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- <div class="titlepage"><div><div><h5 class="title">
- <a name="math_toolkit.dist.dist_ref.dists.nc_t_dist"></a><a class="link" href="nc_t_dist.html" title="Noncentral T Distribution">Noncentral
- T Distribution</a>
- </h5></div></div></div>
- <p>
-
- </p>
- <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">non_central_t</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span></pre>
- <p>
- </p>
- <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>
- <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>
- <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Policies">Policy</a> <span class="special">=</span> <a class="link" href="../../../policy/pol_ref/pol_ref_ref.html" title="Policy Class Reference">policies::policy<></a> <span class="special">></span>
- <span class="keyword">class</span> <span class="identifier">non_central_t_distribution</span><span class="special">;</span>
- <span class="keyword">typedef</span> <span class="identifier">non_central_t_distribution</span><span class="special"><></span> <span class="identifier">non_central_t</span><span class="special">;</span>
- <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="Policies">Policy</a><span class="special">></span>
- <span class="keyword">class</span> <span class="identifier">non_central_t_distribution</span>
- <span class="special">{</span>
- <span class="keyword">public</span><span class="special">:</span>
- <span class="keyword">typedef</span> <span class="identifier">RealType</span> <span class="identifier">value_type</span><span class="special">;</span>
- <span class="keyword">typedef</span> <span class="identifier">Policy</span> <span class="identifier">policy_type</span><span class="special">;</span>
- <span class="comment">// Constructor:
- </span> <span class="identifier">non_central_t_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">v</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">delta</span><span class="special">);</span>
- <span class="comment">// Accessor to degrees_of_freedom parameter v:
- </span> <span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
- <span class="comment">// Accessor to non-centrality parameter lambda:
- </span> <span class="identifier">RealType</span> <span class="identifier">non_centrality</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
- <span class="special">};</span>
- <span class="special">}}</span> <span class="comment">// namespaces
- </span></pre>
- <p>
- The noncentral T distribution is a generalization of the <a class="link" href="students_t_dist.html" title="Students t Distribution">Students
- t Distribution</a>. Let X have a normal distribution with mean δ and
- variance 1, and let ν S<sup>2</sup> have a chi-squared distribution with degrees of
- freedom ν. Assume that X and S<sup>2</sup> are independent. The distribution of t<sub>ν</sub>(δ)=X/S
- is called a noncentral t distribution with degrees of freedom ν and noncentrality
- parameter δ.
- </p>
- <p>
- This gives the following PDF:
- </p>
- <p>
- <span class="inlinemediaobject"><img src="../../../../../equations/nc_t_ref1.png"></span>
- </p>
- <p>
- where <sub>1</sub>F<sub>1</sub>(a;b;x) is a confluent hypergeometric function.
- </p>
- <p>
- The following graph illustrates how the distribution changes for different
- values of δ:
- </p>
- <p>
- <span class="inlinemediaobject"><img src="../../../../../graphs/nc_t_pdf.png" align="middle"></span>
- </p>
- <a name="math_toolkit.dist.dist_ref.dists.nc_t_dist.member_functions"></a><h5>
- <a name="id1212026"></a>
- <a class="link" href="nc_t_dist.html#math_toolkit.dist.dist_ref.dists.nc_t_dist.member_functions">Member
- Functions</a>
- </h5>
- <pre class="programlisting"><span class="identifier">non_central_t_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">v</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">lambda</span><span class="special">);</span>
- </pre>
- <p>
- Constructs a non-central t distribution with degrees of freedom parameter
- <span class="emphasis"><em>v</em></span> and non-centrality parameter <span class="emphasis"><em>delta</em></span>.
- </p>
- <p>
- Requires v > 0 and finite delta, otherwise calls <a class="link" href="../../../main_overview/error_handling.html#domain_error">domain_error</a>.
- </p>
- <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
- </pre>
- <p>
- Returns the parameter <span class="emphasis"><em>v</em></span> from which this object was
- constructed.
- </p>
- <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>
- </pre>
- <p>
- Returns the non-centrality parameter <span class="emphasis"><em>delta</em></span> from
- which this object was constructed.
- </p>
- <a name="math_toolkit.dist.dist_ref.dists.nc_t_dist.non_member_accessors"></a><h5>
- <a name="id1212164"></a>
- <a class="link" href="nc_t_dist.html#math_toolkit.dist.dist_ref.dists.nc_t_dist.non_member_accessors">Non-member
- Accessors</a>
- </h5>
- <p>
- All the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member
- accessor functions</a> that are generic to all distributions are supported:
- <a class="link" href="../nmp.html#math.dist.cdf">Cumulative Distribution Function</a>,
- <a class="link" href="../nmp.html#math.dist.pdf">Probability Density Function</a>, <a class="link" href="../nmp.html#math.dist.quantile">Quantile</a>, <a class="link" href="../nmp.html#math.dist.hazard">Hazard
- Function</a>, <a class="link" href="../nmp.html#math.dist.chf">Cumulative Hazard Function</a>,
- <a class="link" href="../nmp.html#math.dist.mean">mean</a>, <a class="link" href="../nmp.html#math.dist.median">median</a>,
- <a class="link" href="../nmp.html#math.dist.mode">mode</a>, <a class="link" href="../nmp.html#math.dist.variance">variance</a>,
- <a class="link" href="../nmp.html#math.dist.sd">standard deviation</a>, <a class="link" href="../nmp.html#math.dist.skewness">skewness</a>,
- <a class="link" href="../nmp.html#math.dist.kurtosis">kurtosis</a>, <a class="link" href="../nmp.html#math.dist.kurtosis_excess">kurtosis_excess</a>,
- <a class="link" href="../nmp.html#math.dist.range">range</a> and <a class="link" href="../nmp.html#math.dist.support">support</a>.
- </p>
- <p>
- The domain of the random variable is [-∞, +∞].
- </p>
- <a name="math_toolkit.dist.dist_ref.dists.nc_t_dist.accuracy"></a><h5>
- <a name="id1212264"></a>
- <a class="link" href="nc_t_dist.html#math_toolkit.dist.dist_ref.dists.nc_t_dist.accuracy">Accuracy</a>
- </h5>
- <p>
- The following table shows the peak errors (in units of <a href="http://en.wikipedia.org/wiki/Machine_epsilon" target="_top">epsilon</a>)
- found on various platforms with various floating-point types. Unless
- otherwise specified, any floating-point type that is narrower than the
- one shown will have <a class="link" href="../../../backgrounders/relative_error.html#zero_error">effectively zero error</a>.
- </p>
- <div class="table">
- <a name="math_toolkit.dist.dist_ref.dists.nc_t_dist.errors_in_cdf_of_the_noncentral_t_distribution"></a><p class="title"><b>Table 18. Errors In CDF of the Noncentral T Distribution</b></p>
- <div class="table-contents"><table class="table" summary="Errors In CDF of the Noncentral T Distribution">
- <colgroup>
- <col>
- <col>
- <col>
- </colgroup>
- <thead><tr>
- <th>
- <p>
- Significand Size
- </p>
- </th>
- <th>
- <p>
- Platform and Compiler
- </p>
- </th>
- <th>
- <p>
- ν,δ < 600
- </p>
- </th>
- </tr></thead>
- <tbody>
- <tr>
- <td>
- <p>
- 53
- </p>
- </td>
- <td>
- <p>
- Win32, Visual C++ 8
- </p>
- </td>
- <td>
- <p>
- Peak=120 Mean=26
- </p>
- </td>
- </tr>
- <tr>
- <td>
- <p>
- 64
- </p>
- </td>
- <td>
- <p>
- RedHat Linux IA32, gcc-4.1.1
- </p>
- </td>
- <td>
- <p>
- Peak=121 Mean=26
- </p>
- </td>
- </tr>
- <tr>
- <td>
- <p>
- 64
- </p>
- </td>
- <td>
- <p>
- Redhat Linux IA64, gcc-3.4.4
- </p>
- </td>
- <td>
- <p>
- Peak=122 Mean=25
- </p>
- </td>
- </tr>
- <tr>
- <td>
- <p>
- 113
- </p>
- </td>
- <td>
- <p>
- HPUX IA64, aCC A.06.06
- </p>
- </td>
- <td>
- <p>
- Peak=115 Mean=24
- </p>
- </td>
- </tr>
- </tbody>
- </table></div>
- </div>
- <br class="table-break"><div class="caution"><table border="0" summary="Caution">
- <tr>
- <td rowspan="2" align="center" valign="top" width="25"><img alt="[Caution]" src="../../../../../../../../../doc/src/images/caution.png"></td>
- <th align="left">Caution</th>
- </tr>
- <tr><td align="left" valign="top"><p>
- The complexity of the current algorithm is dependent upon δ<sup>2</sup>: consequently
- the time taken to evaluate the CDF increases rapidly for δ > 500,
- likewise the accuracy decreases rapidly for very large δ.
- </p></td></tr>
- </table></div>
- <p>
- Accuracy for the quantile and PDF functions should be broadly similar,
- note however that the <span class="emphasis"><em>mode</em></span> is determined numerically
- and can not in principal be more accurate than the square root of machine
- epsilon.
- </p>
- <a name="math_toolkit.dist.dist_ref.dists.nc_t_dist.tests"></a><h5>
- <a name="id1212457"></a>
- <a class="link" href="nc_t_dist.html#math_toolkit.dist.dist_ref.dists.nc_t_dist.tests">Tests</a>
- </h5>
- <p>
- There are two sets of tests of this distribution: basic sanity checks
- compare this implementation to the test values given in "Computing
- discrete mixtures of continuous distributions: noncentral chisquare,
- noncentral t and the distribution of the square of the sample multiple
- correlation coefficient." Denise Benton, K. Krishnamoorthy, Computational
- Statistics & Data Analysis 43 (2003) 249-267. While accuracy checks
- use test data computed with this implementation and arbitary precision
- interval arithmetic: this test data is believed to be accurate to at
- least 50 decimal places.
- </p>
- <a name="math_toolkit.dist.dist_ref.dists.nc_t_dist.implementation"></a><h5>
- <a name="id1212476"></a>
- <a class="link" href="nc_t_dist.html#math_toolkit.dist.dist_ref.dists.nc_t_dist.implementation">Implementation</a>
- </h5>
- <p>
- The CDF is computed using a modification of the method described in "Computing
- discrete mixtures of continuous distributions: noncentral chisquare,
- noncentral t and the distribution of the square of the sample multiple
- correlation coefficient." Denise Benton, K. Krishnamoorthy, Computational
- Statistics & Data Analysis 43 (2003) 249-267.
- </p>
- <p>
- This uses the following formula for the CDF:
- </p>
- <p>
- <span class="inlinemediaobject"><img src="../../../../../equations/nc_t_ref2.png"></span>
- </p>
- <p>
- Where I<sub>x</sub>(a,b) is the incomplete beta function, and Φ(x) is the normal
- CDF at x.
- </p>
- <p>
- Iteration starts at the largest of the Poisson weighting terms (at i
- = δ<sup>2</sup> / 2) and then proceeds in both directions as per Benton and Krishnamoorthy's
- paper.
- </p>
- <p>
- Alternatively, by considering what happens when t = ∞, we have x = 1,
- and therefore I<sub>x</sub>(a,b) = 1 and:
- </p>
- <p>
- <span class="inlinemediaobject"><img src="../../../../../equations/nc_t_ref3.png"></span>
- </p>
- <p>
- From this we can easily show that:
- </p>
- <p>
- <span class="inlinemediaobject"><img src="../../../../../equations/nc_t_ref4.png"></span>
- </p>
- <p>
- and therefore we have a means to compute either the probability or its
- complement directly without the risk of cancellation error. The crossover
- criterion for choosing whether to calculate the CDF or its complement
- is the same as for the <a class="link" href="nc_beta_dist.html" title="Noncentral Beta Distribution">Noncentral
- Beta Distribution</a>.
- </p>
- <p>
- The PDF can be computed by a very similar method using:
- </p>
- <p>
- <span class="inlinemediaobject"><img src="../../../../../equations/nc_t_ref5.png"></span>
- </p>
- <p>
- Where I<sub>x</sub><sup>'</sup>(a,b) is the derivative of the incomplete beta function.
- </p>
- <p>
- The quantile is calculated via the usual <a class="link" href="../../../toolkit/internals1/roots2.html" title="Root Finding Without Derivatives: Bisection, Bracket and TOMS748">derivative-free
- root-finding techniques</a>, with the initial guess taken as the quantile
- of a normal approximation to the noncentral T.
- </p>
- <p>
- There is no closed form for the mode, so this is computed via functional
- maximisation of the PDF.
- </p>
- <p>
- The remaining functions (mean, variance etc) are implemented using the
- formulas given in Weisstein, Eric W. "Noncentral Student's t-Distribution."
- From MathWorld--A Wolfram Web Resource. <a href="http://mathworld.wolfram.com/NoncentralStudentst-Distribution.html" target="_top">http://mathworld.wolfram.com/NoncentralStudentst-Distribution.html</a>
- and in the <a href="http://reference.wolfram.com/mathematica/ref/NoncentralStudentTDistribution.html" target="_top">Mathematica
- documentation</a>.
- </p>
- <p>
- Some analytic properties of noncentral distributions (particularly unimodality,
- and monotonicity of their modes) are surveyed and summarized by:
- </p>
- <p>
- Andrea van Aubel & Wolfgang Gawronski, Applied Mathematics and Computation,
- 141 (2003) 3-12.
- </p>
- </div>
- <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
- <td align="left"></td>
- <td align="right"><div class="copyright-footer">Copyright © 2006 , 2007, 2008, 2009, 2010 John Maddock, Paul A. Bristow,
- Hubert Holin, Xiaogang Zhang, Bruno Lalande, Johan Råde, Gautam Sewani and
- Thijs van den Berg<p>
- Distributed under the Boost Software License, Version 1.0. (See accompanying
- 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>)
- </p>
- </div></td>
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