Test all ClaytonCopula.computeQuantile return path

following Michael's review
josephmure · Apr 24, 2024 · 8bb6060 · 8bb6060
1 parent f9bf77f
commit 8bb6060
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diff --git a/lib/test/t_ClaytonCopula_std.cxx b/lib/test/t_ClaytonCopula_std.cxx
@@ -166,6 +166,17 @@ int main(int, char *[])
       fullprint << "PDF(" << x.__str__() << ")=" << std::setprecision(12) << copula.computePDF(x) << std::endl;
       fullprint << "CDF(" << x.__str__() << ")=" << std::setprecision(12) << copula.computeCDF(x) << std::endl;
     }
+
+    // Test all scenarios of quantile computation
+    copula = ClaytonCopula(0.5);
+    Scalar large_p = 0.75;
+    Point large_ref(2, 0.86156);
+    assert_almost_equal(copula.computeQuantile(1.0 - large_p, true), large_ref, 1e-5, 0.0);
+    assert_almost_equal(copula.computeQuantile(large_p, false), large_ref, 1e-5, 0.0);
+    Scalar small_p = SpecFunc::ScalarEpsilon / 2.0;
+    Point small_ref(2, 1.0 - small_p / 2.0);
+    assert_almost_equal(copula.computeQuantile(small_p, true), small_ref, 0.0);
+    assert_almost_equal(copula.computeQuantile(1.0 - small_p, false), small_ref, 1e-5, 0.0);
   }
   catch (TestFailed & ex)
   {

diff --git a/python/test/t_ClaytonCopula_std.py b/python/test/t_ClaytonCopula_std.py
@@ -1,6 +1,7 @@
 #! /usr/bin/env python
 
 import openturns as ot
+import openturns.testing as ott
 
 ot.TESTPREAMBLE()
 
@@ -132,3 +133,13 @@
 
 print("chi=", copula.computeUpperTailDependenceMatrix())
 print("chiL=", copula.computeLowerTailDependenceMatrix())
+
+# Test all scenarios of quantile computation
+copula = ot.ClaytonCopula(0.5)
+large_p = 0.75
+ref = [0.86156] * 2
+ott.assert_almost_equal(copula.computeQuantile(1.0 - large_p, True), ref, 1e-5, 0.0)
+ott.assert_almost_equal(copula.computeQuantile(large_p, False), ref, 1e-5, 0.0)
+small_p = ot.SpecFunc.ScalarEpsilon / 2.0
+ott.assert_almost_equal(copula.computeQuantile(small_p, True), [1.0 - small_p / 2.0] * 2, 1e-5, 0.0)
+ott.assert_almost_equal(copula.computeQuantile(1.0 - small_p, False), [1.0 - small_p / 2.0] * 2, 1e-5, 0.0)