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4 | <title>Normal (Gaussian) Distribution</title> | |
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24 | </div> | |
25 | <div class="section"> | |
26 | <div class="titlepage"><div><div><h4 class="title"> | |
27 | <a name="math_toolkit.dist_ref.dists.normal_dist"></a><a class="link" href="normal_dist.html" title="Normal (Gaussian) Distribution">Normal (Gaussian) | |
28 | Distribution</a> | |
29 | </h4></div></div></div> | |
30 | <pre class="programlisting"><span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">normal</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span></pre> | |
31 | <pre class="programlisting"><span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">{</span> <span class="keyword">namespace</span> <span class="identifier">math</span><span class="special">{</span> | |
32 | ||
33 | <span class="keyword">template</span> <span class="special"><</span><span class="keyword">class</span> <span class="identifier">RealType</span> <span class="special">=</span> <span class="keyword">double</span><span class="special">,</span> | |
34 | <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Chapter 15. Policies: Controlling Precision, Error Handling etc">Policy</a> <span class="special">=</span> <a class="link" href="../../pol_ref/pol_ref_ref.html" title="Policy Class Reference">policies::policy<></a> <span class="special">></span> | |
35 | <span class="keyword">class</span> <span class="identifier">normal_distribution</span><span class="special">;</span> | |
36 | ||
37 | <span class="keyword">typedef</span> <span class="identifier">normal_distribution</span><span class="special"><></span> <span class="identifier">normal</span><span class="special">;</span> | |
38 | ||
39 | <span class="keyword">template</span> <span class="special"><</span><span class="keyword">class</span> <span class="identifier">RealType</span><span class="special">,</span> <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Chapter 15. Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">></span> | |
40 | <span class="keyword">class</span> <span class="identifier">normal_distribution</span> | |
41 | <span class="special">{</span> | |
42 | <span class="keyword">public</span><span class="special">:</span> | |
43 | <span class="keyword">typedef</span> <span class="identifier">RealType</span> <span class="identifier">value_type</span><span class="special">;</span> | |
44 | <span class="keyword">typedef</span> <span class="identifier">Policy</span> <span class="identifier">policy_type</span><span class="special">;</span> | |
45 | <span class="comment">// Construct:</span> | |
46 | <span class="identifier">normal_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">mean</span> <span class="special">=</span> <span class="number">0</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">sd</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span> | |
47 | <span class="comment">// Accessors:</span> | |
48 | <span class="identifier">RealType</span> <span class="identifier">mean</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// location.</span> | |
49 | <span class="identifier">RealType</span> <span class="identifier">standard_deviation</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// scale.</span> | |
50 | <span class="comment">// Synonyms, provided to allow generic use of find_location and find_scale.</span> | |
51 | <span class="identifier">RealType</span> <span class="identifier">location</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> | |
52 | <span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> | |
53 | <span class="special">};</span> | |
54 | ||
55 | <span class="special">}}</span> <span class="comment">// namespaces</span> | |
56 | </pre> | |
57 | <p> | |
58 | The normal distribution is probably the most well known statistical distribution: | |
59 | it is also known as the Gaussian Distribution. A normal distribution with | |
60 | mean zero and standard deviation one is known as the <span class="emphasis"><em>Standard | |
61 | Normal Distribution</em></span>. | |
62 | </p> | |
63 | <p> | |
64 | Given mean μ  and standard deviation σ  it has the PDF: | |
65 | </p> | |
66 | <p> | |
67 |   <span class="inlinemediaobject"><img src="../../../../equations/normal_ref1.svg"></span> | |
68 | </p> | |
69 | <p> | |
70 | The variation the PDF with its parameters is illustrated in the following | |
71 | graph: | |
72 | </p> | |
73 | <p> | |
74 | <span class="inlinemediaobject"><img src="../../../../graphs/normal_pdf.svg" align="middle"></span> | |
75 | </p> | |
76 | <p> | |
77 | The cumulative distribution function is given by | |
78 | </p> | |
79 | <p> | |
80 |   <span class="inlinemediaobject"><img src="../../../../equations/normal_cdf.svg"></span> | |
81 | </p> | |
82 | <p> | |
83 | and illustrated by this graph | |
84 | </p> | |
85 | <p> | |
86 | <span class="inlinemediaobject"><img src="../../../../graphs/normal_cdf.svg" align="middle"></span> | |
87 | </p> | |
88 | <h5> | |
89 | <a name="math_toolkit.dist_ref.dists.normal_dist.h0"></a> | |
90 | <span class="phrase"><a name="math_toolkit.dist_ref.dists.normal_dist.member_functions"></a></span><a class="link" href="normal_dist.html#math_toolkit.dist_ref.dists.normal_dist.member_functions">Member | |
91 | Functions</a> | |
92 | </h5> | |
93 | <pre class="programlisting"><span class="identifier">normal_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">mean</span> <span class="special">=</span> <span class="number">0</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">sd</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span> | |
94 | </pre> | |
95 | <p> | |
96 | Constructs a normal distribution with mean <span class="emphasis"><em>mean</em></span> and | |
97 | standard deviation <span class="emphasis"><em>sd</em></span>. | |
98 | </p> | |
99 | <p> | |
100 | Requires sd > 0, otherwise <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a> | |
101 | is called. | |
102 | </p> | |
103 | <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">mean</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> | |
104 | <span class="identifier">RealType</span> <span class="identifier">location</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> | |
105 | </pre> | |
106 | <p> | |
107 | both return the <span class="emphasis"><em>mean</em></span> of this distribution. | |
108 | </p> | |
109 | <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">standard_deviation</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> | |
110 | <span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> | |
111 | </pre> | |
112 | <p> | |
113 | both return the <span class="emphasis"><em>standard deviation</em></span> of this distribution. | |
114 | (Redundant location and scale function are provided to match other similar | |
115 | distributions, allowing the functions find_location and find_scale to be | |
116 | used generically). | |
117 | </p> | |
118 | <h5> | |
119 | <a name="math_toolkit.dist_ref.dists.normal_dist.h1"></a> | |
120 | <span class="phrase"><a name="math_toolkit.dist_ref.dists.normal_dist.non_member_accessors"></a></span><a class="link" href="normal_dist.html#math_toolkit.dist_ref.dists.normal_dist.non_member_accessors">Non-member | |
121 | Accessors</a> | |
122 | </h5> | |
123 | <p> | |
124 | All the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member accessor | |
125 | functions</a> that are generic to all distributions are supported: | |
126 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.cdf">Cumulative Distribution Function</a>, | |
127 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.pdf">Probability Density Function</a>, | |
128 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.quantile">Quantile</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.hazard">Hazard Function</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.chf">Cumulative Hazard Function</a>, | |
129 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.mean">mean</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.median">median</a>, | |
130 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.mode">mode</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.variance">variance</a>, | |
131 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.sd">standard deviation</a>, | |
132 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.skewness">skewness</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis">kurtosis</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis_excess">kurtosis_excess</a>, | |
133 | <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.range">range</a> and <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.support">support</a>. | |
134 | </p> | |
135 | <p> | |
136 | The domain of the random variable is [-[max_value], +[min_value]]. However, | |
137 | the pdf of +∞ and -∞ = 0 is also supported, and cdf at -∞ = 0, cdf at +∞ = 1, and | |
138 | complement cdf -∞ = 1 and +∞ = 0, if RealType permits. | |
139 | </p> | |
140 | <h5> | |
141 | <a name="math_toolkit.dist_ref.dists.normal_dist.h2"></a> | |
142 | <span class="phrase"><a name="math_toolkit.dist_ref.dists.normal_dist.accuracy"></a></span><a class="link" href="normal_dist.html#math_toolkit.dist_ref.dists.normal_dist.accuracy">Accuracy</a> | |
143 | </h5> | |
144 | <p> | |
145 | The normal distribution is implemented in terms of the <a class="link" href="../../sf_erf/error_function.html" title="Error Functions">error | |
146 | function</a>, and as such should have very low error rates. | |
147 | </p> | |
148 | <h5> | |
149 | <a name="math_toolkit.dist_ref.dists.normal_dist.h3"></a> | |
150 | <span class="phrase"><a name="math_toolkit.dist_ref.dists.normal_dist.implementation"></a></span><a class="link" href="normal_dist.html#math_toolkit.dist_ref.dists.normal_dist.implementation">Implementation</a> | |
151 | </h5> | |
152 | <p> | |
153 | In the following table <span class="emphasis"><em>m</em></span> is the mean of the distribution, | |
154 | and <span class="emphasis"><em>s</em></span> is its standard deviation. | |
155 | </p> | |
156 | <div class="informaltable"><table class="table"> | |
157 | <colgroup> | |
158 | <col> | |
159 | <col> | |
160 | </colgroup> | |
161 | <thead><tr> | |
162 | <th> | |
163 | <p> | |
164 | Function | |
165 | </p> | |
166 | </th> | |
167 | <th> | |
168 | <p> | |
169 | Implementation Notes | |
170 | </p> | |
171 | </th> | |
172 | </tr></thead> | |
173 | <tbody> | |
174 | <tr> | |
175 | <td> | |
176 | <p> | |
177 | ||
178 | </p> | |
179 | </td> | |
180 | <td> | |
181 | <p> | |
182 | Using the relation: pdf = e<sup>-(x-m)<sup>2</sup>/(2s<sup>2</sup>)</sup> / (s * sqrt(2*pi)) | |
183 | </p> | |
184 | </td> | |
185 | </tr> | |
186 | <tr> | |
187 | <td> | |
188 | <p> | |
189 | cdf | |
190 | </p> | |
191 | </td> | |
192 | <td> | |
193 | <p> | |
194 | Using the relation: p = 0.5 * <a class="link" href="../../sf_erf/error_function.html" title="Error Functions">erfc</a>(-(x-m)/(s*sqrt(2))) | |
195 | </p> | |
196 | </td> | |
197 | </tr> | |
198 | <tr> | |
199 | <td> | |
200 | <p> | |
201 | cdf complement | |
202 | </p> | |
203 | </td> | |
204 | <td> | |
205 | <p> | |
206 | Using the relation: q = 0.5 * <a class="link" href="../../sf_erf/error_function.html" title="Error Functions">erfc</a>((x-m)/(s*sqrt(2))) | |
207 | </p> | |
208 | </td> | |
209 | </tr> | |
210 | <tr> | |
211 | <td> | |
212 | <p> | |
213 | quantile | |
214 | </p> | |
215 | </td> | |
216 | <td> | |
217 | <p> | |
218 | Using the relation: x = m - s * sqrt(2) * <a class="link" href="../../sf_erf/error_inv.html" title="Error Function Inverses">erfc_inv</a>(2*p) | |
219 | </p> | |
220 | </td> | |
221 | </tr> | |
222 | <tr> | |
223 | <td> | |
224 | <p> | |
225 | quantile from the complement | |
226 | </p> | |
227 | </td> | |
228 | <td> | |
229 | <p> | |
230 | Using the relation: x = m + s * sqrt(2) * <a class="link" href="../../sf_erf/error_inv.html" title="Error Function Inverses">erfc_inv</a>(2*p) | |
231 | </p> | |
232 | </td> | |
233 | </tr> | |
234 | <tr> | |
235 | <td> | |
236 | <p> | |
237 | mean and standard deviation | |
238 | </p> | |
239 | </td> | |
240 | <td> | |
241 | <p> | |
242 | The same as <code class="computeroutput"><span class="identifier">dist</span><span class="special">.</span><span class="identifier">mean</span><span class="special">()</span></code> and <code class="computeroutput"><span class="identifier">dist</span><span class="special">.</span><span class="identifier">standard_deviation</span><span class="special">()</span></code> | |
243 | </p> | |
244 | </td> | |
245 | </tr> | |
246 | <tr> | |
247 | <td> | |
248 | <p> | |
249 | mode | |
250 | </p> | |
251 | </td> | |
252 | <td> | |
253 | <p> | |
254 | The same as the mean. | |
255 | </p> | |
256 | </td> | |
257 | </tr> | |
258 | <tr> | |
259 | <td> | |
260 | <p> | |
261 | median | |
262 | </p> | |
263 | </td> | |
264 | <td> | |
265 | <p> | |
266 | The same as the mean. | |
267 | </p> | |
268 | </td> | |
269 | </tr> | |
270 | <tr> | |
271 | <td> | |
272 | <p> | |
273 | skewness | |
274 | </p> | |
275 | </td> | |
276 | <td> | |
277 | <p> | |
278 | 0 | |
279 | </p> | |
280 | </td> | |
281 | </tr> | |
282 | <tr> | |
283 | <td> | |
284 | <p> | |
285 | kurtosis | |
286 | </p> | |
287 | </td> | |
288 | <td> | |
289 | <p> | |
290 | 3 | |
291 | </p> | |
292 | </td> | |
293 | </tr> | |
294 | <tr> | |
295 | <td> | |
296 | <p> | |
297 | kurtosis excess | |
298 | </p> | |
299 | </td> | |
300 | <td> | |
301 | <p> | |
302 | 0 | |
303 | </p> | |
304 | </td> | |
305 | </tr> | |
306 | </tbody> | |
307 | </table></div> | |
308 | </div> | |
309 | <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr> | |
310 | <td align="left"></td> | |
311 | <td align="right"><div class="copyright-footer">Copyright © 2006-2010, 2012-2014 Nikhar Agrawal, | |
312 | Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert | |
313 | Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Johan Råde, Gautam Sewani, | |
314 | Benjamin Sobotta, Thijs van den Berg, Daryle Walker and Xiaogang Zhang<p> | |
315 | Distributed under the Boost Software License, Version 1.0. (See accompanying | |
316 | file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>) | |
317 | </p> | |
318 | </div></td> | |
319 | </tr></table> | |
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