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Improve precision for large NDF #214

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Merged
Shimuuar merged 1 commit into from
Feb 16, 2025
Merged

Improve precision for large NDF #214

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7 changes: 4 additions & 3 deletions Statistics/Distribution/StudentT.hs
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Original file line number Diff line number Diff line change
Expand Up @@ -26,7 +26,7 @@ import Data.Binary (Binary(..))
import Data.Data (Data, Typeable)
import GHC.Generics (Generic)
import Numeric.SpecFunctions (
logBeta, incompleteBeta, invIncompleteBeta, digamma)
logBeta, incompleteBeta, invIncompleteBeta, digamma, log1p)

import qualified Statistics.Distribution as D
import Statistics.Distribution.Transform (LinearTransform (..))
Expand Down Expand Up @@ -94,8 +94,9 @@ complCumulative (StudentT ndf) x


logDensityUnscaled :: StudentT -> Double -> Double
logDensityUnscaled (StudentT ndf) x =
log (ndf / (ndf + x*x)) * (0.5 * (1 + ndf)) - logBeta 0.5 (0.5 * ndf)
logDensityUnscaled (StudentT ndf) x
= log1p (x*x/ndf) * (-(0.5 * (1 + ndf)))
- logBeta 0.5 (0.5 * ndf)

quantile :: StudentT -> Double -> Double
quantile (StudentT ndf) p
Expand Down
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