/** Computes the distribution function. */
public static double cdf(double n, double p, int x) {
final double EPSILON = DiscreteDistributionInt.EPSILON;
final int LIM1 = 100000;
double sum, term, termmode;
int i, mode;
final double q = 1.0 - p;
if (p < 0.0 || p > 1.0) throw new IllegalArgumentException("p not in [0, 1]");
if (n <= 0.0) throw new IllegalArgumentException("n <= 0.0");
if (x < 0) return 0.0;
if (p >= 1.0) // In fact, p == 1
return 1.0;
if (p <= 0.0) // In fact, p == 0
return 0.0;
// Compute the maximum term
mode = 1 + (int) Math.floor((n * q - 1.0) / p);
if (mode < 0) mode = 0;
else if (mode > x) mode = x;
if (mode <= LIM1) {
sum = term = termmode = prob(n, p, mode);
for (i = mode; i > 0; i--) {
term *= i / (q * (n + i - 1.0));
if (term < EPSILON) break;
sum += term;
}
term = termmode;
for (i = mode; i < x; i++) {
term *= q * (n + i) / (i + 1);
if (term < EPSILON) break;
sum += term;
}
if (sum <= 1.0) return sum;
else return 1.0;
} else
// return 1.0 - BinomialDist.cdf (x + n, p, n - 1);
return BetaDist.cdf(n, x + 1.0, 15, p);
}
/**
* Sets the parameter <SPAN CLASS="MATH"><I>n</I></SPAN> and <SPAN CLASS="MATH"><I>p</I></SPAN> of
* this object.
*/
public void setParams(double n, double p) {
/* *
* Compute all probability terms of the negative binomial distribution;
* start at the mode, and calculate probabilities on each side until they
* become smaller than EPSILON. Set all others to 0.
*/
supportA = 0;
int i, mode, Nmax;
int imin, imax;
double sum;
double[] P; // Negative Binomial mass probabilities
double[] F; // Negative Binomial cumulative
if (p < 0.0 || p > 1.0) throw new IllegalArgumentException("p not in [0, 1]");
if (n <= 0.0) throw new IllegalArgumentException("n <= 0");
this.n = n;
this.p = p;
// Compute the mode (at the maximum term)
mode = 1 + (int) Math.floor((n * (1.0 - p) - 1.0) / p);
/* *
For mode > MAXN, we shall not use pre-computed arrays.
mode < 0 should be impossible, unless overflow of long occur, in
which case mode will be = LONG_MIN.
*/
if (mode < 0.0 || mode > MAXN) {
pdf = null;
cdf = null;
return;
}
/* *
In theory, the negative binomial distribution has an infinite range.
But for i > Nmax, probabilities should be extremely small.
Nmax = Mean + 16 * Standard deviation.
*/
Nmax = (int) (n * (1.0 - p) / p + 16 * Math.sqrt(n * (1.0 - p) / (p * p)));
if (Nmax < 32) Nmax = 32;
P = new double[1 + Nmax];
double epsilon = EPSILON / prob(n, p, mode);
// We shall normalize by explicitly summing all terms >= epsilon
sum = P[mode] = 1.0;
// Start from the maximum and compute terms > epsilon on each side.
i = mode;
while (i > 0 && P[i] >= epsilon) {
P[i - 1] = P[i] * i / ((1.0 - p) * (n + i - 1));
i--;
sum += P[i];
}
imin = i;
i = mode;
while (P[i] >= epsilon) {
P[i + 1] = P[i] * (1.0 - p) * (n + i) / (i + 1);
i++;
sum += P[i];
if (i == Nmax - 1) {
Nmax *= 2;
double[] nT = new double[1 + Nmax];
System.arraycopy(P, 0, nT, 0, P.length);
P = nT;
}
}
imax = i;
// Renormalize the sum of probabilities to 1
for (i = imin; i <= imax; i++) P[i] /= sum;
// Compute the cumulative probabilities for F and keep them in the
// lower part of CDF.
F = new double[1 + Nmax];
F[imin] = P[imin];
i = imin;
while (i < imax && F[i] < 0.5) {
i++;
F[i] = F[i - 1] + P[i];
}
// This is the boundary between F (i <= xmed) and 1 - F (i > xmed) in
// the array CDF
xmed = i;
// Compute the cumulative probabilities of the complementary
// distribution 1 - F and keep them in the upper part of the array
F[imax] = P[imax];
i = imax - 1;
do {
F[i] = P[i] + F[i + 1];
i--;
} while (i > xmed);
xmin = imin;
xmax = imax;
pdf = new double[imax + 1 - imin];
cdf = new double[imax + 1 - imin];
System.arraycopy(P, imin, pdf, 0, imax + 1 - imin);
System.arraycopy(F, imin, cdf, 0, imax + 1 - imin);
}
/** Computes the inverse function without precomputing tables. */
public static int inverseF(double n, double p, double u) {
if (u < 0.0 || u > 1.0) throw new IllegalArgumentException("u is not in [0,1]");
if (p < 0.0 || p > 1.0) throw new IllegalArgumentException("p not in [0, 1]");
if (n <= 0.0) throw new IllegalArgumentException("n <= 0");
if (p >= 1.0) // In fact, p == 1
return 0;
if (p <= 0.0) // In fact, p == 0
return 0;
if (u <= prob(n, p, 0)) return 0;
if (u >= 1.0) return Integer.MAX_VALUE;
double sum, term, termmode;
final double q = 1.0 - p;
// Compute the maximum term
int mode = 1 + (int) Math.floor((n * q - 1.0) / p);
if (mode < 0) mode = 0;
int i = mode;
term = prob(n, p, i);
while ((term >= u) && (term > Double.MIN_NORMAL)) {
i /= 2;
term = prob(n, p, i);
}
if (term <= Double.MIN_NORMAL) {
i *= 2;
term = prob(n, p, i);
while (term >= u && (term > Double.MIN_NORMAL)) {
term *= i / (q * (n + i - 1.0));
i--;
}
}
mode = i;
sum = termmode = prob(n, p, i);
for (i = mode; i > 0; i--) {
term *= i / (q * (n + i - 1.0));
if (term < EPSILON) break;
sum += term;
}
term = termmode;
i = mode;
double prev = -1;
if (sum < u) {
// The CDF at the mode is less than u, so we add term to get >= u.
while ((sum < u) && (sum > prev)) {
term *= q * (n + i) / (i + 1);
prev = sum;
sum += term;
i++;
}
} else {
// The computed CDF is too big so we substract from it.
sum -= term;
while (sum >= u) {
term *= i / (q * (n + i - 1.0));
i--;
sum -= term;
}
}
return i;
}