Mercurial > octave-nkf
annotate scripts/statistics/distributions/logninv.m @ 11523:fd0a3ac60b0e
update copyright notices
| author | John W. Eaton <jwe@octave.org> |
|---|---|
| date | Fri, 14 Jan 2011 05:47:45 -0500 |
| parents | 1740012184f9 |
| children | 19b9f17d22af |
| rev | line source |
|---|---|
| 11523 | 1 ## Copyright (C) 1995-2011 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 -*- | |
| 5692 | 20 ## @deftypefn {Function File} {} logninv (@var{x}, @var{mu}, @var{sigma}) |
| 5410 | 21 ## For each element of @var{x}, compute the quantile (the inverse of the |
| 5692 | 22 ## CDF) at @var{x} of the lognormal distribution with parameters @var{mu} |
| 23 ## and @var{sigma}. If a random variable follows this distribution, its | |
| 24 ## logarithm is normally distributed with mean @code{log (@var{mu})} and | |
| 25 ## variance @var{sigma}. | |
| 5410 | 26 ## |
| 5692 | 27 ## Default values are @var{mu} = 1, @var{sigma} = 1. |
| 5410 | 28 ## @end deftypefn |
| 29 | |
| 5428 | 30 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
| 5410 | 31 ## Description: Quantile function of the log normal distribution |
| 32 | |
| 5692 | 33 function inv = logninv (x, mu, sigma) |
| 5410 | 34 |
| 35 if (! ((nargin == 1) || (nargin == 3))) | |
| 6046 | 36 print_usage (); |
| 5410 | 37 endif |
| 38 | |
| 39 if (nargin == 1) | |
| 5692 | 40 mu = 0; |
| 41 sigma = 1; | |
| 5410 | 42 endif |
| 43 | |
| 44 ## The following "straightforward" implementation unfortunately does | |
| 45 ## not work (because exp (Inf) -> NaN): | |
| 6617 | 46 ## inv = exp (norminv (x, mu, sigma)); |
| 5410 | 47 ## Hence ... |
| 48 | |
| 5692 | 49 if (!isscalar (mu) || !isscalar (sigma)) |
| 50 [retval, x, mu, sigma] = common_size (x, mu, sigma); | |
| 5410 | 51 if (retval > 0) |
|
11472
1740012184f9
Use uppercase for variable names in error() strings to match Info documentation. Only m-files done.
Rik <octave@nomad.inbox5.com>
parents:
7017
diff
changeset
|
52 error ("logninv: X, MU and SIGMA must be of common size or scalars"); |
| 5410 | 53 endif |
| 54 endif | |
| 55 | |
| 56 inv = zeros (size (x)); | |
| 57 | |
| 5692 | 58 k = find (!(x >= 0) | !(x <= 1) | !(sigma > 0) | !(sigma < Inf)); |
| 5410 | 59 if (any (k)) |
| 60 inv(k) = NaN; | |
| 61 endif | |
| 62 | |
| 5692 | 63 k = find ((x == 1) & (sigma > 0) & (sigma < Inf)); |
| 5410 | 64 if (any (k)) |
| 65 inv(k) = Inf; | |
| 66 endif | |
| 67 | |
| 5692 | 68 k = find ((x > 0) & (x < 1) & (sigma > 0) & (sigma < Inf)); |
| 5410 | 69 if (any (k)) |
| 5692 | 70 if (isscalar (mu) && isscalar (sigma)) |
| 71 inv(k) = exp (mu) .* exp (sigma .* stdnormal_inv (x(k))); | |
| 5410 | 72 else |
| 5692 | 73 inv(k) = exp (mu(k)) .* exp (sigma(k) .* stdnormal_inv (x(k))); |
| 5410 | 74 endif |
| 75 endif | |
| 76 | |
| 77 endfunction |