Created
September 29, 2018 05:59
-
-
Save 9il/1d60c0e117868797b283985db64748a3 to your computer and use it in GitHub Desktop.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
/+dub.sdl: | |
dependency "mir-random" path="./" | |
+/ | |
import mir.math.common; | |
import mir.ndslice.sorting; | |
import mir.random; | |
import mir.random.algorithm; | |
import mir.random.variable; | |
enum n = 30; // sample size | |
enum numTrials = 5_000; | |
enum double scale = 1; | |
enum double lambda = 1 / scale; | |
// quantile [0, 1) or [0, 1] | |
auto orderStat(double quantile) | |
{ | |
auto r = cast(int) (quantile * n); //trunc down | |
if (r == n) r = n - 1; | |
return r; | |
} | |
auto cdf(double x) | |
{ | |
// trivial for uniform(0, 1) | |
// return x; | |
// for exponential: | |
return 1-(exp(lambda * -x)); | |
} | |
void main() | |
{ | |
import std.stdio; | |
auto quantileFile = File("quantile.txt", "w"); | |
auto quantileDiffFile = File("quantile-diff.txt", "w"); | |
foreach(trialNum; 0 .. numTrials) | |
{ | |
// auto sample = uniformVar(0.0, 1.0).randomSlice(n).field.sort; | |
auto sample = exponentialVar(scale).randomSlice(n).field.sort; | |
auto requestedQuantile = rand!double.fabs; // [0, 1) | |
auto k = orderStat(requestedQuantile); | |
auto estimatedQuantileValue = sample[k]; | |
auto trueQuantile = cdf(estimatedQuantileValue); | |
quantileFile.writefln("%s %s", requestedQuantile, trueQuantile); | |
quantileDiffFile.writefln("%s %s", requestedQuantile, | |
trueQuantile - requestedQuantile); | |
} | |
} |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment