com.opengamma.analytics.math.statistics.distribution.NonCentralChiSquaredDistributionTest.java Source code

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Here is the source code for com.opengamma.analytics.math.statistics.distribution.NonCentralChiSquaredDistributionTest.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.math.statistics.distribution;

import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;

import org.apache.commons.lang.NotImplementedException;
import org.testng.annotations.Test;

/**
 * 
 */
public class NonCentralChiSquaredDistributionTest {
    private static final double DOF = 3;
    private static final double NON_CENTRALITY = 1.5;
    private static final NonCentralChiSquaredDistribution DIST = new NonCentralChiSquaredDistribution(DOF,
            NON_CENTRALITY);

    @Test(expectedExceptions = IllegalArgumentException.class)
    public void testNegativeDOF() {
        new NonCentralChiSquaredDistribution(-DOF, NON_CENTRALITY);
    }

    @Test(expectedExceptions = IllegalArgumentException.class)
    public void testNegativeNonCentrality() {
        new NonCentralChiSquaredDistribution(DOF, -NON_CENTRALITY);
    }

    @Test(expectedExceptions = IllegalArgumentException.class)
    public void testNullX() {
        DIST.getCDF(null);
    }

    @Test(expectedExceptions = NotImplementedException.class)
    public void testInverseCDF() {
        DIST.getInverseCDF(0.5);
    }

    @Test(expectedExceptions = NotImplementedException.class)
    public void testPDF() {
        DIST.getPDF(0.5);
    }

    @Test(expectedExceptions = NotImplementedException.class)
    public void testRandom() {
        DIST.nextRandom();
    }

    @Test
    public void test() {
        assertEquals(DIST.getDegrees(), DOF, 0);
        assertEquals(DIST.getNonCentrality(), NON_CENTRALITY, 0);
        assertEquals(DIST.getCDF(-100.), 0, 0);
        assertEquals(DIST.getCDF(0.), 0, 0);
        assertEquals(DIST.getCDF(5.), 0.649285, 1e-6);
    }

    @Test
    public void testObject() {
        assertEquals(DIST.getDegrees(), DOF, 0);
        assertEquals(DIST.getNonCentrality(), NON_CENTRALITY, 0);
        NonCentralChiSquaredDistribution other = new NonCentralChiSquaredDistribution(DOF, NON_CENTRALITY);
        assertEquals(DIST, other);
        assertEquals(DIST.hashCode(), other.hashCode());
        other = new NonCentralChiSquaredDistribution(DOF + 1, NON_CENTRALITY);
        assertFalse(other.equals(DIST));
        other = new NonCentralChiSquaredDistribution(DOF, NON_CENTRALITY + 1);
        assertFalse(other.equals(DIST));
    }

    /**
     * Numbers computed from R
     */
    @Test
    public void testLargeValues() {
        double x = 123;
        double dof = 6.4;
        double nonCent = 100.34;
        NonCentralChiSquaredDistribution dist = new NonCentralChiSquaredDistribution(dof, nonCent);
        assertEquals(0.7930769, dist.getCDF(x), 1e-6);

        x = 455.038;
        dof = 12;
        nonCent = 444.44;

        dist = new NonCentralChiSquaredDistribution(dof, nonCent);
        assertEquals(0.4961805, dist.getCDF(x), 1e-6);

        x = 999400;
        dof = 500;
        nonCent = 1000000;
        dist = new NonCentralChiSquaredDistribution(dof, nonCent);
        assertEquals(0.2913029, dist.getCDF(x), 1e-6);

    }

    /**
     * Numbers computed from R
     */
    @Test
    public void debugTest() {
        final double dof = 3.666;
        final double nonCentrality = 75;
        final double x = 13.89;

        final NonCentralChiSquaredDistribution chiSq1 = new NonCentralChiSquaredDistribution(dof, nonCentrality);
        final double y1 = Math.log(chiSq1.getCDF(x));
        assertEquals(-15.92129, y1, 1e-5);
    }

}