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25 <div class="section">
26 <div class="titlepage"><div><div><h4 class="title">
27 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist"></a><a class="link" href="inverse_gaussian_dist.html" title="Inverse Gaussian (or Inverse Normal) Distribution">Inverse
28 Gaussian (or Inverse Normal) Distribution</a>
29 </h4></div></div></div>
30 <pre class="programlisting"><span class="preprocessor">#include</span> <span class="special">&lt;</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">inverse_gaussian</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">&gt;</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">&lt;</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&#160;15.&#160;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&lt;&gt;</a> <span class="special">&gt;</span>
35 <span class="keyword">class</span> <span class="identifier">inverse_gaussian_distribution</span>
36 <span class="special">{</span>
37 <span class="keyword">public</span><span class="special">:</span>
38 <span class="keyword">typedef</span> <span class="identifier">RealType</span> <span class="identifier">value_type</span><span class="special">;</span>
39 <span class="keyword">typedef</span> <span class="identifier">Policy</span> <span class="identifier">policy_type</span><span class="special">;</span>
40
41 <span class="identifier">inverse_gaussian_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">mean</span> <span class="special">=</span> <span class="number">1</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">scale</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span>
42
43 <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">// mean default 1.</span>
44 <span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// Optional scale, default 1 (unscaled).</span>
45 <span class="identifier">RealType</span> <span class="identifier">shape</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// Shape = scale/mean.</span>
46 <span class="special">};</span>
47 <span class="keyword">typedef</span> <span class="identifier">inverse_gaussian_distribution</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span> <span class="identifier">inverse_gaussian</span><span class="special">;</span>
48
49 <span class="special">}}</span> <span class="comment">// namespace boost // namespace math</span>
50 </pre>
51 <p>
52 The Inverse Gaussian distribution distribution is a continuous probability
53 distribution.
54 </p>
55 <p>
56 The distribution is also called 'normal-inverse Gaussian distribution',
57 and 'normal Inverse' distribution.
58 </p>
59 <p>
60 It is also convenient to provide unity as default for both mean and scale.
61 This is the Standard form for all distributions. The Inverse Gaussian distribution
62 was first studied in relation to Brownian motion. In 1956 M.C.K. Tweedie
63 used the name Inverse Gaussian because there is an inverse relationship
64 between the time to cover a unit distance and distance covered in unit
65 time. The inverse Gaussian is one of family of distributions that have
66 been called the <a href="http://en.wikipedia.org/wiki/Tweedie_distributions" target="_top">Tweedie
67 distributions</a>.
68 </p>
69 <p>
70 (So <span class="emphasis"><em>inverse</em></span> in the name may mislead: it does <span class="bold"><strong>not</strong></span> relate to the inverse of a distribution).
71 </p>
72 <p>
73 The tails of the distribution decrease more slowly than the normal distribution.
74 It is therefore suitable to model phenomena where numerically large values
75 are more probable than is the case for the normal distribution. For stock
76 market returns and prices, a key characteristic is that it models that
77 extremely large variations from typical (crashes) can occur even when almost
78 all (normal) variations are small.
79 </p>
80 <p>
81 Examples are returns from financial assets and turbulent wind speeds.
82 </p>
83 <p>
84 The normal-inverse Gaussian distributions form a subclass of the generalised
85 hyperbolic distributions.
86 </p>
87 <p>
88 See <a href="http://en.wikipedia.org/wiki/Normal-inverse_Gaussian_distribution" target="_top">distribution</a>.
89 <a href="http://mathworld.wolfram.com/InverseGaussianDistribution.html" target="_top">Weisstein,
90 Eric W. "Inverse Gaussian Distribution." From MathWorld--A Wolfram
91 Web Resource.</a>
92 </p>
93 <p>
94 If you want a <code class="computeroutput"><span class="keyword">double</span></code> precision
95 inverse_gaussian distribution you can use
96 </p>
97 <pre class="programlisting"><span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">inverse_gaussian_distribution</span><span class="special">&lt;&gt;</span></pre>
98 <p>
99 or, more conveniently, you can write
100 </p>
101 <pre class="programlisting"><span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">inverse_gaussian</span><span class="special">;</span>
102 <span class="identifier">inverse_gaussian</span> <span class="identifier">my_ig</span><span class="special">(</span><span class="number">2</span><span class="special">,</span> <span class="number">3</span><span class="special">);</span>
103 </pre>
104 <p>
105 For mean parameters &#956; and scale (also called precision) parameter &#955;, and random
106 variate x, the inverse_gaussian distribution is defined by the probability
107 density function (PDF):
108 </p>
109 <p>
110 &#8192;&#8192; f(x;&#956;, &#955;) = &#8730;(&#955;/2&#960;x<sup>3</sup>) e<sup>-&#955;(x-&#956;)&#178;/2&#956;&#178;x</sup>
111 </p>
112 <p>
113 and Cumulative Density Function (CDF):
114 </p>
115 <p>
116 &#8192;&#8192; F(x;&#956;, &#955;) = &#934;{&#8730;(&#955;<span class="emphasis"><em>x) (x</em></span>&#956;-1)} + e<sup>2&#956;/&#955;</sup> &#934;{-&#8730;(&#955;/&#956;) (1+x/&#956;)}
117 </p>
118 <p>
119 where &#934; is the standard normal distribution CDF.
120 </p>
121 <p>
122 The following graphs illustrate how the PDF and CDF of the inverse_gaussian
123 distribution varies for a few values of parameters &#956; and &#955;:
124 </p>
125 <p>
126 <span class="inlinemediaobject"><img src="../../../../graphs/inverse_gaussian_pdf.svg" align="middle"></span>
127 </p>
128 <p>
129 <span class="inlinemediaobject"><img src="../../../../graphs/inverse_gaussian_cdf.svg" align="middle"></span>
130 </p>
131 <p>
132 Tweedie also provided 3 other parameterisations where (&#956; and &#955;) are replaced
133 by their ratio &#966; = &#955;/&#956; and by 1/&#956;: these forms may be more suitable for Bayesian
134 applications. These can be found on Seshadri, page 2 and are also discussed
135 by Chhikara and Folks on page 105. Another related parameterisation, the
136 __wald_distrib (where mean &#956; is unity) is also provided.
137 </p>
138 <h5>
139 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h0"></a>
140 <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.member_functions"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.member_functions">Member
141 Functions</a>
142 </h5>
143 <pre class="programlisting"><span class="identifier">inverse_gaussian_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">df</span> <span class="special">=</span> <span class="number">1</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">scale</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span> <span class="comment">// optionally scaled.</span>
144 </pre>
145 <p>
146 Constructs an inverse_gaussian distribution with &#956; mean, and scale &#955;, with
147 both default values 1.
148 </p>
149 <p>
150 Requires that both the mean &#956; parameter and scale &#955; are greater than zero,
151 otherwise calls <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>.
152 </p>
153 <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>
154 </pre>
155 <p>
156 Returns the mean &#956; parameter of this distribution.
157 </p>
158 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
159 </pre>
160 <p>
161 Returns the scale &#955; parameter of this distribution.
162 </p>
163 <h5>
164 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h1"></a>
165 <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.non_member_accessors"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.non_member_accessors">Non-member
166 Accessors</a>
167 </h5>
168 <p>
169 All the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member accessor
170 functions</a> that are generic to all distributions are supported:
171 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.cdf">Cumulative Distribution Function</a>,
172 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.pdf">Probability Density Function</a>,
173 <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>,
174 <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>,
175 <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>,
176 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.sd">standard deviation</a>,
177 <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>,
178 <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>.
179 </p>
180 <p>
181 The domain of the random variate is [0,+&#8734;).
182 </p>
183 <div class="note"><table border="0" summary="Note">
184 <tr>
185 <td rowspan="2" align="center" valign="top" width="25"><img alt="[Note]" src="../../../../../../../doc/src/images/note.png"></td>
186 <th align="left">Note</th>
187 </tr>
188 <tr><td align="left" valign="top"><p>
189 Unlike some definitions, this implementation supports a random variate
190 equal to zero as a special case, returning zero for both pdf and cdf.
191 </p></td></tr>
192 </table></div>
193 <h5>
194 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h2"></a>
195 <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.accuracy"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.accuracy">Accuracy</a>
196 </h5>
197 <p>
198 The inverse_gaussian distribution is implemented in terms of the exponential
199 function and standard normal distribution <span class="emphasis"><em>N</em></span>0,1 &#934; : refer
200 to the accuracy data for those functions for more information. But in general,
201 gamma (and thus inverse gamma) results are often accurate to a few epsilon,
202 &gt;14 decimal digits accuracy for 64-bit double.
203 </p>
204 <h5>
205 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h3"></a>
206 <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.implementation"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.implementation">Implementation</a>
207 </h5>
208 <p>
209 In the following table &#956; is the mean parameter and &#955; is the scale parameter
210 of the inverse_gaussian distribution, <span class="emphasis"><em>x</em></span> is the random
211 variate, <span class="emphasis"><em>p</em></span> is the probability and <span class="emphasis"><em>q = 1-p</em></span>
212 its complement. Parameters &#956; for shape and &#955; for scale are used for the inverse
213 gaussian function.
214 </p>
215 <div class="informaltable"><table class="table">
216 <colgroup>
217 <col>
218 <col>
219 </colgroup>
220 <thead><tr>
221 <th>
222 <p>
223 Function
224 </p>
225 </th>
226 <th>
227 <p>
228 Implementation Notes
229 </p>
230 </th>
231 </tr></thead>
232 <tbody>
233 <tr>
234 <td>
235 <p>
236 pdf
237 </p>
238 </td>
239 <td>
240 <p>
241 &#8730;(&#955;/ 2&#960;x<sup>3</sup>) e<sup>-&#955;(x - &#956;)&#178;/ 2&#956;&#178;x</sup>
242 </p>
243 </td>
244 </tr>
245 <tr>
246 <td>
247 <p>
248 cdf
249 </p>
250 </td>
251 <td>
252 <p>
253 &#934;{&#8730;(&#955;<span class="emphasis"><em>x) (x</em></span>&#956;-1)} + e<sup>2&#956;/&#955;</sup> &#934;{-&#8730;(&#955;/&#956;) (1+x/&#956;)}
254 </p>
255 </td>
256 </tr>
257 <tr>
258 <td>
259 <p>
260 cdf complement
261 </p>
262 </td>
263 <td>
264 <p>
265 using complement of &#934; above.
266 </p>
267 </td>
268 </tr>
269 <tr>
270 <td>
271 <p>
272 quantile
273 </p>
274 </td>
275 <td>
276 <p>
277 No closed form known. Estimated using a guess refined by Newton-Raphson
278 iteration.
279 </p>
280 </td>
281 </tr>
282 <tr>
283 <td>
284 <p>
285 quantile from the complement
286 </p>
287 </td>
288 <td>
289 <p>
290 No closed form known. Estimated using a guess refined by Newton-Raphson
291 iteration.
292 </p>
293 </td>
294 </tr>
295 <tr>
296 <td>
297 <p>
298 mode
299 </p>
300 </td>
301 <td>
302 <p>
303 &#956; {&#8730;(1+9&#956;&#178;/4&#955;&#178;)&#178; - 3&#956;/2&#955;}
304 </p>
305 </td>
306 </tr>
307 <tr>
308 <td>
309 <p>
310 median
311 </p>
312 </td>
313 <td>
314 <p>
315 No closed form analytic equation is known, but is evaluated as
316 quantile(0.5)
317 </p>
318 </td>
319 </tr>
320 <tr>
321 <td>
322 <p>
323 mean
324 </p>
325 </td>
326 <td>
327 <p>
328 &#956;
329 </p>
330 </td>
331 </tr>
332 <tr>
333 <td>
334 <p>
335 variance
336 </p>
337 </td>
338 <td>
339 <p>
340 &#956;&#179;/&#955;
341 </p>
342 </td>
343 </tr>
344 <tr>
345 <td>
346 <p>
347 skewness
348 </p>
349 </td>
350 <td>
351 <p>
352 3 &#8730; (&#956;/&#955;)
353 </p>
354 </td>
355 </tr>
356 <tr>
357 <td>
358 <p>
359 kurtosis_excess
360 </p>
361 </td>
362 <td>
363 <p>
364 15&#956;/&#955;
365 </p>
366 </td>
367 </tr>
368 <tr>
369 <td>
370 <p>
371 kurtosis
372 </p>
373 </td>
374 <td>
375 <p>
376 12&#956;/&#955;
377 </p>
378 </td>
379 </tr>
380 </tbody>
381 </table></div>
382 <h5>
383 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h4"></a>
384 <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.references"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.references">References</a>
385 </h5>
386 <div class="orderedlist"><ol class="orderedlist" type="1">
387 <li class="listitem">
388 Wald, A. (1947). Sequential analysis. Wiley, NY.
389 </li>
390 <li class="listitem">
391 The Inverse Gaussian distribution : theory, methodology, and applications,
392 Raj S. Chhikara, J. Leroy Folks. ISBN 0824779975 (1989).
393 </li>
394 <li class="listitem">
395 The Inverse Gaussian distribution : statistical theory and applications,
396 Seshadri, V , ISBN - 0387986189 (pbk) (Dewey 519.2) (1998).
397 </li>
398 <li class="listitem">
399 <a href="http://docs.scipy.org/doc/numpy/reference/generated/numpy.random.wald.html" target="_top">Numpy
400 and Scipy Documentation</a>.
401 </li>
402 <li class="listitem">
403 <a href="http://bm2.genes.nig.ac.jp/RGM2/R_current/library/statmod/man/invgauss.html" target="_top">R
404 statmod invgauss functions</a>.
405 </li>
406 <li class="listitem">
407 <a href="http://cran.r-project.org/web/packages/SuppDists/index.html" target="_top">R
408 SuppDists invGauss functions</a>. (Note that these R implementations
409 names differ in case).
410 </li>
411 <li class="listitem">
412 <a href="http://www.statsci.org/s/invgauss.html" target="_top">StatSci.org invgauss
413 help</a>.
414 </li>
415 <li class="listitem">
416 <a href="http://www.statsci.org/s/invgauss.statSci.org" target="_top">invgauss
417 R source</a>.
418 </li>
419 <li class="listitem">
420 <a href="http://www.biostat.wustl.edu/archives/html/s-news/2001-12/msg00144.html" target="_top">pwald,
421 qwald</a>.
422 </li>
423 <li class="listitem">
424 <a href="http://www.brighton-webs.co.uk/distributions/wald.asp" target="_top">Brighton
425 Webs wald</a>.
426 </li>
427 </ol></div>
428 </div>
429 <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
430 <td align="left"></td>
431 <td align="right"><div class="copyright-footer">Copyright &#169; 2006-2010, 2012-2014 Nikhar Agrawal,
432 Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert
433 Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Johan R&#229;de, Gautam Sewani,
434 Benjamin Sobotta, Thijs van den Berg, Daryle Walker and Xiaogang Zhang<p>
435 Distributed under the Boost Software License, Version 1.0. (See accompanying
436 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>)
437 </p>
438 </div></td>
439 </tr></table>
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