time-to-botec

Benchmark sampling in different programming languages
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quantile.js (1943B)

      1 /**
      2 * @license Apache-2.0
      3 *
      4 * Copyright (c) 2018 The Stdlib Authors.
      5 *
      6 * Licensed under the Apache License, Version 2.0 (the "License");
      7 * you may not use this file except in compliance with the License.
      8 * You may obtain a copy of the License at
      9 *
     10 *    http://www.apache.org/licenses/LICENSE-2.0
     11 *
     12 * Unless required by applicable law or agreed to in writing, software
     13 * distributed under the License is distributed on an "AS IS" BASIS,
     14 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
     15 * See the License for the specific language governing permissions and
     16 * limitations under the License.
     17 */
     18 
     19 'use strict';
     20 
     21 // MODULES //
     22 
     23 var isnan = require( '@stdlib/math/base/assert/is-nan' );
     24 var erfcinv = require( '@stdlib/math/base/special/erfcinv' );
     25 
     26 
     27 // MAIN //
     28 
     29 /**
     30 * Evaluates the quantile function for a Lévy distribution with location parameter `mu` and scale parameter `c` at a probability `p`.
     31 *
     32 * @param {Probability} p - input value
     33 * @param {number} mu - location parameter
     34 * @param {NonNegativeNumber} c - scale parameter
     35 * @returns {number} evaluated quantile function
     36 *
     37 * @example
     38 * var y = quantile( 0.8, 0.0, 1.0 );
     39 * // returns ~15.58
     40 *
     41 * @example
     42 * var y = quantile( 0.5, 4.0, 2.0 );
     43 * // returns ~8.396
     44 *
     45 * @example
     46 * var y = quantile( 1.1, 0.0, 1.0 );
     47 * // returns NaN
     48 *
     49 * @example
     50 * var y = quantile( -0.2, 0.0, 1.0 );
     51 * // returns NaN
     52 *
     53 * @example
     54 * var y = quantile( NaN, 0.0, 1.0 );
     55 * // returns NaN
     56 *
     57 * @example
     58 * var y = quantile( 0.0, NaN, 1.0 );
     59 * // returns NaN
     60 *
     61 * @example
     62 * var y = quantile( 0.0, 0.0, NaN );
     63 * // returns NaN
     64 *
     65 * @example
     66 * // Negative scale parameter:
     67 * var y = quantile( 0.5, 0.0, -1.0 );
     68 * // returns NaN
     69 */
     70 function quantile( p, mu, c ) {
     71 	var fval;
     72 	if (
     73 		isnan( mu ) ||
     74 		isnan( c ) ||
     75 		isnan( p ) ||
     76 		c <= 0.0 ||
     77 		p < 0.0 ||
     78 		p > 1.0
     79 	) {
     80 		return NaN;
     81 	}
     82 	fval = erfcinv( p );
     83 	return mu + ( c / ( 2.0*fval*fval ) );
     84 }
     85 
     86 
     87 // EXPORTS //
     88 
     89 module.exports = quantile;