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26 <div class="titlepage"><div><div><h4 class="title">
27 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist"></a><a class="link" href="inverse_gaussian_dist.html" title="Inverse Gaussian (or Inverse Normal) Distribution">Inverse
28         Gaussian (or Inverse Normal) Distribution</a>
29 </h4></div></div></div>
30 <pre class="programlisting"><span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">inverse_gaussian</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">&gt;</span></pre>
31 <pre class="programlisting"><span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">{</span> <span class="keyword">namespace</span> <span class="identifier">math</span><span class="special">{</span>
32
33 <span class="keyword">template</span> <span class="special">&lt;</span><span class="keyword">class</span> <span class="identifier">RealType</span> <span class="special">=</span> <span class="keyword">double</span><span class="special">,</span>
34           <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Chapter&#160;20.&#160;Policies: Controlling Precision, Error Handling etc">Policy</a>   <span class="special">=</span> <a class="link" href="../../pol_ref/pol_ref_ref.html" title="Policy Class Reference">policies::policy&lt;&gt;</a> <span class="special">&gt;</span>
35 <span class="keyword">class</span> <span class="identifier">inverse_gaussian_distribution</span>
36 <span class="special">{</span>
37 <span class="keyword">public</span><span class="special">:</span>
38    <span class="keyword">typedef</span> <span class="identifier">RealType</span> <span class="identifier">value_type</span><span class="special">;</span>
39    <span class="keyword">typedef</span> <span class="identifier">Policy</span>   <span class="identifier">policy_type</span><span class="special">;</span>
40
41    <span class="identifier">inverse_gaussian_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">mean</span> <span class="special">=</span> <span class="number">1</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">scale</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span>
42
43    <span class="identifier">RealType</span> <span class="identifier">mean</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// mean default 1.</span>
44    <span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// Optional scale, default 1 (unscaled).</span>
45    <span class="identifier">RealType</span> <span class="identifier">shape</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// Shape = scale/mean.</span>
46 <span class="special">};</span>
47 <span class="keyword">typedef</span> <span class="identifier">inverse_gaussian_distribution</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span> <span class="identifier">inverse_gaussian</span><span class="special">;</span>
48
49 <span class="special">}}</span> <span class="comment">// namespace boost // namespace math</span>
50 </pre>
51 <p>
52           The Inverse Gaussian distribution distribution is a continuous probability
53           distribution.
54         </p>
55 <p>
56           The distribution is also called 'normal-inverse Gaussian distribution',
57           and 'normal Inverse' distribution.
58         </p>
59 <p>
60           It is also convenient to provide unity as default for both mean and scale.
61           This is the Standard form for all distributions. The Inverse Gaussian distribution
62           was first studied in relation to Brownian motion. In 1956 M.C.K. Tweedie
63           used the name Inverse Gaussian because there is an inverse relationship
64           between the time to cover a unit distance and distance covered in unit
65           time. The inverse Gaussian is one of family of distributions that have
66           been called the <a href="http://en.wikipedia.org/wiki/Tweedie_distributions" target="_top">Tweedie
67           distributions</a>.
68         </p>
69 <p>
70           (So <span class="emphasis"><em>inverse</em></span> in the name may mislead: it does <span class="bold"><strong>not</strong></span> relate to the inverse of a distribution).
71         </p>
72 <p>
73           The tails of the distribution decrease more slowly than the normal distribution.
74           It is therefore suitable to model phenomena where numerically large values
75           are more probable than is the case for the normal distribution. For stock
76           market returns and prices, a key characteristic is that it models that
77           extremely large variations from typical (crashes) can occur even when almost
78           all (normal) variations are small.
79         </p>
80 <p>
81           Examples are returns from financial assets and turbulent wind speeds.
82         </p>
83 <p>
84           The normal-inverse Gaussian distributions form a subclass of the generalised
85           hyperbolic distributions.
86         </p>
87 <p>
88           See <a href="http://en.wikipedia.org/wiki/Normal-inverse_Gaussian_distribution" target="_top">distribution</a>.
89           <a href="http://mathworld.wolfram.com/InverseGaussianDistribution.html" target="_top">Weisstein,
90           Eric W. "Inverse Gaussian Distribution." From MathWorld--A Wolfram
91           Web Resource.</a>
92         </p>
93 <p>
94           If you want a <code class="computeroutput"><span class="keyword">double</span></code> precision
95           inverse_gaussian distribution you can use
96         </p>
97 <pre class="programlisting"><span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">inverse_gaussian_distribution</span><span class="special">&lt;&gt;</span></pre>
98 <p>
99           or, more conveniently, you can write
100         </p>
101 <pre class="programlisting"><span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">inverse_gaussian</span><span class="special">;</span>
102 <span class="identifier">inverse_gaussian</span> <span class="identifier">my_ig</span><span class="special">(</span><span class="number">2</span><span class="special">,</span> <span class="number">3</span><span class="special">);</span>
103 </pre>
104 <p>
105           For mean parameters &#956; and scale (also called precision) parameter &#955;, and random
106           variate x, the inverse_gaussian distribution is defined by the probability
107           density function (PDF):
108         </p>
109 <div class="blockquote"><blockquote class="blockquote"><p>
110             <span class="serif_italic">f(x;&#956;, &#955;) = &#8730;(&#955;/2&#960;x<sup>3</sup>) e<sup>-&#955;(x-&#956;)&#178;/2&#956;&#178;x</sup> </span>
111           </p></blockquote></div>
112 <p>
113           and Cumulative Density Function (CDF):
114         </p>
115 <div class="blockquote"><blockquote class="blockquote"><p>
116             <span class="serif_italic">F(x;&#956;, &#955;) = &#934;{&#8730;(&#955;<span class="emphasis"><em>x) (x</em></span>&#956;-1)}
117             + e<sup>2&#956;/&#955;</sup> &#934;{-&#8730;(&#955;/&#956;) (1+x/&#956;)} </span>
118           </p></blockquote></div>
119 <p>
120           where &#934; is the standard normal distribution CDF.
121         </p>
122 <p>
123           The following graphs illustrate how the PDF and CDF of the inverse_gaussian
124           distribution varies for a few values of parameters &#956; and &#955;:
125         </p>
126 <div class="blockquote"><blockquote class="blockquote"><p>
127             <span class="inlinemediaobject"><img src="../../../../graphs/inverse_gaussian_pdf.svg" align="middle"></span>
128
129           </p></blockquote></div>
130 <div class="blockquote"><blockquote class="blockquote"><p>
131             <span class="inlinemediaobject"><img src="../../../../graphs/inverse_gaussian_cdf.svg" align="middle"></span>
132
133           </p></blockquote></div>
134 <p>
135           Tweedie also provided 3 other parameterisations where (&#956; and &#955;) are replaced
136           by their ratio &#966; = &#955;/&#956; and by 1/&#956;: these forms may be more suitable for Bayesian
137           applications. These can be found on Seshadri, page 2 and are also discussed
138           by Chhikara and Folks on page 105. Another related parameterisation, the
139           __wald_distrib (where mean &#956; is unity) is also provided.
140         </p>
141 <h5>
142 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h0"></a>
143           <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.member_functions"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.member_functions">Member
144           Functions</a>
145         </h5>
146 <pre class="programlisting"><span class="identifier">inverse_gaussian_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">df</span> <span class="special">=</span> <span class="number">1</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">scale</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span> <span class="comment">// optionally scaled.</span>
147 </pre>
148 <p>
149           Constructs an inverse_gaussian distribution with &#956; mean, and scale &#955;, with
150           both default values 1.
151         </p>
152 <p>
153           Requires that both the mean &#956; parameter and scale &#955; are greater than zero,
154           otherwise calls <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>.
155         </p>
156 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">mean</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
157 </pre>
158 <p>
159           Returns the mean &#956; parameter of this distribution.
160         </p>
161 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
162 </pre>
163 <p>
164           Returns the scale &#955; parameter of this distribution.
165         </p>
166 <h5>
167 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h1"></a>
168           <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.non_member_accessors"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.non_member_accessors">Non-member
169           Accessors</a>
170         </h5>
171 <p>
172           All the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member accessor
173           functions</a> that are generic to all distributions are supported:
174           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.cdf">Cumulative Distribution Function</a>,
175           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.pdf">Probability Density Function</a>,
176           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.quantile">Quantile</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.hazard">Hazard Function</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.chf">Cumulative Hazard Function</a>,
177           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.mean">mean</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.median">median</a>,
178           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.mode">mode</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.variance">variance</a>,
179           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.sd">standard deviation</a>,
180           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.skewness">skewness</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis">kurtosis</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis_excess">kurtosis_excess</a>,
181           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.range">range</a> and <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.support">support</a>.
182         </p>
183 <p>
184           The domain of the random variate is [0,+&#8734;).
185         </p>
186 <div class="note"><table border="0" summary="Note">
187 <tr>
188 <td rowspan="2" align="center" valign="top" width="25"><img alt="[Note]" src="../../../../../../../doc/src/images/note.png"></td>
189 <th align="left">Note</th>
190 </tr>
191 <tr><td align="left" valign="top"><p>
192             Unlike some definitions, this implementation supports a random variate
193             equal to zero as a special case, returning zero for both pdf and cdf.
194           </p></td></tr>
195 </table></div>
196 <h5>
197 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h2"></a>
198           <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.accuracy"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.accuracy">Accuracy</a>
199         </h5>
200 <p>
201           The inverse_gaussian distribution is implemented in terms of the exponential
202           function and standard normal distribution <span class="emphasis"><em>N</em></span>0,1 &#934; : refer
203           to the accuracy data for those functions for more information. But in general,
204           gamma (and thus inverse gamma) results are often accurate to a few epsilon,
205           &gt;14 decimal digits accuracy for 64-bit double.
206         </p>
207 <h5>
208 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h3"></a>
209           <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.implementation"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.implementation">Implementation</a>
210         </h5>
211 <p>
212           In the following table &#956; is the mean parameter and &#955; is the scale parameter
213           of the inverse_gaussian distribution, <span class="emphasis"><em>x</em></span> is the random
214           variate, <span class="emphasis"><em>p</em></span> is the probability and <span class="emphasis"><em>q = 1-p</em></span>
215           its complement. Parameters &#956; for shape and &#955; for scale are used for the inverse
216           gaussian function.
217         </p>
218 <div class="informaltable"><table class="table">
219 <colgroup>
220 <col>
221 <col>
222 </colgroup>
223 <thead><tr>
224 <th>
225                   <p>
226                     Function
227                   </p>
228                 </th>
229 <th>
230                   <p>
231                     Implementation Notes
232                   </p>
233                 </th>
234 </tr></thead>
235 <tbody>
236 <tr>
237 <td>
238                   <p>
239                     pdf
240                   </p>
241                 </td>
242 <td>
243                   <p>
244                     &#8730;(&#955;/ 2&#960;x<sup>3</sup>) e<sup>-&#955;(x - &#956;)&#178;/ 2&#956;&#178;x</sup>
245                   </p>
246                 </td>
247 </tr>
248 <tr>
249 <td>
250                   <p>
251                     cdf
252                   </p>
253                 </td>
254 <td>
255                   <p>
256                     &#934;{&#8730;(&#955;<span class="emphasis"><em>x) (x</em></span>&#956;-1)} + e<sup>2&#956;/&#955;</sup> &#934;{-&#8730;(&#955;/&#956;) (1+x/&#956;)}
257                   </p>
258                 </td>
259 </tr>
260 <tr>
261 <td>
262                   <p>
263                     cdf complement
264                   </p>
265                 </td>
266 <td>
267                   <p>
268                     using complement of &#934; above.
269                   </p>
270                 </td>
271 </tr>
272 <tr>
273 <td>
274                   <p>
275                     quantile
276                   </p>
277                 </td>
278 <td>
279                   <p>
280                     No closed form known. Estimated using a guess refined by Newton-Raphson
281                     iteration.
282                   </p>
283                 </td>
284 </tr>
285 <tr>
286 <td>
287                   <p>
288                     quantile from the complement
289                   </p>
290                 </td>
291 <td>
292                   <p>
293                     No closed form known. Estimated using a guess refined by Newton-Raphson
294                     iteration.
295                   </p>
296                 </td>
297 </tr>
298 <tr>
299 <td>
300                   <p>
301                     mode
302                   </p>
303                 </td>
304 <td>
305                   <p>
306                     &#956; {&#8730;(1+9&#956;&#178;/4&#955;&#178;)&#178; - 3&#956;/2&#955;}
307                   </p>
308                 </td>
309 </tr>
310 <tr>
311 <td>
312                   <p>
313                     median
314                   </p>
315                 </td>
316 <td>
317                   <p>
318                     No closed form analytic equation is known, but is evaluated as
319                     quantile(0.5)
320                   </p>
321                 </td>
322 </tr>
323 <tr>
324 <td>
325                   <p>
326                     mean
327                   </p>
328                 </td>
329 <td>
330                   <p>
331                     &#956;
332                   </p>
333                 </td>
334 </tr>
335 <tr>
336 <td>
337                   <p>
338                     variance
339                   </p>
340                 </td>
341 <td>
342                   <p>
343                     &#956;&#179;/&#955;
344                   </p>
345                 </td>
346 </tr>
347 <tr>
348 <td>
349                   <p>
350                     skewness
351                   </p>
352                 </td>
353 <td>
354                   <p>
355                     3 &#8730; (&#956;/&#955;)
356                   </p>
357                 </td>
358 </tr>
359 <tr>
360 <td>
361                   <p>
362                     kurtosis_excess
363                   </p>
364                 </td>
365 <td>
366                   <p>
367                     15&#956;/&#955;
368                   </p>
369                 </td>
370 </tr>
371 <tr>
372 <td>
373                   <p>
374                     kurtosis
375                   </p>
376                 </td>
377 <td>
378                   <p>
379                     12&#956;/&#955;
380                   </p>
381                 </td>
382 </tr>
383 </tbody>
384 </table></div>
385 <h5>
386 <a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.h4"></a>
387           <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_gaussian_dist.references"></a></span><a class="link" href="inverse_gaussian_dist.html#math_toolkit.dist_ref.dists.inverse_gaussian_dist.references">References</a>
388         </h5>
389 <div class="orderedlist"><ol class="orderedlist" type="1">
390 <li class="listitem">
391               Wald, A. (1947). Sequential analysis. Wiley, NY.
392             </li>
393 <li class="listitem">
394               The Inverse Gaussian distribution : theory, methodology, and applications,
395               Raj S. Chhikara, J. Leroy Folks. ISBN 0824779975 (1989).
396             </li>
397 <li class="listitem">
398               The Inverse Gaussian distribution : statistical theory and applications,
399               Seshadri, V , ISBN - 0387986189 (pbk) (Dewey 519.2) (1998).
400             </li>
401 <li class="listitem">
402               <a href="http://docs.scipy.org/doc/numpy/reference/generated/numpy.random.wald.html" target="_top">Numpy
403               and Scipy Documentation</a>.
404             </li>
405 <li class="listitem">
406               <a href="http://bm2.genes.nig.ac.jp/RGM2/R_current/library/statmod/man/invgauss.html" target="_top">R
407               statmod invgauss functions</a>.
408             </li>
409 <li class="listitem">
410               <a href="http://cran.r-project.org/web/packages/SuppDists/index.html" target="_top">R
411               SuppDists invGauss functions</a>. (Note that these R implementations
412               names differ in case).
413             </li>
414 <li class="listitem">
415               <a href="http://www.statsci.org/s/invgauss.html" target="_top">StatSci.org invgauss
416               help</a>.
417             </li>
418 <li class="listitem">
419               <a href="http://www.statsci.org/s/invgauss.statSci.org" target="_top">invgauss
420               R source</a>.
421             </li>
422 <li class="listitem">
423               <a href="http://www.biostat.wustl.edu/archives/html/s-news/2001-12/msg00144.html" target="_top">pwald,
424               qwald</a>.
425             </li>
426 <li class="listitem">
427               <a href="http://www.brighton-webs.co.uk/distributions/wald.asp" target="_top">Brighton
428               Webs wald</a>.
429             </li>
430 </ol></div>
431 </div>
432 <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
433 <td align="left"></td>
434 <td align="right"><div class="copyright-footer">Copyright &#169; 2006-2019 Nikhar
435       Agrawal, Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos,
436       Hubert Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Matthew Pulver, Johan
437       R&#229;de, Gautam Sewani, Benjamin Sobotta, Nicholas Thompson, Thijs van den Berg,
438       Daryle Walker and Xiaogang Zhang<p>
439         Distributed under the Boost Software License, Version 1.0. (See accompanying
440         file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
441       </p>
442 </div></td>
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