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Ticket #6937 (closed Bugs: fixed)
Wrong cdf/pdf/quantile domain checks for some probability distributions
Reported by: | Florian Schoppmann <Florian.Schoppmann@…> | Owned by: | johnmaddock |
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Milestone: | Boost 1.52.0 | Component: | math |
Version: | Boost 1.49.0 | Severity: | Problem |
Keywords: | Cc: | pbristow@… |
Description
students_t_distribution and fisher_f_distribution are affected, and possibly others (have not checked yet).
quantile(const students_t[...]) contains the following code:
if(false == detail::check_df( function, degrees_of_freedom, &error_result, Policy()) && detail::check_probability(function, probability, &error_result, Policy())) return error_result;
quantile(const fisher_f[...]) contains:
if(false == detail::check_df( function, df1, &error_result, Policy()) && detail::check_df( function, df2, &error_result, Policy()) && detail::check_probability( function, p, &error_result, Policy())) return error_result;
The code snippets above would only be correct if the "&&" operator had precedence over "==". pdf and cdf contain code of the same form.
Side effects:
- The Student's t quantile() can be called with a probability outside of [0,1] with unexpected results. Example:
#include <boost/math/distributions/students_t.hpp> using namespace boost::math; int main() { std::cout << quantile(students_t(1), 2) << std::endl; }
The output is: -1.84467e+19
- The Fisher F quantile() function, when called with probability NaN and parameters 1 and 1, leads to a failed BOOST_ASSERT. Example:
#include <boost/math/distributions/fisher_f.hpp> using namespace boost::math; int main() { quantile(fisher_f(1, 1), std::numeric_limits<double>::quiet_NaN()); }
Attachments
Change History
comment:1 Changed 2 years ago by johnmaddock
- Cc pbristow@… added
- Status changed from new to assigned
- Milestone changed from To Be Determined to Boost 1.51.0
comment:2 Changed 2 years ago by johnmaddock
Oh dear!
This looks to be a systematic error through all the distributions.
Paul - looks like we need to:
- Check all the distributions.
- Add tests for all possible domain errors (including those pesky NaN's - when std::numeric_limits<T>::has_quiet_NaN is true) for all the distros.
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