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Contents
require 'rbconfig'
module Distribution
# Calculate cdf and inverse cdf for T Distribution.
# Uses Statistics2 Module.
module T
class << self
# Return the P-value of the corresponding integral with
# k degrees of freedom
def p_value(pr,k)
Statistics2.ptdist(k, pr)
end
# T cumulative distribution function (cdf).
#
# Returns the integral of t-distribution
# with n degrees of freedom over (-Infty, x].
#
def cdf(x,k)
if RbConfig::CONFIG['arch']=~/i686/
tdist(k, x)
else
Statistics2.tdist(k,x)
end
end
# Returns the integral of t-distribution with n degrees of freedom over (-Infty, x].
def tdist(n, t)
p_t(n, t)
end
# t-distribution ([1])
# (-\infty, x]
def p_t(df, t)
c2 = df.to_f / (df + t * t);
s = Math.sqrt(1.0 - c2)
s = -s if t < 0.0
p = 0.0;
i = df % 2 + 2
while i <= df
p += s
s *= (i - 1) * c2 / i
i += 2
end
if df.is_a? Float or df & 1 != 0
0.5+(p*Math.sqrt(c2)+Math.atan(t/Math.sqrt(df)))/Math::PI
else
(1.0 + p) / 2.0
end
end
end
end
end
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10 entries across 10 versions & 1 rubygems