STK_Law_Normal.h

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/*--------------------------------------------------------------------*/
/*     Copyright (C) 2004-2016 Serge Iovleff
 
    This program is free software; you can redistribute it and/or modify
    it under the terms of the GNU Lesser General Public License as
    published by the Free Software Foundation; either version 2 of the
    License, or (at your option) any later version.
 
    This program is distributed in the hope that it will be useful,
    but WITHOUT ANY WARRANTY; without even the implied warranty of
    MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    GNU Lesser General Public License for more details.
 
    You should have received a copy of the GNU Lesser General Public
    License along with this program; if not, write to the
    Free Software Foundation, Inc.,
    59 Temple Place,
    Suite 330,
    Boston, MA 02111-1307
    USA
 
    Contact : S..._Dot_I..._At_stkpp_Dot_org (see copyright for ...)
*/
 
/*
 * Project: stkpp::STatistiK::Law
 * Purpose: Normal probability distribution.
 * Author:  Serge Iovleff, S..._Dot_I..._At_stkpp_Dot_org (see copyright for ...)
 **/
 
#ifndef STK_LAW_NORMAL_H
#define STK_LAW_NORMAL_H
 
#include "STK_Law_IUnivLaw.h"
 
namespace STK
{
 
namespace Law
{
class Normal;
typedef Normal Gaussian;
 
class Normal: public IUnivLaw<Real>
{
  public:
    typedef IUnivLaw<Real> Base;
    Normal( Real const& mu=0., Real const& sigma=1.)
         : Base(String(_T("Normal")))
          , mu_(mu), sigma_(sigma)
    {
      if (!Arithmetic<Real>::isFinite(mu) || !Arithmetic<Real>::isFinite(sigma) || sigma < 0)
      { STKDOMAIN_ERROR_2ARG(Normal::Normal,mu,sigma,invalid argument);}
    }
    inline virtual ~Normal() {}
    inline Real const& mu() const { return mu_;}
    inline Real const& sigma() const { return sigma_;}
    inline void setMu( Real const& mu) { mu_ = mu;}
    inline void setSigma( Real const& sigma)
    {
      if (sigma<0) STKDOMAIN_ERROR_1ARG(Normal::setSigma,sigma,sigma must be >= 0);
       sigma_ = sigma;
    }
    Real rand() const;
    virtual Real pdf( Real const& x) const;
    virtual Real lpdf( Real const& x) const;
    virtual Real cdf( Real const& t) const;
    virtual Real icdf( Real const& p) const;
 
    static Real rand( Real const& mu, Real const& sigma);
    static Real pdf( Real const& x, Real const& mu, Real const& sigma);
    static Real lpdf( Real const& x, Real const& mu, Real const& sigma);
    static Real cdf( Real const& t, Real const& mu, Real const& sigma);
    static Real icdf( Real const& p, Real const& mu, Real const& sigma);
 
#ifdef IS_RTKPP_LIB
    virtual Real lcdf( Real const& t) const;
    virtual Real cdfc( Real const& t) const;
    virtual Real lcdfc( Real const& t) const;
#endif
 
  protected:
    Real mu_;
    Real sigma_;
};
 
#ifdef IS_RTKPP_LIB
 
/*  Generate a pseudo Normal random variate. */
inline Real Normal::rand() const
{
#ifdef _OPENMP
//#pragma omp critical
#endif
GetRNGstate(); Real s = Rf_rnorm(mu_, sigma_); PutRNGstate(); return s;
}
 
inline Real Normal::pdf( Real const& x) const {   return Rf_dnorm4(x, mu_, sigma_, false);}
inline Real Normal::lpdf( Real const& x) const {   return Rf_dnorm4(x, mu_, sigma_, true);}
inline Real Normal::cdf( Real const& t) const { return Rf_pnorm5(t, mu_, sigma_, true, false);}
inline Real Normal::lcdf( Real const& t) const { return Rf_pnorm5(t, mu_, sigma_, true, true);}
inline Real Normal::cdfc( Real const& t) const { return Rf_pnorm5(t, mu_, sigma_, false, false);}
inline Real Normal::lcdfc( Real const& t) const { return Rf_pnorm5(t, mu_, sigma_, false, true);}
inline Real Normal::icdf( Real const& p) const { return Rf_qnorm5(p , mu_, sigma_, true, false);}
 
 
inline Real Normal::rand( Real const& mu, Real const& scale)
{
#ifdef _OPENMP
//#pragma omp critical
#endif
GetRNGstate(); Real s = Rf_rnorm(mu, scale); PutRNGstate(); return s;
}
 
inline Real Normal::pdf(Real const& x, Real const& mu, Real const& scale)
{ return Rf_dnorm4(x,mu, scale, false);}
inline Real Normal::lpdf(Real const& x, Real const& mu, Real const& scale)
{ return Rf_dnorm4(x,mu, scale, true);}
inline Real Normal::cdf(Real const& t, Real const& mu, Real const& scale)
{ return Rf_pnorm5(t, mu, scale, true, false);}
inline Real Normal::icdf(Real const& p, Real const& mu, Real const& scale)
{ return Rf_qnorm5(p , mu, scale, true, false);}
 
#endif
 
} // namespace Law
 
} // namespace STK
 
#endif /*STK_LAW_NORMAL_H*/