{-# LANGUAGE DeriveDataTypeable, DeriveGeneric #-} -- | -- Module : Statistics.Distribution.StudentT -- Copyright : (c) 2011 Aleksey Khudyakov -- License : BSD3 -- -- Maintainer : bos@serpentine.com -- Stability : experimental -- Portability : portable -- -- Student-T distribution module Statistics.Distribution.StudentT ( StudentT , studentT , studentTndf , studentTUnstandardized ) where import Data.Aeson (FromJSON, ToJSON) import Data.Binary (Binary) import Data.Data (Data, Typeable) import GHC.Generics (Generic) import qualified Statistics.Distribution as D import Statistics.Distribution.Transform (LinearTransform (..)) import Numeric.SpecFunctions ( logBeta, incompleteBeta, invIncompleteBeta, digamma) import Data.Binary (put, get) -- | Student-T distribution newtype StudentT = StudentT { studentTndf :: Double } deriving (Eq, Show, Read, Typeable, Data, Generic) instance FromJSON StudentT instance ToJSON StudentT instance Binary StudentT where put = put . studentTndf get = fmap StudentT get -- | Create Student-T distribution. Number of parameters must be positive. studentT :: Double -> StudentT studentT ndf | ndf > 0 = StudentT ndf | otherwise = modErr "studentT" "non-positive number of degrees of freedom" instance D.Distribution StudentT where cumulative = cumulative instance D.ContDistr StudentT where density d@(StudentT ndf) x = exp (logDensityUnscaled d x) / sqrt ndf logDensity d@(StudentT ndf) x = logDensityUnscaled d x - log (sqrt ndf) quantile = quantile cumulative :: StudentT -> Double -> Double cumulative (StudentT ndf) x | x > 0 = 1 - 0.5 * ibeta | otherwise = 0.5 * ibeta where ibeta = incompleteBeta (0.5 * ndf) 0.5 (ndf / (ndf + x*x)) logDensityUnscaled :: StudentT -> Double -> Double logDensityUnscaled (StudentT ndf) x = log (ndf / (ndf + x*x)) * (0.5 * (1 + ndf)) - logBeta 0.5 (0.5 * ndf) quantile :: StudentT -> Double -> Double quantile (StudentT ndf) p | p >= 0 && p <= 1 = let x = invIncompleteBeta (0.5 * ndf) 0.5 (2 * min p (1 - p)) in case sqrt $ ndf * (1 - x) / x of r | p < 0.5 -> -r | otherwise -> r | otherwise = modErr "quantile" $ "p must be in [0,1] range. Got: "++show p instance D.MaybeMean StudentT where maybeMean (StudentT ndf) | ndf > 1 = Just 0 | otherwise = Nothing instance D.MaybeVariance StudentT where maybeVariance (StudentT ndf) | ndf > 2 = Just $! ndf / (ndf - 2) | otherwise = Nothing instance D.Entropy StudentT where entropy (StudentT ndf) = 0.5 * (ndf+1) * (digamma ((1+ndf)/2) - digamma(ndf/2)) + log (sqrt ndf) + logBeta (ndf/2) 0.5 instance D.MaybeEntropy StudentT where maybeEntropy = Just . D.entropy instance D.ContGen StudentT where genContVar = D.genContinous -- | Create an unstandardized Student-t distribution. studentTUnstandardized :: Double -- ^ Number of degrees of freedom -> Double -- ^ Central value (0 for standard Student T distribution) -> Double -- ^ Scale parameter -> LinearTransform StudentT studentTUnstandardized ndf mu sigma | sigma > 0 = LinearTransform mu sigma $ studentT ndf | otherwise = modErr "studentTUnstandardized" $ "sigma must be > 0. Got: " ++ show sigma modErr :: String -> String -> a modErr fun msg = error $ "Statistics.Distribution.StudentT." ++ fun ++ ": " ++ msg