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Added density - cdf consistency test. 

git-svn-id: https://svn.apache.org/repos/asf/commons/proper/math/trunk@1381029 13f79535-47bb-0310-9956-ffa450edef68
This commit is contained in:
Phil Steitz 2012-09-05 06:53:45 +00:00
parent 8a0fef0fb7
commit 04b34cc1a5
1 changed files with 45 additions and 0 deletions
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45
src/test/java/org/apache/commons/math3/distribution/RealDistributionAbstractTest.java
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@ -17,8 +17,14 @@
package org.apache.commons.math3.distribution;
import java.util.ArrayList;
import java.util.Collections;
import org.apache.commons.math3.TestUtils;
import org.apache.commons.math3.util.FastMath;
import org.apache.commons.math3.analysis.UnivariateFunction;
import org.apache.commons.math3.analysis.integration.BaseAbstractUnivariateIntegrator;
import org.apache.commons.math3.analysis.integration.IterativeLegendreGaussIntegrator;
import org.apache.commons.math3.exception.MathIllegalArgumentException;
import org.apache.commons.math3.exception.NumberIsTooLargeException;
import org.junit.After;
@ -294,6 +300,45 @@ public abstract class RealDistributionAbstractTest {
TestUtils.assertChiSquareAccept(expected, counts, 0.001);
}
/**
* Verify that density integrals match the distribution.
* The (filtered, sorted) cumulativeTestPoints array is used to source
* integration limits. The integral of the density (estimated using a
* Legendre-Gauss integrator) is compared with the cdf over the same
* interval. Test points outside of the domain of the density function
* are discarded.
*/
@Test
public void testDensityIntegrals() {
final double tol = 1.0e-9;
final BaseAbstractUnivariateIntegrator integrator =
new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
final UnivariateFunction d = new UnivariateFunction() {
public double value(double x) {
return distribution.density(x);
}
};
final ArrayList<Double> integrationTestPoints = new ArrayList<Double>();
for (int i = 0; i < cumulativeTestPoints.length; i++) {
if (Double.isNaN(cumulativeTestValues[i]) ||
cumulativeTestValues[i] < 1.0e-5 ||
cumulativeTestValues[i] > 1 - 1.0e-5) {
continue; // exclude integrals outside domain.
}
integrationTestPoints.add(cumulativeTestPoints[i]);
}
Collections.sort(integrationTestPoints);
for (int i = 1; i < integrationTestPoints.size(); i++) {
Assert.assertEquals(
distribution.cumulativeProbability( // FIXME @4.0 when rename happens
integrationTestPoints.get(0), integrationTestPoints.get(i)),
integrator.integrate(
1000000, // Triangle integrals are very slow to converge
d, integrationTestPoints.get(0),
integrationTestPoints.get(i)), tol);
}
}
//------------------ Getters / Setters for test instance data -----------
/**
* @return Returns the cumulativeTestPoints.