Skip to content
Permalink
Branch: master
Find file Copy path
Find file Copy path
Fetching contributors…
Cannot retrieve contributors at this time
137 lines (115 sloc) 3.71 KB
// Copyright ©2016 The Gonum Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.
package distuv
import (
"math"
"golang.org/x/exp/rand"
"gonum.org/v1/gonum/mathext"
)
// Beta implements the Beta distribution, a two-parameter continuous distribution
// with support between 0 and 1.
//
// The beta distribution has density function
// x^(α-1) * (1-x)^(β-1) * Γ(α+β) / (Γ(α)*Γ(β))
//
// For more information, see https://en.wikipedia.org/wiki/Beta_distribution
type Beta struct {
// Alpha is the left shape parameter of the distribution. Alpha must be greater
// than 0.
Alpha float64
// Beta is the right shape parameter of the distribution. Beta must be greater
// than 0.
Beta float64
Src rand.Source
}
// CDF computes the value of the cumulative distribution function at x.
func (b Beta) CDF(x float64) float64 {
if x <= 0 {
return 0
}
if x >= 1 {
return 1
}
return mathext.RegIncBeta(b.Alpha, b.Beta, x)
}
// Entropy returns the differential entropy of the distribution.
func (b Beta) Entropy() float64 {
if b.Alpha <= 0 || b.Beta <= 0 {
panic("beta: negative parameters")
}
return mathext.Lbeta(b.Alpha, b.Beta) - (b.Alpha-1)*mathext.Digamma(b.Alpha) -
(b.Beta-1)*mathext.Digamma(b.Beta) + (b.Alpha+b.Beta-2)*mathext.Digamma(b.Alpha+b.Beta)
}
// ExKurtosis returns the excess kurtosis of the distribution.
func (b Beta) ExKurtosis() float64 {
num := 6 * ((b.Alpha-b.Beta)*(b.Alpha-b.Beta)*(b.Alpha+b.Beta+1) - b.Alpha*b.Beta*(b.Alpha+b.Beta+2))
den := b.Alpha * b.Beta * (b.Alpha + b.Beta + 2) * (b.Alpha + b.Beta + 3)
return num / den
}
// LogProb computes the natural logarithm of the value of the probability
// density function at x.
func (b Beta) LogProb(x float64) float64 {
if x < 0 || x > 1 {
return math.Inf(-1)
}
if b.Alpha <= 0 || b.Beta <= 0 {
panic("beta: negative parameters")
}
lab, _ := math.Lgamma(b.Alpha + b.Beta)
la, _ := math.Lgamma(b.Alpha)
lb, _ := math.Lgamma(b.Beta)
return lab - la - lb + (b.Alpha-1)*math.Log(x) + (b.Beta-1)*math.Log(1-x)
}
// Mean returns the mean of the probability distribution.
func (b Beta) Mean() float64 {
return b.Alpha / (b.Alpha + b.Beta)
}
// Mode returns the mode of the distribution.
//
// Mode returns NaN if either parameter is less than or equal to 1 as a special case.
func (b Beta) Mode() float64 {
if b.Alpha <= 1 || b.Beta <= 1 {
return math.NaN()
}
return (b.Alpha - 1) / (b.Alpha + b.Beta - 2)
}
// NumParameters returns the number of parameters in the distribution.
func (b Beta) NumParameters() int {
return 2
}
// Prob computes the value of the probability density function at x.
func (b Beta) Prob(x float64) float64 {
return math.Exp(b.LogProb(x))
}
// Quantile returns the inverse of the cumulative distribution function.
func (b Beta) Quantile(p float64) float64 {
if p < 0 || p > 1 {
panic(badPercentile)
}
return mathext.InvRegIncBeta(b.Alpha, b.Beta, p)
}
// Rand returns a random sample drawn from the distribution.
func (b Beta) Rand() float64 {
ga := Gamma{Alpha: b.Alpha, Beta: 1, Src: b.Src}.Rand()
gb := Gamma{Alpha: b.Beta, Beta: 1, Src: b.Src}.Rand()
return ga / (ga + gb)
}
// StdDev returns the standard deviation of the probability distribution.
func (b Beta) StdDev() float64 {
return math.Sqrt(b.Variance())
}
// Survival returns the survival function (complementary CDF) at x.
func (b Beta) Survival(x float64) float64 {
switch {
case x <= 0:
return 1
case x >= 1:
return 0
}
return mathext.RegIncBeta(b.Beta, b.Alpha, 1-x)
}
// Variance returns the variance of the probability distribution.
func (b Beta) Variance() float64 {
return b.Alpha * b.Beta / ((b.Alpha + b.Beta) * (b.Alpha + b.Beta) * (b.Alpha + b.Beta + 1))
}
You can’t perform that action at this time.