Quantile functions in boost (C++)

Question

Judging from the documentation boost seems to offer quantile functions (inverse cdf functions) for both normal and gamma distributions, but its not clear for me how can I actually use them. Could someone paste an example please?

Bartender

This page contains an example for calculating quantiles of the normal distribution. It seems pretty straightforward. Does this work for you? – Talanian

Answer 1

The quantile calculation is implemented as a free function. Here's an example:

#include <boost/math/distributions/normal.hpp>

boost::math::normal dist(0.0, 1.0);

// 95% of distribution is below q:
double q = quantile(dist, 0.95);

You can also get the complement (quantile from the right) using:

// 95% of distribution is above qc:
double qc = quantile(complement(dist, 0.05));

There are some similar worked examples here:

http://www.boost.org/doc/libs/1_46_1/libs/math/doc/sf_and_dist/html/math_toolkit/dist/stat_tut/weg.html

Edit: don't need namespaces on the free functions thanks to ADL

Kibbutznik

Any idea why there are both normal and normal_distribution classes? This is what got me confused. – Bartender

I think that normal is just a typedef of normal_distribution<double> – Kibbutznik

Answer 2

There is a workable example on QuantCorner.

// Édouard Tallent @ TaGoMa.Tech
// September 2012

#include<boost/math/distributions.hpp>
#include<iostream>
using std::cout;
using std::endl;

double inverseNormal(double prob, double mean, double sd){
        boost::math::normal_distribution<>myNormal (mean, sd);
        return quantile(myNormal, prob);
}

int main (int, char*[])
{
        try
        {                
                double myProb = 0.1;    // the 10% quantile
                double myMean = 0.07;   // a 7% mean 
                double myVol = 0.14;    // a 14% volatility 

        cout << inverseNormal(myProb, myMean, myVol)  << endl;
        }

                catch(std::exception& e)
        {
                cout << "Error message: " << e.what() << endl;
        }
return 0;
}

Privateer

If that is/was your site, you should probably disclose it in your post. – Prerecord