//===----------------------------------------------------------------------===// // // The LLVM Compiler Infrastructure // // This file is dual licensed under the MIT and the University of Illinois Open // Source Licenses. See LICENSE.TXT for details. // //===----------------------------------------------------------------------===// // // template // class student_t_distribution // template result_type operator()(_URNG& g); #include #include #include #include template inline T sqr(T x) { return x * x; } int main() { { typedef std::student_t_distribution<> D; typedef D::param_type P; typedef std::minstd_rand G; G g; D d(5.5); const int N = 1000000; std::vector u; for (int i = 0; i < N; ++i) u.push_back(d(g)); double mean = std::accumulate(u.begin(), u.end(), 0.0) / u.size(); double var = 0; double skew = 0; double kurtosis = 0; for (int i = 0; i < u.size(); ++i) { double d = (u[i] - mean); double d2 = sqr(d); var += d2; skew += d * d2; kurtosis += d2 * d2; } var /= u.size(); double dev = std::sqrt(var); skew /= u.size() * dev * var; kurtosis /= u.size() * var * var; kurtosis -= 3; double x_mean = 0; double x_var = d.n() / (d.n() - 2); double x_skew = 0; double x_kurtosis = 6 / (d.n() - 4); assert(std::abs(mean - x_mean) < 0.01); assert(std::abs((var - x_var) / x_var) < 0.01); assert(std::abs(skew - x_skew) < 0.01); assert(std::abs((kurtosis - x_kurtosis) / x_kurtosis) < 0.2); } { typedef std::student_t_distribution<> D; typedef D::param_type P; typedef std::minstd_rand G; G g; D d(10); const int N = 1000000; std::vector u; for (int i = 0; i < N; ++i) u.push_back(d(g)); double mean = std::accumulate(u.begin(), u.end(), 0.0) / u.size(); double var = 0; double skew = 0; double kurtosis = 0; for (int i = 0; i < u.size(); ++i) { double d = (u[i] - mean); double d2 = sqr(d); var += d2; skew += d * d2; kurtosis += d2 * d2; } var /= u.size(); double dev = std::sqrt(var); skew /= u.size() * dev * var; kurtosis /= u.size() * var * var; kurtosis -= 3; double x_mean = 0; double x_var = d.n() / (d.n() - 2); double x_skew = 0; double x_kurtosis = 6 / (d.n() - 4); assert(std::abs(mean - x_mean) < 0.01); assert(std::abs((var - x_var) / x_var) < 0.01); assert(std::abs(skew - x_skew) < 0.01); assert(std::abs((kurtosis - x_kurtosis) / x_kurtosis) < 0.04); } { typedef std::student_t_distribution<> D; typedef D::param_type P; typedef std::minstd_rand G; G g; D d(100); const int N = 1000000; std::vector u; for (int i = 0; i < N; ++i) u.push_back(d(g)); double mean = std::accumulate(u.begin(), u.end(), 0.0) / u.size(); double var = 0; double skew = 0; double kurtosis = 0; for (int i = 0; i < u.size(); ++i) { double d = (u[i] - mean); double d2 = sqr(d); var += d2; skew += d * d2; kurtosis += d2 * d2; } var /= u.size(); double dev = std::sqrt(var); skew /= u.size() * dev * var; kurtosis /= u.size() * var * var; kurtosis -= 3; double x_mean = 0; double x_var = d.n() / (d.n() - 2); double x_skew = 0; double x_kurtosis = 6 / (d.n() - 4); assert(std::abs(mean - x_mean) < 0.01); assert(std::abs((var - x_var) / x_var) < 0.01); assert(std::abs(skew - x_skew) < 0.01); assert(std::abs((kurtosis - x_kurtosis) / x_kurtosis) < 0.02); } }