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ex-1: add Moyal functions

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This commit is contained in:
Michele Guerini Rocco 2020-06-08 00:48:28 +02:00
parent ec0af36d77
commit 2aca14f0c9
2 changed files with 62 additions and 0 deletions
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ex-1/moyal.c Normal file
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/* This file contains functions to
* compute the Moyal distribution
* PDF, CDF and QDF functions.
*/
#include <gsl/gsl_sf.h>
/* This is a wrapper needed by `moyal_cdf` and
* other optimisation functions because the GSL
* routines expect a function with parameters.
*/
double moyal_pdf(double x, void* params) {
double mu = params[0];
double sigma = params[1];
double z = (x - mu)/sigma;
return exp(-(z + exp(-z))/2) /sqrt(2*M_PI) /sigma;
}
/* The cumulative function of the Moyal distribution.
*/
double moyal_cdf(double x, void* params) {
double mu = params[0];
double sigma = params[1];
double z = (x - mu)/sigma;
return 2*(1 - gsl_cdf_gaussian_P(exp(-x/2)));
}
/* The quantile function (inverse CDF) of the Moyal
* distribution.
*/
double moyal_qdf(double p0, void* params) {
double mu = params[0];
double sigma = params[1];
double z = -2*log(gsl_cdf_gaussian_Pinv(1 - p/2));
return z*sigma + mu;
}

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ex-1/moyal.h Normal file
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/* This file contains functions to
* compute the Moyal distribution
* PDF, CDF and QDF functions.
*/
#pragma once
/* This is a wrapper needed by `moyal_cdf` and
* other optimisation functions because the GSL
* routines expect a function with parameters.
*/
double moyal_pdf(double x, void* params);
/* The cumulative function of the Moyal distribution.
*/
double moyal_cdf(double x, void* params);
/* The quantile function (inverse CDF) of the Moyal
* distribution.
*/
double moyal_qdf(double p0, void* params);