Mercurial > octave
annotate scripts/statistics/discrete_inv.m @ 25166:883564a561aa stable
maint: List current copyright holder first in list of copyrights.
* texinfo-parser.cc, texinfo-parser.h, webinfo.cc, webinfo.h, lo-regexp.cc,
lo-regexp.h, cmpermute.m, cmunique.m, findfigs.m, bicg.m, bicgstab.m, cgs.m,
discrete_cdf.m, discrete_inv.m, discrete_pdf.m, discrete_rnd.m,
empirical_cdf.m, empirical_inv.m, empirical_pdf.m, empirical_rnd.m, strjoin.m:
List current copyright holder first in list of copyrights.
author | Rik <rik@octave.org> |
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date | Sun, 08 Apr 2018 18:30:57 -0700 |
parents | 6652d3823428 |
children | 6dd232798997 |
rev | line source |
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1 ## Copyright (C) 1996-2018 Kurt Hornik |
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2 ## Copyright (C) 2012 Rik Wehbring |
3426 | 3 ## |
3922 | 4 ## This file is part of Octave. |
5 ## | |
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6 ## Octave is free software: you can redistribute it and/or modify it |
3922 | 7 ## under the terms of the GNU General Public License as published by |
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8 ## the Free Software Foundation, either version 3 of the License, or |
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9 ## (at your option) any later version. |
3426 | 10 ## |
3922 | 11 ## Octave is distributed in the hope that it will be useful, but |
3191 | 12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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14 ## GNU General Public License for more details. |
3426 | 15 ## |
3191 | 16 ## You should have received a copy of the GNU General Public License |
7016 | 17 ## along with Octave; see the file COPYING. If not, see |
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18 ## <https://www.gnu.org/licenses/>. |
3191 | 19 |
3456 | 20 ## -*- texinfo -*- |
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21 ## @deftypefn {} {} discrete_inv (@var{x}, @var{v}, @var{p}) |
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22 ## For each element of @var{x}, compute the quantile (the inverse of the CDF) |
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23 ## at @var{x} of the univariate distribution which assumes the values in |
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24 ## @var{v} with probabilities @var{p}. |
3456 | 25 ## @end deftypefn |
3191 | 26 |
5428 | 27 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
3456 | 28 ## Description: Quantile function of a discrete distribution |
3191 | 29 |
3456 | 30 function inv = discrete_inv (x, v, p) |
3426 | 31 |
3191 | 32 if (nargin != 3) |
6046 | 33 print_usage (); |
3191 | 34 endif |
35 | |
4030 | 36 if (! isvector (v)) |
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37 error ("discrete_inv: V must be a vector"); |
4030 | 38 elseif (! isvector (p) || (length (p) != length (v))) |
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39 error ("discrete_inv: P must be a vector with length (V) elements"); |
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40 elseif (any (isnan (p))) |
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41 error ("discrete_rnd: P must not have any NaN elements"); |
3456 | 42 elseif (! (all (p >= 0) && any (p))) |
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43 error ("discrete_inv: P must be a nonzero, non-negative vector"); |
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44 endif |
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45 |
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46 if (isa (x, "single") || isa (v, "single") || isa (p, "single")); |
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47 inv = NaN (size (x), "single"); |
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48 else |
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49 inv = NaN (size (x)); |
3191 | 50 endif |
51 | |
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52 ## FIXME: This isn't elegant. But cumsum and lookup together produce |
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53 ## different results when called with a single or a double. |
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54 if (isa (p, "single")); |
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55 p = double (p); |
3191 | 56 endif |
4778 | 57 |
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58 [v, idx] = sort (v); |
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59 p = cumsum (p(idx)(:)) / sum (p); # Reshape and normalize probability vector |
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60 |
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61 k = (x == 0); |
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62 inv(k) = v(1); |
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63 |
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64 k = (x == 1); |
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65 inv(k) = v(end); |
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66 |
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67 k = (x > 0) & (x < 1); |
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68 inv(k) = v(length (p) - lookup (sort (p, "descend"), x(k)) + 1); |
3191 | 69 |
70 endfunction | |
71 | |
72 | |
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73 %!shared x,v,p,y |
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74 %! x = [-1 0 0.1 0.5 1 2]; |
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75 %! v = 0.1:0.2:1.9; |
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76 %! p = 1/length(v) * ones (1, length(v)); |
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77 %! y = [NaN v(1) v(1) v(end/2) v(end) NaN]; |
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78 %!assert (discrete_inv ([x, NaN], v, p), [y, NaN], eps) |
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79 |
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80 ## Test class of input preserved |
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81 %!assert (discrete_inv (single ([x, NaN]), v, p), single ([y, NaN]), eps ("single")) |
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82 %!assert (discrete_inv ([x, NaN], single (v), p), single ([y, NaN]), eps ("single")) |
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83 %!assert (discrete_inv ([x, NaN], v, single (p)), single ([y, NaN]), eps ("single")) |
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84 |
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85 ## Test input validation |
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86 %!error discrete_inv () |
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87 %!error discrete_inv (1) |
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88 %!error discrete_inv (1,2) |
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89 %!error discrete_inv (1,2,3,4) |
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90 %!error discrete_inv (1, ones (2), ones (2,1)) |
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91 %!error discrete_inv (1, ones (2,1), ones (1,1)) |
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92 %!error discrete_inv (1, ones (2,1), [1 NaN]) |
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93 %!error discrete_inv (1, ones (2,1), [1 -1]) |
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94 %!error discrete_inv (1, ones (2,1), [0 0]) |