<title>Skew Normal Distribution</title>
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<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>
<span class="keyword">template</span> <span class="special"><</span><span class="keyword">class</span> <span class="identifier">RealType</span> <span class="special">=</span> <span class="keyword">double</span><span class="special">,</span>
- <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Chapter 19. 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<></a> <span class="special">></span>
+ <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Chapter 20. 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<></a> <span class="special">></span>
<span class="keyword">class</span> <span class="identifier">skew_normal_distribution</span><span class="special">;</span>
<span class="keyword">typedef</span> <span class="identifier">skew_normal_distribution</span><span class="special"><></span> <span class="identifier">normal</span><span class="special">;</span>
-<span class="keyword">template</span> <span class="special"><</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 19. Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">></span>
+<span class="keyword">template</span> <span class="special"><</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 20. Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">></span>
<span class="keyword">class</span> <span class="identifier">skew_normal_distribution</span>
<span class="special">{</span>
<span class="keyword">public</span><span class="special">:</span>
If the standard (mean = 0, scale = 1) normal distribution probability density
function is
</p>
-<p>
-     <span class="inlinemediaobject"><img src="../../../../equations/normal01_pdf.svg"></span>
- </p>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/normal01_pdf.svg"></span>
+
+ </p></blockquote></div>
<p>
and the cumulative distribution function
</p>
-<p>
-     <span class="inlinemediaobject"><img src="../../../../equations/normal01_cdf.svg"></span>
- </p>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/normal01_cdf.svg"></span>
+
+ </p></blockquote></div>
<p>
then the <a href="http://en.wikipedia.org/wiki/Probability_density_function" target="_top">PDF</a>
of the <a href="http://en.wikipedia.org/wiki/Skew_normal_distribution" target="_top">skew
normal distribution</a> with shape parameter α, defined by O'Hagan and
Leonhard (1976) is
</p>
-<p>
-     <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf0.svg"></span>
- </p>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf0.svg"></span>
+
+ </p></blockquote></div>
<p>
Given <a href="http://en.wikipedia.org/wiki/Location_parameter" target="_top">location</a>
ξ, <a href="http://en.wikipedia.org/wiki/Scale_parameter" target="_top">scale</a>
α, it can be <a href="http://en.wikipedia.org/wiki/Skew_normal_distribution" target="_top">transformed</a>,
to the form:
</p>
-<p>
-     <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf.svg"></span>
- </p>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf.svg"></span>
+
+ </p></blockquote></div>
<p>
and <a href="http://en.wikipedia.org/wiki/Cumulative_distribution_function" target="_top">CDF</a>:
</p>
-<p>
-     <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_cdf.svg"></span>
- </p>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_cdf.svg"></span>
+
+ </p></blockquote></div>
<p>
where <span class="emphasis"><em>T(h,a)</em></span> is Owen's T function, and <span class="emphasis"><em>Φ(x)</em></span>
is the normal distribution.
The variation the PDF and CDF with its parameters is illustrated in the
following graphs:
</p>
-<p>
- <span class="inlinemediaobject"><img src="../../../../graphs/skew_normal_pdf.svg" align="middle"></span>
- <span class="inlinemediaobject"><img src="../../../../graphs/skew_normal_cdf.svg" align="middle"></span>
- </p>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../graphs/skew_normal_pdf.svg" align="middle"></span>
+
+ </p></blockquote></div>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../graphs/skew_normal_cdf.svg" align="middle"></span>
+
+ </p></blockquote></div>
<h5>
<a name="math_toolkit.dist_ref.dists.skew_normal_dist.h0"></a>
<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
</p>
<p>
A parameter δ is related to the shape α by δ = α / (1 + α²), and used in the expression
- for skewness <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_skewness.svg"></span>
-
+ for skewness
</p>
+<div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_skewness.svg"></span>
+
+ </p></blockquote></div>
</td></tr>
</table></div>
<h5>
</h5>
<p>
The skew_normal distribution with shape = zero is implemented as a special
- case, equivalent to the normal distribution in terms of the <a class="link" href="../../sf_erf/error_function.html" title="Error Functions">error
+ 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
function</a>, and therefore should have excellent accuracy.
</p>
<p>
</td>
<td>
<p>
- Using: <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf.svg"></span>
+ Using:
</p>
+ <div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_pdf.svg"></span>
+
+ </p></blockquote></div>
</td>
</tr>
<tr>
</td>
<td>
<p>
- Using: <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_cdf.svg"></span><br> where <span class="emphasis"><em>T(h,a)</em></span>
- is Owen's T function, and <span class="emphasis"><em>Φ(x)</em></span> is the normal
- distribution.
+ Using:
+ </p>
+ <div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_cdf.svg"></span>
+
+ </p></blockquote></div>
+ <p>
+ <br> where <span class="emphasis"><em>T(h,a)</em></span> is Owen's T function,
+ and <span class="emphasis"><em>Φ(x)</em></span> is the normal distribution.
</p>
</td>
</tr>
</p>
</td>
<td>
- <p>
- <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_mean.svg"></span>
- </p>
+ <div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_mean.svg"></span>
+
+ </p></blockquote></div>
</td>
</tr>
<tr>
</p>
</td>
<td>
- <p>
- <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_variance.svg"></span>
- </p>
+ <div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_variance.svg"></span>
+
+ </p></blockquote></div>
</td>
</tr>
<tr>
</p>
</td>
<td>
- <p>
- <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_skewness.svg"></span>
- </p>
+ <div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_skewness.svg"></span>
+
+ </p></blockquote></div>
</td>
</tr>
<tr>
</p>
</td>
<td>
- <p>
- <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_kurt_ex.svg"></span>
- </p>
+ <div class="blockquote"><blockquote class="blockquote"><p>
+ <span class="inlinemediaobject"><img src="../../../../equations/skew_normal_kurt_ex.svg"></span>
+
+ </p></blockquote></div>
</td>
</tr>
</tbody>