1 /* statistics accelerator C extension: _statistics module. */
2
3 #include "Python.h"
4 #include "clinic/_statisticsmodule.c.h"
5
6 /*[clinic input]
7 module _statistics
8
9 [clinic start generated code]*/
10 /*[clinic end generated code: output=da39a3ee5e6b4b0d input=864a6f59b76123b2]*/
11
12 /*
13 * There is no closed-form solution to the inverse CDF for the normal
14 * distribution, so we use a rational approximation instead:
15 * Wichura, M.J. (1988). "Algorithm AS241: The Percentage Points of the
16 * Normal Distribution". Applied Statistics. Blackwell Publishing. 37
17 * (3): 477–484. doi:10.2307/2347330. JSTOR 2347330.
18 */
19
20 /*[clinic input]
21 _statistics._normal_dist_inv_cdf -> double
22 p: double
23 mu: double
24 sigma: double
25 /
26 [clinic start generated code]*/
27
28 static double
_statistics__normal_dist_inv_cdf_impl(PyObject * module,double p,double mu,double sigma)29 _statistics__normal_dist_inv_cdf_impl(PyObject *module, double p, double mu,
30 double sigma)
31 /*[clinic end generated code: output=02fd19ddaab36602 input=24715a74be15296a]*/
32 {
33 double q, num, den, r, x;
34 if (p <= 0.0 || p >= 1.0 || sigma <= 0.0) {
35 goto error;
36 }
37
38 q = p - 0.5;
39 if(fabs(q) <= 0.425) {
40 r = 0.180625 - q * q;
41 // Hash sum-55.8831928806149014439
42 num = (((((((2.5090809287301226727e+3 * r +
43 3.3430575583588128105e+4) * r +
44 6.7265770927008700853e+4) * r +
45 4.5921953931549871457e+4) * r +
46 1.3731693765509461125e+4) * r +
47 1.9715909503065514427e+3) * r +
48 1.3314166789178437745e+2) * r +
49 3.3871328727963666080e+0) * q;
50 den = (((((((5.2264952788528545610e+3 * r +
51 2.8729085735721942674e+4) * r +
52 3.9307895800092710610e+4) * r +
53 2.1213794301586595867e+4) * r +
54 5.3941960214247511077e+3) * r +
55 6.8718700749205790830e+2) * r +
56 4.2313330701600911252e+1) * r +
57 1.0);
58 if (den == 0.0) {
59 goto error;
60 }
61 x = num / den;
62 return mu + (x * sigma);
63 }
64 r = (q <= 0.0) ? p : (1.0 - p);
65 if (r <= 0.0 || r >= 1.0) {
66 goto error;
67 }
68 r = sqrt(-log(r));
69 if (r <= 5.0) {
70 r = r - 1.6;
71 // Hash sum-49.33206503301610289036
72 num = (((((((7.74545014278341407640e-4 * r +
73 2.27238449892691845833e-2) * r +
74 2.41780725177450611770e-1) * r +
75 1.27045825245236838258e+0) * r +
76 3.64784832476320460504e+0) * r +
77 5.76949722146069140550e+0) * r +
78 4.63033784615654529590e+0) * r +
79 1.42343711074968357734e+0);
80 den = (((((((1.05075007164441684324e-9 * r +
81 5.47593808499534494600e-4) * r +
82 1.51986665636164571966e-2) * r +
83 1.48103976427480074590e-1) * r +
84 6.89767334985100004550e-1) * r +
85 1.67638483018380384940e+0) * r +
86 2.05319162663775882187e+0) * r +
87 1.0);
88 } else {
89 r -= 5.0;
90 // Hash sum-47.52583317549289671629
91 num = (((((((2.01033439929228813265e-7 * r +
92 2.71155556874348757815e-5) * r +
93 1.24266094738807843860e-3) * r +
94 2.65321895265761230930e-2) * r +
95 2.96560571828504891230e-1) * r +
96 1.78482653991729133580e+0) * r +
97 5.46378491116411436990e+0) * r +
98 6.65790464350110377720e+0);
99 den = (((((((2.04426310338993978564e-15 * r +
100 1.42151175831644588870e-7) * r +
101 1.84631831751005468180e-5) * r +
102 7.86869131145613259100e-4) * r +
103 1.48753612908506148525e-2) * r +
104 1.36929880922735805310e-1) * r +
105 5.99832206555887937690e-1) * r +
106 1.0);
107 }
108 if (den == 0.0) {
109 goto error;
110 }
111 x = num / den;
112 if (q < 0.0) {
113 x = -x;
114 }
115 return mu + (x * sigma);
116
117 error:
118 PyErr_SetString(PyExc_ValueError, "inv_cdf undefined for these parameters");
119 return -1.0;
120 }
121
122
123 static PyMethodDef statistics_methods[] = {
124 _STATISTICS__NORMAL_DIST_INV_CDF_METHODDEF
125 {NULL, NULL, 0, NULL}
126 };
127
128 PyDoc_STRVAR(statistics_doc,
129 "Accelerators for the statistics module.\n");
130
131 static struct PyModuleDef_Slot _statisticsmodule_slots[] = {
132 {0, NULL}
133 };
134
135 static struct PyModuleDef statisticsmodule = {
136 PyModuleDef_HEAD_INIT,
137 "_statistics",
138 statistics_doc,
139 0,
140 statistics_methods,
141 _statisticsmodule_slots,
142 NULL,
143 NULL,
144 NULL
145 };
146
147 PyMODINIT_FUNC
PyInit__statistics(void)148 PyInit__statistics(void)
149 {
150 return PyModuleDef_Init(&statisticsmodule);
151 }
152