alglib 0.1.1

data/ext/alglib/studenttdistr.h

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+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from C to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _studenttdistr_h
+#define _studenttdistr_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "gammaf.h"
+#include "normaldistr.h"
+#include "ibetaf.h"
+
+
+/*************************************************************************
+Student's t distribution
+
+Computes the integral from minus infinity to t of the Student
+t distribution with integer k > 0 degrees of freedom:
+
+                                     t
+                                     -
+                                    | |
+             -                      |         2   -(k+1)/2
+            | ( (k+1)/2 )           |  (     x   )
+      ----------------------        |  ( 1 + --- )        dx
+                    -               |  (      k  )
+      sqrt( k pi ) | ( k/2 )        |
+                                  | |
+                                   -
+                                  -inf.
+
+Relation to incomplete beta integral:
+
+       1 - stdtr(k,t) = 0.5 * incbet( k/2, 1/2, z )
+where
+       z = k/(k + t**2).
+
+For t < -2, this is the method of computation.  For higher t,
+a direct method is derived from integration by parts.
+Since the function is symmetric about t=0, the area under the
+right tail of the density is found by calling the function
+with -t instead of t.
+
+ACCURACY:
+
+Tested at random 1 <= k <= 25.  The "domain" refers to t.
+                     Relative error:
+arithmetic   domain     # trials      peak         rms
+   IEEE     -100,-2      50000       5.9e-15     1.4e-15
+   IEEE     -2,100      500000       2.7e-15     4.9e-17
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double studenttdistribution(int k, double t);
+
+
+/*************************************************************************
+Functional inverse of Student's t distribution
+
+Given probability p, finds the argument t such that stdtr(k,t)
+is equal to p.
+
+ACCURACY:
+
+Tested at random 1 <= k <= 100.  The "domain" refers to p:
+                     Relative error:
+arithmetic   domain     # trials      peak         rms
+   IEEE    .001,.999     25000       5.7e-15     8.0e-16
+   IEEE    10^-6,.001    25000       2.0e-12     2.9e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invstudenttdistribution(int k, double p);
+
+
+#endif

data/ext/alglib/studentttests.cpp

@@ -0,0 +1,377 @@
+/*************************************************************************
+Copyright (c) 2007, Sergey Bochkanov (ALGLIB project).
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "studentttests.h"
+
+/*************************************************************************
+One-sample t-test
+
+This test checks three hypotheses about the mean of the given sample.  The
+following tests are performed:
+    * two-tailed test (null hypothesis - the mean is equal  to  the  given
+      value)
+    * left-tailed test (null hypothesis - the  mean  is  greater  than  or
+      equal to the given value)
+    * right-tailed test (null hypothesis - the mean is less than or  equal
+      to the given value).
+
+The test is based on the assumption that  a  given  sample  has  a  normal
+distribution and  an  unknown  dispersion.  If  the  distribution  sharply
+differs from normal, the test will work incorrectly.
+
+Input parameters:
+    X       -   sample. Array whose index goes from 0 to N-1.
+    N       -   size of sample.
+    Mean    -   assumed value of the mean.
+
+Output parameters:
+    BothTails   -   p-value for two-tailed test.
+                    If BothTails is less than the given significance level
+                    the null hypothesis is rejected.
+    LeftTail    -   p-value for left-tailed test.
+                    If LeftTail is less than the given significance level,
+                    the null hypothesis is rejected.
+    RightTail   -   p-value for right-tailed test.
+                    If RightTail is less than the given significance level
+                    the null hypothesis is rejected.
+
+  -- ALGLIB --
+     Copyright 08.09.2006 by Bochkanov Sergey
+*************************************************************************/
+void studentttest1(const ap::real_1d_array& x,
+     int n,
+     double mean,
+     double& bothtails,
+     double& lefttail,
+     double& righttail)
+{
+    int i;
+    double xmean;
+    double xvariance;
+    double xstddev;
+    double v1;
+    double v2;
+    double stat;
+    double s;
+
+    if( n<=1 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // Mean
+    //
+    xmean = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        xmean = xmean+x(i);
+    }
+    xmean = xmean/n;
+    
+    //
+    // Variance (using corrected two-pass algorithm)
+    //
+    xvariance = 0;
+    xstddev = 0;
+    if( n!=1 )
+    {
+        v1 = 0;
+        for(i = 0; i <= n-1; i++)
+        {
+            v1 = v1+ap::sqr(x(i)-xmean);
+        }
+        v2 = 0;
+        for(i = 0; i <= n-1; i++)
+        {
+            v2 = v2+(x(i)-xmean);
+        }
+        v2 = ap::sqr(v2)/n;
+        xvariance = (v1-v2)/(n-1);
+        if( xvariance<0 )
+        {
+            xvariance = 0;
+        }
+        xstddev = sqrt(xvariance);
+    }
+    if( xstddev==0 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // Statistic
+    //
+    stat = (xmean-mean)/(xstddev/sqrt(double(n)));
+    s = studenttdistribution(n-1, stat);
+    bothtails = 2*ap::minreal(s, 1-s);
+    lefttail = s;
+    righttail = 1-s;
+}
+
+
+/*************************************************************************
+Two-sample pooled test
+
+This test checks three hypotheses about the mean of the given samples. The
+following tests are performed:
+    * two-tailed test (null hypothesis - the means are equal)
+    * left-tailed test (null hypothesis - the mean of the first sample  is
+      greater than or equal to the mean of the second sample)
+    * right-tailed test (null hypothesis - the mean of the first sample is
+      less than or equal to the mean of the second sample).
+
+Test is based on the following assumptions:
+    * given samples have normal distributions
+    * dispersions are equal
+    * samples are independent.
+
+Input parameters:
+    X       -   sample 1. Array whose index goes from 0 to N-1.
+    N       -   size of sample.
+    Y       -   sample 2. Array whose index goes from 0 to M-1.
+    M       -   size of sample.
+
+Output parameters:
+    BothTails   -   p-value for two-tailed test.
+                    If BothTails is less than the given significance level
+                    the null hypothesis is rejected.
+    LeftTail    -   p-value for left-tailed test.
+                    If LeftTail is less than the given significance level,
+                    the null hypothesis is rejected.
+    RightTail   -   p-value for right-tailed test.
+                    If RightTail is less than the given significance level
+                    the null hypothesis is rejected.
+
+  -- ALGLIB --
+     Copyright 18.09.2006 by Bochkanov Sergey
+*************************************************************************/
+void studentttest2(const ap::real_1d_array& x,
+     int n,
+     const ap::real_1d_array& y,
+     int m,
+     double& bothtails,
+     double& lefttail,
+     double& righttail)
+{
+    int i;
+    double xmean;
+    double ymean;
+    double stat;
+    double s;
+    double p;
+
+    if( n<=1||m<=1 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // Mean
+    //
+    xmean = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        xmean = xmean+x(i);
+    }
+    xmean = xmean/n;
+    ymean = 0;
+    for(i = 0; i <= m-1; i++)
+    {
+        ymean = ymean+y(i);
+    }
+    ymean = ymean/m;
+    
+    //
+    // S
+    //
+    s = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        s = s+ap::sqr(x(i)-xmean);
+    }
+    for(i = 0; i <= m-1; i++)
+    {
+        s = s+ap::sqr(y(i)-ymean);
+    }
+    s = sqrt(s*(double(1)/double(n)+double(1)/double(m))/(n+m-2));
+    if( s==0 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // Statistic
+    //
+    stat = (xmean-ymean)/s;
+    p = studenttdistribution(n+m-2, stat);
+    bothtails = 2*ap::minreal(p, 1-p);
+    lefttail = p;
+    righttail = 1-p;
+}
+
+
+/*************************************************************************
+Two-sample unpooled test
+
+This test checks three hypotheses about the mean of the given samples. The
+following tests are performed:
+    * two-tailed test (null hypothesis - the means are equal)
+    * left-tailed test (null hypothesis - the mean of the first sample  is
+      greater than or equal to the mean of the second sample)
+    * right-tailed test (null hypothesis - the mean of the first sample is
+      less than or equal to the mean of the second sample).
+
+Test is based on the following assumptions:
+    * given samples have normal distributions
+    * samples are independent.
+Dispersion equality is not required
+
+Input parameters:
+    X - sample 1. Array whose index goes from 0 to N-1.
+    N - size of the sample.
+    Y - sample 2. Array whose index goes from 0 to M-1.
+    M - size of the sample.
+
+Output parameters:
+    BothTails   -   p-value for two-tailed test.
+                    If BothTails is less than the given significance level
+                    the null hypothesis is rejected.
+    LeftTail    -   p-value for left-tailed test.
+                    If LeftTail is less than the given significance level,
+                    the null hypothesis is rejected.
+    RightTail   -   p-value for right-tailed test.
+                    If RightTail is less than the given significance level
+                    the null hypothesis is rejected.
+
+  -- ALGLIB --
+     Copyright 18.09.2006 by Bochkanov Sergey
+*************************************************************************/
+void unequalvariancettest(const ap::real_1d_array& x,
+     int n,
+     const ap::real_1d_array& y,
+     int m,
+     double& bothtails,
+     double& lefttail,
+     double& righttail)
+{
+    int i;
+    double xmean;
+    double ymean;
+    double xvar;
+    double yvar;
+    double df;
+    double p;
+    double stat;
+    double c;
+
+    if( n<=1||m<=1 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // Mean
+    //
+    xmean = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        xmean = xmean+x(i);
+    }
+    xmean = xmean/n;
+    ymean = 0;
+    for(i = 0; i <= m-1; i++)
+    {
+        ymean = ymean+y(i);
+    }
+    ymean = ymean/m;
+    
+    //
+    // Variance (using corrected two-pass algorithm)
+    //
+    xvar = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        xvar = xvar+ap::sqr(x(i)-xmean);
+    }
+    xvar = xvar/(n-1);
+    yvar = 0;
+    for(i = 0; i <= m-1; i++)
+    {
+        yvar = yvar+ap::sqr(y(i)-ymean);
+    }
+    yvar = yvar/(m-1);
+    if( xvar==0||yvar==0 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // Statistic
+    //
+    stat = (xmean-ymean)/sqrt(xvar/n+yvar/m);
+    c = xvar/n/(xvar/n+yvar/m);
+    df = (n-1)*(m-1)/((m-1)*ap::sqr(c)+(n-1)*(1-ap::sqr(c)));
+    if( stat>0 )
+    {
+        p = 1-0.5*incompletebeta(df/2, 0.5, df/(df+ap::sqr(stat)));
+    }
+    else
+    {
+        p = 0.5*incompletebeta(df/2, 0.5, df/(df+ap::sqr(stat)));
+    }
+    bothtails = 2*ap::minreal(p, 1-p);
+    lefttail = p;
+    righttail = 1-p;
+}
+
+
+