Use cumulative density to calculate p-values

heikkiv · Sep 27, 2012 · a21e408 · a21e408
1 parent 57e2a0b
commit a21e408
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Showing 3 changed files with 20 additions and 3 deletions.
diff --git a/lib/carl.js b/lib/carl.js
@@ -26,9 +26,14 @@ Carl.prototype.pdf = function(x) {
   return this.distribution.pdf(x);
 };
 
+Carl.prototype.cdf = function(x) {
+  var z = (x - this.mean) / Math.sqrt(this.variance);
+  return this.distribution.cdf(x);
+};
+
 Carl.prototype.isAnomalous = function(x) {
-  var p = this.pdf(x);
-  return p < epsilon;
+  var p = 1 - this.cdf(Math.abs(x));
+  return p < epsilon/2;
 };
 
 Carl.prototype.isValid = function(x) {

diff --git a/package.json b/package.json
@@ -1,7 +1,7 @@
 {
   "name": "carl",
   "description": "Probability density based anomaly detection library",
-  "version": "0.0.1",
+  "version": "0.0.2",
   "repository": {
     "type": "git",
     "url": "git://github.com/heikkiv/carl.git"

diff --git a/test/carl.test.js b/test/carl.test.js
@@ -26,6 +26,18 @@ describe('Carl', function() {
     round(carl.pdf(3)).should.eql(0.004);
   });
 
+  it('should calculate pdf correctly', function() {
+    var carl = new Carl();
+    round(carl.pdf(1)).should.eql(0.242);
+    round(carl.pdf(-1)).should.eql(0.242);
+  });
+
+  it('should calculate cdf correctly', function() {
+    var carl = new Carl();
+    round(carl.cdf(2)).should.eql(0.977);
+    round(carl.cdf(-2)).should.eql(0.023);
+  });
+
   it('should determine significance with epsilon .05', function() {
     var carl = new Carl();
     carl.isAnomalous(0).should.be.false;