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- // Copyright John Maddock 2006.
- // Use, modification and distribution are subject to 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)
- // test_extreme_value.cpp
- #include <boost/math/tools/test.hpp>
- #include <boost/math/concepts/real_concept.hpp> // for real_concept
- #include <boost/math/distributions/extreme_value.hpp>
- using boost::math::extreme_value_distribution;
- #define BOOST_TEST_MAIN
- #include <boost/test/unit_test.hpp> // Boost.Test
- #include <boost/test/tools/floating_point_comparison.hpp>
- #include "test_out_of_range.hpp"
- #include <iostream>
- using std::cout;
- using std::endl;
- using std::setprecision;
- template <class RealType>
- void test_spot(RealType a, RealType b, RealType x, RealType p, RealType q, RealType tolerance)
- {
- BOOST_CHECK_CLOSE(
- ::boost::math::cdf(
- extreme_value_distribution<RealType>(a, b),
- x),
- p,
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::cdf(
- complement(extreme_value_distribution<RealType>(a, b),
- x)),
- q,
- tolerance); // %
- if((p < 0.999) && (p > 0))
- {
- BOOST_CHECK_CLOSE(
- ::boost::math::quantile(
- extreme_value_distribution<RealType>(a, b),
- p),
- x,
- tolerance); // %
- }
- if((q < 0.999) && (q > 0))
- {
- BOOST_CHECK_CLOSE(
- ::boost::math::quantile(
- complement(extreme_value_distribution<RealType>(a, b),
- q)),
- x,
- tolerance); // %
- }
- }
- template <class RealType>
- void test_spots(RealType)
- {
- // Basic sanity checks.
- // 50eps as a percentage, up to a maximum of double precision
- // (that's the limit of our test data).
- RealType tolerance = (std::max)(
- static_cast<RealType>(boost::math::tools::epsilon<double>()),
- boost::math::tools::epsilon<RealType>());
- tolerance *= 50 * 100;
- cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
- // Results calculated by punching numbers into a calculator,
- // and using the formula at http://mathworld.wolfram.com/ExtremeValueDistribution.html
- test_spot(
- static_cast<RealType>(0.5), // a
- static_cast<RealType>(1.5), // b
- static_cast<RealType>(0.125), // x
- static_cast<RealType>(0.27692033409990891617007608217222L), // p
- static_cast<RealType>(0.72307966590009108382992391782778L), //q
- tolerance);
- test_spot(
- static_cast<RealType>(0.5), // a
- static_cast<RealType>(2), // b
- static_cast<RealType>(-5), // x
- static_cast<RealType>(1.6087601139887776413169427645933e-7L), // p
- static_cast<RealType>(0.99999983912398860112223586830572L), //q
- tolerance);
- test_spot(
- static_cast<RealType>(0.5), // a
- static_cast<RealType>(0.25), // b
- static_cast<RealType>(0.75), // x
- static_cast<RealType>(0.69220062755534635386542199718279L), // p
- static_cast<RealType>(0.30779937244465364613457800281721), //q
- tolerance);
- test_spot(
- static_cast<RealType>(0.5), // a
- static_cast<RealType>(0.25), // b
- static_cast<RealType>(5), // x
- static_cast<RealType>(0.99999998477002037126351248727041L), // p
- static_cast<RealType>(1.5229979628736487512729586276294e-8L), //q
- tolerance);
- BOOST_CHECK_CLOSE(
- ::boost::math::pdf(
- extreme_value_distribution<RealType>(0.5, 2),
- static_cast<RealType>(0.125)), // x
- static_cast<RealType>(0.18052654830890205978204427757846L), // probability.
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::pdf(
- extreme_value_distribution<RealType>(1, 3),
- static_cast<RealType>(5)), // x
- static_cast<RealType>(0.0675057324099851209129017326286L), // probability.
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::pdf(
- extreme_value_distribution<RealType>(1, 3),
- static_cast<RealType>(0)), // x
- static_cast<RealType>(0.11522236828583456431277265757312L), // probability.
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::mean(
- extreme_value_distribution<RealType>(2, 3)),
- static_cast<RealType>(3.731646994704598581819536270246L),
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::standard_deviation(
- extreme_value_distribution<RealType>(1, 0.5)),
- static_cast<RealType>(0.6412749150809320477720181798355L),
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::mode(
- extreme_value_distribution<RealType>(2, 3)),
- static_cast<RealType>(2),
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::median(
- extreme_value_distribution<RealType>(0, 1)),
- static_cast<RealType>(+0.36651292058166432701243915823266946945426344783710526305367771367056),
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::skewness(
- extreme_value_distribution<RealType>(2, 3)),
- static_cast<RealType>(1.1395470994046486574927930193898461120875997958366L),
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::kurtosis(
- extreme_value_distribution<RealType>(2, 3)),
- static_cast<RealType>(5.4),
- tolerance); // %
- BOOST_CHECK_CLOSE(
- ::boost::math::kurtosis_excess(
- extreme_value_distribution<RealType>(2, 3)),
- static_cast<RealType>(2.4),
- tolerance); // %
- //
- // Things that are errors:
- //
- extreme_value_distribution<RealType> dist(0.5, 2);
- BOOST_MATH_CHECK_THROW(
- quantile(dist, RealType(1.0)),
- std::overflow_error);
- BOOST_MATH_CHECK_THROW(
- quantile(complement(dist, RealType(0.0))),
- std::overflow_error);
- BOOST_MATH_CHECK_THROW(
- quantile(dist, RealType(0.0)),
- std::overflow_error);
- BOOST_MATH_CHECK_THROW(
- quantile(complement(dist, RealType(1.0))),
- std::overflow_error);
- BOOST_MATH_CHECK_THROW(
- cdf(extreme_value_distribution<RealType>(0, -1), RealType(1)),
- std::domain_error);
- BOOST_MATH_CHECK_THROW(
- quantile(dist, RealType(-1)),
- std::domain_error);
- BOOST_MATH_CHECK_THROW(
- quantile(dist, RealType(2)),
- std::domain_error);
- check_out_of_range<extreme_value_distribution<RealType> >(1, 2);
- if(std::numeric_limits<RealType>::has_infinity)
- {
- RealType inf = std::numeric_limits<RealType>::infinity();
- BOOST_CHECK_EQUAL(pdf(extreme_value_distribution<RealType>(), -inf), 0);
- BOOST_CHECK_EQUAL(pdf(extreme_value_distribution<RealType>(), inf), 0);
- BOOST_CHECK_EQUAL(cdf(extreme_value_distribution<RealType>(), -inf), 0);
- BOOST_CHECK_EQUAL(cdf(extreme_value_distribution<RealType>(), inf), 1);
- BOOST_CHECK_EQUAL(cdf(complement(extreme_value_distribution<RealType>(), -inf)), 1);
- BOOST_CHECK_EQUAL(cdf(complement(extreme_value_distribution<RealType>(), inf)), 0);
- }
- //
- // Bug reports:
- //
- // https://svn.boost.org/trac/boost/ticket/10938:
- BOOST_CHECK_CLOSE(
- ::boost::math::pdf(
- extreme_value_distribution<RealType>(0, 1),
- static_cast<RealType>(-1000)), // x
- static_cast<RealType>(0), // probability.
- tolerance); // %
- } // template <class RealType>void test_spots(RealType)
- BOOST_AUTO_TEST_CASE( test_main )
- {
- // Check that can generate extreme_value distribution using the two convenience methods:
- boost::math::extreme_value mycev1(1.); // Using typedef
- extreme_value_distribution<> myev2(1.); // Using default RealType double.
- // Basic sanity-check spot values.
- // (Parameter value, arbitrarily zero, only communicates the floating point type).
- test_spots(0.0F); // Test float. OK at decdigits = 0 tolerance = 0.0001 %
- test_spots(0.0); // Test double. OK at decdigits 7, tolerance = 1e07 %
- #ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
- test_spots(0.0L); // Test long double.
- #if !BOOST_WORKAROUND(__BORLANDC__, BOOST_TESTED_AT(0x582))
- test_spots(boost::math::concepts::real_concept(0.)); // Test real concept.
- #endif
- #else
- std::cout << "<note>The long double tests have been disabled on this platform "
- "either because the long double overloads of the usual math functions are "
- "not available at all, or because they are too inaccurate for these tests "
- "to pass.</note>" << std::endl;
- #endif
-
- } // BOOST_AUTO_TEST_CASE( test_main )
- /*
- Output is:
- -Running 1 test case...
- Tolerance for type float is 0.000596046 %
- Tolerance for type double is 1.11022e-012 %
- Tolerance for type long double is 1.11022e-012 %
- Tolerance for type class boost::math::concepts::real_concept is 1.11022e-012 %
- *** No errors detected
- */
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