Mercurial > octave-nkf
annotate scripts/statistics/distributions/betainv.m @ 7795:df9519e9990c
Handle single precision eps values
| author | David Bateman <dbateman@free.fr> |
|---|---|
| date | Mon, 12 May 2008 22:57:11 +0200 |
| parents | a1dbe9d80eee |
| children | eb63fbe60fab |
| rev | line source |
|---|---|
| 7017 | 1 ## Copyright (C) 1995, 1996, 1997, 2005, 2006, 2007 Kurt Hornik |
| 5410 | 2 ## |
| 3 ## This file is part of Octave. | |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 5410 | 9 ## |
| 10 ## Octave is distributed in the hope that it will be useful, but | |
| 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of | |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 13 ## General Public License for more details. | |
| 14 ## | |
| 15 ## You should have received a copy of the GNU General Public License | |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 5410 | 18 |
| 19 ## -*- texinfo -*- | |
| 5411 | 20 ## @deftypefn {Function File} {} betainv (@var{x}, @var{a}, @var{b}) |
| 5410 | 21 ## For each component of @var{x}, compute the quantile (the inverse of |
| 22 ## the CDF) at @var{x} of the Beta distribution with parameters @var{a} | |
| 23 ## and @var{b}. | |
| 24 ## @end deftypefn | |
| 25 | |
| 5428 | 26 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
| 5410 | 27 ## Description: Quantile function of the Beta distribution |
| 28 | |
| 5411 | 29 function inv = betainv (x, a, b) |
| 5410 | 30 |
| 31 if (nargin != 3) | |
| 6046 | 32 print_usage (); |
| 5410 | 33 endif |
| 34 | |
| 35 if (!isscalar (a) || !isscalar(b)) | |
| 36 [retval, x, a, b] = common_size (x, a, b); | |
| 37 if (retval > 0) | |
| 5411 | 38 error ("betainv: x, a and b must be of common size or scalars"); |
| 5410 | 39 endif |
| 40 endif | |
| 41 | |
| 42 sz = size (x); | |
| 43 inv = zeros (sz); | |
| 44 | |
| 45 k = find ((x < 0) | (x > 1) | !(a > 0) | !(b > 0) | isnan (x)); | |
| 46 if (any (k)) | |
| 47 inv (k) = NaN; | |
| 48 endif | |
| 49 | |
| 50 k = find ((x == 1) & (a > 0) & (b > 0)); | |
| 51 if (any (k)) | |
| 52 inv (k) = 1; | |
| 53 endif | |
| 54 | |
| 55 k = find ((x > 0) & (x < 1) & (a > 0) & (b > 0)); | |
| 56 if (any (k)) | |
| 57 if (!isscalar(a) || !isscalar(b)) | |
| 58 a = a (k); | |
| 59 b = b (k); | |
| 60 y = a ./ (a + b); | |
| 61 else | |
| 62 y = a / (a + b) * ones (size (k)); | |
| 63 endif | |
| 64 x = x (k); | |
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65 |
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66 if (isa (y, "single")) |
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67 myeps = eps ("single"); |
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68 else |
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69 myeps = eps; |
| 5410 | 70 endif |
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71 |
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72 l = find (y < myeps); |
| 5410 | 73 if (any (l)) |
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74 y(l) = sqrt (myeps) * ones (length (l), 1); |
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75 endif |
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76 l = find (y > 1 - myeps); |
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77 if (any (l)) |
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78 y(l) = 1 - sqrt (myeps) * ones (length (l), 1); |
| 5410 | 79 endif |
| 80 | |
| 81 y_old = y; | |
| 82 for i = 1 : 10000 | |
| 5411 | 83 h = (betacdf (y_old, a, b) - x) ./ betapdf (y_old, a, b); |
| 5410 | 84 y_new = y_old - h; |
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85 ind = find (y_new <= myeps); |
| 5410 | 86 if (any (ind)) |
| 87 y_new (ind) = y_old (ind) / 10; | |
| 88 endif | |
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89 ind = find (y_new >= 1 - myeps); |
| 5410 | 90 if (any (ind)) |
| 91 y_new (ind) = 1 - (1 - y_old (ind)) / 10; | |
| 92 endif | |
| 93 h = y_old - y_new; | |
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94 if (max (abs (h)) < sqrt (myeps)) |
| 5410 | 95 break; |
| 96 endif | |
| 97 y_old = y_new; | |
| 98 endfor | |
| 99 | |
| 100 inv (k) = y_new; | |
| 101 endif | |
| 102 | |
| 103 endfunction |