MobinMQL/Include/Math/Stat/T.mqh

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2025-07-22 14:47:41 +03:00
//+------------------------------------------------------------------+
//| T.mqh |
//| Copyright 2000-2025, MetaQuotes Ltd. |
//| https://www.mql5.com |
//+------------------------------------------------------------------+
#include "Math.mqh"
#include "Gamma.mqh"
//+------------------------------------------------------------------+
//| T probability density function (PDF) |
//+------------------------------------------------------------------+
//| The function returns the probability density function |
//| of the T-distribution with parameter nu. |
//| |
//| Arguments: |
//| x : Random variable |
//| nu : Degrees of freedom |
//| log_mode : Logarithm mode, if true it calculates Log values |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The probability density evaluated at x. |
//+------------------------------------------------------------------+
double MathProbabilityDensityT(const double x,const double nu,const bool log_mode,int &error_code)
{
//--- check NaN
if(!MathIsValidNumber(x) || !MathIsValidNumber(nu))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check nu
if(nu!=MathRound(nu) || nu<=0.0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
error_code=ERR_OK;
//--- calculate T density
double pdf=MathExp(MathGammaLog((nu+1.0)*0.5)-MathGammaLog(nu*0.5));
pdf=pdf/(MathSqrt(nu*M_PI)*MathPow(1+x*x/nu,(nu+1.0)*0.5));
//--- return density
return TailLogValue(pdf,true,log_mode);
}
//+------------------------------------------------------------------+
//| T probability density function (PDF) |
//+------------------------------------------------------------------+
//| The function returns the probability density function |
//| of the T-distribution with parameter nu. |
//| |
//| Arguments: |
//| x : Random variable |
//| nu : Degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The probability density evaluated at x. |
//+------------------------------------------------------------------+
double MathProbabilityDensityT(const double x,const double nu,int &error_code)
{
return MathProbabilityDensityT(x,nu,false,error_code);
}
//+------------------------------------------------------------------+
//| T probability density function (PDF) |
//+------------------------------------------------------------------+
//| The function calculates the probability density function of |
//| the T distribution with parameter nu for values in x[] array. |
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu : Degrees of freedom |
//| log_mode : Logarithm mode flag, if true it returns Log values |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathProbabilityDensityT(const double &x[],const double nu,const bool log_mode,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu))
return false;
//--- check nu
if(nu!=MathRound(nu) || nu<=0.0)
return false;
int data_count=ArraySize(x);
if(data_count==0)
return false;
int error_code=0;
ArrayResize(result,data_count);
for(int i=0; i<data_count; i++)
{
double x_arg=x[i];
if(!MathIsValidNumber(x_arg))
return false;
error_code=ERR_OK;
//--- calculate T density
double pdf=MathExp(MathGammaLog((nu+1.0)*0.5)-MathGammaLog(nu*0.5));
pdf=pdf/(MathSqrt(nu*M_PI)*MathPow(1+x_arg*x_arg/nu,(nu+1.0)*0.5));
//--- return density
result[i]=TailLogValue(pdf,true,log_mode);
}
return true;
}
//+------------------------------------------------------------------+
//| T probability density function (PDF) |
//+------------------------------------------------------------------+
//| The function calculates the probability density function of |
//| the T distribution with parameter nu for values in x[] array. |
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu : Degrees of freedom |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathProbabilityDensityT(const double &x[],const double nu,double &result[])
{
return MathProbabilityDensityT(x,nu,false,result);
}
//+------------------------------------------------------------------+
//| T cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function returns the probability that an observation from |
//| T-distribution with parameter nu is less than or equal to x. |
//| |
//| Arguments: |
//| x : The desired quantile |
//| nu : Degrees of freedom |
//| tail : Flag to calculate lower tail |
//| log_mode : Logarithm mode, if true it calculates Log values |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The value of the T cumulative distribution function with |
//| parameter nu, evaluated at x. |
//+------------------------------------------------------------------+
double MathCumulativeDistributionT(const double x,const double nu,const bool tail,const bool log_mode,int &error_code)
{
//--- check NaN
if(!MathIsValidNumber(x) || !MathIsValidNumber(nu))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check nu (must be positive integer)
if(nu!=MathRound(nu) || nu<=0.0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
error_code=ERR_OK;
//--- special case
if(nu==1.0)
return TailLogValue(0.5+MathArctan(x)/M_PI,tail,log_mode);
//--- otherwise
if(x==0)
return TailLogValue(0.5,tail,log_mode);
//--- calculate pdf using incomplete Beta
double cdf=1.0-MathBetaIncomplete(nu/(nu+x*x),nu*0.5,0.5);
cdf=(1.0-cdf)*0.5;
//--- check x
if(x>0.0)
cdf=1.0-cdf;
//--- take into account round-off errors for probability
return TailLogValue(MathMin(cdf,1.0),tail,log_mode);
}
//+------------------------------------------------------------------+
//| T cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function returns the probability that an observation from |
//| T-distribution with parameter nu is less than or equal to x. |
//| |
//| Arguments: |
//| x : The desired quantile |
//| nu : Degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The value of T cumulative distribution function with parameter |
//| nu, evaluated at x. |
//+------------------------------------------------------------------+
double MathCumulativeDistributionT(const double x,const double nu,int &error_code)
{
return MathCumulativeDistributionT(x,nu,true,false,error_code);
}
//+------------------------------------------------------------------+
//| T cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function calculates the cumulative distribution function of |
//| the T distribution with parameter nu for values in x. |
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu : Degrees of freedom |
//| tail : Flag to calculate lower tail |
//| log_mode : Logarithm mode, if true it calculates Log values |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathCumulativeDistributionT(const double &x[],const double nu,const bool tail,const bool log_mode,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu))
return false;
//--- check nu (must be positive integer)
if(nu!=MathRound(nu) || nu<=0.0)
return false;
int data_count=ArraySize(x);
if(data_count==0)
return false;
int error_code=0;
ArrayResize(result,data_count);
for(int i=0; i<data_count; i++)
{
double x_arg=x[i];
if(!MathIsValidNumber(x_arg))
return false;
//--- special case
if(nu==1.0)
result[i]=TailLogValue(0.5+MathArctan(x_arg)/M_PI,tail,log_mode);
else
//--- otherwise
if(x_arg==0)
result[i]=TailLogValue(0.5,tail,log_mode);
else
{
//--- calculate pdf using incomplete Beta
double cdf=1.0-MathBetaIncomplete(nu/(nu+x_arg*x_arg),nu*0.5,0.5);
cdf=(1.0-cdf)*0.5;
//--- check x
if(x_arg>0.0)
cdf=1.0-cdf;
//--- take into account round-off errors for probability
result[i]=TailLogValue(MathMin(cdf,1.0),tail,log_mode);
}
}
return true;
}
//+------------------------------------------------------------------+
//| T cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function calculates the cumulative distribution function of |
//| the T distribution with parameter nu for values in x[] array. |
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu : Degrees of freedom |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathCumulativeDistributionT(const double &x[],const double nu,double &result[])
{
return MathCumulativeDistributionT(x,nu,true,false,result);
}
//+------------------------------------------------------------------+
//| T distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function returns the inverse cumulative distribution |
//| function of the T distribution with parameter nu for the desired |
//| probability. |
//| |
//| Arguments: |
//| probability : The desired probability |
//| nu : Degrees of freedom |
//| tail : Flag to calculate lower tail |
//| log_mode : Logarithm mode, if true it calculates Log values |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The value of the inverse cumulative distribution function |
//| of the T-distribution with parameter nu. |
//+------------------------------------------------------------------+
double MathQuantileT(const double probability,const double nu,const bool tail,const bool log_mode,int &error_code)
{
//--- check NaN
if(!MathIsValidNumber(probability) || !MathIsValidNumber(nu))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check nu
if(nu!=MathRound(nu) || nu<0.0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
//--- calculate real probability
double prob=TailLogProbability(probability,tail,log_mode);
//--- check probability range
if(prob<0.0 || prob>1.0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
//--- check cases when probability==0 or 1
if(prob==0.0 || prob==1.0)
{
error_code=ERR_RESULT_INFINITE;
//---
if(prob==0.0)
return(QNEGINF);
else
return(QPOSINF);
}
error_code=ERR_OK;
//--- special case nu=1
if(nu==1.0)
return MathTan(M_PI*(prob-0.5));
//--- special case
if(prob==0.5)
return 0.0;
//---
int max_iterations=50;
int iterations=0;
//--- initial values
double h=1.0;
double h_min=10E-20;
double x=0.5;
int err_code=0;
//--- Newton iterations
while(iterations<max_iterations)
{
//--- check convegence
if((MathAbs(h)>h_min && MathAbs(h)>MathAbs(h_min*x))==false)
break;
//--- calculate pdf and cdf
double pdf=MathProbabilityDensityT(x,nu,err_code);
double cdf=MathCumulativeDistributionT(x,nu,err_code);
//--- calculate ratio
h=(cdf-prob)/pdf;
//---
double x_new=x-h;
//--- check x
if(x_new<0.0)
x_new=x*0.1;
else
if(x_new>1.0)
x_new=1.0-(1.0-x)*0.1;
x=x_new;
iterations++;
}
//--- check convergence
if(iterations<max_iterations)
return x;
else
{
error_code=ERR_NON_CONVERGENCE;
return QNaN;
}
}
//+------------------------------------------------------------------+
//| T distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function returns the inverse cumulative distribution |
//| function of the T distribution with parameter nu for the desired |
//| probability. |
//| |
//| Arguments: |
//| probability : The desired probability |
//| nu : Degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The value of the inverse cumulative distribution function |
//| of the T-distribution with parameter nu. |
//+------------------------------------------------------------------+
double MathQuantileT(const double probability,const double nu,int &error_code)
{
return MathQuantileT(probability,nu,true,false,error_code);
}
//+------------------------------------------------------------------+
//| T distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function calculates the inverse cumulative distribution |
//| function of the T distribution with parameter nu for |
//| values from the probability[] array. |
//| |
//| Arguments: |
//| probability : Array with probabilities |
//| nu : Degrees of freedom |
//| tail : Flag to calculate lower tail |
//| log_mode : Logarithm mode, if true it calculates Log values |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathQuantileT(const double &probability[],const double nu,const bool tail,const bool log_mode,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu))
return false;
//--- check nu
if(nu!=MathRound(nu) || nu<0.0)
return false;
int data_count=ArraySize(probability);
if(data_count==0)
return false;
int error_code=0;
ArrayResize(result,data_count);
for(int i=0; i<data_count; i++)
{
//--- calculate real probability
double prob=TailLogProbability(probability[i],tail,log_mode);
//--- check probability range
if(prob<0.0 || prob>1.0)
return false;
//--- special case p=0.5
if(prob==0.5)
result[i]=0.0;
else
if(prob==0.0)
result[i]=QNEGINF;
else
if(prob==1.0)
result[i]=QPOSINF;
else
{
//--- special case nu=1
if(nu==1.0)
result[i]=MathTan(M_PI*(prob-0.5));
else
{
int max_iterations=50;
int iterations=0;
//--- initial values
double h=1.0;
double h_min=10E-18;
double x=0.5;
int err_code=0;
//--- Newton iterations
while(iterations<max_iterations)
{
//--- check convegence
if((MathAbs(h)>h_min && MathAbs(h)>MathAbs(h_min*x))==false)
break;
//--- calculate pdf and cdf
double pdf=MathProbabilityDensityT(x,nu,err_code);
double cdf=MathCumulativeDistributionT(x,nu,err_code);
//--- calculate ratio
h=(cdf-prob)/pdf;
//---
double x_new=x-h;
//--- check x
if(x_new<0.0)
x_new=x*0.1;
else
if(x_new>1.0)
x_new=1.0-(1.0-x)*0.1;
if (MathAbs(x_new-x)<10E-15)
break;
x=x_new;
iterations++;
}
//--- check convergence
if(iterations<max_iterations)
result[i]=x;
else
return false;
}
}
}
return true;
}
//+------------------------------------------------------------------+
//| T distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function calculates the inverse cumulative distribution |
//| function of the T distribution with parameter nu for |
//| values from the probability[] array. |
//| |
//| Arguments: |
//| probability : Array with probabilities |
//| nu : Degrees of freedom |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathQuantileT(const double &probability[],const double nu,double &result[])
{
return MathQuantileT(probability,nu,true,false,result);
}
//+------------------------------------------------------------------+
//| Random variate from the T distribution |
//+------------------------------------------------------------------+
//| Computes the random variable from the T distribution |
//| with parameter nu. |
//| |
//| Arguments: |
//| nu : Degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The random value with T distribution. |
//+------------------------------------------------------------------+
double MathRandomT(const double nu,int error_code)
{
//--- check NaN
if(!MathIsValidNumber(nu))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check arguments
if(nu!=MathRound(nu) || nu<=0.0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
error_code=ERR_OK;
//--- calculate normal random variable using Box-Muller transform
double x1,x2,r2;
do
{
x1=2.0*MathRandomNonZero()-1.0;
x2=2.0*MathRandomNonZero()-1.0;
r2=x1*x1+x2*x2;
}
while(r2>=1.0 || r2==0.0);
//--- generate normal and gamma random variables
double rnd_normal=x2*MathSqrt(-2.0*MathLog(r2)/r2);
double rnd_gamma=MathRandomGamma(nu*0.5,1,error_code);
//--- calculate ratio
double result=0;
if(rnd_gamma!=0)
result=MathSqrt(nu*0.5)*rnd_normal/MathSqrt(rnd_gamma);
return(result);
}
//+------------------------------------------------------------------+
//| Random variate from the T distribution |
//+------------------------------------------------------------------+
//| Generates random variables from the T distribution with |
//| parameter nu. |
//| |
//| Arguments: |
//| nu : Degrees of freedom |
//| data_count : Number of values needed |
//| result : Output array with random values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathRandomT(const double nu,const int data_count,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu))
return false;
//--- check arguments
if(nu!=MathRound(nu) || nu<=0.0)
return false;
int error_code=0;
//--- prepare output array and calculate random values
ArrayResize(result,data_count);
for(int i=0; i<data_count; i++)
{
//--- calculate normal random variable using Box-Muller transform
double x1,x2,r2;
do
{
x1=2.0*MathRandomNonZero()-1.0;
x2=2.0*MathRandomNonZero()-1.0;
r2=x1*x1+x2*x2;
}
while(r2>=1.0 || r2==0.0);
//--- generate normal and gamma random variables
double rnd_normal=x2*MathSqrt(-2.0*MathLog(r2)/r2);
double rnd_gamma=MathRandomGamma(nu*0.5,1,error_code);
//--- calculate ratio
double rnd=0;
if(rnd_gamma!=0)
rnd=MathSqrt(nu*0.5)*rnd_normal/MathSqrt(rnd_gamma);
result[i]=rnd;
}
return true;
}
//+------------------------------------------------------------------+
//| T distribution moments |
//+------------------------------------------------------------------+
//| The function calculates 4 first moments of the T distribution |
//| with parameter nu. |
//| |
//| Arguments: |
//| nu : Degrees of freedom |
//| mean : Variable for mean value (1st moment) |
//| variance : Variable for variance value (2nd moment) |
//| skewness : Variable for skewness value (3rd moment) |
//| kurtosis : Variable for kurtosis value (4th moment) |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| true if moments calculated successfully, otherwise false. |
//+------------------------------------------------------------------+
double MathMomentsT(const double nu,double &mean,double &variance,double &skewness,double &kurtosis,int &error_code)
{
//--- default values
mean =QNaN;
variance=QNaN;
skewness=QNaN;
kurtosis=QNaN;
//--- check NaN
if(!MathIsValidNumber(nu))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check nu
if(nu!=MathRound(nu) || nu<0.0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
error_code=ERR_OK;
//--- calculate moments
mean=0;
if(nu>2)
variance=nu/(nu-2);
skewness=0;
if(nu>4)
kurtosis=6/(nu-4);
//--- successful
return true;
}
//+------------------------------------------------------------------+