Migrated inverse gamma distribution to shape fitter

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tsommer committed 2020-10-31 15:43:08 +01:00
1 parent 8b752c17ee
commit 66d58e74d3
3 files changed
+74 -70

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@@ -8,31 +8,40 @@ using NUnit.Framework;
namespace FastRngTests.Double.Distributions
{
[ExcludeFromCodeCoverage]
public class InverseGamma
public class InverseGammaA3B05
{
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task TestInverseGammaDistribution01()
{
const double SHAPE = 3.0;
const double SCALE = 1.2;
const double MEAN = SCALE / (SHAPE - 1);
const double VARIANCE = SCALE * SCALE / ((SHAPE - 1) * (SHAPE - 1) * (SHAPE - 2));
var dist = new FastRng.Double.Distributions.InverseGamma{ Shape = SHAPE, Scale = SCALE };
var stats = new RunningStatistics();
var dist = new FastRng.Double.Distributions.InverseGammaA3B05();
var fra = new FrequencyAnalysis();
var rng = new MultiThreadedRng();
for (var n = 0; n < 100_000; n++)
stats.Push(await rng.NextNumber(dist));
fra.CountThis(await rng.NextNumber(dist));
rng.StopProducer();
TestContext.WriteLine($"mean={MEAN} vs. {stats.Mean}");
TestContext.WriteLine($"variance={VARIANCE} vs {stats.Variance}");
var result = fra.NormalizeAndPlotEvents(TestContext.WriteLine);
Assert.That(result[0], Is.EqualTo(0.0000000000000003).Within(0.0000001));
Assert.That(result[1], Is.EqualTo(0.0000011605257228).Within(0.00001));
Assert.That(result[2], Is.EqualTo(0.0009536970016103).Within(0.0005));
Assert.That(stats.Mean, Is.EqualTo(MEAN).Within(0.1), "Mean is out of range");
Assert.That(stats.Variance, Is.EqualTo(VARIANCE).Within(0.1), "Variance is out of range");
Assert.That(result[21], Is.EqualTo(0.5880485243048120).Within(0.05));
Assert.That(result[22], Is.EqualTo(0.5433842148912880).Within(0.05));
Assert.That(result[23], Is.EqualTo(0.5017780549216030).Within(0.05));
Assert.That(result[50], Is.EqualTo(0.0741442015957425).Within(0.006));
Assert.That(result[75], Is.EqualTo(0.0207568945092484).Within(0.006));
Assert.That(result[85], Is.EqualTo(0.0136661506653688).Within(0.004));
Assert.That(result[90], Is.EqualTo(0.0112550619601327).Within(0.004));
Assert.That(result[97], Is.EqualTo(0.0087026933539773).Within(0.002));
Assert.That(result[98], Is.EqualTo(0.0083995375385004).Within(0.002));
Assert.That(result[99], Is.EqualTo(0.0081094156379928).Within(0.002));
}
[Test]
@@ -41,9 +50,10 @@ namespace FastRngTests.Double.Distributions
public async Task TestInverseGammaGeneratorWithRange01()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.InverseGammaA3B05();
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
samples[n] = await rng.NextNumber(-1.0, 1.0, new FastRng.Double.Distributions.InverseGamma());
samples[n] = await rng.NextNumber(-1.0, 1.0, dist);
rng.StopProducer();
Assert.That(samples.Min(), Is.GreaterThanOrEqualTo(-1.0), "Min out of range");
@@ -56,9 +66,10 @@ namespace FastRngTests.Double.Distributions
public async Task TestInverseGammaGeneratorWithRange02()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.InverseGammaA3B05();
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
samples[n] = await rng.NextNumber(0.0, 1.0, new FastRng.Double.Distributions.InverseGamma());
samples[n] = await rng.NextNumber(0.0, 1.0, dist);
rng.StopProducer();
Assert.That(samples.Min(), Is.GreaterThanOrEqualTo(0.0), "Min is out of range");
@@ -71,7 +82,7 @@ namespace FastRngTests.Double.Distributions
public async Task TestInverseGammaGeneratorWithRange03()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.InverseGamma { Random = rng }; // Test default parameters
var dist = new FastRng.Double.Distributions.InverseGammaA3B05 { Random = rng }; // Test default parameters
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
@@ -82,29 +93,12 @@ namespace FastRngTests.Double.Distributions
Assert.That(samples.Max(), Is.LessThanOrEqualTo(1.0), "Max is out of range");
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public void ParameterTest01()
{
var dist = new FastRng.Double.Distributions.InverseGamma();
Assert.Throws<ArgumentOutOfRangeException>(() => dist.Shape = 0);
Assert.Throws<ArgumentOutOfRangeException>(() => dist.Shape = -78);
Assert.DoesNotThrow(() => dist.Shape = 0.0001);
Assert.DoesNotThrow(() => dist.Shape = 4);
Assert.DoesNotThrow(() => dist.Scale = -45);
Assert.DoesNotThrow(() => dist.Scale = 15);
Assert.DoesNotThrow(() => dist.Scale = 0);
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task NoRandomNumberGenerator01()
{
var dist = new FastRng.Double.Distributions.InverseGamma();
var dist = new FastRng.Double.Distributions.InverseGammaA3B05();
Assert.DoesNotThrowAsync(async () => await dist.GetDistributedValue());
Assert.That(await dist.GetDistributedValue(), Is.NaN);
}