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1// test_nc_beta.cpp
2
3// Copyright John Maddock 2008.
4
5// Use, modification and distribution are subject to the
6// Boost Software License, Version 1.0.
7// (See accompanying file LICENSE_1_0.txt
8// or copy at http://www.boost.org/LICENSE_1_0.txt)
9
10#include <pch.hpp>
11
12#ifdef _MSC_VER
13#pragma warning (disable:4127 4512)
14#endif
15
16#if !defined(TEST_FLOAT) && !defined(TEST_DOUBLE) && !defined(TEST_LDOUBLE) && !defined(TEST_REAL_CONCEPT)
17# define TEST_FLOAT
18# define TEST_DOUBLE
19# define TEST_LDOUBLE
20# define TEST_REAL_CONCEPT
21#endif
22
23#include <boost/math/tools/test.hpp>
24#include <boost/math/concepts/real_concept.hpp> // for real_concept
25#include <boost/math/distributions/non_central_f.hpp> // for chi_squared_distribution
26#define BOOST_TEST_MAIN
27#include <boost/test/unit_test.hpp> // for test_main
28#include <boost/test/results_collector.hpp>
29#include <boost/test/unit_test.hpp>
30#include <boost/test/floating_point_comparison.hpp> // for BOOST_CHECK_CLOSE
31#include "test_out_of_range.hpp"
32
33#include "functor.hpp"
34#include "handle_test_result.hpp"
35
36#include <iostream>
37#include <iomanip>
38using std::cout;
39using std::endl;
40#include <limits>
41using std::numeric_limits;
42
43#define BOOST_CHECK_CLOSE_EX(a, b, prec, i) \
44 {\
45 unsigned int failures = boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed;\
46 BOOST_CHECK_CLOSE(a, b, prec); \
47 if(failures != boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed)\
48 {\
49 std::cerr << "Failure was at row " << i << std::endl;\
50 std::cerr << std::setprecision(35); \
51 std::cerr << "{ " << data[i][0] << " , " << data[i][1] << " , " << data[i][2];\
52 std::cerr << " , " << data[i][3] << " , " << data[i][4] << " } " << std::endl;\
53 }\
54 }
55
56#define BOOST_CHECK_EX(a, i) \
57 {\
58 unsigned int failures = boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed;\
59 BOOST_CHECK(a); \
60 if(failures != boost::unit_test::results_collector.results( boost::unit_test::framework::current_test_case().p_id ).p_assertions_failed)\
61 {\
62 std::cerr << "Failure was at row " << i << std::endl;\
63 std::cerr << std::setprecision(35); \
64 std::cerr << "{ " << data[i][0] << " , " << data[i][1] << " , " << data[i][2];\
65 std::cerr << " , " << data[i][3] << " , " << data[i][4] << " } " << std::endl;\
66 }\
67 }
68
69void expected_results()
70{
71 //
b32b8144 72 // Printing out the compiler/stdlib/platform names,
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73 // we do this to make it easier to mark up expected error rates.
74 //
b32b8144 75 std::cout << "Tests run with " << BOOST_COMPILER << ", "
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76 << BOOST_STDLIB << ", " << BOOST_PLATFORM << std::endl;
77}
78
79template <class RealType>
80RealType naive_pdf(RealType v1, RealType v2, RealType l, RealType f)
81{
82 BOOST_MATH_STD_USING
83 RealType sum = 0;
84 for(int i = 0; ; ++i)
85 {
86 RealType term = -l/2 + log(l/2) * i;
87 term += boost::math::lgamma(v2/2 + v1/2+i) - (boost::math::lgamma(v2/2) + boost::math::lgamma(v1/2+i));
88 term -= boost::math::lgamma(RealType(i+1));
89 term += log(v1/v2) * (v1/2+i) + log(v2 / (v2 + v1 * f)) * ((v1 + v2) / 2 + i);
90 term += log(f) * (v1/2 - 1 + i);
91 term = exp(term);
92 sum += term;
93 if((term/sum < boost::math::tools::epsilon<RealType>()) || (term == 0))
94 break;
95 }
96 return sum;
97}
98
99template <class RealType>
100void test_spot(
101 RealType a, // df1
102 RealType b, // df2
103 RealType ncp, // non-centrality param
104 RealType x, // F statistic
105 RealType P, // CDF
106 RealType Q, // Complement of CDF
107 RealType D, // PDF
108 RealType tol) // Test tolerance
109{
110 boost::math::non_central_f_distribution<RealType> dist(a, b, ncp);
111 BOOST_CHECK_CLOSE(
112 cdf(dist, x), P, tol);
113 BOOST_CHECK_CLOSE(
114 pdf(dist, x), D, tol);
115 if(boost::math::tools::digits<RealType>() > 50)
116 {
117 //
118 // The "naive" pdf calculation fails at float precision.
119 //
120 BOOST_CHECK_CLOSE(
121 pdf(dist, x), naive_pdf(a, b, ncp, x), tol);
122 }
123
124 if((P < 0.99) && (Q < 0.99))
125 {
126 //
127 // We can only check this if P is not too close to 1,
128 // so that we can guarantee Q is reasonably free of error:
129 //
130 BOOST_CHECK_CLOSE(
131 cdf(complement(dist, x)), Q, tol);
132 BOOST_CHECK_CLOSE(
133 quantile(dist, P), x, tol * 10);
134 BOOST_CHECK_CLOSE(
135 quantile(complement(dist, Q)), x, tol * 10);
136 }
137 if(boost::math::tools::digits<RealType>() > 50)
138 {
139 //
140 // Sanity check mode:
141 //
142 RealType m = mode(dist);
143 RealType p = pdf(dist, m);
144 BOOST_CHECK(pdf(dist, m * (1 + sqrt(tol) * 10)) <= p);
145 BOOST_CHECK(pdf(dist, m * (1 - sqrt(tol)) * 10) <= p);
146 }
147}
148
149template <class RealType> // Any floating-point type RealType.
150void test_spots(RealType)
151{
152 RealType tolerance = boost::math::tools::epsilon<RealType>() * 10000;
153
154 cout << "Tolerance = " << (tolerance / 100) << "%." << endl;
155
156 //
157 // Spot tests from Mathematica computed values:
158 //
159 test_spot(
160 RealType(5), // alpha
161 RealType(2), // beta
162 RealType(1), // non-centrality param
163 RealType(1.5), // F statistic
164 RealType(0.49845842011686358665786775091245664L), // CDF
165 RealType(1 - 0.49845842011686358665786775091245664L), // Complement of CDF
166 RealType(0.20251311620629730205859816288225385L), // PDF
167 RealType(tolerance));
168
169 test_spot(
170 RealType(2), // alpha
171 RealType(5), // beta
172 RealType(1), // non-centrality param
173 RealType(2), // F statistic
174 RealType(0.64938711196845800322066756609406894L), // CDF
175 RealType(1 - 0.64938711196845800322066756609406894L), // Complement of CDF
176 RealType(0.15512617916132011524583796078456003L), // PDF
177 RealType(tolerance));
178 test_spot(
179 RealType(100), // alpha
180 RealType(5), // beta
181 RealType(15), // non-centrality param
182 RealType(105), // F statistic
183 RealType(0.99996207325249555786258005958906310L), // CDF
184 RealType(0.000037926747504442137419940410936905407L), // Complement of CDF
185 RealType(8.9562292619539161551049126260104435e-7), // PDF
186 RealType(tolerance * 10));
187 test_spot(
188 RealType(100), // alpha
189 RealType(5), // beta
190 RealType(15), // non-centrality param
191 RealType(1.5), // F statistic
192 RealType(0.57592315596686179870591317303126895L), // CDF
193 RealType(1 - 0.57592315596686179870591317303126895L), // Complement of CDF
194 RealType(0.36743745541686900593212039288061162L), // PDF
195 RealType(tolerance * 5));
196 test_spot(
197 RealType(5), // alpha
198 RealType(100), // beta
199 RealType(102), // non-centrality param
200 RealType(25), // F statistic
201 RealType(0.74993383259829917593356265102363267L), // CDF
202 RealType(1 - 0.74993383259829917593356265102363267L), // Complement of CDF
203 RealType(0.054467600423154020554785779421659007L), // PDF
204 RealType(tolerance * 5));
205 test_spot(
206 RealType(85), // alpha
207 RealType(100), // beta
208 RealType(0.5), // non-centrality param
209 RealType(1.25), // F statistic
210 RealType(0.85228624977948142884820398473385455L), // CDF
211 RealType(0.14771375022051857115179601526614545L), // Complement of CDF
212 RealType(0.88510283331631848299643323511414868L), // PDF
213 RealType(tolerance * 5));
214
215 //
216 // Spot tests use values computed by the R statistical
217 // package and the pbeta and dbeta functions:
218 //
219 tolerance = (std::max)(
220 boost::math::tools::epsilon<RealType>() * 100,
221 (RealType)1e-6) * 100;
222
223 test_spot(
224 RealType(85), // alpha
225 RealType(100), // beta
226 RealType(245), // non-centrality param
227 RealType(3.5), // F statistic
228 RealType(0.2697244), // CDF
229 RealType(1 - 0.2697244), // Complement of CDF
230 RealType(0.54352369104452836465948073900030320L), // PDF
231 RealType(tolerance));
232
233 BOOST_MATH_STD_USING
234
235 //
236 // 5 eps expressed as a persentage, otherwise the limit of the test data:
237 //
238 RealType tol2 = (std::max)(boost::math::tools::epsilon<RealType>() * 500, RealType(1e-25));
239 RealType x = 2;
b32b8144 240
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241 boost::math::non_central_f_distribution<RealType> dist(20, 15, 30);
242 // mean:
243 BOOST_CHECK_CLOSE(
244 mean(dist)
245 , static_cast<RealType>(2.8846153846153846153846153846154L), tol2);
246 // variance:
247 BOOST_CHECK_CLOSE(
248 variance(dist)
249 , static_cast<RealType>(2.1422807961269499731038192576654L), tol2);
250 // std deviation:
251 BOOST_CHECK_CLOSE(
252 standard_deviation(dist)
253 , sqrt(variance(dist)), tol2);
254 // hazard:
255 BOOST_CHECK_CLOSE(
256 hazard(dist, x)
257 , pdf(dist, x) / cdf(complement(dist, x)), tol2);
258 // cumulative hazard:
259 BOOST_CHECK_CLOSE(
260 chf(dist, x)
261 , -log(cdf(complement(dist, x))), tol2);
262 // coefficient_of_variation:
263 BOOST_CHECK_CLOSE(
264 coefficient_of_variation(dist)
265 , standard_deviation(dist) / mean(dist), tol2);
266 BOOST_CHECK_CLOSE(
b32b8144 267 median(dist),
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268 quantile(
269 dist,
270 static_cast<RealType>(0.5)), static_cast<RealType>(tol2));
271 // mode:
272 BOOST_CHECK_CLOSE(
273 mode(dist)
274 , static_cast<RealType>(2.070019130232759428074835788815387743293972985542L), sqrt(tolerance));
275 // skewness:
276 BOOST_CHECK_CLOSE(
277 skewness(dist)
278 , static_cast<RealType>(2.1011821125804540669752380228510691320707051692719L), tol2);
279 // kurtosis:
280 BOOST_CHECK_CLOSE(
281 kurtosis(dist)
282 , 3 + kurtosis_excess(dist), tol2);
283 // kurtosis excess:
284 BOOST_CHECK_CLOSE(
285 kurtosis_excess(dist)
286 , static_cast<RealType>(13.225781681053154767604638331440974359675882226873L), tol2);
287
288 // Error handling checks:
289 check_out_of_range<boost::math::non_central_f_distribution<RealType> >(1, 1, 1);
290 BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(0, 1, 1), 0), std::domain_error);
291 BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(-1, 1, 1), 0), std::domain_error);
292 BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(1, 0, 1), 0), std::domain_error);
293 BOOST_MATH_CHECK_THROW(pdf(boost::math::non_central_f_distribution<RealType>(1, -1, 1), 0), std::domain_error);
294 BOOST_MATH_CHECK_THROW(quantile(boost::math::non_central_f_distribution<RealType>(1, 1, 1), -1), std::domain_error);
295 BOOST_MATH_CHECK_THROW(quantile(boost::math::non_central_f_distribution<RealType>(1, 1, 1), 2), std::domain_error);
296} // template <class RealType>void test_spots(RealType)
297
298BOOST_AUTO_TEST_CASE( test_main )
299{
300 BOOST_MATH_CONTROL_FP;
301 // Basic sanity-check spot values.
302 expected_results();
303 // (Parameter value, arbitrarily zero, only communicates the floating point type).
304 test_spots(0.0F); // Test float.
305 test_spots(0.0); // Test double.
306#ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
307 test_spots(0.0L); // Test long double.
308#if !BOOST_WORKAROUND(__BORLANDC__, BOOST_TESTED_AT(0x582))
309 test_spots(boost::math::concepts::real_concept(0.)); // Test real concept.
310#endif
311#endif
312
7c673cae 313
b32b8144 314} // BOOST_AUTO_TEST_CASE( test_main )