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72 lines
1.3 KiB
Go
72 lines
1.3 KiB
Go
// Copyright ©2017 The Gonum Authors. All rights reserved.
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// Use of this source code is governed by a BSD-style
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// license that can be found in the LICENSE file.
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package mathext
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import (
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"testing"
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"gonum.org/v1/gonum/floats"
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"gonum.org/v1/gonum/floats/scalar"
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)
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func TestNormalQuantile(t *testing.T) {
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t.Parallel()
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// Values from https://www.johndcook.com/blog/normal_cdf_inverse/
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p := []float64{
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0.0000001,
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0.00001,
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0.001,
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0.05,
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0.15,
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0.25,
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0.35,
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0.45,
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0.55,
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0.65,
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0.75,
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0.85,
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0.95,
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0.999,
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0.99999,
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0.9999999,
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}
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ans := []float64{
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-5.199337582187471,
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-4.264890793922602,
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-3.090232306167813,
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-1.6448536269514729,
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-1.0364333894937896,
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-0.6744897501960817,
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-0.38532046640756773,
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-0.12566134685507402,
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0.12566134685507402,
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0.38532046640756773,
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0.6744897501960817,
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1.0364333894937896,
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1.6448536269514729,
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3.090232306167813,
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4.264890793922602,
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5.199337582187471,
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}
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for i, v := range p {
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got := NormalQuantile(v)
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if !scalar.EqualWithinAbsOrRel(got, ans[i], 1e-10, 1e-10) {
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t.Errorf("Quantile mismatch. Case %d, want: %v, got: %v", i, ans[i], got)
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}
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}
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}
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var nqtmp float64
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func BenchmarkNormalQuantile(b *testing.B) {
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ps := make([]float64, 1000) // ensure there are small values
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floats.Span(ps, 0, 1)
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for i := 0; i < b.N; i++ {
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for _, v := range ps {
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nqtmp = NormalQuantile(v)
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}
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}
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}
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