{-# LANGUAGE DeriveDataTypeable, DeriveGeneric #-} -- | -- Module : Statistics.Distribution.ChiSquared -- Copyright : (c) 2010 Alexey Khudyakov -- License : BSD3 -- -- Maintainer : bos@serpentine.com -- Stability : experimental -- Portability : portable -- -- The chi-squared distribution. This is a continuous probability -- distribution of sum of squares of k independent standard normal -- distributions. It's commonly used in statistical tests module Statistics.Distribution.ChiSquared ( ChiSquared -- Constructors , chiSquared , chiSquaredNDF ) where import Data.Binary (Binary) import Data.Data (Data, Typeable) import GHC.Generics (Generic) import Numeric.SpecFunctions ( incompleteGamma,invIncompleteGamma,logGamma,digamma) import qualified Statistics.Distribution as D import qualified System.Random.MWC.Distributions as MWC -- | Chi-squared distribution newtype ChiSquared = ChiSquared Int deriving (Eq, Read, Show, Typeable, Data, Generic) instance Binary ChiSquared -- | Get number of degrees of freedom chiSquaredNDF :: ChiSquared -> Int chiSquaredNDF (ChiSquared ndf) = ndf {-# INLINE chiSquaredNDF #-} -- | Construct chi-squared distribution. Number of degrees of freedom -- must be positive. chiSquared :: Int -> ChiSquared chiSquared n | n <= 0 = error $ "Statistics.Distribution.ChiSquared.chiSquared: N.D.F. must be positive. Got " ++ show n | otherwise = ChiSquared n {-# INLINE chiSquared #-} instance D.Distribution ChiSquared where cumulative = cumulative instance D.ContDistr ChiSquared where density = density quantile = quantile instance D.Mean ChiSquared where mean (ChiSquared ndf) = fromIntegral ndf {-# INLINE mean #-} instance D.Variance ChiSquared where variance (ChiSquared ndf) = fromIntegral (2*ndf) {-# INLINE variance #-} instance D.MaybeMean ChiSquared where maybeMean = Just . D.mean instance D.MaybeVariance ChiSquared where maybeStdDev = Just . D.stdDev maybeVariance = Just . D.variance instance D.Entropy ChiSquared where entropy (ChiSquared ndf) = let kHalf = 0.5 * fromIntegral ndf in kHalf + log 2 + logGamma kHalf + (1-kHalf) * digamma kHalf instance D.MaybeEntropy ChiSquared where maybeEntropy = Just . D.entropy instance D.ContGen ChiSquared where genContVar (ChiSquared n) = MWC.chiSquare n cumulative :: ChiSquared -> Double -> Double cumulative chi x | x <= 0 = 0 | otherwise = incompleteGamma (ndf/2) (x/2) where ndf = fromIntegral $ chiSquaredNDF chi {-# INLINE cumulative #-} density :: ChiSquared -> Double -> Double density chi x | x <= 0 = 0 | otherwise = exp $ log x * (ndf2 - 1) - x2 - logGamma ndf2 - log 2 * ndf2 where ndf = fromIntegral $ chiSquaredNDF chi ndf2 = ndf/2 x2 = x/2 {-# INLINE density #-} quantile :: ChiSquared -> Double -> Double quantile (ChiSquared ndf) p | p == 0 = 0 | p == 1 = 1/0 | p > 0 && p < 1 = 2 * invIncompleteGamma (fromIntegral ndf / 2) p | otherwise = error $ "Statistics.Distribution.ChiSquared.quantile: p must be in [0,1] range. Got: "++show p {-# INLINE quantile #-}