distribution 0.7.3 → 0.8.0

data/lib/distribution/bivariatenormal/ruby.rb

@@ -1,281 +1,272 @@
 module Distribution
-  # 
+  #
   # Ruby version implements three methods on this module:
   # * Genz:: Used by default, with improvement to calculate p on rho > 0.95
   # * Hull:: Port from a C++ code
   # * Jantaravareerat:: Iterative (slow and buggy)
-  # 
-  
+  #
+
   module BivariateNormal
     module Ruby_
-    class << self
-      SIDE=0.1 # :nodoc:
-      LIMIT=5 # :nodoc:
-      # Return the partial derivative of cdf over x, with y and rho constant
-      # Reference:
-      # * Tallis, 1962, p.346, cited by Olsson, 1979
-      def partial_derivative_cdf_x(x,y,rho)
-        Distribution::Normal.pdf(x) * Distribution::Normal.cdf((y-rho*x).quo( Math::sqrt( 1 - rho**2 )))
-      end
-      alias  :pd_cdf_x  :partial_derivative_cdf_x 
-      # Probability density function for a given x, y and rho value.
-      # 
-      # Source: http://en.wikipedia.org/wiki/Multivariate_normal_distribution
-      def pdf(x,y, rho, s1=1.0, s2=1.0)
-        1.quo(2 * Math::PI * s1 * s2 * Math::sqrt( 1 - rho**2 )) * (Math::exp(-(1.quo(2*(1-rho**2))) *
-          ((x**2.quo(s1)) + (y**2.quo(s2)) - (2*rho*x*y).quo(s1*s2))))
-      end
-      
-      def f(x,y,aprime,bprime,rho) 
-        r=aprime*(2*x-aprime)+bprime*(2*y-bprime)+2*rho*(x-aprime)*(y-bprime)
-        Math::exp(r)
-      end
-      
-      # CDF for a given x, y and rho value.
-      # Uses Genz algorithm (cdf_genz method).
-      #
-      def cdf(a,b,rho)
-        cdf_genz(a,b,rho)
-      end
-      
-      def sgn(x)
-        if(x>=0)
-        1
-        else
-        -1
-        end     
-      end
-      
-      # Normal cumulative distribution function (cdf) for a given x, y and rho.
-      # Based on Hull (1993, cited by Arne, 2003)
-      #
-      # References:
-      # * Arne, B.(2003). Financial Numerical Recipes in C ++. Available on  http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/node23.html
-      def cdf_hull(a,b,rho)
-        #puts "a:#{a} - b:#{b} - rho:#{rho}"
-        if (a<=0 and b<=0 and rho<=0)
-         # puts "ruta 1"
-          aprime=a.quo(Math::sqrt(2.0*(1.0-rho**2)))
-          bprime=b.quo(Math::sqrt(2.0*(1.0-rho**2)))
-          aa=[0.3253030, 0.4211071, 0.1334425, 0.006374323]
-          bb=[0.1337764, 0.6243247, 1.3425378, 2.2626645]
-          sum=0
-          4.times do |i|
-            4.times do |j|
-              sum+=aa[i]*aa[j] * f(bb[i], bb[j], aprime, bprime,rho)
-            end
-          end
-          sum=sum*(Math::sqrt(1.0-rho**2).quo(Math::PI))
-          return sum
-        elsif(a*b*rho<=0.0)
-          
-          #puts "ruta 2"
-          if(a<=0 and b>=0 and rho>=0)
-            return Distribution::Normal.cdf(a) - cdf(a,-b,-rho)
-          elsif (a>=0.0 and b<=0.0 and rho>=0)
-            return Distribution::Normal.cdf(b) - cdf(-a,b,-rho)
-          elsif (a>=0.0 and b>=0.0 and rho<=0)
-            return Distribution::Normal.cdf(a) + Distribution::Normal.cdf(b) - 1.0 + cdf(-a,-b,rho)
+      class << self
+        SIDE = 0.1 # :nodoc:
+        LIMIT = 5 # :nodoc:
+        # Return the partial derivative of cdf over x, with y and rho constant
+        # Reference:
+        # * Tallis, 1962, p.346, cited by Olsson, 1979
+        def partial_derivative_cdf_x(x, y, rho)
+          Distribution::Normal.pdf(x) * Distribution::Normal.cdf((y - rho * x).quo(Math.sqrt(1 - rho**2)))
+        end
+        alias_method :pd_cdf_x,  :partial_derivative_cdf_x
+        # Probability density function for a given x, y and rho value.
+        #
+        # Source: http://en.wikipedia.org/wiki/Multivariate_normal_distribution
+        def pdf(x, y, rho, s1 = 1.0, s2 = 1.0)
+          1.quo(2 * Math::PI * s1 * s2 * Math.sqrt(1 - rho**2)) * (Math.exp(-(1.quo(2 * (1 - rho**2))) *
+            ((x**2.quo(s1)) + (y**2.quo(s2)) - (2 * rho * x * y).quo(s1 * s2))))
+        end
+
+        def f(x, y, aprime, bprime, rho)
+          r = aprime * (2 * x - aprime) + bprime * (2 * y - bprime) + 2 * rho * (x - aprime) * (y - bprime)
+          Math.exp(r)
+        end
+
+        # CDF for a given x, y and rho value.
+        # Uses Genz algorithm (cdf_genz method).
+        #
+        def cdf(a, b, rho)
+          cdf_genz(a, b, rho)
+        end
+
+        def sgn(x)
+          if (x >= 0)
+            1
+          else
+            -1
           end
-        elsif (a*b*rho>=0.0)
-          #puts "ruta 3"
-          denum=Math::sqrt(a**2 - 2*rho*a*b + b**2)
-          rho1=((rho*a-b)*sgn(a)).quo(denum)
-          rho2=((rho*b-a)*sgn(b)).quo(denum)
-          delta=(1.0-sgn(a)*sgn(b)).quo(4)
-          #puts "#{rho1} - #{rho2}"
-          return cdf(a, 0.0, rho1) + cdf(b, 0.0, rho2) - delta
         end
-        raise "Should'nt be here! #{a} - #{b} #{rho}"
-      end
-      
-      # CDF. Iterative method by Jantaravareerat (n/d)
-      # 
-      # Reference:
-      # * Jantaravareerat, M. & Thomopoulos, N. (n/d). Tables for standard bivariate normal distribution
-     
-      def cdf_jantaravareerat(x,y,rho,s1=1,s2=1)
-        # Special cases
-        return 1 if x>LIMIT and y>LIMIT
-        return 0 if x<-LIMIT or y<-LIMIT
-        return Distribution::Normal.cdf(y) if  x>LIMIT
-        return Distribution::Normal.cdf(x) if  y>LIMIT
-        
-        #puts "x:#{x} - y:#{y}"
-        x=-LIMIT if x<-LIMIT
-        x=LIMIT if x>LIMIT
-        y=-LIMIT if y<-LIMIT
-        y=LIMIT if y>LIMIT
 
-        x_squares=((LIMIT+x) / SIDE).to_i
-        y_squares=((LIMIT+y) / SIDE).to_i
-        sum=0
-        x_squares.times do |i|
-          y_squares.times do |j|
-            z1=-LIMIT+(i+1)*SIDE
-            z2=-LIMIT+(j+1)*SIDE
-            #puts " #{z1}-#{z2}"
-            h=(pdf(z1,z2,rho,s1,s2)+pdf(z1-SIDE,z2,rho,s1,s2)+pdf(z1,z2-SIDE,rho,s1,s2) + pdf(z1-SIDE,z2-SIDE,rho,s1,s2)).quo(4)
-            sum+= (SIDE**2)*h # area
+        # Normal cumulative distribution function (cdf) for a given x, y and rho.
+        # Based on Hull (1993, cited by Arne, 2003)
+        #
+        # References:
+        # * Arne, B.(2003). Financial Numerical Recipes in C ++. Available on  http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/node23.html
+        def cdf_hull(a, b, rho)
+          # puts "a:#{a} - b:#{b} - rho:#{rho}"
+          if a <= 0 && b <= 0 && rho <= 0
+            # puts "ruta 1"
+            aprime = a.quo(Math.sqrt(2.0 * (1.0 - rho**2)))
+            bprime = b.quo(Math.sqrt(2.0 * (1.0 - rho**2)))
+            aa = [0.3253030, 0.4211071, 0.1334425, 0.006374323]
+            bb = [0.1337764, 0.6243247, 1.3425378, 2.2626645]
+            sum = 0
+            4.times do |i|
+              4.times do |j|
+                sum += aa[i] * aa[j] * f(bb[i], bb[j], aprime, bprime, rho)
+              end
+            end
+            sum *= (Math.sqrt(1.0 - rho**2).quo(Math::PI))
+            return sum
+          elsif (a * b * rho <= 0.0)
+
+            # puts "ruta 2"
+            if a <= 0 && b >= 0 && rho >= 0
+              return Distribution::Normal.cdf(a) - cdf(a, -b, -rho)
+            elsif a >= 0.0 && b <= 0.0 && rho >= 0
+              return Distribution::Normal.cdf(b) - cdf(-a, b, -rho)
+            elsif a >= 0.0 && b >= 0.0 && rho <= 0
+              return Distribution::Normal.cdf(a) + Distribution::Normal.cdf(b) - 1.0 + cdf(-a, -b, rho)
+            end
+          elsif (a * b * rho >= 0.0)
+            # puts "ruta 3"
+            denum = Math.sqrt(a**2 - 2 * rho * a * b + b**2)
+            rho1 = ((rho * a - b) * sgn(a)).quo(denum)
+            rho2 = ((rho * b - a) * sgn(b)).quo(denum)
+            delta = (1.0 - sgn(a) * sgn(b)).quo(4)
+            # puts "#{rho1} - #{rho2}"
+            return cdf(a, 0.0, rho1) + cdf(b, 0.0, rho2) - delta
           end
+          fail "Should'nt be here! #{a} - #{b} #{rho}"
         end
-        sum
-      end
-      # Normal cumulative distribution function (cdf) for a given x, y and rho.
-      # Ported from Fortran code by Alan Genz
-      #
-      # Original documentation
-      #    DOUBLE PRECISION FUNCTION BVND( DH, DK, R )
-      #    A function for computing bivariate normal probabilities.
-      #
-      #       Alan Genz
-      #       Department of Mathematics
-      #       Washington State University
-      #       Pullman, WA 99164-3113
-      #       Email : alangenz_AT_wsu.edu
-      #
-      #    This function is based on the method described by 
-      #        Drezner, Z and G.O. Wesolowsky, (1989),
-      #        On the computation of the bivariate normal integral,
-      #        Journal of Statist. Comput. Simul. 35, pp. 101-107,
-      #    with major modifications for double precision, and for |R| close to 1.
-      #   
-      # Original location:
-      # * http://www.math.wsu.edu/faculty/genz/software/fort77/tvpack.f
-      def cdf_genz(x,y,rho)
-        dh=-x
-        dk=-y
-        r=rho
-        twopi = 6.283185307179586
-        
-        w=11.times.collect {[nil]*4};
-        x=11.times.collect {[nil]*4}
-        
-        data=[
-        0.1713244923791705E+00, -0.9324695142031522E+00,
-        0.3607615730481384E+00, -0.6612093864662647E+00,
-        0.4679139345726904E+00, -0.2386191860831970E+00]
-        
-        (1..3).each {|i|
-          w[i][1]=data[(i-1)*2]
-          x[i][1]=data[(i-1)*2+1]
-          
-        }
-        data=[
-        0.4717533638651177E-01,-0.9815606342467191E+00,
-        0.1069393259953183E+00,-0.9041172563704750E+00,
-        0.1600783285433464E+00,-0.7699026741943050E+00,
-        0.2031674267230659E+00,-0.5873179542866171E+00,
-        0.2334925365383547E+00,-0.3678314989981802E+00,
-        0.2491470458134029E+00,-0.1252334085114692E+00]
-        (1..6).each {|i|
-          w[i][2]=data[(i-1)*2]
-          x[i][2]=data[(i-1)*2+1]
 
-          
-        }
-        data=[
-        0.1761400713915212E-01,-0.9931285991850949E+00,
-        0.4060142980038694E-01,-0.9639719272779138E+00,
-        0.6267204833410906E-01,-0.9122344282513259E+00,
-        0.8327674157670475E-01,-0.8391169718222188E+00,
-        0.1019301198172404E+00,-0.7463319064601508E+00,
-        0.1181945319615184E+00,-0.6360536807265150E+00,
-        0.1316886384491766E+00,-0.5108670019508271E+00,
-        0.1420961093183821E+00,-0.3737060887154196E+00,
-        0.1491729864726037E+00,-0.2277858511416451E+00,
-        0.1527533871307259E+00,-0.7652652113349733E-01]
-        
-        (1..10).each {|i|
-          w[i][3]=data[(i-1)*2]
-          x[i][3]=data[(i-1)*2+1]
+        # CDF. Iterative method by Jantaravareerat (n/d)
+        #
+        # Reference:
+        # * Jantaravareerat, M. & Thomopoulos, N. (n/d). Tables for standard bivariate normal distribution
 
-          
-        }
-        
-        
-        if ( r.abs < 0.3 )
-          ng = 1
-          lg = 3
-        elsif ( r.abs < 0.75 )
-          ng = 2
-          lg = 6
-        else 
-          ng = 3
-          lg = 10
+        def cdf_jantaravareerat(x, y, rho, s1 = 1, s2 = 1)
+          # Special cases
+          return 1 if x > LIMIT && y > LIMIT
+          return 0 if x < -LIMIT || y < -LIMIT
+          return Distribution::Normal.cdf(y) if  x > LIMIT
+          return Distribution::Normal.cdf(x) if  y > LIMIT
+
+          # puts "x:#{x} - y:#{y}"
+          x = -LIMIT if x < -LIMIT
+          x = LIMIT if x > LIMIT
+          y = -LIMIT if y < -LIMIT
+          y = LIMIT if y > LIMIT
+
+          x_squares = ((LIMIT + x) / SIDE).to_i
+          y_squares = ((LIMIT + y) / SIDE).to_i
+          sum = 0
+          x_squares.times do |i|
+            y_squares.times do |j|
+              z1 = -LIMIT + (i + 1) * SIDE
+              z2 = -LIMIT + (j + 1) * SIDE
+              # puts " #{z1}-#{z2}"
+              h = (pdf(z1, z2, rho, s1, s2) + pdf(z1 - SIDE, z2, rho, s1, s2) + pdf(z1, z2 - SIDE, rho, s1, s2) + pdf(z1 - SIDE, z2 - SIDE, rho, s1, s2)).quo(4)
+              sum += (SIDE**2) * h # area
+            end
+          end
+          sum
         end
-        
-       
-        h = dh
-        k = dk 
-        hk = h*k
-        bvn = 0
-        if ( r.abs < 0.925 )
-          if ( r.abs > 0 )
-            hs = ( h*h + k*k ).quo(2)
-            asr = Math::asin(r)
-            (1..lg).each do |i|
-              [-1,1].each do |is|
-                sn = Math::sin(asr*(is* x[i][ng]+1).quo(2) )
-                bvn = bvn + w[i][ng] * Math::exp( ( sn*hk-hs ).quo( 1-sn*sn ) )
-              end # do
-            end # do
-            bvn = bvn*asr.quo( 2*twopi )
-          end # if
-          bvn = bvn + Distribution::Normal.cdf(-h) * Distribution::Normal.cdf(-k)
-          
-          
-        else # r.abs
-          if ( r < 0 ) 
-            k = -k
-            hk = -hk
+        # Normal cumulative distribution function (cdf) for a given x, y and rho.
+        # Ported from Fortran code by Alan Genz
+        #
+        # Original documentation
+        #    DOUBLE PRECISION FUNCTION BVND( DH, DK, R )
+        #    A function for computing bivariate normal probabilities.
+        #
+        #       Alan Genz
+        #       Department of Mathematics
+        #       Washington State University
+        #       Pullman, WA 99164-3113
+        #       Email : alangenz_AT_wsu.edu
+        #
+        #    This function is based on the method described by
+        #        Drezner, Z and G.O. Wesolowsky, (1989),
+        #        On the computation of the bivariate normal integral,
+        #        Journal of Statist. Comput. Simul. 35, pp. 101-107,
+        #    with major modifications for double precision, and for |R| close to 1.
+        #
+        # Original location:
+        # * http://www.math.wsu.edu/faculty/genz/software/fort77/tvpack.f
+        def cdf_genz(x, y, rho)
+          dh = -x
+          dk = -y
+          r = rho
+          twopi = 6.283185307179586
+
+          w = 11.times.collect { [nil] * 4 }
+          x = 11.times.collect { [nil] * 4 }
+
+          data = [
+            0.1713244923791705E+00, -0.9324695142031522E+00,
+            0.3607615730481384E+00, -0.6612093864662647E+00,
+            0.4679139345726904E+00, -0.2386191860831970E+00]
+
+          (1..3).each do|i|
+            w[i][1] = data[(i - 1) * 2]
+            x[i][1] = data[(i - 1) * 2 + 1]
           end
-          
-          if ( r.abs < 1 ) 
-            as = ( 1 - r )*( 1 + r )
-            a = Math::sqrt(as)
-            bs = ( h - k )**2
-            c = ( 4 - hk ).quo(8) 
-            d = ( 12 - hk ).quo(16)
-            asr = -( bs.quo(as) + hk ).quo(2)
-            if ( asr > -100 ) 
-              bvn = a*Math::exp(asr) * ( 1 - c*( bs - as )*( 1 - d*bs.quo(5) ).quo(3) + c*d*as*as.quo(5) )
-            end
-            if ( -hk < 100 )
-              b = Math::sqrt(bs)
-              bvn = bvn - Math::exp( -hk.quo(2) ) * Math::sqrt(twopi)*Distribution::Normal.cdf(-b.quo(a))*b *
-              ( 1 - c*bs*( 1 - d*bs.quo(5) ).quo(3) ) 
+          data = [
+            0.4717533638651177E-01, -0.9815606342467191E+00,
+            0.1069393259953183E+00, -0.9041172563704750E+00,
+            0.1600783285433464E+00, -0.7699026741943050E+00,
+            0.2031674267230659E+00, -0.5873179542866171E+00,
+            0.2334925365383547E+00, -0.3678314989981802E+00,
+            0.2491470458134029E+00, -0.1252334085114692E+00]
+          (1..6).each do|i|
+            w[i][2] = data[(i - 1) * 2]
+            x[i][2] = data[(i - 1) * 2 + 1]
+          end
+          data = [
+            0.1761400713915212E-01, -0.9931285991850949E+00,
+            0.4060142980038694E-01, -0.9639719272779138E+00,
+            0.6267204833410906E-01, -0.9122344282513259E+00,
+            0.8327674157670475E-01, -0.8391169718222188E+00,
+            0.1019301198172404E+00, -0.7463319064601508E+00,
+            0.1181945319615184E+00, -0.6360536807265150E+00,
+            0.1316886384491766E+00, -0.5108670019508271E+00,
+            0.1420961093183821E+00, -0.3737060887154196E+00,
+            0.1491729864726037E+00, -0.2277858511416451E+00,
+            0.1527533871307259E+00, -0.7652652113349733E-01]
+
+          (1..10).each do|i|
+            w[i][3] = data[(i - 1) * 2]
+            x[i][3] = data[(i - 1) * 2 + 1]
+          end
+
+          if  r.abs < 0.3
+            ng = 1
+            lg = 3
+          elsif  r.abs < 0.75
+            ng = 2
+            lg = 6
+          else
+            ng = 3
+            lg = 10
+          end
+
+          h = dh
+          k = dk
+          hk = h * k
+          bvn = 0
+          if  r.abs < 0.925
+            if  r.abs > 0
+              hs = (h * h + k * k).quo(2)
+              asr = Math.asin(r)
+              (1..lg).each do |i|
+                [-1, 1].each do |is|
+                  sn = Math.sin(asr * (is * x[i][ng] + 1).quo(2))
+                  bvn += w[i][ng] * Math.exp((sn * hk - hs).quo(1 - sn * sn))
+                end # do
+              end # do
+              bvn *= asr.quo(2 * twopi)
+            end # if
+            bvn += Distribution::Normal.cdf(-h) * Distribution::Normal.cdf(-k)
+
+          else # r.abs
+            if  r < 0
+              k = -k
+              hk = -hk
             end
-            
-            
-            a = a.quo(2)
-            (1..lg).each do |i|
-              [-1,1].each do |is|
-                xs = (a*(  is*x[i][ng] + 1 ) )**2
-                rs = Math::sqrt( 1 - xs )
-                asr = -( bs/xs + hk ).quo(2)
-                if ( asr > -100 )
-                  bvn = bvn + a*w[i][ng] * Math::exp( asr ) *
-                    ( Math::exp( -hk*( 1 - rs ).quo(2*( 1 + rs ) ) ) .quo(rs) - ( 1 + c*xs*( 1 + d*xs ) ) )
+
+            if  r.abs < 1
+              as = (1 - r) * (1 + r)
+              a = Math.sqrt(as)
+              bs = (h - k)**2
+              c = (4 - hk).quo(8)
+              d = (12 - hk).quo(16)
+              asr = -(bs.quo(as) + hk).quo(2)
+              if  asr > -100
+                bvn = a * Math.exp(asr) * (1 - c * (bs - as) * (1 - d * bs.quo(5)).quo(3) + c * d * as * as.quo(5))
+              end
+              if  -hk < 100
+                b = Math.sqrt(bs)
+                bvn -= Math.exp(-hk.quo(2)) * Math.sqrt(twopi) * Distribution::Normal.cdf(-b.quo(a)) * b *
+                       (1 - c * bs * (1 - d * bs.quo(5)).quo(3))
+              end
+
+              a = a.quo(2)
+              (1..lg).each do |i|
+                [-1, 1].each do |is|
+                  xs = (a * (is * x[i][ng] + 1))**2
+                  rs = Math.sqrt(1 - xs)
+                  asr = -(bs / xs + hk).quo(2)
+                  if  asr > -100
+                    bvn += a * w[i][ng] * Math.exp(asr) *
+                           (Math.exp(-hk * (1 - rs).quo(2 * (1 + rs))) .quo(rs) - (1 + c * xs * (1 + d * xs)))
+                  end
                 end
               end
+              bvn = -bvn / twopi
             end
-            bvn = -bvn/twopi
-          end
-          
-          if ( r > 0 )
-            bvn =  bvn + Distribution::Normal.cdf(-[h,k].max)
-          else
-            bvn = -bvn 
-            if ( k > h ) 
-              bvn = bvn + Distribution::Normal.cdf(k) - Distribution::Normal.cdf(h) 
+
+            if  r > 0
+              bvn += Distribution::Normal.cdf(-[h, k].max)
+            else
+              bvn = -bvn
+              if  k > h
+                bvn = bvn + Distribution::Normal.cdf(k) - Distribution::Normal.cdf(h)
+              end
             end
           end
+          bvn
         end
-        bvn
+        private :f, :sgn
       end
-      private :f, :sgn 
-    end
     end
   end
 end