Alex Herbert created STATISTICS-47:
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Summary: Add an inverse for the SurvivalProbability
Key: STATISTICS-47
URL: https://issues.apache.org/jira/browse/STATISTICS-47
Project: Apache Commons Statistics
Issue Type: Improvement
Components: distribution
Affects Versions: 1.0
Reporter: Alex Herbert
The distributions currently have an inverse for the cumulative probability but
not the complement (the survival probability). For example for the
ContinuousDistribution interface:
{code:java}
double cumulativeProbability(double x);
double survivalProbability(double x);
double inverseCumulativeProbability(double p); {code}
Add:
{code:java}
double inverseSurvivalProbability(double p);{code}
It should be possible to update the implementation in the abstract base class
for the distributions to support using either the CDF or SF for the search
allowing both to be implemented with the same algorithm.
This would be of benefit for distributions which support a high precision
survival function, e.g.
{code:java}
final ContinuousDistribution dist = NormalDistribution.of(0, 1);
double x = 10;
double p = dist.survivalProbability(x);
System.out.printf("x = %s%np = sf(x) = %s%n%n icdf(1-p) = %s%n%n-icdf(p) =
%s%n",
x, p, dist.inverseCumulativeProbability(1 - p),
-dist.inverseCumulativeProbability(p));
{code}
Prints:
{noformat}
x = 10.0
p = sf(x) = 7.619853024160595E-24
icdf(1-p) = Infinity
-icdf(p) = 10.0
{noformat}
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