2*x*x*n < constants::pi<RealType>()) {
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return detail::kolmogorov_smirnov_pdf_small_x(x, n, Policy());
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}
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return detail::kolmogorov_smirnov_pdf_large_x(x, n, Policy());
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} // pdf
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template <class RealType, class Policy>
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inline RealType cdf(const kolmogorov_smirnov_distribution<RealType, Policy>& dist, const RealType& x)
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{
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BOOST_MATH_STD_USING // for ADL of std function exp.
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static const char* function = "boost::math::cdf(const kolmogorov_smirnov_distribution<%1%>&, %1%)";
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RealType error_result;
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RealType n = dist.number_of_observations();
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if(false == detail::check_x_not_NaN(function, x, &error_result, Policy()))
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return error_result;
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if(false == detail::check_df(function, n, &error_result, Policy()))
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return error_result;
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if((x < 0) || !(boost::math::isfinite)(x)) {
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return policies::raise_domain_error<RealType>(
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function, "Random variable parameter was %1%, but must be between > 0 !", x, Policy());
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}
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if (x*x*n == 0)
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return 0;
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return jacobi_theta4tau(RealType(0), 2*x*x*n/constants::pi<RealType>(), Policy());
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} // cdf
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template <class RealType, class Policy>
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inline RealType cdf(const complemented2_type<kolmogorov_smirnov_distribution<RealType, Policy>, RealType>& c) {
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BOOST_MATH_STD_USING // for ADL of std function exp.
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RealType x = c.param;
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static const char* function = "boost::math::cdf(const complemented2_type<const kolmogorov_smirnov_distribution<%1%>&, %1%>)";
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RealType error_result;
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kolmogorov_smirnov_distribution<RealType, Policy> const& dist = c.dist;
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RealType n = dist.number_of_observations();
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if(false == detail::check_x_not_NaN(function, x, &error_result, Policy()))
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return error_result;
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if(false == detail::check_df(function, n, &error_result, Policy()))
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return error_result;
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if((x < 0) || !(boost::math::isfinite)(x))
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return policies::raise_domain_error<RealType>(
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function, "Random variable parameter was %1%, but must be between > 0 !", x, Policy());
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if (x*x*n == 0)
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return 1;
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if (2*x*x*n > constants::pi<RealType>())
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return -jacobi_theta4m1tau(RealType(0), 2*x*x*n/constants::pi<RealType>(), Policy());
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return RealType(1) - jacobi_theta4tau(RealType(0), 2*x*x*n/constants::pi<RealType>(), Policy());
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} // cdf (complemented)
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template <class RealType, class Policy>
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inline RealType quantile(const kolmogorov_smirnov_distribution<RealType, Policy>& dist, const RealType& p)
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{
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BOOST_MATH_STD_USING
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static const char* function = "boost::math::quantile(const kolmogorov_smirnov_distribution<%1%>&, %1%)";
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// Error check:
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RealType error_result;
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RealType n = dist.number_of_observations();
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if(false == detail::check_probability(function, p, &error_result, Policy()))
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return error_result;
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if(false == detail::check_df(function, n, &error_result, Policy()))
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return error_result;
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RealType k = detail::kolmogorov_smirnov_quantile_guess(p) / sqrt(n);
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const int get_digits = policies::digits<RealType, Policy>();// get digits from policy,
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std::uintmax_t m = policies::get_max_root_iterations<Policy>(); // and max iterations.
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return tools::newton_raphson_iterate(detail::kolmogorov_smirnov_quantile_functor<RealType, Policy>(dist, p),
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k, RealType(0), boost::math::tools::max_value<RealType>(), get_digits, m);
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} // quantile
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template <class RealType, class Policy>
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inline RealType quantile(const complemented2_type<kolmogorov_smirnov_distribution<RealType, Policy>, RealType>& c) {
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BOOST_MATH_STD_USING
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static const char* function = "boost::math::quantile(const kolmogorov_smirnov_distribution<%1%>&, %1%)";
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kolmogorov_smirnov_distribution<RealType, Policy> const& dist = c.dist;
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RealType n = dist.number_of_observations();
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// Error check:
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RealType error_result;
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RealType p = c.param;
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if(false == detail::check_probability(function, p, &error_result, Policy()))
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return error_result;
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if(false == detail::check_df(function, n, &error_result, Policy()))
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return error_result;
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RealType k = detail::kolmogorov_smirnov_quantile_guess(RealType(1-p)) / sqrt(n);
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const int get_digits = policies::digits<RealType, Policy>();// get digits from policy,
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std::uintmax_t m = policies::get_max_root_iterations<Policy>(); // and max iterations.
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return tools::newton_raphson_iterate(
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detail::kolmogorov_smirnov_complementary_quantile_functor<RealType, Policy>(dist, p),
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k, RealType(0), boost::math::tools::max_value<RealType>(), get_digits, m);
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} // quantile (complemented)
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template <class RealType, class Policy>
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inline RealType mode(const kolmogorov_smirnov_distribution<RealType, Policy>& dist)
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{
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BOOST_MATH_STD_USING
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static const char* function = "boost::math::mode(const kolmogorov_smirnov_distribution<%1%>&)";
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RealType n = dist.number_of_observations();
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RealType error_result;
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if(false == detail::check_df(function, n, &error_result, Policy()))
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return error_result;
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std::pair<RealType, RealType> r = boost::math::tools::brent_find_minima(
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|
detail::kolmogorov_smirnov_negative_pdf_functor<RealType, Policy>(),
|
|
static_cast<RealType>(0), static_cast<RealType>(1), policies::digits<RealType, Policy>());
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|
return r.first / sqrt(n);
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|
}
|
|
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|
// Mean and variance come directly from
|
|
// https://www.jstatsoft.org/article/view/v008i18 Section 3
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|
template <class RealType, class Policy>
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|
inline RealType mean(const kolmogorov_smirnov_distribution<RealType, Policy>& dist)
|
|
{
|
|
BOOST_MATH_STD_USING
|
|
static const char* function = "boost::math::mean(const kolmogorov_smirnov_distribution<%1%>&)";
|
|
RealType n = dist.number_of_observations();
|
|
RealType error_result;
|
|
if(false == detail::check_df(function, n, &error_result, Policy()))
|
|
return error_result;
|
|
return constants::root_half_pi<RealType>() * constants::ln_two<RealType>() / sqrt(n);
|
|
}
|
|
|
|
template <class RealType, class Policy>
|
|
inline RealType variance(const kolmogorov_smirnov_distribution<RealType, Policy>& dist)
|
|
{
|
|
static const char* function = "boost::math::variance(const kolmogorov_smirnov_distribution<%1%>&)";
|
|
RealType n = dist.number_of_observations();
|
|
RealType error_result;
|
|
if(false == detail::check_df(function, n, &error_result, Policy()))
|
|
return error_result;
|
|
return (constants::pi_sqr_div_six<RealType>()
|
|
- constants::pi<RealType>() * constants::ln_two<RealType>() * constants::ln_two<RealType>()) / (2*n);
|
|
}
|
|
|
|
// Skewness and kurtosis come from integrating the PDF
|
|
// The alternating series pops out a Dirichlet eta function which is related to the zeta function
|
|
template <class RealType, class Policy>
|
|
inline RealType skewness(const kolmogorov_smirnov_distribution<RealType, Policy>& dist)
|
|
{
|
|
BOOST_MATH_STD_USING
|
|
static const char* function = "boost::math::skewness(const kolmogorov_smirnov_distribution<%1%>&)";
|
|
RealType n = dist.number_of_observations();
|
|
RealType error_result;
|
|
if(false == detail::check_df(function, n, &error_result, Policy()))
|
|
return error_result;
|
|
RealType ex3 = RealType(0.5625) * constants::root_half_pi<RealType>() * constants::zeta_three<RealType>() / n / sqrt(n);
|
|
RealType mean = boost::math::mean(dist);
|
|
RealType var = boost::math::variance(dist);
|
|
return (ex3 - 3 * mean * var - mean * mean * mean) / var / sqrt(var);
|
|
}
|
|
|
|
template <class RealType, class Policy>
|
|
inline RealType kurtosis(const kolmogorov_smirnov_distribution<RealType, Policy>& dist)
|
|
{
|
|
BOOST_MATH_STD_USING
|
|
static const char* function = "boost::math::kurtosis(const kolmogorov_smirnov_distribution<%1%>&)";
|
|
RealType n = dist.number_of_observations();
|
|
RealType error_result;
|
|
if(false == detail::check_df(function, n, &error_result, Policy()))
|
|
return error_result;
|
|
RealType ex4 = 7 * constants::pi_sqr_div_six<RealType>() * constants::pi_sqr_div_six<RealType>() / 20 / n / n;
|
|
RealType mean = boost::math::mean(dist);
|
|
RealType var = boost::math::variance(dist);
|
|
RealType skew = boost::math::skewness(dist);
|
|
return (ex4 - 4 * mean * skew * var * sqrt(var) - 6 * mean * mean * var - mean * mean * mean * mean) / var / var;
|
|
}
|
|
|
|
template <class RealType, class Policy>
|
|
inline RealType kurtosis_excess(const kolmogorov_smirnov_distribution<RealType, Policy>& dist)
|
|
{
|
|
static const char* function = "boost::math::kurtosis_excess(const kolmogorov_smirnov_distribution<%1%>&)";
|
|
RealType n = dist.number_of_observations();
|
|
RealType error_result;
|
|
if(false == detail::check_df(function, n, &error_result, Policy()))
|
|
return error_result;
|
|
return kurtosis(dist) - 3;
|
|
}
|
|
}}
|
|
#endif
|