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/usr/include/boost/math/distributions

Name	Size	Mode	Actions
detail/	-	0755	rm
arcsine.hpp	18797	0644	edit dl rm
bernoulli.hpp	12143	0644	edit dl rm
beta.hpp	18807	0644	edit dl rm
binomial.hpp	28654	0644	edit dl rm
cauchy.hpp	12310	0644	edit dl rm
chi_squared.hpp	12242	0644	edit dl rm
complement.hpp	5978	0644	edit dl rm
empirical_cumulative_distribution_function.hpp	1886	0644	edit dl rm
exponential.hpp	8944	0644	edit dl rm
extreme_value.hpp	10491	0644	edit dl rm
find_location.hpp	6713	0644	edit dl rm
find_scale.hpp	9674	0644	edit dl rm
fisher_f.hpp	14391	0644	edit dl rm
fwd.hpp	5461	0644	edit dl rm
gamma.hpp	10660	0644	edit dl rm
geometric.hpp	21156	0644	edit dl rm
hyperexponential.hpp	21887	0644	edit dl rm
hypergeometric.hpp	12220	0644	edit dl rm
inverse_chi_squared.hpp	15202	0644	edit dl rm
inverse_gamma.hpp	15389	0644	edit dl rm
inverse_gaussian.hpp	19760	0644	edit dl rm
laplace.hpp	10580	0644	edit dl rm
logistic.hpp	11273	0644	edit dl rm
lognormal.hpp	11714	0644	edit dl rm
negative_binomial.hpp	26139	0644	edit dl rm
non_central_beta.hpp	35837	0644	edit dl rm
non_central_chi_squared.hpp	40704	0644	edit dl rm
non_central_f.hpp	15848	0644	edit dl rm
non_central_t.hpp	47973	0644	edit dl rm
normal.hpp	10768	0644	edit dl rm
pareto.hpp	15516	0644	edit dl rm
poisson.hpp	20267	0644	edit dl rm
rayleigh.hpp	10344	0644	edit dl rm
skew_normal.hpp	25646	0644	edit dl rm
students_t.hpp	18476	0644	edit dl rm
triangular.hpp	18407	0644	edit dl rm
uniform.hpp	12963	0644	edit dl rm
weibull.hpp	12081	0644	edit dl rm

Edit: /usr/include/boost/math/distributions/extreme_value.hpp (10491B)

//  Copyright John Maddock 2006.
//  Use, modification and distribution are subject to the
//  Boost Software License, Version 1.0. (See accompanying file
//  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)

#ifndef BOOST_STATS_EXTREME_VALUE_HPP
#define BOOST_STATS_EXTREME_VALUE_HPP

#include <boost/math/distributions/fwd.hpp>
#include <boost/math/constants/constants.hpp>
#include <boost/math/special_functions/log1p.hpp>
#include <boost/math/special_functions/expm1.hpp>
#include <boost/math/distributions/complement.hpp>
#include <boost/math/distributions/detail/common_error_handling.hpp>
#include <boost/config/no_tr1/cmath.hpp>

//
// This is the maximum extreme value distribution, see
// http://www.itl.nist.gov/div898/handbook/eda/section3/eda366g.htm
// and http://mathworld.wolfram.com/ExtremeValueDistribution.html
// Also known as a Fisher-Tippett distribution, a log-Weibull
// distribution or a Gumbel distribution.

#include <utility>

#ifdef BOOST_MSVC
# pragma warning(push)
# pragma warning(disable: 4702) // unreachable code (return after domain_error throw).
#endif

namespace boost{ namespace math{

namespace detail{
//
// Error check:
//
template <class RealType, class Policy>
inline bool verify_scale_b(const char* function, RealType b, RealType* presult, const Policy& pol)
{
   if((b <= 0) || !(boost::math::isfinite)(b))
   {
      *presult = policies::raise_domain_error<RealType>(
         function,
         "The scale parameter \"b\" must be finite and > 0, but was: %1%.", b, pol);
      return false;
   }
   return true;
}

} // namespace detail

template <class RealType = double, class Policy = policies::policy<> >
class extreme_value_distribution
{
public:
   typedef RealType value_type;
   typedef Policy policy_type;

extreme_value_distribution(RealType a = 0, RealType b = 1)
      : m_a(a), m_b(b)
   {
      RealType err;
      detail::verify_scale_b("boost::math::extreme_value_distribution<%1%>::extreme_value_distribution", b, &err, Policy());
      detail::check_finite("boost::math::extreme_value_distribution<%1%>::extreme_value_distribution", a, &err, Policy());
   } // extreme_value_distribution

RealType location()const { return m_a; }
   RealType scale()const { return m_b; }

private:
   RealType m_a, m_b;
};

typedef extreme_value_distribution<double> extreme_value;

template <class RealType, class Policy>
inline const std::pair<RealType, RealType> range(const extreme_value_distribution<RealType, Policy>& /*dist*/)
{ // Range of permissible values for random variable x.
   using boost::math::tools::max_value;
   return std::pair<RealType, RealType>(
      std::numeric_limits<RealType>::has_infinity ? -std::numeric_limits<RealType>::infinity() : -max_value<RealType>(), 
      std::numeric_limits<RealType>::has_infinity ? std::numeric_limits<RealType>::infinity() : max_value<RealType>());
}

template <class RealType, class Policy>
inline const std::pair<RealType, RealType> support(const extreme_value_distribution<RealType, Policy>& /*dist*/)
{ // Range of supported values for random variable x.
   // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
   using boost::math::tools::max_value;
   return std::pair<RealType, RealType>(-max_value<RealType>(),  max_value<RealType>());
}

template <class RealType, class Policy>
inline RealType pdf(const extreme_value_distribution<RealType, Policy>& dist, const RealType& x)
{
   BOOST_MATH_STD_USING // for ADL of std functions

static const char* function = "boost::math::pdf(const extreme_value_distribution<%1%>&, %1%)";

RealType a = dist.location();
   RealType b = dist.scale();
   RealType result = 0;
   if(0 == detail::verify_scale_b(function, b, &result, Policy()))
      return result;
   if(0 == detail::check_finite(function, a, &result, Policy()))
      return result;
   if((boost::math::isinf)(x))
      return 0.0f;
   if(0 == detail::check_x(function, x, &result, Policy()))
      return result;
   RealType e = (a - x) / b;
   if(e < tools::log_max_value<RealType>())
      result = exp(e) * exp(-exp(e)) / b;
   // else.... result *must* be zero since exp(e) is infinite...
   return result;
} // pdf

template <class RealType, class Policy>
inline RealType cdf(const extreme_value_distribution<RealType, Policy>& dist, const RealType& x)
{
   BOOST_MATH_STD_USING // for ADL of std functions

static const char* function = "boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)";

if((boost::math::isinf)(x))
      return x < 0 ? 0.0f : 1.0f;
   RealType a = dist.location();
   RealType b = dist.scale();
   RealType result = 0;
   if(0 == detail::verify_scale_b(function, b, &result, Policy()))
      return result;
   if(0 == detail::check_finite(function, a, &result, Policy()))
      return result;
   if(0 == detail::check_finite(function, a, &result, Policy()))
      return result;
   if(0 == detail::check_x("boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)", x, &result, Policy()))
      return result;

result = exp(-exp((a-x)/b));

return result;
} // cdf

template <class RealType, class Policy>
RealType quantile(const extreme_value_distribution<RealType, Policy>& dist, const RealType& p)
{
   BOOST_MATH_STD_USING // for ADL of std functions

static const char* function = "boost::math::quantile(const extreme_value_distribution<%1%>&, %1%)";

if(p == 0)
      return -policies::raise_overflow_error<RealType>(function, 0, Policy());
   if(p == 1)
      return policies::raise_overflow_error<RealType>(function, 0, Policy());

result = a - log(-log(p)) * b;

return result;
} // quantile

template <class RealType, class Policy>
inline RealType cdf(const complemented2_type<extreme_value_distribution<RealType, Policy>, RealType>& c)
{
   BOOST_MATH_STD_USING // for ADL of std functions

static const char* function = "boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)";

if((boost::math::isinf)(c.param))
      return c.param < 0 ? 1.0f : 0.0f;
   RealType a = c.dist.location();
   RealType b = c.dist.scale();
   RealType result = 0;
   if(0 == detail::verify_scale_b(function, b, &result, Policy()))
      return result;
   if(0 == detail::check_finite(function, a, &result, Policy()))
      return result;
   if(0 == detail::check_x(function, c.param, &result, Policy()))
      return result;

result = -boost::math::expm1(-exp((a-c.param)/b), Policy());

return result;
}

template <class RealType, class Policy>
RealType quantile(const complemented2_type<extreme_value_distribution<RealType, Policy>, RealType>& c)
{
   BOOST_MATH_STD_USING // for ADL of std functions

static const char* function = "boost::math::quantile(const extreme_value_distribution<%1%>&, %1%)";

RealType a = c.dist.location();
   RealType b = c.dist.scale();
   RealType q = c.param;
   RealType result = 0;
   if(0 == detail::verify_scale_b(function, b, &result, Policy()))
      return result;
   if(0 == detail::check_finite(function, a, &result, Policy()))
      return result;
   if(0 == detail::check_probability(function, q, &result, Policy()))
      return result;

if(q == 0)
      return policies::raise_overflow_error<RealType>(function, 0, Policy());
   if(q == 1)
      return -policies::raise_overflow_error<RealType>(function, 0, Policy());

result = a - log(-boost::math::log1p(-q, Policy())) * b;

return result;
}

template <class RealType, class Policy>
inline RealType mean(const extreme_value_distribution<RealType, Policy>& dist)
{
   RealType a = dist.location();
   RealType b = dist.scale();
   RealType result = 0;
   if(0 == detail::verify_scale_b("boost::math::mean(const extreme_value_distribution<%1%>&)", b, &result, Policy()))
      return result;
   if (0 == detail::check_finite("boost::math::mean(const extreme_value_distribution<%1%>&)", a, &result, Policy()))
      return result;
   return a + constants::euler<RealType>() * b;
}

template <class RealType, class Policy>
inline RealType standard_deviation(const extreme_value_distribution<RealType, Policy>& dist)
{
   BOOST_MATH_STD_USING // for ADL of std functions.

RealType b = dist.scale();
   RealType result = 0;
   if(0 == detail::verify_scale_b("boost::math::standard_deviation(const extreme_value_distribution<%1%>&)", b, &result, Policy()))
      return result;
   if(0 == detail::check_finite("boost::math::standard_deviation(const extreme_value_distribution<%1%>&)", dist.location(), &result, Policy()))
      return result;
   return constants::pi<RealType>() * b / sqrt(static_cast<RealType>(6));
}

template <class RealType, class Policy>
inline RealType mode(const extreme_value_distribution<RealType, Policy>& dist)
{
   return dist.location();
}

template <class RealType, class Policy>
inline RealType median(const extreme_value_distribution<RealType, Policy>& dist)
{
  using constants::ln_ln_two;
   return dist.location() - dist.scale() * ln_ln_two<RealType>();
}

template <class RealType, class Policy>
inline RealType skewness(const extreme_value_distribution<RealType, Policy>& /*dist*/)
{
   //
   // This is 12 * sqrt(6) * zeta(3) / pi^3:
   // See http://mathworld.wolfram.com/ExtremeValueDistribution.html
   //
   return static_cast<RealType>(1.1395470994046486574927930193898461120875997958366L);
}

template <class RealType, class Policy>
inline RealType kurtosis(const extreme_value_distribution<RealType, Policy>& /*dist*/)
{
   // See http://mathworld.wolfram.com/ExtremeValueDistribution.html
   return RealType(27) / 5;
}

template <class RealType, class Policy>
inline RealType kurtosis_excess(const extreme_value_distribution<RealType, Policy>& /*dist*/)
{
   // See http://mathworld.wolfram.com/ExtremeValueDistribution.html
   return RealType(12) / 5;
}

} // namespace math
} // namespace boost

#ifdef BOOST_MSVC
# pragma warning(pop)
#endif

// This include must be at the end, *after* the accessors
// for this distribution have been defined, in order to
// keep compilers that support two-phase lookup happy.
#include <boost/math/distributions/detail/derived_accessors.hpp>

#endif // BOOST_STATS_EXTREME_VALUE_HPP

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