Inverse of the cumulative of the convolution of odd-T distributions. More...

#include <convolvedstudentt.hpp>

Collaboration diagram for InverseCumulativeBehrensFisher:

Public Member Functions
	InverseCumulativeBehrensFisher (const std::vector< Integer > &degreesFreedom=std::vector< Integer >(), const std::vector< Real > &factors=std::vector< Real >(), Real accuracy=1.e-6)

Real	operator() (Probability q) const
	Returns the cumulative inverse value. More...

Private Attributes
Real	normSqr_

Real	accuracy_

CumulativeBehrensFisher	distrib_

Detailed Description

Inverse of the cumulative of the convolution of odd-T distributions.

Finds the inverse through a root solver. To find limits for the solver domain use is made of the property that the convolved distribution is bounded above by the normalized gaussian. If the coeffiecient in the linear combination add up to a number below one the T of order one can be used as a limit below but in general this is not necessarily the case and a constant is used. Also the fact that the combination is symmetric is used.

Definition at line 161 of file convolvedstudentt.hpp.

Constructor & Destructor Documentation

◆ InverseCumulativeBehrensFisher()

InverseCumulativeBehrensFisher	(	const std::vector< Integer > &	degreesFreedom = `std::vector<Integer>()`,
		const std::vector< Real > &	factors = `std::vector<Real>()`,
		Real	accuracy = `1.e-6`
	)

Parameters

degreesFreedom	Degrees of freedom of the Ts convolved. The algorithm is limited to odd orders only.
factors	Factors in the linear combination of the Ts.
accuracy	The accuracy of the root-solving process.

Definition at line 148 of file convolvedstudentt.cpp.

Member Function Documentation

◆ operator()()

Real operator() ( Probability q ) const

Returns the cumulative inverse value.

Definition at line 156 of file convolvedstudentt.cpp.

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Member Data Documentation

◆ normSqr_

Real normSqr_

mutableprivate

Definition at line 177 of file convolvedstudentt.hpp.

◆ accuracy_

Real accuracy_

private

Definition at line 177 of file convolvedstudentt.hpp.

◆ distrib_

CumulativeBehrensFisher distrib_