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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.nc_beta_dist"></a><a class="link" href="nc_beta_dist.html" title="Noncentral Beta Distribution">Noncentral
28 Beta 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">non_central_beta</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">non_central_beta_distribution</span><span class="special">;</span>
36
37 <span class="keyword">typedef</span> <span class="identifier">non_central_beta_distribution</span><span class="special">&lt;&gt;</span> <span class="identifier">non_central_beta</span><span class="special">;</span>
38
39 <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">class</span> <a class="link" href="../../../policy.html" title="Chapter&#160;15.&#160;Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">&gt;</span>
40 <span class="keyword">class</span> <span class="identifier">non_central_beta_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
46 <span class="comment">// Constructor:</span>
47 <span class="identifier">non_central_beta_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">alpha</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">beta</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">lambda</span><span class="special">);</span>
48
49 <span class="comment">// Accessor to shape parameters:</span>
50 <span class="identifier">RealType</span> <span class="identifier">alpha</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
51 <span class="identifier">RealType</span> <span class="identifier">beta</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
52
53 <span class="comment">// Accessor to non-centrality parameter lambda:</span>
54 <span class="identifier">RealType</span> <span class="identifier">non_centrality</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
55 <span class="special">};</span>
56
57 <span class="special">}}</span> <span class="comment">// namespaces</span>
58 </pre>
59 <p>
60 The noncentral beta distribution is a generalization of the <a class="link" href="beta_dist.html" title="Beta Distribution">Beta
61 Distribution</a>.
62 </p>
63 <p>
64 It is defined as the ratio X = &#967;<sub>m</sub><sup>2</sup>(&#955;) / (&#967;<sub>m</sub><sup>2</sup>(&#955;) + &#967;<sub>n</sub><sup>2</sup>) where &#967;<sub>m</sub><sup>2</sup>(&#955;) is a noncentral
65 &#967;<sup>2</sup>
66 random variable with <span class="emphasis"><em>m</em></span> degrees of freedom, and &#967;<sub>n</sub><sup>2</sup>
67 is
68 a central &#967;<sup>2</sup> random variable with <span class="emphasis"><em>n</em></span> degrees of freedom.
69 </p>
70 <p>
71 This gives a PDF that can be expressed as a Poisson mixture of beta distribution
72 PDFs:
73 </p>
74 <p>
75 <span class="inlinemediaobject"><img src="../../../../equations/nc_beta_ref1.svg"></span>
76 </p>
77 <p>
78 where P(i;&#955;/2) is the discrete Poisson probablity at <span class="emphasis"><em>i</em></span>,
79 with mean &#955;/2, and I<sub>x</sub><sup>'</sup>(&#945;, &#946;) is the derivative of the incomplete beta function.
80 This leads to the usual form of the CDF as:
81 </p>
82 <p>
83 <span class="inlinemediaobject"><img src="../../../../equations/nc_beta_ref2.svg"></span>
84 </p>
85 <p>
86 The following graph illustrates how the distribution changes for different
87 values of &#955;:
88 </p>
89 <p>
90 <span class="inlinemediaobject"><img src="../../../../graphs/nc_beta_pdf.svg" align="middle"></span>
91 </p>
92 <h5>
93 <a name="math_toolkit.dist_ref.dists.nc_beta_dist.h0"></a>
94 <span class="phrase"><a name="math_toolkit.dist_ref.dists.nc_beta_dist.member_functions"></a></span><a class="link" href="nc_beta_dist.html#math_toolkit.dist_ref.dists.nc_beta_dist.member_functions">Member
95 Functions</a>
96 </h5>
97 <pre class="programlisting"><span class="identifier">non_central_beta_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">a</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">b</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">lambda</span><span class="special">);</span>
98 </pre>
99 <p>
100 Constructs a noncentral beta distribution with shape parameters <span class="emphasis"><em>a</em></span>
101 and <span class="emphasis"><em>b</em></span> and non-centrality parameter <span class="emphasis"><em>lambda</em></span>.
102 </p>
103 <p>
104 Requires a &gt; 0, b &gt; 0 and lambda &gt;= 0, otherwise calls <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>.
105 </p>
106 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">alpha</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
107 </pre>
108 <p>
109 Returns the parameter <span class="emphasis"><em>a</em></span> from which this object was
110 constructed.
111 </p>
112 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">beta</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
113 </pre>
114 <p>
115 Returns the parameter <span class="emphasis"><em>b</em></span> from which this object was
116 constructed.
117 </p>
118 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">non_centrality</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
119 </pre>
120 <p>
121 Returns the parameter <span class="emphasis"><em>lambda</em></span> from which this object
122 was constructed.
123 </p>
124 <h5>
125 <a name="math_toolkit.dist_ref.dists.nc_beta_dist.h1"></a>
126 <span class="phrase"><a name="math_toolkit.dist_ref.dists.nc_beta_dist.non_member_accessors"></a></span><a class="link" href="nc_beta_dist.html#math_toolkit.dist_ref.dists.nc_beta_dist.non_member_accessors">Non-member
127 Accessors</a>
128 </h5>
129 <p>
130 Most of the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member
131 accessor functions</a> are supported: <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.cdf">Cumulative
132 Distribution Function</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.pdf">Probability
133 Density Function</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.quantile">Quantile</a>,
134 <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.variance">variance</a>,
135 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.sd">standard deviation</a>,
136 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.median">median</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.mode">mode</a>,
137 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.hazard">Hazard Function</a>,
138 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.chf">Cumulative Hazard Function</a>,
139 <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>.
140 </p>
141 <p>
142 Mean and variance are implemented using hypergeometric pfq functions and
143 relations given in <a href="http://reference.wolfram.com/mathematica/ref/NoncentralBetaDistribution.html" target="_top">Wolfram
144 Noncentral Beta Distribution</a>.
145 </p>
146 <p>
147 However, the following are not currently implemented: <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.skewness">skewness</a>,
148 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis">kurtosis</a> and
149 <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis_excess">kurtosis_excess</a>.
150 </p>
151 <p>
152 The domain of the random variable is [0, 1].
153 </p>
154 <h5>
155 <a name="math_toolkit.dist_ref.dists.nc_beta_dist.h2"></a>
156 <span class="phrase"><a name="math_toolkit.dist_ref.dists.nc_beta_dist.accuracy"></a></span><a class="link" href="nc_beta_dist.html#math_toolkit.dist_ref.dists.nc_beta_dist.accuracy">Accuracy</a>
157 </h5>
158 <p>
159 The following table shows the peak errors (in units of <a href="http://en.wikipedia.org/wiki/Machine_epsilon" target="_top">epsilon</a>)
160 found on various platforms with various floating point types. The failures
161 in the comparison to the <a href="http://www.r-project.org/" target="_top">R Math
162 library</a>, seem to be mostly in the corner cases when the probablity
163 would be very small. Unless otherwise specified any floating-point type
164 that is narrower than the one shown will have <a class="link" href="../../relative_error.html#math_toolkit.relative_error.zero_error">effectively
165 zero error</a>.
166 </p>
167 <div class="table">
168 <a name="math_toolkit.dist_ref.dists.nc_beta_dist.table_non_central_beta_CDF"></a><p class="title"><b>Table&#160;5.4.&#160;Error rates for non central beta CDF</b></p>
169 <div class="table-contents"><table class="table" summary="Error rates for non central beta CDF">
170 <colgroup>
171 <col>
172 <col>
173 <col>
174 <col>
175 <col>
176 </colgroup>
177 <thead><tr>
178 <th>
179 </th>
180 <th>
181 <p>
182 Microsoft Visual C++ version 12.0<br> Win32<br> double
183 </p>
184 </th>
185 <th>
186 <p>
187 GNU C++ version 5.1.0<br> linux<br> double
188 </p>
189 </th>
190 <th>
191 <p>
192 GNU C++ version 5.1.0<br> linux<br> long double
193 </p>
194 </th>
195 <th>
196 <p>
197 Sun compiler version 0x5130<br> Sun Solaris<br> long double
198 </p>
199 </th>
200 </tr></thead>
201 <tbody>
202 <tr>
203 <td>
204 <p>
205 Non Central Beta, medium parameters
206 </p>
207 </td>
208 <td>
209 <p>
210 <span class="blue">Max = 240&#949; (Mean = 31&#949;)</span>
211 </p>
212 </td>
213 <td>
214 <p>
215 <span class="blue">Max = 0.998&#949; (Mean = 0.0659&#949;)</span><br>
216 <br> (<span class="emphasis"><em>Rmath 3.0.2:</em></span> <span class="red">Max
217 = 1.46e+26&#949; (Mean = 3.5e+24&#949;) <a class="link" href="../../logs_and_tables/logs.html#errors_GNU_C_version_5_1_0_linux_double_non_central_beta_CDF_Rmath_3_0_2_Non_Central_Beta_medium_parameters">And
218 other failures.</a>)</span>
219 </p>
220 </td>
221 <td>
222 <p>
223 <span class="blue">Max = 825&#949; (Mean = 27.4&#949;)</span>
224 </p>
225 </td>
226 <td>
227 <p>
228 <span class="blue">Max = 832&#949; (Mean = 38.1&#949;)</span>
229 </p>
230 </td>
231 </tr>
232 <tr>
233 <td>
234 <p>
235 Non Central Beta, large parameters
236 </p>
237 </td>
238 <td>
239 <p>
240 <span class="blue">Max = 3.41e+003&#949; (Mean = 475&#949;)</span>
241 </p>
242 </td>
243 <td>
244 <p>
245 <span class="blue">Max = 1.18&#949; (Mean = 0.175&#949;)</span><br>
246 <br> (<span class="emphasis"><em>Rmath 3.0.2:</em></span> <span class="red">Max
247 = 1.01e+36&#949; (Mean = 1.19e+35&#949;) <a class="link" href="../../logs_and_tables/logs.html#errors_GNU_C_version_5_1_0_linux_double_non_central_beta_CDF_Rmath_3_0_2_Non_Central_Beta_large_parameters">And
248 other failures.</a>)</span>
249 </p>
250 </td>
251 <td>
252 <p>
253 <span class="blue">Max = 2.5e+04&#949; (Mean = 3.78e+03&#949;)</span>
254 </p>
255 </td>
256 <td>
257 <p>
258 <span class="blue">Max = 2.57e+04&#949; (Mean = 4.43e+03&#949;)</span>
259 </p>
260 </td>
261 </tr>
262 </tbody>
263 </table></div>
264 </div>
265 <br class="table-break"><div class="table">
266 <a name="math_toolkit.dist_ref.dists.nc_beta_dist.table_non_central_beta_CDF_complement"></a><p class="title"><b>Table&#160;5.5.&#160;Error rates for non central beta CDF complement</b></p>
267 <div class="table-contents"><table class="table" summary="Error rates for non central beta CDF complement">
268 <colgroup>
269 <col>
270 <col>
271 <col>
272 <col>
273 <col>
274 </colgroup>
275 <thead><tr>
276 <th>
277 </th>
278 <th>
279 <p>
280 Microsoft Visual C++ version 12.0<br> Win32<br> double
281 </p>
282 </th>
283 <th>
284 <p>
285 GNU C++ version 5.1.0<br> linux<br> double
286 </p>
287 </th>
288 <th>
289 <p>
290 GNU C++ version 5.1.0<br> linux<br> long double
291 </p>
292 </th>
293 <th>
294 <p>
295 Sun compiler version 0x5130<br> Sun Solaris<br> long double
296 </p>
297 </th>
298 </tr></thead>
299 <tbody>
300 <tr>
301 <td>
302 <p>
303 Non Central Beta, medium parameters
304 </p>
305 </td>
306 <td>
307 <p>
308 <span class="blue">Max = 619&#949; (Mean = 62.7&#949;)</span>
309 </p>
310 </td>
311 <td>
312 <p>
313 <span class="blue">Max = 0.998&#949; (Mean = 0.0957&#949;)</span><br>
314 <br> (<span class="emphasis"><em>Rmath 3.0.2:</em></span> <span class="red">Max
315 = 7.5e+97&#949; (Mean = 1.37e+96&#949;) <a class="link" href="../../logs_and_tables/logs.html#errors_GNU_C_version_5_1_0_linux_double_non_central_beta_CDF_complement_Rmath_3_0_2_Non_Central_Beta_medium_parameters">And
316 other failures.</a>)</span>
317 </p>
318 </td>
319 <td>
320 <p>
321 <span class="blue">Max = 396&#949; (Mean = 50.7&#949;)</span>
322 </p>
323 </td>
324 <td>
325 <p>
326 <span class="blue">Max = 554&#949; (Mean = 57.3&#949;)</span>
327 </p>
328 </td>
329 </tr>
330 <tr>
331 <td>
332 <p>
333 Non Central Beta, large parameters
334 </p>
335 </td>
336 <td>
337 <p>
338 <span class="blue">Max = 8.67e+003&#949; (Mean = 1.04e+003&#949;)</span>
339 </p>
340 </td>
341 <td>
342 <p>
343 <span class="blue">Max = 0.986&#949; (Mean = 0.188&#949;)</span><br>
344 <br> (<span class="emphasis"><em>Rmath 3.0.2:</em></span> <span class="red">Max
345 = +INF&#949; (Mean = +INF&#949;) <a class="link" href="../../logs_and_tables/logs.html#errors_GNU_C_version_5_1_0_linux_double_non_central_beta_CDF_complement_Rmath_3_0_2_Non_Central_Beta_large_parameters">And
346 other failures.</a>)</span>
347 </p>
348 </td>
349 <td>
350 <p>
351 <span class="blue">Max = 6.83e+03&#949; (Mean = 993&#949;)</span>
352 </p>
353 </td>
354 <td>
355 <p>
356 <span class="blue">Max = 3.56e+03&#949; (Mean = 704&#949;)</span>
357 </p>
358 </td>
359 </tr>
360 </tbody>
361 </table></div>
362 </div>
363 <br class="table-break"><p>
364 Error rates for the PDF, the complement of the CDF and for the quantile
365 functions are broadly similar.
366 </p>
367 <h5>
368 <a name="math_toolkit.dist_ref.dists.nc_beta_dist.h3"></a>
369 <span class="phrase"><a name="math_toolkit.dist_ref.dists.nc_beta_dist.tests"></a></span><a class="link" href="nc_beta_dist.html#math_toolkit.dist_ref.dists.nc_beta_dist.tests">Tests</a>
370 </h5>
371 <p>
372 There are two sets of test data used to verify this implementation: firstly
373 we can compare with a few sample values generated by the <a href="http://www.r-project.org/" target="_top">R
374 library</a>. Secondly, we have tables of test data, computed with this
375 implementation and using interval arithmetic - this data should be accurate
376 to at least 50 decimal digits - and is the used for our accuracy tests.
377 </p>
378 <h5>
379 <a name="math_toolkit.dist_ref.dists.nc_beta_dist.h4"></a>
380 <span class="phrase"><a name="math_toolkit.dist_ref.dists.nc_beta_dist.implementation"></a></span><a class="link" href="nc_beta_dist.html#math_toolkit.dist_ref.dists.nc_beta_dist.implementation">Implementation</a>
381 </h5>
382 <p>
383 The CDF and its complement are evaluated as follows:
384 </p>
385 <p>
386 First we determine which of the two values (the CDF or its complement)
387 is likely to be the smaller, the crossover point is taken to be the mean
388 of the distribution: for this we use the approximation due to: R. Chattamvelli
389 and R. Shanmugam, "Algorithm AS 310: Computing the Non-Central Beta
390 Distribution Function", Applied Statistics, Vol. 46, No. 1. (1997),
391 pp. 146-156.
392 </p>
393 <p>
394 <span class="inlinemediaobject"><img src="../../../../equations/nc_beta_ref3.svg"></span>
395 </p>
396 <p>
397 Then either the CDF or its complement is computed using the relations:
398 </p>
399 <p>
400 <span class="inlinemediaobject"><img src="../../../../equations/nc_beta_ref4.svg"></span>
401 </p>
402 <p>
403 The summation is performed by starting at i = &#955;/2, and then recursing in
404 both directions, using the usual recurrence relations for the Poisson PDF
405 and incomplete beta functions. This is the "Method 2" described
406 by:
407 </p>
408 <p>
409 Denise Benton and K. Krishnamoorthy, "Computing discrete mixtures
410 of continuous distributions: noncentral chisquare, noncentral t and the
411 distribution of the square of the sample multiple correlation coefficient",
412 Computational Statistics &amp; Data Analysis 43 (2003) 249-267.
413 </p>
414 <p>
415 Specific applications of the above formulae to the noncentral beta distribution
416 can be found in:
417 </p>
418 <p>
419 Russell V. Lenth, "Algorithm AS 226: Computing Noncentral Beta Probabilities",
420 Applied Statistics, Vol. 36, No. 2. (1987), pp. 241-244.
421 </p>
422 <p>
423 H. Frick, "Algorithm AS R84: A Remark on Algorithm AS 226: Computing
424 Non-Central Beta Probabilities", Applied Statistics, Vol. 39, No.
425 2. (1990), pp. 311-312.
426 </p>
427 <p>
428 Ming Long Lam, "Remark AS R95: A Remark on Algorithm AS 226: Computing
429 Non-Central Beta Probabilities", Applied Statistics, Vol. 44, No.
430 4. (1995), pp. 551-552.
431 </p>
432 <p>
433 Harry O. Posten, "An Effective Algorithm for the Noncentral Beta Distribution
434 Function", The American Statistician, Vol. 47, No. 2. (May, 1993),
435 pp. 129-131.
436 </p>
437 <p>
438 R. Chattamvelli, "A Note on the Noncentral Beta Distribution Function",
439 The American Statistician, Vol. 49, No. 2. (May, 1995), pp. 231-234.
440 </p>
441 <p>
442 Of these, the Posten reference provides the most complete overview, and
443 includes the modification starting iteration at &#955;/2.
444 </p>
445 <p>
446 The main difference between this implementation and the above references
447 is the direct computation of the complement when most efficient to do so,
448 and the accumulation of the sum to -1 rather than subtracting the result
449 from 1 at the end: this can substantially reduce the number of iterations
450 required when the result is near 1.
451 </p>
452 <p>
453 The PDF is computed using the methodology of Benton and Krishnamoorthy
454 and the relation:
455 </p>
456 <p>
457 <span class="inlinemediaobject"><img src="../../../../equations/nc_beta_ref1.svg"></span>
458 </p>
459 <p>
460 Quantiles are computed using a specially modified version of <a class="link" href="../../roots/roots_noderiv/bracket_solve.html" title="Bracket and Solve Root">bracket
461 and solve</a>, starting the search for the root at the mean of the distribution.
462 (A Cornish-Fisher type expansion was also tried, but while this gets quite
463 close to the root in many cases, when it is wrong it tends to introduce
464 quite pathological behaviour: more investigation in this area is probably
465 warranted).
466 </p>
467 </div>
468 <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
469 <td align="left"></td>
470 <td align="right"><div class="copyright-footer">Copyright &#169; 2006-2010, 2012-2014 Nikhar Agrawal,
471 Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert
472 Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Johan R&#229;de, Gautam Sewani,
473 Benjamin Sobotta, Thijs van den Berg, Daryle Walker and Xiaogang Zhang<p>
474 Distributed under the Boost Software License, Version 1.0. (See accompanying
475 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>)
476 </p>
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