351 lines
10 KiB
C++
351 lines
10 KiB
C++
// Copyright Thijs van den Berg, 2008.
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// Copyright John Maddock 2008.
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// Copyright Paul A. Bristow 2008, 2014.
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// Use, modification and distribution are subject to the
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// Boost Software License, Version 1.0. (See accompanying file
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// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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// This module implements the Laplace distribution.
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// Weisstein, Eric W. "Laplace Distribution." From MathWorld--A Wolfram Web Resource.
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// http://mathworld.wolfram.com/LaplaceDistribution.html
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// http://en.wikipedia.org/wiki/Laplace_distribution
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//
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// Abramowitz and Stegun 1972, p 930
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// http://www.math.sfu.ca/~cbm/aands/page_930.htm
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#ifndef BOOST_STATS_LAPLACE_HPP
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#define BOOST_STATS_LAPLACE_HPP
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#include <boost/math/distributions/detail/common_error_handling.hpp>
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#include <boost/math/distributions/complement.hpp>
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#include <boost/math/constants/constants.hpp>
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#include <limits>
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namespace boost{ namespace math{
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#ifdef BOOST_MSVC
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# pragma warning(push)
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# pragma warning(disable:4127) // conditional expression is constant
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#endif
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template <class RealType = double, class Policy = policies::policy<> >
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class laplace_distribution
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{
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public:
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// ----------------------------------
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// public Types
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// ----------------------------------
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typedef RealType value_type;
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typedef Policy policy_type;
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// ----------------------------------
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// Constructor(s)
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// ----------------------------------
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laplace_distribution(RealType l_location = 0, RealType l_scale = 1)
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: m_location(l_location), m_scale(l_scale)
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{
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RealType result;
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check_parameters("boost::math::laplace_distribution<%1%>::laplace_distribution()", &result);
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}
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// ----------------------------------
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// Public functions
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// ----------------------------------
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RealType location() const
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{
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return m_location;
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}
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RealType scale() const
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{
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return m_scale;
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}
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bool check_parameters(const char* function, RealType* result) const
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{
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if(false == detail::check_scale(function, m_scale, result, Policy())) return false;
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if(false == detail::check_location(function, m_location, result, Policy())) return false;
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return true;
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}
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private:
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RealType m_location;
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RealType m_scale;
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}; // class laplace_distribution
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//
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// Convenient type synonym for double.
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typedef laplace_distribution<double> laplace;
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//
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// Non-member functions.
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template <class RealType, class Policy>
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inline const std::pair<RealType, RealType> range(const laplace_distribution<RealType, Policy>&)
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{
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if (std::numeric_limits<RealType>::has_infinity)
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{ // Can use infinity.
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return std::pair<RealType, RealType>(-std::numeric_limits<RealType>::infinity(), std::numeric_limits<RealType>::infinity()); // - to + infinity.
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}
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else
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{ // Can only use max_value.
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using boost::math::tools::max_value;
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return std::pair<RealType, RealType>(-max_value<RealType>(), max_value<RealType>()); // - to + max value.
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}
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}
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template <class RealType, class Policy>
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inline const std::pair<RealType, RealType> support(const laplace_distribution<RealType, Policy>&)
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{
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if (std::numeric_limits<RealType>::has_infinity)
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{ // Can Use infinity.
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return std::pair<RealType, RealType>(-std::numeric_limits<RealType>::infinity(), std::numeric_limits<RealType>::infinity()); // - to + infinity.
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}
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else
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{ // Can only use max_value.
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using boost::math::tools::max_value;
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return std::pair<RealType, RealType>(-max_value<RealType>(), max_value<RealType>()); // - to + max value.
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}
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}
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template <class RealType, class Policy>
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inline RealType pdf(const laplace_distribution<RealType, Policy>& dist, const RealType& x)
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{
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BOOST_MATH_STD_USING // for ADL of std functions
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// Checking function argument
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RealType result = 0;
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const char* function = "boost::math::pdf(const laplace_distribution<%1%>&, %1%))";
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// Check scale and location.
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if (false == dist.check_parameters(function, &result)) return result;
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// Special pdf values.
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if((boost::math::isinf)(x))
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{
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return 0; // pdf + and - infinity is zero.
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}
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if (false == detail::check_x(function, x, &result, Policy())) return result;
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// General case
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RealType scale( dist.scale() );
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RealType location( dist.location() );
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RealType exponent = x - location;
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if (exponent>0) exponent = -exponent;
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exponent /= scale;
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result = exp(exponent);
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result /= 2 * scale;
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return result;
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} // pdf
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template <class RealType, class Policy>
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inline RealType cdf(const laplace_distribution<RealType, Policy>& dist, const RealType& x)
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{
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BOOST_MATH_STD_USING // For ADL of std functions.
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RealType result = 0;
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// Checking function argument.
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const char* function = "boost::math::cdf(const laplace_distribution<%1%>&, %1%)";
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// Check scale and location.
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if (false == dist.check_parameters(function, &result)) return result;
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// Special cdf values:
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if((boost::math::isinf)(x))
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{
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if(x < 0) return 0; // -infinity.
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return 1; // + infinity.
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}
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if (false == detail::check_x(function, x, &result, Policy())) return result;
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// General cdf values
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RealType scale( dist.scale() );
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RealType location( dist.location() );
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if (x < location)
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{
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result = exp( (x-location)/scale )/2;
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}
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else
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{
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result = 1 - exp( (location-x)/scale )/2;
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}
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return result;
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} // cdf
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template <class RealType, class Policy>
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inline RealType quantile(const laplace_distribution<RealType, Policy>& dist, const RealType& p)
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{
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BOOST_MATH_STD_USING // for ADL of std functions.
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// Checking function argument
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RealType result = 0;
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const char* function = "boost::math::quantile(const laplace_distribution<%1%>&, %1%)";
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if (false == dist.check_parameters(function, &result)) return result;
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if(false == detail::check_probability(function, p, &result, Policy())) return result;
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// Extreme values of p:
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if(p == 0)
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{
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result = policies::raise_overflow_error<RealType>(function,
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"probability parameter is 0, but must be > 0!", Policy());
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return -result; // -std::numeric_limits<RealType>::infinity();
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}
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if(p == 1)
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{
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result = policies::raise_overflow_error<RealType>(function,
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"probability parameter is 1, but must be < 1!", Policy());
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return result; // std::numeric_limits<RealType>::infinity();
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}
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// Calculate Quantile
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RealType scale( dist.scale() );
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RealType location( dist.location() );
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if (p - 0.5 < 0.0)
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result = location + scale*log( static_cast<RealType>(p*2) );
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else
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result = location - scale*log( static_cast<RealType>(-p*2 + 2) );
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return result;
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} // quantile
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template <class RealType, class Policy>
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inline RealType cdf(const complemented2_type<laplace_distribution<RealType, Policy>, RealType>& c)
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{
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// Calculate complement of cdf.
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BOOST_MATH_STD_USING // for ADL of std functions
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RealType scale = c.dist.scale();
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RealType location = c.dist.location();
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RealType x = c.param;
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RealType result = 0;
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// Checking function argument.
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const char* function = "boost::math::cdf(const complemented2_type<laplace_distribution<%1%>, %1%>&)";
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// Check scale and location.
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//if(false == detail::check_scale(function, scale, result, Policy())) return false;
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//if(false == detail::check_location(function, location, result, Policy())) return false;
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if (false == c.dist.check_parameters(function, &result)) return result;
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// Special cdf values.
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if((boost::math::isinf)(x))
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{
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if(x < 0) return 1; // cdf complement -infinity is unity.
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return 0; // cdf complement +infinity is zero.
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}
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if(false == detail::check_x(function, x, &result, Policy()))return result;
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// Cdf interval value.
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if (-x < -location)
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{
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result = exp( (-x+location)/scale )/2;
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}
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else
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{
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result = 1 - exp( (-location+x)/scale )/2;
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}
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return result;
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} // cdf complement
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template <class RealType, class Policy>
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inline RealType quantile(const complemented2_type<laplace_distribution<RealType, Policy>, RealType>& c)
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{
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BOOST_MATH_STD_USING // for ADL of std functions.
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// Calculate quantile.
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RealType scale = c.dist.scale();
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RealType location = c.dist.location();
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RealType q = c.param;
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RealType result = 0;
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// Checking function argument.
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const char* function = "quantile(const complemented2_type<laplace_distribution<%1%>, %1%>&)";
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if (false == c.dist.check_parameters(function, &result)) return result;
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// Extreme values.
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if(q == 0)
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{
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return std::numeric_limits<RealType>::infinity();
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}
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if(q == 1)
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{
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return -std::numeric_limits<RealType>::infinity();
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}
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if(false == detail::check_probability(function, q, &result, Policy())) return result;
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if (0.5 - q < 0.0)
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result = location + scale*log( static_cast<RealType>(-q*2 + 2) );
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else
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result = location - scale*log( static_cast<RealType>(q*2) );
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return result;
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} // quantile
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template <class RealType, class Policy>
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inline RealType mean(const laplace_distribution<RealType, Policy>& dist)
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{
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return dist.location();
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}
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template <class RealType, class Policy>
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inline RealType standard_deviation(const laplace_distribution<RealType, Policy>& dist)
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{
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return constants::root_two<RealType>() * dist.scale();
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}
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template <class RealType, class Policy>
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inline RealType mode(const laplace_distribution<RealType, Policy>& dist)
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{
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return dist.location();
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}
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template <class RealType, class Policy>
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inline RealType median(const laplace_distribution<RealType, Policy>& dist)
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{
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return dist.location();
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}
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template <class RealType, class Policy>
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inline RealType skewness(const laplace_distribution<RealType, Policy>& /*dist*/)
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{
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return 0;
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}
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template <class RealType, class Policy>
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inline RealType kurtosis(const laplace_distribution<RealType, Policy>& /*dist*/)
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{
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return 6;
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}
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template <class RealType, class Policy>
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inline RealType kurtosis_excess(const laplace_distribution<RealType, Policy>& /*dist*/)
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{
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return 3;
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}
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#ifdef BOOST_MSVC
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# pragma warning(pop)
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#endif
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} // namespace math
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} // namespace boost
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// This include must be at the end, *after* the accessors
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// for this distribution have been defined, in order to
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// keep compilers that support two-phase lookup happy.
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#include <boost/math/distributions/detail/derived_accessors.hpp>
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#endif // BOOST_STATS_LAPLACE_HPP
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