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Provides functions for fast matrix inversion, creation of empirical CDF from sample data including handling of asymmetric errors, and fitting to a funtion using chi-squared. The fitting procedure return the full covariance matrix describing the fitted parameters.
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lib/distributions/nakagami.ex
defmodule Chi2fit.Distribution.Nakagami do
# Copyright 2019 Pieter Rijken
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
@moduledoc """
The Nakagami distribution.
"""
defstruct [:pars, name: "nakagami"]
@type t() :: %__MODULE__{
pars: [number()] | nil,
name: String.t
}
end
defimpl Chi2fit.Distribution, for: Chi2fit.Distribution.Nakagami do
alias Chi2fit.Distribution, as: D
import D.Nakagami
alias D.Nakagami
import Exboost.Math, only: [tgamma: 1]
@spec nakagami(scale::number(),shape::number()) :: ((...) -> number)
defp nakagami(scale,shape) do
fn ->
u = :rand.uniform()
scale*:math.sqrt(Exboost.Math.gamma_p_inv(shape,u)/shape)
end
end
@spec nakagamiCDF(scale :: float,shape :: float) :: (number -> number)
defp nakagamiCDF(scale,shape) when scale>0 and shape>0 do
fn
x ->
Exboost.Math.tgamma_lower(shape,shape*(x/scale)*(x/scale))
end
end
defp nakagamiCDF(_scale,_shape), do: raise(ArithmeticError, "Nakagami is only defined for positive scale and shape")
def skewness(%Nakagami{pars: nil}) do
fn [_scale,shape] ->
g = tgamma(shape)
g1_2 = tgamma(shape+0.5)
g1 = tgamma(shape+1.0)
g3_2 = tgamma(shape+1.5)
num = 2*g1_2*g1_2*g1_2 + g*g*( g3_2 - 3*shape*g1_2 )
den = g*g*g*:math.pow(shape*(1.0-shape*g1_2*g1_2/g1/g1),1.5)
num/den
end
end
def kurtosis(%Nakagami{pars: nil}) do
fn [_scale,shape] ->
g = tgamma(shape)
g1_2 = tgamma(shape+0.5)
g2 = tgamma(shape+2.0)
gdouble = tgamma(2*shape)
num = -6*g1_2*g1_2*g1_2*g1_2 - 3*shape*shape*g*g*g*g + g*g*g*g2 + :math.pow(2,3-4*shape)*(4*shape-1)*:math.pi*gdouble*gdouble
den = :math.pow(abs(g1_2*g1_2 - shape*g*g),2)
num/den
end
end
def size(%Nakagami{}), do: 2
def cdf(%Nakagami{pars: nil}), do: fn x, [scale,shape] -> nakagamiCDF(scale,shape).(x) end
def pdf(%Nakagami{pars: nil}), do: raise(D.FunctionNotSupportedError, message: "pdf is not supported for the Nakagami distribution")
def random(%Nakagami{pars: [scale,shape]}), do: nakagami(scale, shape).()
def name(model), do: model.name
end
defimpl Inspect, for: Chi2fit.Distribution.Nakagami do
import Inspect.Algebra
def inspect(dict, opts) do
case dict.pars do
nil ->
"#Nakagami<>"
[scale,shape] ->
concat ["#Nakagami<", to_doc("scale=#{scale}, shape=#{shape}", opts), ">"]
list ->
concat ["#Nakagami<", to_doc(list, opts), ">"]
end
end
end