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26 <div class="titlepage"><div><div><h4 class="title">
27 <a name="math_toolkit.dist_ref.dists.skew_normal_dist"></a><a class="link" href="skew_normal_dist.html" title="Skew Normal Distribution">Skew
28         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">skew_normal</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">skew_normal_distribution</span><span class="special">;</span>
36
37 <span class="keyword">typedef</span> <span class="identifier">skew_normal_distribution</span><span class="special">&lt;&gt;</span> <span class="identifier">normal</span><span class="special">;</span>
38
39 <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">class</span> <a class="link" href="../../../policy.html" title="Chapter&#160;20.&#160;Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">&gt;</span>
40 <span class="keyword">class</span> <span class="identifier">skew_normal_distribution</span>
41 <span class="special">{</span>
42 <span class="keyword">public</span><span class="special">:</span>
43    <span class="keyword">typedef</span> <span class="identifier">RealType</span> <span class="identifier">value_type</span><span class="special">;</span>
44    <span class="keyword">typedef</span> <span class="identifier">Policy</span>   <span class="identifier">policy_type</span><span class="special">;</span>
45    <span class="comment">// Constructor:</span>
46    <span class="identifier">skew_normal_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">location</span> <span class="special">=</span> <span class="number">0</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="identifier">RealType</span> <span class="identifier">shape</span> <span class="special">=</span> <span class="number">0</span><span class="special">);</span>
47    <span class="comment">// Accessors:</span>
48    <span class="identifier">RealType</span> <span class="identifier">location</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// mean if normal.</span>
49    <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">// width, standard deviation if normal.</span>
50    <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">// The distribution is right skewed if shape &gt; 0 and is left skewed if shape &lt; 0.</span>
51                           <span class="comment">// The distribution is normal if shape is zero.</span>
52 <span class="special">};</span>
53
54 <span class="special">}}</span> <span class="comment">// namespaces</span>
55 </pre>
56 <p>
57           The skew normal distribution is a variant of the most well known Gaussian
58           statistical distribution.
59         </p>
60 <p>
61           The skew normal distribution with shape zero resembles the <a href="http://en.wikipedia.org/wiki/Normal_distribution" target="_top">Normal
62           Distribution</a>, hence the latter can be regarded as a special case
63           of the more generic skew normal distribution.
64         </p>
65 <p>
66           If the standard (mean = 0, scale = 1) normal distribution probability density
67           function is
68         </p>
69 <div class="blockquote"><blockquote class="blockquote"><p>
70             <span class="inlinemediaobject"><img src="../../../../equations/normal01_pdf.svg"></span>
71
72           </p></blockquote></div>
73 <p>
74           and the cumulative distribution function
75         </p>
76 <div class="blockquote"><blockquote class="blockquote"><p>
77             <span class="inlinemediaobject"><img src="../../../../equations/normal01_cdf.svg"></span>
78
79           </p></blockquote></div>
80 <p>
81           then the <a href="http://en.wikipedia.org/wiki/Probability_density_function" target="_top">PDF</a>
82           of the <a href="http://en.wikipedia.org/wiki/Skew_normal_distribution" target="_top">skew
83           normal distribution</a> with shape parameter &#945;, defined by O'Hagan and
84           Leonhard (1976) is
85         </p>
86 <div class="blockquote"><blockquote class="blockquote"><p>
87             <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf0.svg"></span>
88
89           </p></blockquote></div>
90 <p>
91           Given <a href="http://en.wikipedia.org/wiki/Location_parameter" target="_top">location</a>
92           &#958;, <a href="http://en.wikipedia.org/wiki/Scale_parameter" target="_top">scale</a>
93           &#969;, and <a href="http://en.wikipedia.org/wiki/Shape_parameter" target="_top">shape</a>
94           &#945;, it can be <a href="http://en.wikipedia.org/wiki/Skew_normal_distribution" target="_top">transformed</a>,
95           to the form:
96         </p>
97 <div class="blockquote"><blockquote class="blockquote"><p>
98             <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf.svg"></span>
99
100           </p></blockquote></div>
101 <p>
102           and <a href="http://en.wikipedia.org/wiki/Cumulative_distribution_function" target="_top">CDF</a>:
103         </p>
104 <div class="blockquote"><blockquote class="blockquote"><p>
105             <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_cdf.svg"></span>
106
107           </p></blockquote></div>
108 <p>
109           where <span class="emphasis"><em>T(h,a)</em></span> is Owen's T function, and <span class="emphasis"><em>&#934;(x)</em></span>
110           is the normal distribution.
111         </p>
112 <p>
113           The variation the PDF and CDF with its parameters is illustrated in the
114           following graphs:
115         </p>
116 <div class="blockquote"><blockquote class="blockquote"><p>
117             <span class="inlinemediaobject"><img src="../../../../graphs/skew_normal_pdf.svg" align="middle"></span>
118
119           </p></blockquote></div>
120 <div class="blockquote"><blockquote class="blockquote"><p>
121             <span class="inlinemediaobject"><img src="../../../../graphs/skew_normal_cdf.svg" align="middle"></span>
122
123           </p></blockquote></div>
124 <h5>
125 <a name="math_toolkit.dist_ref.dists.skew_normal_dist.h0"></a>
126           <span class="phrase"><a name="math_toolkit.dist_ref.dists.skew_normal_dist.member_functions"></a></span><a class="link" href="skew_normal_dist.html#math_toolkit.dist_ref.dists.skew_normal_dist.member_functions">Member
127           Functions</a>
128         </h5>
129 <pre class="programlisting"><span class="identifier">skew_normal_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">location</span> <span class="special">=</span> <span class="number">0</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="identifier">RealType</span> <span class="identifier">shape</span> <span class="special">=</span> <span class="number">0</span><span class="special">);</span>
130 </pre>
131 <p>
132           Constructs a skew_normal distribution with location &#958;, scale &#969; and shape &#945;.
133         </p>
134 <p>
135           Requires scale &gt; 0, otherwise <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>
136           is called.
137         </p>
138 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">location</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
139 </pre>
140 <p>
141           returns the location &#958; of this distribution,
142         </p>
143 <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>
144 </pre>
145 <p>
146           returns the scale &#969; of this distribution,
147         </p>
148 <pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">shape</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
149 </pre>
150 <p>
151           returns the shape &#945; of this distribution.
152         </p>
153 <p>
154           (Location and scale function match other similar distributions, allowing
155           the functions <code class="computeroutput"><span class="identifier">find_location</span></code>
156           and <code class="computeroutput"><span class="identifier">find_scale</span></code> to be used
157           generically).
158         </p>
159 <div class="note"><table border="0" summary="Note">
160 <tr>
161 <td rowspan="2" align="center" valign="top" width="25"><img alt="[Note]" src="../../../../../../../doc/src/images/note.png"></td>
162 <th align="left">Note</th>
163 </tr>
164 <tr><td align="left" valign="top">
165 <p>
166             While the shape parameter may be chosen arbitrarily (finite), the resulting
167             <span class="bold"><strong>skewness</strong></span> of the distribution is in fact
168             limited to about (-1, 1); strictly, the interval is (-0.9952717, 0.9952717).
169           </p>
170 <p>
171             A parameter &#948; is related to the shape &#945; by &#948; = &#945; / (1 + &#945;&#178;), and used in the expression
172             for skewness
173           </p>
174 <div class="blockquote"><blockquote class="blockquote"><p>
175               <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_skewness.svg"></span>
176
177             </p></blockquote></div>
178 </td></tr>
179 </table></div>
180 <h5>
181 <a name="math_toolkit.dist_ref.dists.skew_normal_dist.h1"></a>
182           <span class="phrase"><a name="math_toolkit.dist_ref.dists.skew_normal_dist.references"></a></span><a class="link" href="skew_normal_dist.html#math_toolkit.dist_ref.dists.skew_normal_dist.references">References</a>
183         </h5>
184 <div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; ">
185 <li class="listitem">
186               <a href="http://azzalini.stat.unipd.it/SN/" target="_top">Skew-Normal Probability
187               Distribution</a> for many links and bibliography.
188             </li>
189 <li class="listitem">
190               <a href="http://azzalini.stat.unipd.it/SN/Intro/intro.html" target="_top">A very
191               brief introduction to the skew-normal distribution</a> by Adelchi
192               Azzalini (2005-11-2).
193             </li>
194 <li class="listitem">
195               See a <a href="http://www.tri.org.au/azzalini.html" target="_top">skew-normal
196               function animation</a>.
197             </li>
198 </ul></div>
199 <h5>
200 <a name="math_toolkit.dist_ref.dists.skew_normal_dist.h2"></a>
201           <span class="phrase"><a name="math_toolkit.dist_ref.dists.skew_normal_dist.non_member_accessors"></a></span><a class="link" href="skew_normal_dist.html#math_toolkit.dist_ref.dists.skew_normal_dist.non_member_accessors">Non-member
202           Accessors</a>
203         </h5>
204 <p>
205           All the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member accessor
206           functions</a> that are generic to all distributions are supported:
207           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.cdf">Cumulative Distribution Function</a>,
208           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.pdf">Probability Density Function</a>,
209           <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>,
210           <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>,
211           <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>,
212           <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.sd">standard deviation</a>,
213           <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>,
214           <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>.
215         </p>
216 <p>
217           The domain of the random variable is <span class="emphasis"><em>-[max_value], +[min_value]</em></span>.
218           Infinite values are not supported.
219         </p>
220 <p>
221           There are no <a href="http://en.wikipedia.org/wiki/Closed-form_expression" target="_top">closed-form
222           expression</a> known for the mode and median, but these are computed
223           for the
224         </p>
225 <div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; ">
226 <li class="listitem">
227               mode - by finding the maximum of the PDF.
228             </li>
229 <li class="listitem">
230               median - by computing <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="number">1</span><span class="special">/</span><span class="number">2</span><span class="special">)</span></code>.
231             </li>
232 </ul></div>
233 <p>
234           The maximum of the PDF is sought through searching the root of f'(x)=0.
235         </p>
236 <p>
237           Both involve iterative methods that will have lower accuracy than other
238           estimates.
239         </p>
240 <h5>
241 <a name="math_toolkit.dist_ref.dists.skew_normal_dist.h3"></a>
242           <span class="phrase"><a name="math_toolkit.dist_ref.dists.skew_normal_dist.testing"></a></span><a class="link" href="skew_normal_dist.html#math_toolkit.dist_ref.dists.skew_normal_dist.testing">Testing</a>
243         </h5>
244 <p>
245           <a href="http://www.r-project.org/" target="_top">The R Project for Statistical Computing</a>
246           using library(sn) described at <a href="http://azzalini.stat.unipd.it/SN/" target="_top">Skew-Normal
247           Probability Distribution</a>, and at <a href="http://cran.r-project.org/web/packages/sn/sn.pd" target="_top">R
248           skew-normal(sn) package</a>.
249         </p>
250 <p>
251           Package sn provides functions related to the skew-normal (SN) and the skew-t
252           (ST) probability distributions, both for the univariate and for the the
253           multivariate case, including regression models.
254         </p>
255 <p>
256           <a href="http://www.wolfram.com/products/mathematica/index.html" target="_top">Wolfram
257           Mathematica</a> was also used to generate some more accurate spot test
258           data.
259         </p>
260 <h5>
261 <a name="math_toolkit.dist_ref.dists.skew_normal_dist.h4"></a>
262           <span class="phrase"><a name="math_toolkit.dist_ref.dists.skew_normal_dist.accuracy"></a></span><a class="link" href="skew_normal_dist.html#math_toolkit.dist_ref.dists.skew_normal_dist.accuracy">Accuracy</a>
263         </h5>
264 <p>
265           The skew_normal distribution with shape = zero is implemented as a special
266           case, equivalent to the normal distribution in terms of the <a class="link" href="../../sf_erf/error_function.html" title="Error Function erf and complement erfc">error
267           function</a>, and therefore should have excellent accuracy.
268         </p>
269 <p>
270           The PDF and mean, variance, skewness and kurtosis are also accurately evaluated
271           using <a href="http://en.wikipedia.org/wiki/Analytical_expression" target="_top">analytical
272           expressions</a>. The CDF requires <a href="http://en.wikipedia.org/wiki/Owen%27s_T_function" target="_top">Owen's
273           T function</a> that is evaluated using a Boost C++ <a class="link" href="../../owens_t.html" title="Owen's T function">Owens
274           T</a> implementation of the algorithms of M. Patefield and D. Tandy,
275           Journal of Statistical Software, 5(5), 1-25 (2000); the complicated accuracy
276           of this function is discussed in detail at <a class="link" href="../../owens_t.html" title="Owen's T function">Owens
277           T</a>.
278         </p>
279 <p>
280           The median and mode are calculated by iterative root finding, and both
281           will be less accurate.
282         </p>
283 <h5>
284 <a name="math_toolkit.dist_ref.dists.skew_normal_dist.h5"></a>
285           <span class="phrase"><a name="math_toolkit.dist_ref.dists.skew_normal_dist.implementation"></a></span><a class="link" href="skew_normal_dist.html#math_toolkit.dist_ref.dists.skew_normal_dist.implementation">Implementation</a>
286         </h5>
287 <p>
288           In the following table, &#958; is the location of the distribution, and &#969; is its
289           scale, and &#945; is its shape.
290         </p>
291 <div class="informaltable"><table class="table">
292 <colgroup>
293 <col>
294 <col>
295 </colgroup>
296 <thead><tr>
297 <th>
298                   <p>
299                     Function
300                   </p>
301                 </th>
302 <th>
303                   <p>
304                     Implementation Notes
305                   </p>
306                 </th>
307 </tr></thead>
308 <tbody>
309 <tr>
310 <td>
311                   <p>
312                     pdf
313                   </p>
314                 </td>
315 <td>
316                   <p>
317                     Using:
318                   </p>
319                   <div class="blockquote"><blockquote class="blockquote"><p>
320                       <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf.svg"></span>
321
322                     </p></blockquote></div>
323                 </td>
324 </tr>
325 <tr>
326 <td>
327                   <p>
328                     cdf
329                   </p>
330                 </td>
331 <td>
332                   <p>
333                     Using:
334                   </p>
335                   <div class="blockquote"><blockquote class="blockquote"><p>
336                       <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_cdf.svg"></span>
337
338                     </p></blockquote></div>
339                   <p>
340                     <br> where <span class="emphasis"><em>T(h,a)</em></span> is Owen's T function,
341                     and <span class="emphasis"><em>&#934;(x)</em></span> is the normal distribution.
342                   </p>
343                 </td>
344 </tr>
345 <tr>
346 <td>
347                   <p>
348                     cdf complement
349                   </p>
350                 </td>
351 <td>
352                   <p>
353                     Using: complement of normal distribution + 2 * Owens_t
354                   </p>
355                 </td>
356 </tr>
357 <tr>
358 <td>
359                   <p>
360                     quantile
361                   </p>
362                 </td>
363 <td>
364                   <p>
365                     Maximum of the pdf is sought through searching the root of f'(x)=0
366                   </p>
367                 </td>
368 </tr>
369 <tr>
370 <td>
371                   <p>
372                     quantile from the complement
373                   </p>
374                 </td>
375 <td>
376                   <p>
377                     -quantile(SN(-location &#958;, scale &#969;, -shape&#945;), p)
378                   </p>
379                 </td>
380 </tr>
381 <tr>
382 <td>
383                   <p>
384                     location
385                   </p>
386                 </td>
387 <td>
388                   <p>
389                     location &#958;
390                   </p>
391                 </td>
392 </tr>
393 <tr>
394 <td>
395                   <p>
396                     scale
397                   </p>
398                 </td>
399 <td>
400                   <p>
401                     scale &#969;
402                   </p>
403                 </td>
404 </tr>
405 <tr>
406 <td>
407                   <p>
408                     shape
409                   </p>
410                 </td>
411 <td>
412                   <p>
413                     shape &#945;
414                   </p>
415                 </td>
416 </tr>
417 <tr>
418 <td>
419                   <p>
420                     median
421                   </p>
422                 </td>
423 <td>
424                   <p>
425                     quantile(1/2)
426                   </p>
427                 </td>
428 </tr>
429 <tr>
430 <td>
431                   <p>
432                     mean
433                   </p>
434                 </td>
435 <td>
436                   <div class="blockquote"><blockquote class="blockquote"><p>
437                       <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_mean.svg"></span>
438
439                     </p></blockquote></div>
440                 </td>
441 </tr>
442 <tr>
443 <td>
444                   <p>
445                     mode
446                   </p>
447                 </td>
448 <td>
449                   <p>
450                     Maximum of the pdf is sought through searching the root of f'(x)=0
451                   </p>
452                 </td>
453 </tr>
454 <tr>
455 <td>
456                   <p>
457                     variance
458                   </p>
459                 </td>
460 <td>
461                   <div class="blockquote"><blockquote class="blockquote"><p>
462                       <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_variance.svg"></span>
463
464                     </p></blockquote></div>
465                 </td>
466 </tr>
467 <tr>
468 <td>
469                   <p>
470                     skewness
471                   </p>
472                 </td>
473 <td>
474                   <div class="blockquote"><blockquote class="blockquote"><p>
475                       <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_skewness.svg"></span>
476
477                     </p></blockquote></div>
478                 </td>
479 </tr>
480 <tr>
481 <td>
482                   <p>
483                     kurtosis
484                   </p>
485                 </td>
486 <td>
487                   <p>
488                     kurtosis excess-3
489                   </p>
490                 </td>
491 </tr>
492 <tr>
493 <td>
494                   <p>
495                     kurtosis excess
496                   </p>
497                 </td>
498 <td>
499                   <div class="blockquote"><blockquote class="blockquote"><p>
500                       <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_kurt_ex.svg"></span>
501
502                     </p></blockquote></div>
503                 </td>
504 </tr>
505 </tbody>
506 </table></div>
507 </div>
508 <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
509 <td align="left"></td>
510 <td align="right"><div class="copyright-footer">Copyright &#169; 2006-2019 Nikhar
511       Agrawal, Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos,
512       Hubert Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Matthew Pulver, Johan
513       R&#229;de, Gautam Sewani, Benjamin Sobotta, Nicholas Thompson, Thijs van den Berg,
514       Daryle Walker and Xiaogang Zhang<p>
515         Distributed under the Boost Software License, Version 1.0. (See accompanying
516         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>)
517       </p>
518 </div></td>
519 </tr></table>
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