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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// Andrew J. Willshire
//
using System;
using System.Collections.Generic;
using IStation.Numerics.Random;
namespace IStation.Numerics.Distributions
{
///
/// Discrete Univariate Beta-Binomial distribution.
/// The beta-binomial distribution is a family of discrete probability distributions on a finite support of non-negative integers arising
/// when the probability of success in each of a fixed or known number of Bernoulli trials is either unknown or random.
/// The beta-binomial distribution is the binomial distribution in which the probability of success at each of n trials is not fixed but randomly drawn from a beta distribution.
/// It is frequently used in Bayesian statistics, empirical Bayes methods and classical statistics to capture overdispersion in binomial type distributed data.
/// Wikipedia - Beta-Binomial distribution.
///
public class BetaBinomial : IDiscreteDistribution
{
System.Random _random;
readonly int _n;
readonly double _a;
readonly double _b;
///
/// Initializes a new instance of the class.
///
/// The number of Bernoulli trials n - n is a positive integer
/// Shape parameter alpha of the Beta distribution. Range: a > 0.
/// Shape parameter beta of the Beta distribution. Range: b > 0.
public BetaBinomial(int n, double a, double b)
{
if (!IsValidParameterSet(n, a, b))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
_random = SystemRandomSource.Default;
_n = n;
_a = a;
_b = b;
}
///
/// Initializes a new instance of the class.
///
/// The number of Bernoulli trials n - n is a positive integer
/// Shape parameter alpha of the Beta distribution. Range: a > 0.
/// Shape parameter beta of the Beta distribution. Range: b > 0.
/// The random number generator which is used to draw random samples.
public BetaBinomial(int n, double a, double b, System.Random randomSource)
{
if (!IsValidParameterSet(n,a,b))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
_random = randomSource ?? SystemRandomSource.Default;
_n = n;
_a = a;
_b = b;
}
///
/// Returns a that represents this instance.
///
///
/// A that represents this instance.
///
public override string ToString()
{
return $"BetaBinomial(n = {_n}, a = {_a}, b = {_b})";
}
///
/// Tests whether the provided values are valid parameters for this distribution.
///
/// The number of Bernoulli trials n - n is a positive integer
/// Shape parameter alpha of the Beta distribution. Range: a > 0.
/// Shape parameter beta of the Beta distribution. Range: b > 0.
public static bool IsValidParameterSet(int n, double a, double b)
{
return n >= 1.0 && a > 0.0 && b > 0.0;
}
///
/// Tests whether the provided values are valid parameters for this distribution.
///
/// The number of Bernoulli trials n - n is a positive integer
/// Shape parameter alpha of the Beta distribution. Range: a > 0.
/// Shape parameter beta of the Beta distribution. Range: b > 0.
/// The location in the domain where we want to evaluate the probability mass function.
public static bool IsValidParameterSet(int n, double a, double b, int k)
{
return n >= 1.0 && a > 0.0 && b > 0.0 && k >=0 && k <=n;
}
public int N => _n;
public double A => _a;
public double B => _b;
public System.Random RandomSource
{
get => _random;
set => _random = value ?? SystemRandomSource.Default;
}
///
/// Gets the mean of the distribution.
///
public double Mean => (_n * _a) / (_a + _b);
///
/// Gets the variance of the distribution.
///
public double Variance => (_n*_a*_b*(_a+_b+_n))/(Math.Pow((_a+_b),2) * (_a+_b+1));
///
/// Gets the standard deviation of the distribution.
///
public double StdDev => Math.Sqrt((_n * _a * _b * (_a + _b + _n)) / (Math.Pow((_a + _b), 2) * (_a + _b + 1)));
///
/// Gets the entropy of the distribution.
///
double IUnivariateDistribution.Entropy => throw new NotSupportedException();
///
/// Gets the skewness of the distribution.
///
public double Skewness =>
(_a + _b + 2 * _n) * (_b - _a) / (_a + _b + 2) * Math.Sqrt((1 + _a + _b) / (_n * _a * _b * (_n + _a + _b)));
///
/// Gets the mode of the distribution
///
int IDiscreteDistribution.Mode => throw new NotSupportedException();
///
/// Gets the median of the distribution.
///
double IUnivariateDistribution.Median => throw new NotSupportedException();
///
/// Gets the smallest element in the domain of the distributions which can be represented by an integer.
///
public int Minimum => 0;
///
/// Gets the largest element in the domain of the distributions which can be represented by an integer.
///
public int Maximum => int.MaxValue;
///
/// Computes the probability mass (PMF) at k, i.e. P(X = k).
///
/// The location in the domain where we want to evaluate the probability mass function.
/// the probability mass at location .
public double Probability(int k)
{
return PMF(_n, _a, _b, k);
}
///
/// Computes the log probability mass (lnPMF) at k, i.e. ln(P(X = k)).
///
/// The location in the domain where we want to evaluate the log probability mass function.
/// the log probability mass at location .
public double ProbabilityLn(int k)
{
return PMFLn(_n, _a, _b, k);
}
///
/// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x).
///
/// The location at which to compute the cumulative distribution function.
/// the cumulative distribution at location
public double CumulativeDistribution(double x)
{
return CDF(_n, _a, _b, (int)Math.Floor(x));
}
///
/// Computes the probability mass (PMF) at k, i.e. P(X = k).
///
/// The number of Bernoulli trials n - n is a positive integer
/// Shape parameter alpha of the Beta distribution. Range: a > 0.
/// Shape parameter beta of the Beta distribution. Range: b > 0.
/// The location in the domain where we want to evaluate the probability mass function.
/// the probability mass at location .
public static double PMF(int n, double a, double b, int k)
{
if (!IsValidParameterSet(n, a, b, k))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
if (k > n)
{
return 0.0;
}
else
{
return Math.Exp(PMFLn(n, a, b, k));
}
}
///
/// Computes the log probability mass (lnPMF) at k, i.e. ln(P(X = k)).
///
/// The number of Bernoulli trials n - n is a positive integer
/// Shape parameter alpha of the Beta distribution. Range: a > 0.
/// Shape parameter beta of the Beta distribution. Range: b > 0.
/// The location in the domain where we want to evaluate the probability mass function.
/// the log probability mass at location .
public static double PMFLn(int n, double a, double b, int k)
{
if (!IsValidParameterSet(n, a, b, k))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
return SpecialFunctions.BinomialLn((n), k)
+ SpecialFunctions.BetaLn(k + a, n - k + b)
- SpecialFunctions.BetaLn(a, b);
}
///
/// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x).
///
/// The number of Bernoulli trials n - n is a positive integer
/// Shape parameter alpha of the Beta distribution. Range: a > 0.
/// Shape parameter beta of the Beta distribution. Range: b > 0.
/// The location at which to compute the cumulative distribution function.
/// the cumulative distribution at location .
///
public static double CDF(int n, double a, double b, int x)
{
if (!IsValidParameterSet(n,a,b,x))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
double accumulator = 0;
for (int i = 0; i<=x; i++)
{
accumulator += PMF(n, a, b, i);
}
return accumulator;
}
///
/// Samples BetaBinomial distributed random variables by sampling a Beta distribution then passing to a Binomial distribution.
///
/// The random number generator to use.
/// The α shape parameter of the Beta distribution. Range: α ≥ 0.
/// The β shape parameter of the Beta distribution. Range: β ≥ 0.
/// The number of trials (n). Range: n ≥ 0.
/// a random number from the BetaBinomial distribution.
static int SampleUnchecked(System.Random rnd, int n, double a, double b)
{
var p = Beta.SampleUnchecked(rnd, a, b);
var x = Binomial.SampleUnchecked(rnd, p, n);
return x;
}
static void SamplesUnchecked(System.Random rnd, int[] values, int n, double a, double b)
{
for (int i = 0; i < values.Length; i++)
{
values[i] = SampleUnchecked(rnd, n, a, b);
}
}
static IEnumerable SamplesUnchecked(System.Random rnd, int n, double a, double b)
{
while (true)
{
yield return SampleUnchecked(rnd, n, a, b);
}
}
///
/// Samples a BetaBinomial distributed random variable.
///
/// a sample from the distribution.
public int Sample()
{
return SampleUnchecked(_random, _n, _a, _b);
}
///
/// Fills an array with samples generated from the distribution.
///
public void Samples(int[] values)
{
SamplesUnchecked(_random, values, _n, _a, _b);
}
///
/// Samples an array of BetaBinomial distributed random variables.
///
/// a sequence of samples from the distribution.
public IEnumerable Samples()
{
return SamplesUnchecked(_random, _n, _a, _b);
}
///
/// Samples a BetaBinomial distributed random variable.
///
/// The random number generator to use.
/// The α shape parameter of the Beta distribution. Range: α ≥ 0.
/// The β shape parameter of the Beta distribution. Range: β ≥ 0.
/// The number of trials (n). Range: n ≥ 0.
/// a sample from the distribution.
public int Sample(System.Random rnd, int n, double a, double b)
{
if (!IsValidParameterSet(n,a,b))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
return SampleUnchecked(rnd, n, a, b);
}
///
/// Fills an array with samples generated from the distribution.
///
/// The random number generator to use.
/// The array to fill with the samples.
/// The α shape parameter of the Beta distribution. Range: α ≥ 0.
/// The β shape parameter of the Beta distribution. Range: β ≥ 0.
/// The number of trials (n). Range: n ≥ 0.
public void Samples(System.Random rnd, int[] values, int n, double a, double b)
{
if (!IsValidParameterSet(n, a, b))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
SamplesUnchecked(rnd, values, n, a, b);
}
///
/// Samples an array of BetaBinomial distributed random variables.
///
/// The α shape parameter of the Beta distribution. Range: α ≥ 0.
/// The β shape parameter of the Beta distribution. Range: β ≥ 0.
/// The number of trials (n). Range: n ≥ 0.
/// a sequence of samples from the distribution.
public IEnumerable Samples(int n, double a, double b)
{
if (!IsValidParameterSet(n, a, b))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
return SamplesUnchecked(_random, n, a, b);
}
///
/// Fills an array with samples generated from the distribution.
///
/// The array to fill with the samples.
/// The α shape parameter of the Beta distribution. Range: α ≥ 0.
/// The β shape parameter of the Beta distribution. Range: β ≥ 0.
/// The number of trials (n). Range: n ≥ 0.
public void Samples(int[] values, int n, double a, double b)
{
if (!IsValidParameterSet(n, a, b))
{
throw new ArgumentException("Invalid parametrization for the distribution.");
}
SamplesUnchecked(_random, values, n, a, b);
}
}
}