time-to-botec

Benchmark sampling in different programming languages
Log | Files | Refs | README

quantile.js (1973B)

      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 kernelBetaincinv = require( '@stdlib/math/base/special/kernel-betaincinv' );
     24 var isnan = require( '@stdlib/math/base/assert/is-nan' );
     25 var sign = require( '@stdlib/math/base/special/signum' );
     26 var sqrt = require( '@stdlib/math/base/special/sqrt' );
     27 
     28 
     29 // MAIN //
     30 
     31 /**
     32 * Evaluates the quantile function for a Student's t distribution with degrees of freedom `v` at a probability `p`.
     33 *
     34 * @param {Probability} p - input value
     35 * @param {PositiveNumber} v - degrees of freedom
     36 * @returns {number} evaluated quantile function
     37 *
     38 * @example
     39 * var y = quantile( 0.8, 1.0 );
     40 * // returns ~1.376
     41 *
     42 * @example
     43 * var y = quantile( 0.1, 1.0 );
     44 * // returns ~-3.078
     45 *
     46 * @example
     47 * var y = quantile( 0.5, 0.1 );
     48 * // returns 0.0
     49 *
     50 * @example
     51 * var y = quantile( -0.2, 0.1 );
     52 * // returns NaN
     53 *
     54 * @example
     55 * var y = quantile( NaN, 1.0 );
     56 * // returns NaN
     57 *
     58 * @example
     59 * var y = quantile( 0.0, NaN );
     60 * // returns NaN
     61 *
     62 * @example
     63 * var y = quantile( 0.5, -1.0 );
     64 * // returns NaN
     65 */
     66 function quantile( p, v ) {
     67 	var prob;
     68 	var xs;
     69 	if (
     70 		isnan( v ) ||
     71 		isnan( p ) ||
     72 		v <= 0.0 ||
     73 		p < 0.0 ||
     74 		p > 1.0
     75 	) {
     76 		return NaN;
     77 	}
     78 	prob = ( p > 0.5 ) ? 1.0 - p : p;
     79 	xs = kernelBetaincinv( v / 2.0, 0.5, 2.0 * prob, 1.0 - (2.0 * prob) );
     80 	return sign( p - 0.5 ) * sqrt( v * xs[ 1 ] / xs[ 0 ] );
     81 }
     82 
     83 
     84 // EXPORTS //
     85 
     86 module.exports = quantile;