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<div class="titlepage"><div><div><h5 class="title">
<a name="math_toolkit.dist.dist_ref.dists.f_dist"></a><a class="link" href="f_dist.html" title="F Distribution"> F Distribution</a>
</h5></div></div></div>
<p>
</p>
<pre class="programlisting"><span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">fisher_f</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span></pre>
<p>
</p>
<pre class="programlisting"><span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">{</span> <span class="keyword">namespace</span> <span class="identifier">math</span><span class="special">{</span>
<span class="keyword">template</span> <span class="special"><</span><span class="keyword">class</span> <span class="identifier">RealType</span> <span class="special">=</span> <span class="keyword">double</span><span class="special">,</span>
<span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Policies">Policy</a> <span class="special">=</span> <a class="link" href="../../../policy/pol_ref/pol_ref_ref.html" title="Policy Class Reference">policies::policy<></a> <span class="special">></span>
<span class="keyword">class</span> <span class="identifier">fisher_f_distribution</span><span class="special">;</span>
<span class="keyword">typedef</span> <span class="identifier">fisher_f_distribution</span><span class="special"><></span> <span class="identifier">fisher_f</span><span class="special">;</span>
<span class="keyword">template</span> <span class="special"><</span><span class="keyword">class</span> <span class="identifier">RealType</span><span class="special">,</span> <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Policies">Policy</a><span class="special">></span>
<span class="keyword">class</span> <span class="identifier">fisher_f_distribution</span>
<span class="special">{</span>
<span class="keyword">public</span><span class="special">:</span>
<span class="keyword">typedef</span> <span class="identifier">RealType</span> <span class="identifier">value_type</span><span class="special">;</span>
<span class="comment">// Construct:
</span> <span class="identifier">fisher_f_distribution</span><span class="special">(</span><span class="keyword">const</span> <span class="identifier">RealType</span><span class="special">&</span> <span class="identifier">i</span><span class="special">,</span> <span class="keyword">const</span> <span class="identifier">RealType</span><span class="special">&</span> <span class="identifier">j</span><span class="special">);</span>
<span class="comment">// Accessors:
</span> <span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom1</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
<span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom2</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
<span class="special">};</span>
<span class="special">}}</span> <span class="comment">//namespaces
</span></pre>
<p>
The F distribution is a continuous distribution that arises when testing
whether two samples have the same variance. If χ<sup>2</sup><sub>m</sub> and χ<sup>2</sup><sub>n</sub> are independent
variates each distributed as Chi-Squared with <span class="emphasis"><em>m</em></span>
and <span class="emphasis"><em>n</em></span> degrees of freedom, then the test statistic:
</p>
<p>
F<sub>n,m</sub> = (χ<sup>2</sup><sub>n</sub> / n) / (χ<sup>2</sup><sub>m</sub> / m)
</p>
<p>
Is distributed over the range [0, ∞] with an F distribution, and has the
PDF:
</p>
<p>
<span class="inlinemediaobject"><img src="../../../../../equations/fisher_pdf.png"></span>
</p>
<p>
The following graph illustrates how the PDF varies depending on the two
degrees of freedom parameters.
</p>
<p>
<span class="inlinemediaobject"><img src="../../../../../graphs/fisher_f_pdf.png" align="middle"></span>
</p>
<a name="math_toolkit.dist.dist_ref.dists.f_dist.member_functions"></a><h5>
<a name="id1031861"></a>
<a class="link" href="f_dist.html#math_toolkit.dist.dist_ref.dists.f_dist.member_functions">Member
Functions</a>
</h5>
<pre class="programlisting"><span class="identifier">fisher_f_distribution</span><span class="special">(</span><span class="keyword">const</span> <span class="identifier">RealType</span><span class="special">&</span> <span class="identifier">df1</span><span class="special">,</span> <span class="keyword">const</span> <span class="identifier">RealType</span><span class="special">&</span> <span class="identifier">df2</span><span class="special">);</span>
</pre>
<p>
Constructs an F-distribution with numerator degrees of freedom <span class="emphasis"><em>df1</em></span>
and denominator degrees of freedom <span class="emphasis"><em>df2</em></span>.
</p>
<p>
Requires that <span class="emphasis"><em>df1</em></span> and <span class="emphasis"><em>df2</em></span> are
both greater than zero, otherwise <a class="link" href="../../../main_overview/error_handling.html#domain_error">domain_error</a>
is called.
</p>
<pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom1</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
</pre>
<p>
Returns the numerator degrees of freedom parameter of the distribution.
</p>
<pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom2</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
</pre>
<p>
Returns the denominator degrees of freedom parameter of the distribution.
</p>
<a name="math_toolkit.dist.dist_ref.dists.f_dist.non_member_accessors"></a><h5>
<a name="id1032014"></a>
<a class="link" href="f_dist.html#math_toolkit.dist.dist_ref.dists.f_dist.non_member_accessors">Non-member
Accessors</a>
</h5>
<p>
All the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member
accessor functions</a> that are generic to all distributions are supported:
<a class="link" href="../nmp.html#math.dist.cdf">Cumulative Distribution Function</a>,
<a class="link" href="../nmp.html#math.dist.pdf">Probability Density Function</a>, <a class="link" href="../nmp.html#math.dist.quantile">Quantile</a>, <a class="link" href="../nmp.html#math.dist.hazard">Hazard
Function</a>, <a class="link" href="../nmp.html#math.dist.chf">Cumulative Hazard Function</a>,
<a class="link" href="../nmp.html#math.dist.mean">mean</a>, <a class="link" href="../nmp.html#math.dist.median">median</a>,
<a class="link" href="../nmp.html#math.dist.mode">mode</a>, <a class="link" href="../nmp.html#math.dist.variance">variance</a>,
<a class="link" href="../nmp.html#math.dist.sd">standard deviation</a>, <a class="link" href="../nmp.html#math.dist.skewness">skewness</a>,
<a class="link" href="../nmp.html#math.dist.kurtosis">kurtosis</a>, <a class="link" href="../nmp.html#math.dist.kurtosis_excess">kurtosis_excess</a>,
<a class="link" href="../nmp.html#math.dist.range">range</a> and <a class="link" href="../nmp.html#math.dist.support">support</a>.
</p>
<p>
The domain of the random variable is [0, +∞].
</p>
<a name="math_toolkit.dist.dist_ref.dists.f_dist.examples"></a><h5>
<a name="id1032114"></a>
<a class="link" href="f_dist.html#math_toolkit.dist.dist_ref.dists.f_dist.examples">Examples</a>
</h5>
<p>
Various <a class="link" href="../../stat_tut/weg/f_eg.html" title="F Distribution Examples">worked examples</a>
are available illustrating the use of the F Distribution.
</p>
<a name="math_toolkit.dist.dist_ref.dists.f_dist.accuracy"></a><h5>
<a name="id1032136"></a>
<a class="link" href="f_dist.html#math_toolkit.dist.dist_ref.dists.f_dist.accuracy">Accuracy</a>
</h5>
<p>
The normal distribution is implemented in terms of the <a class="link" href="../../../special/sf_beta/ibeta_function.html" title="Incomplete Beta Functions">incomplete
beta function</a> and it's <a class="link" href="../../../special/sf_beta/ibeta_inv_function.html" title="The Incomplete Beta Function Inverses">inverses</a>,
refer to those functions for accuracy data.
</p>
<a name="math_toolkit.dist.dist_ref.dists.f_dist.implementation"></a><h5>
<a name="id1032162"></a>
<a class="link" href="f_dist.html#math_toolkit.dist.dist_ref.dists.f_dist.implementation">Implementation</a>
</h5>
<p>
In the following table <span class="emphasis"><em>v1</em></span> and <span class="emphasis"><em>v2</em></span>
are the first and second degrees of freedom parameters of the distribution,
<span class="emphasis"><em>x</em></span> is the random variate, <span class="emphasis"><em>p</em></span>
is the probability, and <span class="emphasis"><em>q = 1-p</em></span>.
</p>
<div class="informaltable"><table class="table">
<colgroup>
<col>
<col>
</colgroup>
<thead><tr>
<th>
<p>
Function
</p>
</th>
<th>
<p>
Implementation Notes
</p>
</th>
</tr></thead>
<tbody>
<tr>
<td>
<p>
pdf
</p>
</td>
<td>
<p>
The usual form of the PDF is given by:
</p>
<p>
<span class="inlinemediaobject"><img src="../../../../../equations/fisher_pdf.png"></span>
</p>
<p>
However, that form is hard to evaluate directly without incurring
problems with either accuracy or numeric overflow.
</p>
<p>
Direct differentiation of the CDF expressed in terms of the
incomplete beta function
</p>
<p>
led to the following two formulas:
</p>
<p>
f<sub>v1,v2</sub>(x) = y * <a class="link" href="../../../special/sf_beta/beta_derivative.html" title="Derivative of the Incomplete Beta Function">ibeta_derivative</a>(v2
/ 2, v1 / 2, v2 / (v2 + v1 * x))
</p>
<p>
with y = (v2 * v1) / ((v2 + v1 * x) * (v2 + v1 * x))
</p>
<p>
and
</p>
<p>
f<sub>v1,v2</sub>(x) = y * <a class="link" href="../../../special/sf_beta/beta_derivative.html" title="Derivative of the Incomplete Beta Function">ibeta_derivative</a>(v1
/ 2, v2 / 2, v1 * x / (v2 + v1 * x))
</p>
<p>
with y = (z * v1 - x * v1 * v1) / z<sup>2</sup>
</p>
<p>
and z = v2 + v1 * x
</p>
<p>
The first of these is used for v1 * x > v2, otherwise the
second is used.
</p>
<p>
The aim is to keep the <span class="emphasis"><em>x</em></span> argument to
<a class="link" href="../../../special/sf_beta/beta_derivative.html" title="Derivative of the Incomplete Beta Function">ibeta_derivative</a>
away from 1 to avoid rounding error.
</p>
</td>
</tr>
<tr>
<td>
<p>
cdf
</p>
</td>
<td>
<p>
Using the relations:
</p>
<p>
p = <a class="link" href="../../../special/sf_beta/ibeta_function.html" title="Incomplete Beta Functions">ibeta</a>(v1
/ 2, v2 / 2, v1 * x / (v2 + v1 * x))
</p>
<p>
and
</p>
<p>
p = <a class="link" href="../../../special/sf_beta/ibeta_function.html" title="Incomplete Beta Functions">ibetac</a>(v2
/ 2, v1 / 2, v2 / (v2 + v1 * x))
</p>
<p>
The first is used for v1 * x > v2, otherwise the second
is used.
</p>
<p>
The aim is to keep the <span class="emphasis"><em>x</em></span> argument to
<a class="link" href="../../../special/sf_beta/ibeta_function.html" title="Incomplete Beta Functions">ibeta</a>
well away from 1 to avoid rounding error.
</p>
</td>
</tr>
<tr>
<td>
<p>
cdf complement
</p>
</td>
<td>
<p>
Using the relations:
</p>
<p>
p = <a class="link" href="../../../special/sf_beta/ibeta_function.html" title="Incomplete Beta Functions">ibetac</a>(v1
/ 2, v2 / 2, v1 * x / (v2 + v1 * x))
</p>
<p>
and
</p>
<p>
p = <a class="link" href="../../../special/sf_beta/ibeta_function.html" title="Incomplete Beta Functions">ibeta</a>(v2
/ 2, v1 / 2, v2 / (v2 + v1 * x))
</p>
<p>
The first is used for v1 * x < v2, otherwise the second
is used.
</p>
<p>
The aim is to keep the <span class="emphasis"><em>x</em></span> argument to
<a class="link" href="../../../special/sf_beta/ibeta_function.html" title="Incomplete Beta Functions">ibeta</a>
well away from 1 to avoid rounding error.
</p>
</td>
</tr>
<tr>
<td>
<p>
quantile
</p>
</td>
<td>
<p>
Using the relation:
</p>
<p>
x = v2 * a / (v1 * b)
</p>
<p>
where:
</p>
<p>
a = <a class="link" href="../../../special/sf_beta/ibeta_inv_function.html" title="The Incomplete Beta Function Inverses">ibeta_inv</a>(v1
/ 2, v2 / 2, p)
</p>
<p>
and
</p>
<p>
b = 1 - a
</p>
<p>
Quantities <span class="emphasis"><em>a</em></span> and <span class="emphasis"><em>b</em></span>
are both computed by <a class="link" href="../../../special/sf_beta/ibeta_inv_function.html" title="The Incomplete Beta Function Inverses">ibeta_inv</a>
without the subtraction implied above.
</p>
</td>
</tr>
<tr>
<td>
<p>
quantile
</p>
<p>
from the complement
</p>
</td>
<td>
<p>
Using the relation:
</p>
<p>
x = v2 * a / (v1 * b)
</p>
<p>
where
</p>
<p>
a = <a class="link" href="../../../special/sf_beta/ibeta_inv_function.html" title="The Incomplete Beta Function Inverses">ibetac_inv</a>(v1
/ 2, v2 / 2, p)
</p>
<p>
and
</p>
<p>
b = 1 - a
</p>
<p>
Quantities <span class="emphasis"><em>a</em></span> and <span class="emphasis"><em>b</em></span>
are both computed by <a class="link" href="../../../special/sf_beta/ibeta_inv_function.html" title="The Incomplete Beta Function Inverses">ibetac_inv</a>
without the subtraction implied above.
</p>
</td>
</tr>
<tr>
<td>
<p>
mean
</p>
</td>
<td>
<p>
v2 / (v2 - 2)
</p>
</td>
</tr>
<tr>
<td>
<p>
variance
</p>
</td>
<td>
<p>
2 * v2<sup>2 </sup> * (v1 + v2 - 2) / (v1 * (v2 - 2) * (v2 - 2) * (v2 -
4))
</p>
</td>
</tr>
<tr>
<td>
<p>
mode
</p>
</td>
<td>
<p>
v2 * (v1 - 2) / (v1 * (v2 + 2))
</p>
</td>
</tr>
<tr>
<td>
<p>
skewness
</p>
</td>
<td>
<p>
2 * (v2 + 2 * v1 - 2) * sqrt((2 * v2 - 8) / (v1 * (v2 + v1
- 2))) / (v2 - 6)
</p>
</td>
</tr>
<tr>
<td>
<p>
kurtosis and kurtosis excess
</p>
</td>
<td>
<p>
Refer to, <a href="http://mathworld.wolfram.com/F-Distribution.html" target="_top">Weisstein,
Eric W. "F-Distribution." From MathWorld--A Wolfram
Web Resource.</a>
</p>
</td>
</tr>
</tbody>
</table></div>
</div>
<table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
<td align="left"></td>
<td align="right"><div class="copyright-footer">Copyright © 2006 , 2007, 2008, 2009 John Maddock, Paul A. Bristow,
Hubert Holin, Xiaogang Zhang, Bruno Lalande, Johan Råde, Gautam Sewani
and Thijs van den Berg<p>
Distributed under the Boost Software License, Version 1.0. (See accompanying
file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
</p>
</div></td>
</tr></table>
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