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Promote arguments of norminvcdf and norminvccdf #132

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merged 6 commits into from
Jan 24, 2022
Merged

Promote arguments of norminvcdf and norminvccdf #132

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70ed34e
Promote arguments of `norminvcdf` and `norminvccdf`
devmotion Jan 22, 2022
c942c09
Simplify promotions
devmotion Jan 22, 2022
51f1160
Improve clarity of tests
devmotion Jan 22, 2022
d63f96b
Simplify tests
devmotion Jan 22, 2022
aca7670
Add method with `rtol`
devmotion Jan 22, 2022
82b989a
Simplification
devmotion Jan 22, 2022
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2 changes: 1 addition & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
name = "StatsFuns"
uuid = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
version = "0.9.14"
version = "0.9.15"

[deps]
ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
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26 changes: 15 additions & 11 deletions src/distrs/norm.jl
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Expand Up @@ -39,15 +39,15 @@ function normlogpdf(μ::Real, σ::Real, x::Number)
z = zval(μ, σ, x)
end
normlogpdf(z) - log(σ)
end
end

# cdf
normcdf(z::Number) = erfc(-z * invsqrt2)/2
function normcdf(μ::Real, σ::Real, x::Number)
if iszero(σ) && x == μ
z = zval(zero(μ), σ, one(x))
else
z = zval(μ, σ, x)
else
z = zval(μ, σ, x)
end
normcdf(z)
end
Expand All @@ -56,8 +56,8 @@ normccdf(z::Number) = erfc(z * invsqrt2)/2
function normccdf(μ::Real, σ::Real, x::Number)
if iszero(σ) && x == μ
z = zval(zero(μ), σ, one(x))
else
z = zval(μ, σ, x)
else
z = zval(μ, σ, x)
end
normccdf(z)
end
Expand All @@ -69,8 +69,8 @@ normlogcdf(z::Number) = z < -1.0 ?
function normlogcdf(μ::Real, σ::Real, x::Number)
if iszero(σ) && x == μ
z = zval(zero(μ), σ, one(x))
else
z = zval(μ, σ, x)
else
z = zval(μ, σ, x)
end
normlogcdf(z)
end
Expand All @@ -82,17 +82,21 @@ normlogccdf(z::Number) = z > 1.0 ?
function normlogccdf(μ::Real, σ::Real, x::Number)
if iszero(σ) && x == μ
z = zval(zero(μ), σ, one(x))
else
z = zval(μ, σ, x)
else
z = zval(μ, σ, x)
end
normlogccdf(z)
end

norminvcdf(p::Real) = -erfcinv(2*p) * sqrt2
norminvcdf(μ::Real, σ::Real, p::Real) = xval(μ, σ, norminvcdf(p))
# Promote to ensure that we don't compute erfcinv in low precision and then promote
norminvcdf(μ::Real, σ::Real, p::Real) = norminvcdf(promote(μ, σ, p)...)
norminvcdf(μ::T, σ::T, p::T) where {T<:Real} = xval(μ, σ, norminvcdf(p))

norminvccdf(p::Real) = erfcinv(2*p) * sqrt2
norminvccdf(μ::Real, σ::Real, p::Real) = xval(μ, σ, norminvccdf(p))
# Promote to ensure that we don't compute erfcinv in low precision and then promote
norminvccdf(μ::Real, σ::Real, p::Real) = norminvccdf(promote(μ, σ, p)...)
norminvccdf(μ::T, σ::T, p::T) where {T<:Real} = xval(μ, σ, norminvccdf(p))

# invlogcdf. Fixme! Support more precisions than Float64
norminvlogcdf(lp::Union{Float16,Float32}) = convert(typeof(lp), _norminvlogcdf_impl(Float64(lp)))
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12 changes: 11 additions & 1 deletion test/rmath.jl
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Expand Up @@ -17,7 +17,15 @@ end
get_statsfun(fname) = eval(Symbol(fname))
get_rmathfun(fname) = eval(Meta.parse(string("RFunctions.", fname)))

function rmathcomp(basename, params, X::AbstractArray, rtol=100eps(float(one(eltype(X)))))
function rmathcomp(basename, params, X::AbstractArray)
# compute default tolerance:
# has to take into account `params` as well since otherwise e.g. `X::Array{<:Rational}`
# always uses a tolerance based on `eps(one(Float64))` even when parameters are of type
# Float32
rtol = 100 * eps(float(one(promote_type(Base.promote_typeof(params...), eltype(X)))))
rmathcomp(basename, params, X, rtol)
end
function rmathcomp(basename, params, X::AbstractArray, rtol)
# tackle pdf specially
has_pdf = true
if basename == "srdist"
Expand Down Expand Up @@ -264,6 +272,8 @@ end
((0.0, 0.0), -6.0:0.1:6.0),
((0f0, 1f0), -6f0:0.01f0:6f0),
((0.0, 1.0), -6f0:0.01f0:6f0),
((0, 2), -6//1:1//2:6//1),
((0f0, 2f0), -6//1:1//2:6//1),
# Fail since `SpecialFunctions.erfcx` is not implemented for `Float16`
#((Float16(0), Float16(1)), -Float16(6):Float16(0.01):Float16(6)),
#((0f0, 1f0), -Float16(6):Float16(0.01):Float16(6)),
Expand Down