Contents

# Added by John O. Woods, SciRuby project.
module Distribution
  module Gamma
    module Ruby_
      class << self
        include Math
        # Gamma distribution probability density function
        #
        # If you're looking at Wikipedia's Gamma distribution page, the arguments for this pdf function correspond
        # as follows:
        #
        # * +x+: same
        # * +a+: alpha or k
        # + +b+: theta or 1/beta
        #
        # This is confusing! But we're trying to most closely mirror the GSL function for the gamma distribution
        # (see references).
        #
        # Adapted the function itself from GSL-1.9 in rng/gamma.c: gsl_ran_gamma_pdf
        #
        # ==References
        # * http://www.gnu.org/software/gsl/manual/html_node/The-Gamma-Distribution.html
        # * http://en.wikipedia.org/wiki/Gamma_distribution
        def pdf(x, a, b)
          return 0 if x < 0
          if x == 0
            return 1.quo(b) if a == 1
            return 0
          elsif a == 1
            Math.exp(-x.quo(b)).quo(b)
          else
            Math.exp((a - 1) * Math.log(x.quo(b)) - x.quo(b) - Math.lgamma(a).first).quo(b)
          end
        end

        # Gamma cumulative distribution function
        def cdf(x, a, b)
          return 0.0 if x <= 0.0

          y = x.quo(b)
          return (1 - Math::IncompleteGamma.q(a, y)) if y > a
          (Math::IncompleteGamma.p(a, y))
        end
      end
    end
  end
end

Version data entries

1 entries across 1 versions & 1 rubygems

Version	Path
distribution-0.8.0	lib/distribution/gamma/ruby.rb