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Added pdf_link's for gaussian and student t, added third derivatives for

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transformations and tests for them
This commit is contained in:
Alan Saul 2013-10-17 14:31:24 +01:00
parent e65548f385
commit afd38df1ef
10 changed files with 203 additions and 615 deletions
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34
GPy/util/univariate_Gaussian.py
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@ -13,24 +13,32 @@ def std_norm_cdf(x):
Cumulative standard Gaussian distribution
Based on Abramowitz, M. and Stegun, I. (1970)
"""
#Generalize for many x
x = np.asarray(x).copy()
cdf_x = np.zeros_like(x)
N = x.size
support_code = "#include <math.h>"
code = """
double sign = 1.0;
if (x < 0.0){
sign = -1.0;
x = -x;
double sign, t, erf;
for (int i=0; i<N; i++){
sign = 1.0;
if (x[i] < 0.0){
sign = -1.0;
x[i] = -x[i];
}
x[i] = x[i]/sqrt(2.0);
t = 1.0/(1.0 + 0.3275911*x[i]);
erf = 1. - exp(-x[i]*x[i])*t*(0.254829592 + t*(-0.284496736 + t*(1.421413741 + t*(-1.453152027 + t*(1.061405429)))));
//return_val = 0.5*(1.0 + sign*erf);
cdf_x[i] = 0.5*(1.0 + sign*erf);
}
x = x/sqrt(2.0);
double t = 1.0/(1.0 + 0.3275911*x);
double erf = 1. - exp(-x*x)*t*(0.254829592 + t*(-0.284496736 + t*(1.421413741 + t*(-1.453152027 + t*(1.061405429)))));
return_val = 0.5*(1.0 + sign*erf);
"""
x = float(x)
return weave.inline(code,arg_names=['x'],support_code=support_code)
weave.inline(code, arg_names=['x', 'cdf_x', 'N'], support_code=support_code)
return cdf_x
def inv_std_norm_cdf(x):
"""