@mark1russell7/rigor-statistics 0.1.23 → 0.1.24

package/README.md

@@ -190,6 +190,7 @@ logLoss([{ p: p.a, hit: true }]);                // the probability of the obser
 | `spearman`, `kendallTau`, `ranks` | The rank correlations, with mean ranks for ties. |
 | `compareRatios`, `noiseFloor`, `noiseVerdict` | The comparison with a baseline, the noise floor of the 5-seed rule with a margin of practical effect, and the state of a difference over the seeds. |
 | `optionFloor({ sigma, delta, tests, alpha, power })`, `tQuantile(p, df)` | The fewest values for each of two options, so that one test of a Bonferroni family finds a difference of `delta` with the stated power, from the Student t law. It assumes unpaired groups of equal size and equal `sigma`. The quantile of the Student t law. |
+| `normalCdf(x)`, `normalQuantile(p)` | The distribution function of the standard normal law and its quantile (AS 241 of Wichura). Both keep their relative digits in the lower tail, to `p = 1e-300`. |
 | `modeCount(values, { minShare, valleyRatio })` | The count of the modes of a sample, from a kernel density estimate. |
 | `smoothLawScores(values)`, `bestSmoothLaw(values)` | The mean log density of the uniform, normal, exponential, log-normal and Pareto laws at their fits, and the best of them. |
 | `brier`, `calibration` | The Brier score of predictions, and the hit rate of each stated level. |
@@ -291,6 +292,7 @@ The tests prove that these functions give the same numbers as the copies in the
 | `bootstrap` of layout-contract | `bootstrapClusters(rows, (r) => r.cluster, statistic, { runs, seed, ends: [0.025, 0.975] })` |
 | The stratified bootstrap of `verdict` of layout-contract | `bootstrapStrata(families, meanOfMeans, { runs, seed: deriveSeed(seed, "verdict.stratified"), ends })` |
 | The permutation test of `verdict` of layout-contract | `signFlipTest(terms, { exactMax, runs, seed: deriveSeed(seed, "verdict.permutation") })` |
+| `normalQuantile` of lag (Acklam, relative error below 1.2e-9) | `normalQuantile(p)`. The values change by 1.2e-9 or less, because the new function is more exact. A `p` out of 0 to 1 throws. |
 | `signTestP` of packing | `signTest(better, worse)` |
 | `signTestPower` of highways | `signTestPower(n, level)` |
 | `wilson` of packing | `wilson(k, n, z)`. packing rounds the ends to 4 places at the call. |

package/build/index.d.ts

@@ -1236,6 +1236,20 @@ interface OptionFloorOptions {
  * @returns A whole number of 2 or more.
  */
 export declare function optionFloor(options: OptionFloorOptions): number;
+/**
+ * This function gives the distribution function of the standard normal law, `P(Z <= x)`. Its relative error is below
+ * 1e-14, also in the lower tail: `normalCdf(-37)` is approximately 5.7e-300, not 0.
+ *
+ * @param x - A number. `-Infinity` gives 0 and `Infinity` gives 1.
+ */
+export declare function normalCdf(x: number): number;
+/**
+ * This function gives the quantile of the standard normal law, the `x` with `normalCdf(x) = p`. It uses PPND16 of
+ * Wichura (algorithm AS 241). Its relative error is near 1e-16 for each `p` from 1e-300 to 1 - 1e-16.
+ *
+ * @param p - The share of the law below the result, from 0 to 1. A `p` of 0 gives `-Infinity` and 1 gives `Infinity`.
+ */
+export declare function normalQuantile(p: number): number;
 /** One cell of a coverage study: the hits of a method on the true value in `draws` seeded samples of size `sample`. */
 interface CoverageCell {
   /** The name of the cell, for example `"skewed 120/108"`. The result names the rejected cells with it. */

package/build/index.d.ts.map

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package/build/index.js

@@ -3251,6 +3251,162 @@ function optionFloor(options) {
 	}
 	throw new RangeError(`optionFloor: no count under 10,000,000 for sigma ${sigma} and delta ${delta}.`);
 }
+// src/normal.ts
+/**
+* The standard normal law: its distribution function `normalCdf` and its quantile `normalQuantile`. The two functions
+* keep their relative digits in the far tails, so a small tail probability does not become 0.
+*/
+const SQRT_PI = Math.sqrt(Math.PI);
+/** The series of `erf(z)` with positive terms, `2/√π · e^(-z²) · Σ (2z²)^n · z / (1·3·…·(2n+1))`, for a small `z` of 0 or more. */
+function erfSeries(z) {
+	const twoZ2 = 2 * z * z;
+	let term = z;
+	let sum = z;
+	for (let n = 1; n < 500 && term > sum * 1e-17; n++) {
+		term *= twoZ2 / (2 * n + 1);
+		sum += term;
+	}
+	return 2 / SQRT_PI * expMinusSquare(z) * sum;
+}
+/**
+* The continued fraction of `erfc(z)`, `e^(-z²)/√π · 1/(z + (1/2)/(z + 1/(z + (3/2)/(z + …))))`, by the method of
+* Lentz, for a `z` of 1.5 or more.
+*/
+function erfcFraction(z) {
+	const tiny = 1e-300;
+	let f = z;
+	let c = z;
+	let d = 0;
+	for (let n = 1; n < 5e3; n++) {
+		const a = n / 2;
+		d = z + a * d;
+		d = 1 / (Math.abs(d) < tiny ? tiny : d);
+		c = z + a / c;
+		if (Math.abs(c) < tiny) c = tiny;
+		const delta = c * d;
+		f *= delta;
+		if (Math.abs(delta - 1) < 1e-16) break;
+	}
+	return expMinusSquare(z) / (SQRT_PI * f);
+}
+/**
+* The value of `e^(-z²)` with its relative digits for a large `z`. The rounding of `z²` costs `z²` ulps, so the
+* function splits `z` into `hi + lo`. `hi` has 4 bits after the point, so `hi²` is exact.
+*/
+function expMinusSquare(z) {
+	const hi = Math.round(z * 16) / 16;
+	const lo = z - hi;
+	return Math.exp(-hi * hi) * Math.exp(-lo * (z + hi));
+}
+/** The complementary error function `erfc(z) = 1 - erf(z)`, with its relative digits for a large `z`. */
+function erfc(z) {
+	if (z < 0) return 2 - erfc(-z);
+	return z < 1.5 ? 1 - erfSeries(z) : erfcFraction(z);
+}
+/**
+* This function gives the distribution function of the standard normal law, `P(Z <= x)`. Its relative error is below
+* 1e-14, also in the lower tail: `normalCdf(-37)` is approximately 5.7e-300, not 0.
+*
+* @param x - A number. `-Infinity` gives 0 and `Infinity` gives 1.
+*/
+function normalCdf(x) {
+	if (Number.isNaN(x)) throw new RangeError("normalCdf: x is NaN.");
+	if (x === Number.NEGATIVE_INFINITY) return 0;
+	if (x === Number.POSITIVE_INFINITY) return 1;
+	return erfc(-x / Math.SQRT2) / 2;
+}
+const A = [
+	3.3871328727963665,
+	133.14166789178438,
+	1971.5909503065513,
+	13731.69376550946,
+	45921.95393154987,
+	67265.7709270087,
+	33430.57558358813,
+	2509.0809287301227
+];
+const B = [
+	1,
+	42.31333070160091,
+	687.1870074920579,
+	5394.196021424751,
+	21213.794301586597,
+	39307.89580009271,
+	28729.085735721943,
+	5226.495278852854
+];
+const C = [
+	1.4234371107496835,
+	4.630337846156546,
+	5.769497221460691,
+	3.6478483247632045,
+	1.2704582524523684,
+	.2417807251774506,
+	.022723844989269184,
+	.0007745450142783414
+];
+const D = [
+	1,
+	2.053191626637759,
+	1.6763848301838038,
+	.6897673349851,
+	.14810397642748008,
+	.015198666563616457,
+	.0005475938084995345,
+	1.0507500716444169e-9
+];
+const E = [
+	6.657904643501103,
+	5.463784911164114,
+	1.7848265399172913,
+	.29656057182850487,
+	.026532189526576124,
+	.0012426609473880784,
+	27115555687434876e-21,
+	2.0103343992922881e-7
+];
+const F = [
+	1,
+	.599832206555888,
+	.1369298809227358,
+	.014875361290850615,
+	.0007868691311456133,
+	18463183175100548e-21,
+	1.421511758316446e-7,
+	20442631033899397e-31
+];
+/** The value of a polynomial with the coefficients `c[0] + c[1] x + …`, by the rule of Horner. */
+function poly(c, x) {
+	let value = 0;
+	for (let i = c.length - 1; i >= 0; i--) value = value * x + c[i];
+	return value;
+}
+/**
+* This function gives the quantile of the standard normal law, the `x` with `normalCdf(x) = p`. It uses PPND16 of
+* Wichura (algorithm AS 241). Its relative error is near 1e-16 for each `p` from 1e-300 to 1 - 1e-16.
+*
+* @param p - The share of the law below the result, from 0 to 1. A `p` of 0 gives `-Infinity` and 1 gives `Infinity`.
+*/
+function normalQuantile(p) {
+	if (!(p >= 0 && p <= 1)) throw new RangeError(`normalQuantile: p is from 0 to 1, not ${p}.`);
+	if (p === 0) return Number.NEGATIVE_INFINITY;
+	if (p === 1) return Number.POSITIVE_INFINITY;
+	const q = p - .5;
+	if (Math.abs(q) <= .425) {
+		const r = .180625 - q * q;
+		return q * poly(A, r) / poly(B, r);
+	}
+	let r = Math.sqrt(-Math.log(q < 0 ? p : 1 - p));
+	let value;
+	if (r <= 5) {
+		r -= 1.6;
+		value = poly(C, r) / poly(D, r);
+	} else {
+		r -= 5;
+		value = poly(E, r) / poly(F, r);
+	}
+	return q < 0 ? -value : value;
+}
 // src/coverage.ts
 /**
 * The rule that finds the smallest sample at which an interval method keeps its level. The input is the hits of the
@@ -3941,6 +4097,6 @@ function inverseDiagonal(hessian, k) {
 	}
 	return out;
 }
-export { KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, SIGN_FLIP_EXACT_LIMIT, SIGN_FLIP_EXACT_MAX, U_STATISTIC_TIGHT_MIN_SAMPLE, Z95, bestSmoothLaw, binomialInterval, binomialTest, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapStrata, bootstrapTwo, bradleyTerry, brier, calibration, cohenKappa, compareRatios, coverageMinSample, eloExpected, eloUpdate, fitResponse, glicko2Idle, glicko2Update, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, logLoss, mean, median, medianInterval, modeCount, negativeBinomialInterval, noiseFloor, noiseVerdict, optionFloor, pairProbabilities, pairedPermutation, parseResponseRecord, partialConjunction, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, ratingToStrength, responseCells, ridgeSolve, sampleTotalInterval, sd, signFlipTest, signTest, signTestPower, sliceResponse, smoothLawScores, sobolIndices, sorted, spearman, strengthToRating, summarize, surfaceResponse, tQuantile, twoSamplePermutation, uStatisticInterval, whenHolds, wilson, wilsonSampleSize };
+export { KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, SIGN_FLIP_EXACT_LIMIT, SIGN_FLIP_EXACT_MAX, U_STATISTIC_TIGHT_MIN_SAMPLE, Z95, bestSmoothLaw, binomialInterval, binomialTest, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapStrata, bootstrapTwo, bradleyTerry, brier, calibration, cohenKappa, compareRatios, coverageMinSample, eloExpected, eloUpdate, fitResponse, glicko2Idle, glicko2Update, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, logLoss, mean, median, medianInterval, modeCount, negativeBinomialInterval, noiseFloor, noiseVerdict, normalCdf, normalQuantile, optionFloor, pairProbabilities, pairedPermutation, parseResponseRecord, partialConjunction, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, ratingToStrength, responseCells, ridgeSolve, sampleTotalInterval, sd, signFlipTest, signTest, signTestPower, sliceResponse, smoothLawScores, sobolIndices, sorted, spearman, strengthToRating, summarize, surfaceResponse, tQuantile, twoSamplePermutation, uStatisticInterval, whenHolds, wilson, wilsonSampleSize };
 
 //# sourceMappingURL=index.js.map