mirror of
https://github.com/saitohirga/WSJT-X.git
synced 2025-10-31 13:10:19 -04:00
130 lines
4.5 KiB
Plaintext
130 lines
4.5 KiB
Plaintext
[section:inverse_gamma_dist Inverse Gamma Distribution]
|
|
|
|
``#include <boost/math/distributions/inverse_gamma.hpp>``
|
|
|
|
namespace boost{ namespace math{
|
|
|
|
template <class RealType = double,
|
|
class ``__Policy`` = ``__policy_class`` >
|
|
class inverse_gamma_distribution
|
|
{
|
|
public:
|
|
typedef RealType value_type;
|
|
typedef Policy policy_type;
|
|
|
|
inverse_gamma_distribution(RealType shape, RealType scale = 1)
|
|
|
|
RealType shape()const;
|
|
RealType scale()const;
|
|
};
|
|
|
|
}} // namespaces
|
|
|
|
The inverse_gamma distribution is a continuous probability distribution
|
|
of the reciprocal of a variable distributed according to the gamma distribution.
|
|
|
|
The inverse_gamma distribution is used in Bayesian statistics.
|
|
|
|
See [@http://en.wikipedia.org/wiki/Inverse-gamma_distribution inverse gamma distribution].
|
|
|
|
[@http://rss.acs.unt.edu/Rdoc/library/pscl/html/igamma.html R inverse gamma distribution functions].
|
|
|
|
[@http://reference.wolfram.com/mathematica/ref/InverseGammaDistribution.html Wolfram inverse gamma distribution].
|
|
|
|
See also __gamma_distrib.
|
|
|
|
|
|
[note
|
|
In spite of potential confusion with the inverse gamma function, this
|
|
distribution *does* provide the typedef:
|
|
|
|
``typedef inverse_gamma_distribution<double> gamma;``
|
|
|
|
If you want a `double` precision gamma distribution you can use
|
|
|
|
``boost::math::inverse_gamma_distribution<>``
|
|
|
|
or you can write `inverse_gamma my_ig(2, 3);`]
|
|
|
|
For shape parameter [alpha] and scale parameter [beta], it is defined
|
|
by the probability density function (PDF):
|
|
|
|
__spaces f(x;[alpha], [beta]) = [beta][super [alpha]] * (1/x) [super [alpha]+1] exp(-[beta]/x) / [Gamma]([alpha])
|
|
|
|
and cumulative density function (CDF)
|
|
|
|
__spaces F(x;[alpha], [beta]) = [Gamma]([alpha], [beta]/x) / [Gamma]([alpha])
|
|
|
|
The following graphs illustrate how the PDF and CDF of the inverse gamma distribution
|
|
varies as the parameters vary:
|
|
|
|
[graph inverse_gamma_pdf] [/png or svg]
|
|
|
|
[graph inverse_gamma_cdf]
|
|
|
|
[h4 Member Functions]
|
|
|
|
inverse_gamma_distribution(RealType shape = 1, RealType scale = 1);
|
|
|
|
Constructs an inverse gamma distribution with shape [alpha] and scale [beta].
|
|
|
|
Requires that the shape and scale parameters are greater than zero, otherwise calls
|
|
__domain_error.
|
|
|
|
RealType shape()const;
|
|
|
|
Returns the [alpha] shape parameter of this inverse gamma distribution.
|
|
|
|
RealType scale()const;
|
|
|
|
Returns the [beta] scale parameter of this inverse gamma distribution.
|
|
|
|
[h4 Non-member Accessors]
|
|
|
|
All the [link math_toolkit.dist_ref.nmp usual non-member accessor functions] that are generic to all
|
|
distributions are supported: __usual_accessors.
|
|
|
|
The domain of the random variate is \[0,+[infin]\].
|
|
[note Unlike some definitions, this implementation supports a random variate
|
|
equal to zero as a special case, returning zero for pdf and cdf.]
|
|
|
|
[h4 Accuracy]
|
|
|
|
The inverse gamma distribution is implemented in terms of the
|
|
incomplete gamma functions __gamma_p and __gamma_q and their
|
|
inverses __gamma_p_inv and __gamma_q_inv: refer to the accuracy
|
|
data for those functions for more information.
|
|
But in general, inverse_gamma results are accurate to a few epsilon,
|
|
>14 decimal digits accuracy for 64-bit double.
|
|
|
|
[h4 Implementation]
|
|
|
|
In the following table [alpha] is the shape parameter of the distribution,
|
|
[alpha][space] is its scale parameter, /x/ is the random variate, /p/ is the probability
|
|
and /q = 1-p/.
|
|
|
|
[table
|
|
[[Function][Implementation Notes]]
|
|
[[pdf][Using the relation: pdf = __gamma_p_derivative([alpha], [beta]/ x, [beta]) / x * x ]]
|
|
[[cdf][Using the relation: p = __gamma_q([alpha], [beta] / x) ]]
|
|
[[cdf complement][Using the relation: q = __gamma_p([alpha], [beta] / x) ]]
|
|
[[quantile][Using the relation: x = [beta][space]/ __gamma_q_inv([alpha], p) ]]
|
|
[[quantile from the complement][Using the relation: x = [alpha][space]/ __gamma_p_inv([alpha], q) ]]
|
|
[[mode][[beta] / ([alpha] + 1) ]]
|
|
[[median][no analytic equation is known, but is evaluated as quantile(0.5)]]
|
|
[[mean][[beta] / ([alpha] - 1) for [alpha] > 1, else a __domain_error]]
|
|
[[variance][([beta] * [beta]) / (([alpha] - 1) * ([alpha] - 1) * ([alpha] - 2)) for [alpha] >2, else a __domain_error]]
|
|
[[skewness][4 * sqrt ([alpha] -2) / ([alpha] -3) for [alpha] >3, else a __domain_error]]
|
|
[[kurtosis_excess][(30 * [alpha] - 66) / (([alpha]-3)*([alpha] - 4)) for [alpha] >4, else a __domain_error]]
|
|
] [/table]
|
|
|
|
[endsect][/section:inverse_gamma_dist Inverse Gamma Distribution]
|
|
|
|
[/
|
|
Copyright 2010 John Maddock and Paul A. Bristow.
|
|
Distributed under the Boost Software License, Version 1.0.
|
|
(See accompanying file LICENSE_1_0.txt or copy at
|
|
http://www.boost.org/LICENSE_1_0.txt).
|
|
]
|
|
|