MobinMQL/Include/Math/Stat/F.mqh
2025-07-22 14:47:41 +03:00

563 lines
26 KiB
MQL5

//+------------------------------------------------------------------+
//| F.mqh |
//| Copyright 2000-2025, MetaQuotes Ltd. |
//| https://www.mql5.com |
//+------------------------------------------------------------------+
#include "Math.mqh"
#include "Beta.mqh"
#include "ChiSquare.mqh"
//+------------------------------------------------------------------+
//| F-density function (PDF) |
//+------------------------------------------------------------------+
//| The function returns the probability density function of the |
//| F-distribution with parameters nu1 and nu2. |
//| |
//| Arguments: |
//| x : Random variable |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| log_mode : Logarithm mode flag, if true it returns Log values |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The probability density evaluated at x. |
//+------------------------------------------------------------------+
double MathProbabilityDensityF(const double x,const double nu1,const double nu2,const bool log_mode,int &error_code)
{
//--- check NaN
if(!MathIsValidNumber(x) || !MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check arguments
if(nu1!=MathRound(nu1) || nu1!=MathRound(nu1) || nu1<1 || nu2<1)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
error_code=ERR_OK;
//--- check x
if(x<=0)
return TailLog0(true,log_mode);
//--- calculate F density
double value=MathPow((nu1/nu2),nu1*0.5)*MathPow(x,(nu1-2)*0.5)/MathBeta(nu1*0.5,nu2*0.5);
value=value*MathPow(1.0+(nu1/nu2)*x,-(nu1+nu2)*0.5);
if(log_mode==true)
return MathLog(value);
//--- return F density
return value;
}
//+------------------------------------------------------------------+
//| F-density function (PDF) |
//+------------------------------------------------------------------+
//| The function returns the probability density function of the |
//| F-distribution with parameters nu1 and nu2. |
//| |
//| Arguments: |
//| x : Random variable |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The probability density evaluated at x. |
//+------------------------------------------------------------------+
double MathProbabilityDensityF(const double x,const double nu1,const double nu2,int &error_code)
{
return MathProbabilityDensityF(x,nu1,nu2,false,error_code);
}
//+------------------------------------------------------------------+
//| F-density function (PDF) |
//+------------------------------------------------------------------+
//| The function calculates the probability density function of the |
//| F distribution with parameters nu1 and nu2 for values in x[]. |
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator 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 MathProbabilityDensityF(const double &x[],const double nu1,const double nu2,const bool log_mode,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
return false;
//--- check arguments
if(nu1!=MathRound(nu1) || nu1!=MathRound(nu1) || nu1<1 || nu2<1)
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(x_arg<=0)
result[i]=TailLog0(true,log_mode);
else
{
//--- calculate F density
double value=MathPow((nu1/nu2),nu1*0.5)*MathPow(x_arg,(nu1-2)*0.5)/MathBeta(nu1*0.5,nu2*0.5);
value=value*MathPow(1.0+(nu1/nu2)*x_arg,-(nu1+nu2)*0.5);
if(log_mode==true)
result[i]=MathLog(value);
else
result[i]=value;
}
}
return true;
}
//+------------------------------------------------------------------+
//| F-density function (PDF) |
//+------------------------------------------------------------------+
//| The function calculates the probability density function of the |
//| F distribution with parameters nu1 and nu2 for values in x[]. |
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathProbabilityDensityF(const double &x[],const double nu1,const double nu2,double &result[])
{
return MathProbabilityDensityF(x,nu1,nu2,false,result);
}
//+------------------------------------------------------------------+
//| F cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function returns the cumulative distribution function of the |
//| F-distribution with given nu1 and nu2. |
//| |
//| Arguments: |
//| x : The desired quantile |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator 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 F cumulative distribution function with |
//| parameters nu1 and nu2, evaluated at x. |
//+------------------------------------------------------------------+
double MathCumulativeDistributionF(const double x,const double nu1,const double nu2,const bool tail,const bool log_mode,int &error_code)
{
//--- check NaN
if(!MathIsValidNumber(x) || !MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check arguments
if(nu1!=MathRound(nu1) || nu2!=MathRound(nu2) || nu1<=0 || nu2<=0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
error_code=ERR_OK;
//--- check x
if(x<=0)
return TailLog0(tail,log_mode);
//--- calculate cdf using incomplete Beta and take into account round-off errors for probability
double cdf=MathMin(1.0-MathBetaIncomplete(nu2/(nu2+nu1*x),nu2*0.5,nu1*0.5),1.0);
return TailLogValue(cdf,tail,log_mode);
}
//+------------------------------------------------------------------+
//| F cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function returns the cumulative distribution function of the |
//| F-distribution with given nu1 and nu2. |
//| |
//| Arguments: |
//| x : The desired quantile |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The value of the F cumulative distribution function with |
//| parameters nu1 and nu2, evaluated at x. |
//+------------------------------------------------------------------+
double MathCumulativeDistributionF(const double x,const double nu1,const double nu2,int &error_code)
{
return MathCumulativeDistributionF(x,nu1,nu2,true,false,error_code);
}
//+------------------------------------------------------------------+
//| F cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function calculates the cumulative distribution function of |
//| the F distribution with parameters nu1 and nu2 for values in x[].|
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator 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 MathCumulativeDistributionF(const double &x[],const double nu1,const double nu2,const bool tail,const bool log_mode,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
return false;
//--- check arguments
if(nu1!=MathRound(nu1) || nu2!=MathRound(nu2) || nu1<=0 || nu2<=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];
//--- check x
if(x_arg<=0)
result[i]=TailLog0(tail,log_mode);
else
{
//--- calculate cdf using incomplete Beta and take into account round-off errors for probability
double cdf=MathMin(1.0-MathBetaIncomplete(nu2/(nu2+nu1*x_arg),nu2*0.5,nu1*0.5),1.0);
result[i]=TailLogValue(cdf,tail,log_mode);
}
}
return true;
}
//+------------------------------------------------------------------+
//| F cumulative distribution function (CDF) |
//+------------------------------------------------------------------+
//| The function calculates the cumulative distribution function of |
//| the F distribution with parameters nu1 and nu2 for values in x[].|
//| |
//| Arguments: |
//| x : Array with random variables |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathCumulativeDistributionF(const double &x[],const double nu1,const double nu2,double &result[])
{
return MathCumulativeDistributionF(x,nu1,nu2,true,false,result);
}
//+------------------------------------------------------------------+
//| F-distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function returns the inverse cumulative distribution |
//| function of F-distribution with parameters nu1 and nu2 |
//| for the desired probability. |
//| |
//| Arguments: |
//| probability : The desired probability |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator 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 F-distribution with parameters nu1 and nu2. |
//+------------------------------------------------------------------+
double MathQuantileF(const double probability,const double nu1,const double nu2,const bool tail,const bool log_mode,int &error_code)
{
//--- check NaN
if(!MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check arguments
if(nu1!=MathRound(nu1) || nu2!=MathRound(nu2) || nu1<=0 || nu2<=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 case probability==1
if(prob==1.0)
{
error_code=ERR_RESULT_INFINITE;
return QPOSINF;
}
error_code=ERR_OK;
if(prob==0.0)
return 0.0;
//--- calculate quantile using Beta distribution
double qBeta=MathQuantileBeta(1.0-prob,nu2*0.5,nu1*0.5,error_code);
//--- return quantile;
return (nu2/qBeta-nu2)/nu1;
}
//+------------------------------------------------------------------+
//| F-distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function returns the inverse cumulative distribution |
//| function of F-distribution with parameters nu1 and nu2 |
//| for the desired probability. |
//| |
//| Arguments: |
//| probability : The desired probability |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The value of the inverse cumulative distribution function |
//| of F-distribution with parameters nu1 and nu2. |
//+------------------------------------------------------------------+
double MathQuantileF(const double probability,const double nu1,const double nu2,int &error_code)
{
return MathQuantileF(probability,nu1,nu2,true,false,error_code);
}
//+------------------------------------------------------------------+
//| F-distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function calculates the inverse cumulative distribution |
//| function of the F distribution with parameters nu1 and nu2 |
//| for values from the probability[] array. |
//| |
//| Arguments: |
//| probability : Array with probabilities |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator 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 MathQuantileF(const double &probability[],const double nu1,const double nu2,const bool tail,const bool log_mode,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
return false;
//--- check arguments
if(nu1!=MathRound(nu1) || nu2!=MathRound(nu2) || nu1<=0 || nu2<=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;
//--- check case probability==1,0
if(prob==0.0)
result[i]=0.0;
else
if(prob==1.0)
result[i]=QPOSINF;
else
{
//--- calculate quantile using Beta distribution
double qBeta=MathQuantileBeta(1.0-prob,nu2*0.5,nu1*0.5,error_code);
result[i]=(nu2/qBeta-nu2)/nu1;
}
}
return true;
}
//+------------------------------------------------------------------+
//| F-distribution quantile function (inverse CDF) |
//+------------------------------------------------------------------+
//| The function calculates the inverse cumulative distribution |
//| function of the F distribution with parameters nu1 and nu2 |
//| for values from probability[] array. |
//| |
//| Arguments: |
//| probability : Array with probabilities |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| result : Array with calculated values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathQuantileF(const double &probability[],const double nu1,const double nu2,double &result[])
{
return MathQuantileF(probability,nu1,nu2,true,false,result);
}
//+------------------------------------------------------------------+
//| Random variate from the F-distribution |
//+------------------------------------------------------------------+
//| Compute the random variable from F-distribution |
//| with parameters nu1 and nu2. |
//| |
//| Arguments: |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator degrees of freedom |
//| error_code : Variable for error code |
//| |
//| Return value: |
//| The random value with F-distribution. |
//+------------------------------------------------------------------+
double MathRandomF(const double nu1,const double nu2,int &error_code)
{
//--- check NaN
if(!MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
{
error_code=ERR_ARGUMENTS_NAN;
return QNaN;
}
//--- check arguments
if(nu1!=MathRound(nu1) || nu2!=MathRound(nu2) || nu1<=0 || nu2<=0)
{
error_code=ERR_ARGUMENTS_INVALID;
return QNaN;
}
error_code=ERR_OK;
//--- random F=ChiSquare(nu1)*nu2/ChiSquare(nu2)*nu1;
double xnum = MathRandomGamma(nu1*0.5,1.0,error_code)*nu2;
double xden = MathRandomGamma(nu2*0.5,1.0,error_code)*nu1;
//---
double value=0.0;
if(xden!=0)
value= xnum/xden;
else
{
error_code=ERR_NON_CONVERGENCE;
value=QNaN;
}
//--- return random F
return value;
}
//+------------------------------------------------------------------+
//| Random variate from the F distribution |
//+------------------------------------------------------------------+
//| Generates random variables from the F distribution with |
//| parameters nu1 and nu2. |
//| |
//| Arguments: |
//| data_count : Number of values needed |
//| result : Output array with random values |
//| |
//| Return value: |
//| true if successful, otherwise false. |
//+------------------------------------------------------------------+
bool MathRandomF(const double nu1,const double nu2,const int data_count,double &result[])
{
//--- check NaN
if(!MathIsValidNumber(nu1) || !MathIsValidNumber(nu2))
return false;
//--- check arguments
if(nu1!=MathRound(nu1) || nu2!=MathRound(nu2) || nu1<=0 || nu2<=0)
return false;
//--- prepare output array and calculate random values
ArrayResize(result,data_count);
for(int i=0; i<data_count; i++)
{
int error_code=0;
//--- random F=ChiSquare(nu1)*nu2/ChiSquare(nu2)*nu1;
double xnum = MathRandomGamma(nu1*0.5,1.0,error_code)*nu2;
double xden = MathRandomGamma(nu2*0.5,1.0,error_code)*nu1;
//---
double value=0.0;
if(xden!=0)
value= xnum/xden;
else
{
error_code=ERR_NON_CONVERGENCE;
value=QNaN;
}
//--- random F
result[i]=value;
}
return true;
}
//+------------------------------------------------------------------+
//| F-distribution moments |
//+------------------------------------------------------------------+
//| The function calculates 4 first moments of F-distribution |
//| with parameters nu1 and nu2. |
//| |
//| Arguments: |
//| nu1 : Numerator degrees of freedom |
//| nu2 : Denominator 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. |
//+------------------------------------------------------------------+
bool MathMomentsF(const double nu1,const double nu2,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(nu1) || !MathIsValidNumber(nu2))
{
error_code=ERR_ARGUMENTS_NAN;
return false;
}
//--- check arguments
if(nu1!=MathRound(nu1) || nu1!=MathRound(nu1) || nu1<1 || nu2<1)
{
error_code=ERR_ARGUMENTS_INVALID;
return false;
}
error_code=ERR_OK;
//--- calculate moments
if(nu2>2)
mean=nu2/(nu2-2);
if(nu2>4)
variance=2*nu2*nu2*(nu1+nu2-2)/(nu1*(nu2-2)*(nu2-2)*(nu2-4));
if(nu2>6)
skewness=2*MathSqrt(2)*MathSqrt(nu2-4)*(2*nu1+nu2-2)/(MathSqrt(nu1*(nu1+nu2-2))*(nu2-6));
if(nu2>8)
kurtosis=12*(nu1*(5*nu2-22)*(nu1+nu2-2)+(nu2-4)*(nu2-2)*(nu2-2))/(nu1*(nu2-8)*(nu2-6)*(nu1+nu2-2));
//--- successful
return true;
}
//+------------------------------------------------------------------+