276 lines
13 KiB
C++
276 lines
13 KiB
C++
// (C) Copyright Nick Thompson 2019.
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// (C) Copyright Matt Borland 2021.
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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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#ifndef BOOST_MATH_STATISTICS_T_TEST_HPP
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#define BOOST_MATH_STATISTICS_T_TEST_HPP
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#include <cmath>
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#include <cstddef>
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#include <iterator>
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#include <utility>
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#include <type_traits>
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#include <vector>
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#include <stdexcept>
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#include <boost/math/distributions/students_t.hpp>
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#include <boost/math/statistics/univariate_statistics.hpp>
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namespace boost { namespace math { namespace statistics { namespace detail {
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template<typename ReturnType, typename T>
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ReturnType one_sample_t_test_impl(T sample_mean, T sample_variance, T num_samples, T assumed_mean)
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{
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using Real = typename std::tuple_element<0, ReturnType>::type;
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using std::sqrt;
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typedef boost::math::policies::policy<
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boost::math::policies::promote_float<false>,
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boost::math::policies::promote_double<false> >
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no_promote_policy;
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Real test_statistic = (sample_mean - assumed_mean)/sqrt(sample_variance/num_samples);
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auto student = boost::math::students_t_distribution<Real, no_promote_policy>(num_samples - 1);
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Real pvalue;
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if (test_statistic > 0) {
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pvalue = 2*boost::math::cdf<Real>(student, -test_statistic);;
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}
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else {
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pvalue = 2*boost::math::cdf<Real>(student, test_statistic);
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}
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return std::make_pair(test_statistic, pvalue);
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}
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template<typename ReturnType, typename ForwardIterator>
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ReturnType one_sample_t_test_impl(ForwardIterator begin, ForwardIterator end, typename std::iterator_traits<ForwardIterator>::value_type assumed_mean)
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{
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using Real = typename std::tuple_element<0, ReturnType>::type;
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std::pair<Real, Real> temp = mean_and_sample_variance(begin, end);
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Real mu = std::get<0>(temp);
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Real s_sq = std::get<1>(temp);
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return one_sample_t_test_impl<ReturnType>(mu, s_sq, Real(std::distance(begin, end)), Real(assumed_mean));
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}
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// https://en.wikipedia.org/wiki/Student%27s_t-test#Equal_or_unequal_sample_sizes,_unequal_variances_(sX1_%3E_2sX2_or_sX2_%3E_2sX1)
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template<typename ReturnType, typename T>
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ReturnType welchs_t_test_impl(T mean_1, T variance_1, T size_1, T mean_2, T variance_2, T size_2)
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{
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using Real = typename std::tuple_element<0, ReturnType>::type;
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using no_promote_policy = boost::math::policies::policy<boost::math::policies::promote_float<false>, boost::math::policies::promote_double<false>>;
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using std::sqrt;
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Real dof_num = (variance_1/size_1 + variance_2/size_2) * (variance_1/size_1 + variance_2/size_2);
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Real dof_denom = ((variance_1/size_1) * (variance_1/size_1))/(size_1 - 1) +
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((variance_2/size_2) * (variance_2/size_2))/(size_2 - 1);
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Real dof = dof_num / dof_denom;
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Real s_estimator = sqrt((variance_1/size_1) + (variance_2/size_2));
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Real test_statistic = (static_cast<Real>(mean_1) - static_cast<Real>(mean_2))/s_estimator;
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auto student = boost::math::students_t_distribution<Real, no_promote_policy>(dof);
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Real pvalue;
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if (test_statistic > 0)
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{
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pvalue = 2*boost::math::cdf<Real>(student, -test_statistic);;
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}
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else
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{
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pvalue = 2*boost::math::cdf<Real>(student, test_statistic);
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}
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return std::make_pair(test_statistic, pvalue);
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}
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// https://en.wikipedia.org/wiki/Student%27s_t-test#Equal_or_unequal_sample_sizes,_similar_variances_(1/2_%3C_sX1/sX2_%3C_2)
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template<typename ReturnType, typename T>
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ReturnType two_sample_t_test_impl(T mean_1, T variance_1, T size_1, T mean_2, T variance_2, T size_2)
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{
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using Real = typename std::tuple_element<0, ReturnType>::type;
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using no_promote_policy = boost::math::policies::policy<boost::math::policies::promote_float<false>, boost::math::policies::promote_double<false>>;
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using std::sqrt;
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Real dof = size_1 + size_2 - 2;
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Real pooled_std_dev = sqrt(((size_1-1)*variance_1 + (size_2-1)*variance_2) / dof);
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Real test_statistic = (mean_1-mean_2) / (pooled_std_dev*sqrt(1.0/static_cast<Real>(size_1) + 1.0/static_cast<Real>(size_2)));
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auto student = boost::math::students_t_distribution<Real, no_promote_policy>(dof);
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Real pvalue;
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if (test_statistic > 0)
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{
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pvalue = 2*boost::math::cdf<Real>(student, -test_statistic);;
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}
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else
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{
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pvalue = 2*boost::math::cdf<Real>(student, test_statistic);
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}
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return std::make_pair(test_statistic, pvalue);
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}
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template<typename ReturnType, typename ForwardIterator>
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ReturnType two_sample_t_test_impl(ForwardIterator begin_1, ForwardIterator end_1, ForwardIterator begin_2, ForwardIterator end_2)
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{
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using Real = typename std::tuple_element<0, ReturnType>::type;
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using std::sqrt;
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auto n1 = std::distance(begin_1, end_1);
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auto n2 = std::distance(begin_2, end_2);
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ReturnType temp_1 = mean_and_sample_variance(begin_1, end_1);
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Real mean_1 = std::get<0>(temp_1);
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Real variance_1 = std::get<1>(temp_1);
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Real std_dev_1 = sqrt(variance_1);
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ReturnType temp_2 = mean_and_sample_variance(begin_2, end_2);
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Real mean_2 = std::get<0>(temp_2);
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Real variance_2 = std::get<1>(temp_2);
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Real std_dev_2 = sqrt(variance_2);
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if(std_dev_1 > 2 * std_dev_2 || std_dev_2 > 2 * std_dev_1)
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{
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return welchs_t_test_impl<ReturnType>(mean_1, variance_1, Real(n1), mean_2, variance_2, Real(n2));
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}
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else
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{
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return two_sample_t_test_impl<ReturnType>(mean_1, variance_1, Real(n1), mean_2, variance_2, Real(n2));
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}
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}
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// https://en.wikipedia.org/wiki/Student%27s_t-test#Dependent_t-test_for_paired_samples
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template<typename ReturnType, typename ForwardIterator>
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ReturnType paired_samples_t_test_impl(ForwardIterator begin_1, ForwardIterator end_1, ForwardIterator begin_2, ForwardIterator end_2)
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{
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using Real = typename std::tuple_element<0, ReturnType>::type;
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using no_promote_policy = boost::math::policies::policy<boost::math::policies::promote_float<false>, boost::math::policies::promote_double<false>>;
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using std::sqrt;
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std::vector<Real> delta;
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ForwardIterator it_1 = begin_1;
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ForwardIterator it_2 = begin_2;
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std::size_t n = 0;
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while(it_1 != end_1 && it_2 != end_2)
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{
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delta.emplace_back(static_cast<Real>(*it_1++) - static_cast<Real>(*it_2++));
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++n;
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}
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if(it_1 != end_1 || it_2 != end_2)
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{
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throw std::domain_error("Both sets must have the same number of values.");
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}
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std::pair<Real, Real> temp = mean_and_sample_variance(delta.begin(), delta.end());
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Real delta_mean = std::get<0>(temp);
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Real delta_std_dev = sqrt(std::get<1>(temp));
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Real test_statistic = delta_mean/(delta_std_dev/sqrt(n));
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auto student = boost::math::students_t_distribution<Real, no_promote_policy>(n - 1);
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Real pvalue;
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if (test_statistic > 0)
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{
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pvalue = 2*boost::math::cdf<Real>(student, -test_statistic);;
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}
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else
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{
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pvalue = 2*boost::math::cdf<Real>(student, test_statistic);
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}
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return std::make_pair(test_statistic, pvalue);
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}
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} // namespace detail
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template<typename Real, typename std::enable_if<std::is_integral<Real>::value, bool>::type = true>
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inline auto one_sample_t_test(Real sample_mean, Real sample_variance, Real num_samples, Real assumed_mean) -> std::pair<double, double>
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{
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return detail::one_sample_t_test_impl<std::pair<double, double>>(sample_mean, sample_variance, num_samples, assumed_mean);
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}
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template<typename Real, typename std::enable_if<!std::is_integral<Real>::value, bool>::type = true>
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inline auto one_sample_t_test(Real sample_mean, Real sample_variance, Real num_samples, Real assumed_mean) -> std::pair<Real, Real>
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{
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return detail::one_sample_t_test_impl<std::pair<Real, Real>>(sample_mean, sample_variance, num_samples, assumed_mean);
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}
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template<typename ForwardIterator, typename Real = typename std::iterator_traits<ForwardIterator>::value_type,
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typename std::enable_if<std::is_integral<Real>::value, bool>::type = true>
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inline auto one_sample_t_test(ForwardIterator begin, ForwardIterator end, Real assumed_mean) -> std::pair<double, double>
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{
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return detail::one_sample_t_test_impl<std::pair<double, double>>(begin, end, assumed_mean);
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}
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template<typename ForwardIterator, typename Real = typename std::iterator_traits<ForwardIterator>::value_type,
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typename std::enable_if<!std::is_integral<Real>::value, bool>::type = true>
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inline auto one_sample_t_test(ForwardIterator begin, ForwardIterator end, Real assumed_mean) -> std::pair<Real, Real>
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{
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return detail::one_sample_t_test_impl<std::pair<Real, Real>>(begin, end, assumed_mean);
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}
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template<typename Container, typename Real = typename Container::value_type,
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typename std::enable_if<std::is_integral<Real>::value, bool>::type = true>
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inline auto one_sample_t_test(Container const & v, Real assumed_mean) -> std::pair<double, double>
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{
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return detail::one_sample_t_test_impl<std::pair<double, double>>(std::begin(v), std::end(v), assumed_mean);
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}
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template<typename Container, typename Real = typename Container::value_type,
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typename std::enable_if<!std::is_integral<Real>::value, bool>::type = true>
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inline auto one_sample_t_test(Container const & v, Real assumed_mean) -> std::pair<Real, Real>
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{
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return detail::one_sample_t_test_impl<std::pair<Real, Real>>(std::begin(v), std::end(v), assumed_mean);
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}
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template<typename ForwardIterator, typename Real = typename std::iterator_traits<ForwardIterator>::value_type,
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typename std::enable_if<std::is_integral<Real>::value, bool>::type = true>
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inline auto two_sample_t_test(ForwardIterator begin_1, ForwardIterator end_1, ForwardIterator begin_2, ForwardIterator end_2) -> std::pair<double, double>
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{
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return detail::two_sample_t_test_impl<std::pair<double, double>>(begin_1, end_1, begin_2, end_2);
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}
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template<typename ForwardIterator, typename Real = typename std::iterator_traits<ForwardIterator>::value_type,
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typename std::enable_if<!std::is_integral<Real>::value, bool>::type = true>
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inline auto two_sample_t_test(ForwardIterator begin_1, ForwardIterator end_1, ForwardIterator begin_2, ForwardIterator end_2) -> std::pair<Real, Real>
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{
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return detail::two_sample_t_test_impl<std::pair<Real, Real>>(begin_1, end_1, begin_2, end_2);
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}
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template<typename Container, typename Real = typename Container::value_type, typename std::enable_if<std::is_integral<Real>::value, bool>::type = true>
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inline auto two_sample_t_test(Container const & u, Container const & v) -> std::pair<double, double>
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{
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return detail::two_sample_t_test_impl<std::pair<double, double>>(std::begin(u), std::end(u), std::begin(v), std::end(v));
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}
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template<typename Container, typename Real = typename Container::value_type, typename std::enable_if<!std::is_integral<Real>::value, bool>::type = true>
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inline auto two_sample_t_test(Container const & u, Container const & v) -> std::pair<Real, Real>
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{
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return detail::two_sample_t_test_impl<std::pair<Real, Real>>(std::begin(u), std::end(u), std::begin(v), std::end(v));
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}
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template<typename ForwardIterator, typename Real = typename std::iterator_traits<ForwardIterator>::value_type,
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typename std::enable_if<std::is_integral<Real>::value, bool>::type = true>
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inline auto paired_samples_t_test(ForwardIterator begin_1, ForwardIterator end_1, ForwardIterator begin_2, ForwardIterator end_2) -> std::pair<double, double>
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{
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return detail::paired_samples_t_test_impl<std::pair<double, double>>(begin_1, end_1, begin_2, end_2);
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}
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template<typename ForwardIterator, typename Real = typename std::iterator_traits<ForwardIterator>::value_type,
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typename std::enable_if<!std::is_integral<Real>::value, bool>::type = true>
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inline auto paired_samples_t_test(ForwardIterator begin_1, ForwardIterator end_1, ForwardIterator begin_2, ForwardIterator end_2) -> std::pair<Real, Real>
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{
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return detail::paired_samples_t_test_impl<std::pair<Real, Real>>(begin_1, end_1, begin_2, end_2);
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}
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template<typename Container, typename Real = typename Container::value_type, typename std::enable_if<std::is_integral<Real>::value, bool>::type = true>
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inline auto paired_samples_t_test(Container const & u, Container const & v) -> std::pair<double, double>
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{
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return detail::paired_samples_t_test_impl<std::pair<double, double>>(std::begin(u), std::end(u), std::begin(v), std::end(v));
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}
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template<typename Container, typename Real = typename Container::value_type, typename std::enable_if<!std::is_integral<Real>::value, bool>::type = true>
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inline auto paired_samples_t_test(Container const & u, Container const & v) -> std::pair<Real, Real>
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{
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return detail::paired_samples_t_test_impl<std::pair<Real, Real>>(std::begin(u), std::end(u), std::begin(v), std::end(v));
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}
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}}} // namespace boost::math::statistics
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#endif
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