(function (window, factory) { if (typeof exports === 'object') { module.exports = factory(); } else if (typeof define === 'function' && define.amd) { define(factory); } else { window.jStat = factory(); } })(this, function () { var jStat = (function(Math, undefined) { // For quick reference. var concat = Array.prototype.concat; var slice = Array.prototype.slice; var toString = Object.prototype.toString; // Calculate correction for IEEE error // TODO: This calculation can be improved. function calcRdx(n, m) { var val = n > m ? n : m; return Math.pow(10, 17 - ~~(Math.log(((val > 0) ? val : -val)) * Math.LOG10E)); } var isArray = Array.isArray || function isArray(arg) { return toString.call(arg) === '[object Array]'; }; function isFunction(arg) { return toString.call(arg) === '[object Function]'; } function isNumber(arg) { return typeof arg === 'number' && arg === arg; } // Converts the jStat matrix to vector. function toVector(arr) { return concat.apply([], arr); } // The one and only jStat constructor. function jStat() { return new jStat._init(arguments); } // TODO: Remove after all references in src files have been removed. jStat.fn = jStat.prototype; // By separating the initializer from the constructor it's easier to handle // always returning a new instance whether "new" was used or not. jStat._init = function _init(args) { var i; // If first argument is an array, must be vector or matrix. if (isArray(args[0])) { // Check if matrix. if (isArray(args[0][0])) { // See if a mapping function was also passed. if (isFunction(args[1])) args[0] = jStat.map(args[0], args[1]); // Iterate over each is faster than this.push.apply(this, args[0]. for (var i = 0; i < args[0].length; i++) this[i] = args[0][i]; this.length = args[0].length; // Otherwise must be a vector. } else { this[0] = isFunction(args[1]) ? jStat.map(args[0], args[1]) : args[0]; this.length = 1; } // If first argument is number, assume creation of sequence. } else if (isNumber(args[0])) { this[0] = jStat.seq.apply(null, args); this.length = 1; // Handle case when jStat object is passed to jStat. } else if (args[0] instanceof jStat) { // Duplicate the object and pass it back. return jStat(args[0].toArray()); // Unexpected argument value, return empty jStat object. // TODO: This is strange behavior. Shouldn't this throw or some such to let // the user know they had bad arguments? } else { this[0] = []; this.length = 1; } return this; }; jStat._init.prototype = jStat.prototype; jStat._init.constructor = jStat; // Utility functions. // TODO: for internal use only? jStat.utils = { calcRdx: calcRdx, isArray: isArray, isFunction: isFunction, isNumber: isNumber, toVector: toVector }; // Easily extend the jStat object. // TODO: is this seriously necessary? jStat.extend = function extend(obj) { var i, j; if (arguments.length === 1) { for (j in obj) jStat[j] = obj[j]; return this; } for (var i = 1; i < arguments.length; i++) { for (j in arguments[i]) obj[j] = arguments[i][j]; } return obj; }; // Returns the number of rows in the matrix. jStat.rows = function rows(arr) { return arr.length || 1; }; // Returns the number of columns in the matrix. jStat.cols = function cols(arr) { return arr[0].length || 1; }; // Returns the dimensions of the object { rows: i, cols: j } jStat.dimensions = function dimensions(arr) { return { rows: jStat.rows(arr), cols: jStat.cols(arr) }; }; // Returns a specified row as a vector or return a sub matrix by pick some rows jStat.row = function row(arr, index) { if (isArray(index)) { return index.map(function(i) { return jStat.row(arr, i); }) } return arr[index]; }; // return row as array // rowa([[1,2],[3,4]],0) -> [1,2] jStat.rowa = function rowa(arr, i) { return jStat.row(arr, i); }; // Returns the specified column as a vector or return a sub matrix by pick some // columns jStat.col = function col(arr, index) { if (isArray(index)) { var submat = jStat.arange(arr.length).map(function(i) { return new Array(index.length); }); index.forEach(function(ind, i){ jStat.arange(arr.length).forEach(function(j) { submat[j][i] = arr[j][ind]; }); }); return submat; } var column = new Array(arr.length); for (var i = 0; i < arr.length; i++) column[i] = [arr[i][index]]; return column; }; // return column as array // cola([[1,2],[3,4]],0) -> [1,3] jStat.cola = function cola(arr, i) { return jStat.col(arr, i).map(function(a){ return a[0] }); }; // Returns the diagonal of the matrix jStat.diag = function diag(arr) { var nrow = jStat.rows(arr); var res = new Array(nrow); for (var row = 0; row < nrow; row++) res[row] = [arr[row][row]]; return res; }; // Returns the anti-diagonal of the matrix jStat.antidiag = function antidiag(arr) { var nrow = jStat.rows(arr) - 1; var res = new Array(nrow); for (var i = 0; nrow >= 0; nrow--, i++) res[i] = [arr[i][nrow]]; return res; }; // Transpose a matrix or array. jStat.transpose = function transpose(arr) { var obj = []; var objArr, rows, cols, j, i; // Make sure arr is in matrix format. if (!isArray(arr[0])) arr = [arr]; rows = arr.length; cols = arr[0].length; for (var i = 0; i < cols; i++) { objArr = new Array(rows); for (j = 0; j < rows; j++) objArr[j] = arr[j][i]; obj.push(objArr); } // If obj is vector, return only single array. return obj.length === 1 ? obj[0] : obj; }; // Map a function to an array or array of arrays. // "toAlter" is an internal variable. jStat.map = function map(arr, func, toAlter) { var row, nrow, ncol, res, col; if (!isArray(arr[0])) arr = [arr]; nrow = arr.length; ncol = arr[0].length; res = toAlter ? arr : new Array(nrow); for (row = 0; row < nrow; row++) { // if the row doesn't exist, create it if (!res[row]) res[row] = new Array(ncol); for (col = 0; col < ncol; col++) res[row][col] = func(arr[row][col], row, col); } return res.length === 1 ? res[0] : res; }; // Cumulatively combine the elements of an array or array of arrays using a function. jStat.cumreduce = function cumreduce(arr, func, toAlter) { var row, nrow, ncol, res, col; if (!isArray(arr[0])) arr = [arr]; nrow = arr.length; ncol = arr[0].length; res = toAlter ? arr : new Array(nrow); for (row = 0; row < nrow; row++) { // if the row doesn't exist, create it if (!res[row]) res[row] = new Array(ncol); if (ncol > 0) res[row][0] = arr[row][0]; for (col = 1; col < ncol; col++) res[row][col] = func(res[row][col-1], arr[row][col]); } return res.length === 1 ? res[0] : res; }; // Destructively alter an array. jStat.alter = function alter(arr, func) { return jStat.map(arr, func, true); }; // Generate a rows x cols matrix according to the supplied function. jStat.create = function create(rows, cols, func) { var res = new Array(rows); var i, j; if (isFunction(cols)) { func = cols; cols = rows; } for (var i = 0; i < rows; i++) { res[i] = new Array(cols); for (j = 0; j < cols; j++) res[i][j] = func(i, j); } return res; }; function retZero() { return 0; } // Generate a rows x cols matrix of zeros. jStat.zeros = function zeros(rows, cols) { if (!isNumber(cols)) cols = rows; return jStat.create(rows, cols, retZero); }; function retOne() { return 1; } // Generate a rows x cols matrix of ones. jStat.ones = function ones(rows, cols) { if (!isNumber(cols)) cols = rows; return jStat.create(rows, cols, retOne); }; // Generate a rows x cols matrix of uniformly random numbers. jStat.rand = function rand(rows, cols) { if (!isNumber(cols)) cols = rows; return jStat.create(rows, cols, Math.random); }; function retIdent(i, j) { return i === j ? 1 : 0; } // Generate an identity matrix of size row x cols. jStat.identity = function identity(rows, cols) { if (!isNumber(cols)) cols = rows; return jStat.create(rows, cols, retIdent); }; // Tests whether a matrix is symmetric jStat.symmetric = function symmetric(arr) { var issymmetric = true; var size = arr.length; var row, col; if (arr.length !== arr[0].length) return false; for (row = 0; row < size; row++) { for (col = 0; col < size; col++) if (arr[col][row] !== arr[row][col]) return false; } return true; }; // Set all values to zero. jStat.clear = function clear(arr) { return jStat.alter(arr, retZero); }; // Generate sequence. jStat.seq = function seq(min, max, length, func) { if (!isFunction(func)) func = false; var arr = []; var hival = calcRdx(min, max); var step = (max * hival - min * hival) / ((length - 1) * hival); var current = min; var cnt; // Current is assigned using a technique to compensate for IEEE error. // TODO: Needs better implementation. for (cnt = 0; current <= max && cnt < length; cnt++, current = (min * hival + step * hival * cnt) / hival) { arr.push((func ? func(current, cnt) : current)); } return arr; }; // arange(5) -> [0,1,2,3,4] // arange(1,5) -> [1,2,3,4] // arange(5,1,-1) -> [5,4,3,2] jStat.arange = function arange(start, end, step) { var rl = []; step = step || 1; if (end === undefined) { end = start; start = 0; } if (start === end || step === 0) { return []; } if (start < end && step < 0) { return []; } if (start > end && step > 0) { return []; } if (step > 0) { for (i = start; i < end; i += step) { rl.push(i); } } else { for (i = start; i > end; i += step) { rl.push(i); } } return rl; }; // A=[[1,2,3],[4,5,6],[7,8,9]] // slice(A,{row:{end:2},col:{start:1}}) -> [[2,3],[5,6]] // slice(A,1,{start:1}) -> [5,6] // as numpy code A[:2,1:] jStat.slice = (function(){ function _slice(list, start, end, step) { // note it's not equal to range.map mode it's a bug var i; var rl = []; var length = list.length; if (start === undefined && end === undefined && step === undefined) { return jStat.copy(list); } start = start || 0; end = end || list.length; start = start >= 0 ? start : length + start; end = end >= 0 ? end : length + end; step = step || 1; if (start === end || step === 0) { return []; } if (start < end && step < 0) { return []; } if (start > end && step > 0) { return []; } if (step > 0) { for (i = start; i < end; i += step) { rl.push(list[i]); } } else { for (i = start; i > end;i += step) { rl.push(list[i]); } } return rl; } function slice(list, rcSlice) { rcSlice = rcSlice || {}; if (isNumber(rcSlice.row)) { if (isNumber(rcSlice.col)) return list[rcSlice.row][rcSlice.col]; var row = jStat.rowa(list, rcSlice.row); var colSlice = rcSlice.col || {}; return _slice(row, colSlice.start, colSlice.end, colSlice.step); } if (isNumber(rcSlice.col)) { var col = jStat.cola(list, rcSlice.col); var rowSlice = rcSlice.row || {}; return _slice(col, rowSlice.start, rowSlice.end, rowSlice.step); } var rowSlice = rcSlice.row || {}; var colSlice = rcSlice.col || {}; var rows = _slice(list, rowSlice.start, rowSlice.end, rowSlice.step); return rows.map(function(row) { return _slice(row, colSlice.start, colSlice.end, colSlice.step); }); } return slice; }()); // A=[[1,2,3],[4,5,6],[7,8,9]] // sliceAssign(A,{row:{start:1},col:{start:1}},[[0,0],[0,0]]) // A=[[1,2,3],[4,0,0],[7,0,0]] jStat.sliceAssign = function sliceAssign(A, rcSlice, B) { if (isNumber(rcSlice.row)) { if (isNumber(rcSlice.col)) return A[rcSlice.row][rcSlice.col] = B; rcSlice.col = rcSlice.col || {}; rcSlice.col.start = rcSlice.col.start || 0; rcSlice.col.end = rcSlice.col.end || A[0].length; rcSlice.col.step = rcSlice.col.step || 1; var nl = jStat.arange(rcSlice.col.start, Math.min(A.length, rcSlice.col.end), rcSlice.col.step); var m = rcSlice.row; nl.forEach(function(n, i) { A[m][n] = B[i]; }); return A; } if (isNumber(rcSlice.col)) { rcSlice.row = rcSlice.row || {}; rcSlice.row.start = rcSlice.row.start || 0; rcSlice.row.end = rcSlice.row.end || A.length; rcSlice.row.step = rcSlice.row.step || 1; var ml = jStat.arange(rcSlice.row.start, Math.min(A[0].length, rcSlice.row.end), rcSlice.row.step); var n = rcSlice.col; ml.forEach(function(m, j) { A[m][n] = B[j]; }); return A; } if (B[0].length === undefined) { B = [B]; } rcSlice.row.start = rcSlice.row.start || 0; rcSlice.row.end = rcSlice.row.end || A.length; rcSlice.row.step = rcSlice.row.step || 1; rcSlice.col.start = rcSlice.col.start || 0; rcSlice.col.end = rcSlice.col.end || A[0].length; rcSlice.col.step = rcSlice.col.step || 1; var ml = jStat.arange(rcSlice.row.start, Math.min(A.length, rcSlice.row.end), rcSlice.row.step); var nl = jStat.arange(rcSlice.col.start, Math.min(A[0].length, rcSlice.col.end), rcSlice.col.step); ml.forEach(function(m, i) { nl.forEach(function(n, j) { A[m][n] = B[i][j]; }); }); return A; }; // [1,2,3] -> // [[1,0,0],[0,2,0],[0,0,3]] jStat.diagonal = function diagonal(diagArray) { var mat = jStat.zeros(diagArray.length, diagArray.length); diagArray.forEach(function(t, i) { mat[i][i] = t; }); return mat; }; // return copy of A jStat.copy = function copy(A) { return A.map(function(row) { if (isNumber(row)) return row; return row.map(function(t) { return t; }); }); }; // TODO: Go over this entire implementation. Seems a tragic waste of resources // doing all this work. Instead, and while ugly, use new Function() to generate // a custom function for each static method. // Quick reference. var jProto = jStat.prototype; // Default length. jProto.length = 0; // For internal use only. // TODO: Check if they're actually used, and if they are then rename them // to _* jProto.push = Array.prototype.push; jProto.sort = Array.prototype.sort; jProto.splice = Array.prototype.splice; jProto.slice = Array.prototype.slice; // Return a clean array. jProto.toArray = function toArray() { return this.length > 1 ? slice.call(this) : slice.call(this)[0]; }; // Map a function to a matrix or vector. jProto.map = function map(func, toAlter) { return jStat(jStat.map(this, func, toAlter)); }; // Cumulatively combine the elements of a matrix or vector using a function. jProto.cumreduce = function cumreduce(func, toAlter) { return jStat(jStat.cumreduce(this, func, toAlter)); }; // Destructively alter an array. jProto.alter = function alter(func) { jStat.alter(this, func); return this; }; // Extend prototype with methods that have no argument. (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { jProto[passfunc] = function(func) { var self = this, results; // Check for callback. if (func) { setTimeout(function() { func.call(self, jProto[passfunc].call(self)); }); return this; } results = jStat[passfunc](this); return isArray(results) ? jStat(results) : results; }; })(funcs[i]); })('transpose clear symmetric rows cols dimensions diag antidiag'.split(' ')); // Extend prototype with methods that have one argument. (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { jProto[passfunc] = function(index, func) { var self = this; // check for callback if (func) { setTimeout(function() { func.call(self, jProto[passfunc].call(self, index)); }); return this; } return jStat(jStat[passfunc](this, index)); }; })(funcs[i]); })('row col'.split(' ')); // Extend prototype with simple shortcut methods. (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { jProto[passfunc] = new Function( 'return jStat(jStat.' + passfunc + '.apply(null, arguments));'); })(funcs[i]); })('create zeros ones rand identity'.split(' ')); // Exposing jStat. return jStat; }(Math)); (function(jStat, Math) { var isFunction = jStat.utils.isFunction; // Ascending functions for sort function ascNum(a, b) { return a - b; } function clip(arg, min, max) { return Math.max(min, Math.min(arg, max)); } // sum of an array jStat.sum = function sum(arr) { var sum = 0; var i = arr.length; while (--i >= 0) sum += arr[i]; return sum; }; // sum squared jStat.sumsqrd = function sumsqrd(arr) { var sum = 0; var i = arr.length; while (--i >= 0) sum += arr[i] * arr[i]; return sum; }; // sum of squared errors of prediction (SSE) jStat.sumsqerr = function sumsqerr(arr) { var mean = jStat.mean(arr); var sum = 0; var i = arr.length; var tmp; while (--i >= 0) { tmp = arr[i] - mean; sum += tmp * tmp; } return sum; }; // sum of an array in each row jStat.sumrow = function sumrow(arr) { var sum = 0; var i = arr.length; while (--i >= 0) sum += arr[i]; return sum; }; // product of an array jStat.product = function product(arr) { var prod = 1; var i = arr.length; while (--i >= 0) prod *= arr[i]; return prod; }; // minimum value of an array jStat.min = function min(arr) { var low = arr[0]; var i = 0; while (++i < arr.length) if (arr[i] < low) low = arr[i]; return low; }; // maximum value of an array jStat.max = function max(arr) { var high = arr[0]; var i = 0; while (++i < arr.length) if (arr[i] > high) high = arr[i]; return high; }; // unique values of an array jStat.unique = function unique(arr) { var hash = {}, _arr = []; for(var i = 0; i < arr.length; i++) { if (!hash[arr[i]]) { hash[arr[i]] = true; _arr.push(arr[i]); } } return _arr; }; // mean value of an array jStat.mean = function mean(arr) { return jStat.sum(arr) / arr.length; }; // mean squared error (MSE) jStat.meansqerr = function meansqerr(arr) { return jStat.sumsqerr(arr) / arr.length; }; // geometric mean of an array jStat.geomean = function geomean(arr) { return Math.pow(jStat.product(arr), 1 / arr.length); }; // median of an array jStat.median = function median(arr) { var arrlen = arr.length; var _arr = arr.slice().sort(ascNum); // check if array is even or odd, then return the appropriate return !(arrlen & 1) ? (_arr[(arrlen / 2) - 1 ] + _arr[(arrlen / 2)]) / 2 : _arr[(arrlen / 2) | 0 ]; }; // cumulative sum of an array jStat.cumsum = function cumsum(arr) { return jStat.cumreduce(arr, function (a, b) { return a + b; }); }; // cumulative product of an array jStat.cumprod = function cumprod(arr) { return jStat.cumreduce(arr, function (a, b) { return a * b; }); }; // successive differences of a sequence jStat.diff = function diff(arr) { var diffs = []; var arrLen = arr.length; var i; for (var i = 1; i < arrLen; i++) diffs.push(arr[i] - arr[i - 1]); return diffs; }; // ranks of an array jStat.rank = function (arr) { var arrlen = arr.length; var sorted = arr.slice().sort(ascNum); var ranks = new Array(arrlen); for (var i = 0; i < arrlen; i++) { var first = sorted.indexOf(arr[i]); var last = sorted.lastIndexOf(arr[i]); if (first === last) { var val = first; } else { var val = (first + last) / 2; } ranks[i] = val + 1; } return ranks; }; // mode of an array // if there are multiple modes of an array, return all of them // is this the appropriate way of handling it? jStat.mode = function mode(arr) { var arrLen = arr.length; var _arr = arr.slice().sort(ascNum); var count = 1; var maxCount = 0; var numMaxCount = 0; var mode_arr = []; var i; for (var i = 0; i < arrLen; i++) { if (_arr[i] === _arr[i + 1]) { count++; } else { if (count > maxCount) { mode_arr = [_arr[i]]; maxCount = count; numMaxCount = 0; } // are there multiple max counts else if (count === maxCount) { mode_arr.push(_arr[i]); numMaxCount++; } // resetting count for new value in array count = 1; } } return numMaxCount === 0 ? mode_arr[0] : mode_arr; }; // range of an array jStat.range = function range(arr) { return jStat.max(arr) - jStat.min(arr); }; // variance of an array // flag = true indicates sample instead of population jStat.variance = function variance(arr, flag) { return jStat.sumsqerr(arr) / (arr.length - (flag ? 1 : 0)); }; // pooled variance of an array of arrays jStat.pooledvariance = function pooledvariance(arr) { var sumsqerr = arr.reduce(function (a, samples) {return a + jStat.sumsqerr(samples);}, 0); var count = arr.reduce(function (a, samples) {return a + samples.length;}, 0); return sumsqerr / (count - arr.length); }; // deviation of an array jStat.deviation = function (arr) { var mean = jStat.mean(arr); var arrlen = arr.length; var dev = new Array(arrlen); for (var i = 0; i < arrlen; i++) { dev[i] = arr[i] - mean; } return dev; }; // standard deviation of an array // flag = true indicates sample instead of population jStat.stdev = function stdev(arr, flag) { return Math.sqrt(jStat.variance(arr, flag)); }; // pooled standard deviation of an array of arrays jStat.pooledstdev = function pooledstdev(arr) { return Math.sqrt(jStat.pooledvariance(arr)); }; // mean deviation (mean absolute deviation) of an array jStat.meandev = function meandev(arr) { var mean = jStat.mean(arr); var a = []; for (var i = arr.length - 1; i >= 0; i--) { a.push(Math.abs(arr[i] - mean)); } return jStat.mean(a); }; // median deviation (median absolute deviation) of an array jStat.meddev = function meddev(arr) { var median = jStat.median(arr); var a = []; for (var i = arr.length - 1; i >= 0; i--) { a.push(Math.abs(arr[i] - median)); } return jStat.median(a); }; // coefficient of variation jStat.coeffvar = function coeffvar(arr) { return jStat.stdev(arr) / jStat.mean(arr); }; // quartiles of an array jStat.quartiles = function quartiles(arr) { var arrlen = arr.length; var _arr = arr.slice().sort(ascNum); return [ _arr[ Math.round((arrlen) / 4) - 1 ], _arr[ Math.round((arrlen) / 2) - 1 ], _arr[ Math.round((arrlen) * 3 / 4) - 1 ] ]; }; // Arbitary quantiles of an array. Direct port of the scipy.stats // implementation by Pierre GF Gerard-Marchant. jStat.quantiles = function quantiles(arr, quantilesArray, alphap, betap) { var sortedArray = arr.slice().sort(ascNum); var quantileVals = [quantilesArray.length]; var n = arr.length; var i, p, m, aleph, k, gamma; if (typeof alphap === 'undefined') alphap = 3 / 8; if (typeof betap === 'undefined') betap = 3 / 8; for (var i = 0; i < quantilesArray.length; i++) { p = quantilesArray[i]; m = alphap + p * (1 - alphap - betap); aleph = n * p + m; k = Math.floor(clip(aleph, 1, n - 1)); gamma = clip(aleph - k, 0, 1); quantileVals[i] = (1 - gamma) * sortedArray[k - 1] + gamma * sortedArray[k]; } return quantileVals; }; // Returns the k-th percentile of values in a range, where k is in the // range 0..1, exclusive. jStat.percentile = function percentile(arr, k) { var _arr = arr.slice().sort(ascNum); var realIndex = k * (_arr.length - 1); var index = parseInt(realIndex); var frac = realIndex - index; if (index + 1 < _arr.length) { return _arr[index] * (1 - frac) + _arr[index + 1] * frac; } else { return _arr[index]; } } // The percentile rank of score in a given array. Returns the percentage // of all values in the input array that are less than (kind='strict') or // less or equal than (kind='weak') score. Default is weak. jStat.percentileOfScore = function percentileOfScore(arr, score, kind) { var counter = 0; var len = arr.length; var strict = false; var value, i; if (kind === 'strict') strict = true; for (var i = 0; i < len; i++) { value = arr[i]; if ((strict && value < score) || (!strict && value <= score)) { counter++; } } return counter / len; }; // Histogram (bin count) data jStat.histogram = function histogram(arr, bins) { var first = jStat.min(arr); var binCnt = bins || 4; var binWidth = (jStat.max(arr) - first) / binCnt; var len = arr.length; var bins = []; var i; for (var i = 0; i < binCnt; i++) bins[i] = 0; for (var i = 0; i < len; i++) bins[Math.min(Math.floor(((arr[i] - first) / binWidth)), binCnt - 1)] += 1; return bins; }; // covariance of two arrays jStat.covariance = function covariance(arr1, arr2) { var u = jStat.mean(arr1); var v = jStat.mean(arr2); var arr1Len = arr1.length; var sq_dev = new Array(arr1Len); var i; for (var i = 0; i < arr1Len; i++) sq_dev[i] = (arr1[i] - u) * (arr2[i] - v); return jStat.sum(sq_dev) / (arr1Len - 1); }; // (pearson's) population correlation coefficient, rho jStat.corrcoeff = function corrcoeff(arr1, arr2) { return jStat.covariance(arr1, arr2) / jStat.stdev(arr1, 1) / jStat.stdev(arr2, 1); }; // (spearman's) rank correlation coefficient, sp jStat.spearmancoeff = function (arr1, arr2) { arr1 = jStat.rank(arr1); arr2 = jStat.rank(arr2); //return pearson's correlation of the ranks: return jStat.corrcoeff(arr1, arr2); } // statistical standardized moments (general form of skew/kurt) jStat.stanMoment = function stanMoment(arr, n) { var mu = jStat.mean(arr); var sigma = jStat.stdev(arr); var len = arr.length; var skewSum = 0; for (var i = 0; i < len; i++) skewSum += Math.pow((arr[i] - mu) / sigma, n); return skewSum / arr.length; }; // (pearson's) moment coefficient of skewness jStat.skewness = function skewness(arr) { return jStat.stanMoment(arr, 3); }; // (pearson's) (excess) kurtosis jStat.kurtosis = function kurtosis(arr) { return jStat.stanMoment(arr, 4) - 3; }; var jProto = jStat.prototype; // Extend jProto with method for calculating cumulative sums and products. // This differs from the similar extension below as cumsum and cumprod should // not be run again in the case fullbool === true. // If a matrix is passed, automatically assume operation should be done on the // columns. (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { // If a matrix is passed, automatically assume operation should be done on // the columns. jProto[passfunc] = function(fullbool, func) { var arr = []; var i = 0; var tmpthis = this; // Assignment reassignation depending on how parameters were passed in. if (isFunction(fullbool)) { func = fullbool; fullbool = false; } // Check if a callback was passed with the function. if (func) { setTimeout(function() { func.call(tmpthis, jProto[passfunc].call(tmpthis, fullbool)); }); return this; } // Check if matrix and run calculations. if (this.length > 1) { tmpthis = fullbool === true ? this : this.transpose(); for (; i < tmpthis.length; i++) arr[i] = jStat[passfunc](tmpthis[i]); return arr; } // Pass fullbool if only vector, not a matrix. for variance and stdev. return jStat[passfunc](this[0], fullbool); }; })(funcs[i]); })(('cumsum cumprod').split(' ')); // Extend jProto with methods which don't require arguments and work on columns. (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { // If a matrix is passed, automatically assume operation should be done on // the columns. jProto[passfunc] = function(fullbool, func) { var arr = []; var i = 0; var tmpthis = this; // Assignment reassignation depending on how parameters were passed in. if (isFunction(fullbool)) { func = fullbool; fullbool = false; } // Check if a callback was passed with the function. if (func) { setTimeout(function() { func.call(tmpthis, jProto[passfunc].call(tmpthis, fullbool)); }); return this; } // Check if matrix and run calculations. if (this.length > 1) { if (passfunc !== 'sumrow') tmpthis = fullbool === true ? this : this.transpose(); for (; i < tmpthis.length; i++) arr[i] = jStat[passfunc](tmpthis[i]); return fullbool === true ? jStat[passfunc](jStat.utils.toVector(arr)) : arr; } // Pass fullbool if only vector, not a matrix. for variance and stdev. return jStat[passfunc](this[0], fullbool); }; })(funcs[i]); })(('sum sumsqrd sumsqerr sumrow product min max unique mean meansqerr ' + 'geomean median diff rank mode range variance deviation stdev meandev ' + 'meddev coeffvar quartiles histogram skewness kurtosis').split(' ')); // Extend jProto with functions that take arguments. Operations on matrices are // done on columns. (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { jProto[passfunc] = function() { var arr = []; var i = 0; var tmpthis = this; var args = Array.prototype.slice.call(arguments); // If the last argument is a function, we assume it's a callback; we // strip the callback out and call the function again. if (isFunction(args[args.length - 1])) { var callbackFunction = args[args.length - 1]; var argsToPass = args.slice(0, args.length - 1); setTimeout(function() { callbackFunction.call(tmpthis, jProto[passfunc].apply(tmpthis, argsToPass)); }); return this; // Otherwise we curry the function args and call normally. } else { var callbackFunction = undefined; var curriedFunction = function curriedFunction(vector) { return jStat[passfunc].apply(tmpthis, [vector].concat(args)); } } // If this is a matrix, run column-by-column. if (this.length > 1) { tmpthis = tmpthis.transpose(); for (; i < tmpthis.length; i++) arr[i] = curriedFunction(tmpthis[i]); return arr; } // Otherwise run on the vector. return curriedFunction(this[0]); }; })(funcs[i]); })('quantiles percentileOfScore'.split(' ')); }(jStat, Math)); // Special functions // (function(jStat, Math) { // Log-gamma function jStat.gammaln = function gammaln(x) { var j = 0; var cof = [ 76.18009172947146, -86.50532032941677, 24.01409824083091, -1.231739572450155, 0.1208650973866179e-2, -0.5395239384953e-5 ]; var ser = 1.000000000190015; var xx, y, tmp; tmp = (y = xx = x) + 5.5; tmp -= (xx + 0.5) * Math.log(tmp); for (; j < 6; j++) ser += cof[j] / ++y; return Math.log(2.5066282746310005 * ser / xx) - tmp; }; // gamma of x jStat.gammafn = function gammafn(x) { var p = [-1.716185138865495, 24.76565080557592, -379.80425647094563, 629.3311553128184, 866.9662027904133, -31451.272968848367, -36144.413418691176, 66456.14382024054 ]; var q = [-30.8402300119739, 315.35062697960416, -1015.1563674902192, -3107.771671572311, 22538.118420980151, 4755.8462775278811, -134659.9598649693, -115132.2596755535]; var fact = false; var n = 0; var xden = 0; var xnum = 0; var y = x; var i, z, yi, res, sum, ysq; if (y <= 0) { res = y % 1 + 3.6e-16; if (res) { fact = (!(y & 1) ? 1 : -1) * Math.PI / Math.sin(Math.PI * res); y = 1 - y; } else { return Infinity; } } yi = y; if (y < 1) { z = y++; } else { z = (y -= n = (y | 0) - 1) - 1; } for (var i = 0; i < 8; ++i) { xnum = (xnum + p[i]) * z; xden = xden * z + q[i]; } res = xnum / xden + 1; if (yi < y) { res /= yi; } else if (yi > y) { for (var i = 0; i < n; ++i) { res *= y; y++; } } if (fact) { res = fact / res; } return res; }; // lower incomplete gamma function, which is usually typeset with a // lower-case greek gamma as the function symbol jStat.gammap = function gammap(a, x) { return jStat.lowRegGamma(a, x) * jStat.gammafn(a); }; // The lower regularized incomplete gamma function, usually written P(a,x) jStat.lowRegGamma = function lowRegGamma(a, x) { var aln = jStat.gammaln(a); var ap = a; var sum = 1 / a; var del = sum; var b = x + 1 - a; var c = 1 / 1.0e-30; var d = 1 / b; var h = d; var i = 1; // calculate maximum number of itterations required for a var ITMAX = -~(Math.log((a >= 1) ? a : 1 / a) * 8.5 + a * 0.4 + 17); var an, endval; if (x < 0 || a <= 0) { return NaN; } else if (x < a + 1) { for (; i <= ITMAX; i++) { sum += del *= x / ++ap; } return (sum * Math.exp(-x + a * Math.log(x) - (aln))); } for (; i <= ITMAX; i++) { an = -i * (i - a); b += 2; d = an * d + b; c = b + an / c; d = 1 / d; h *= d * c; } return (1 - h * Math.exp(-x + a * Math.log(x) - (aln))); }; // natural log factorial of n jStat.factorialln = function factorialln(n) { return n < 0 ? NaN : jStat.gammaln(n + 1); }; // factorial of n jStat.factorial = function factorial(n) { return n < 0 ? NaN : jStat.gammafn(n + 1); }; // combinations of n, m jStat.combination = function combination(n, m) { // make sure n or m don't exceed the upper limit of usable values return (n > 170 || m > 170) ? Math.exp(jStat.combinationln(n, m)) : (jStat.factorial(n) / jStat.factorial(m)) / jStat.factorial(n - m); }; jStat.combinationln = function combinationln(n, m){ return jStat.factorialln(n) - jStat.factorialln(m) - jStat.factorialln(n - m); }; // permutations of n, m jStat.permutation = function permutation(n, m) { return jStat.factorial(n) / jStat.factorial(n - m); }; // beta function jStat.betafn = function betafn(x, y) { // ensure arguments are positive if (x <= 0 || y <= 0) return undefined; // make sure x + y doesn't exceed the upper limit of usable values return (x + y > 170) ? Math.exp(jStat.betaln(x, y)) : jStat.gammafn(x) * jStat.gammafn(y) / jStat.gammafn(x + y); }; // natural logarithm of beta function jStat.betaln = function betaln(x, y) { return jStat.gammaln(x) + jStat.gammaln(y) - jStat.gammaln(x + y); }; // Evaluates the continued fraction for incomplete beta function by modified // Lentz's method. jStat.betacf = function betacf(x, a, b) { var fpmin = 1e-30; var m = 1; var qab = a + b; var qap = a + 1; var qam = a - 1; var c = 1; var d = 1 - qab * x / qap; var m2, aa, del, h; // These q's will be used in factors that occur in the coefficients if (Math.abs(d) < fpmin) d = fpmin; d = 1 / d; h = d; for (; m <= 100; m++) { m2 = 2 * m; aa = m * (b - m) * x / ((qam + m2) * (a + m2)); // One step (the even one) of the recurrence d = 1 + aa * d; if (Math.abs(d) < fpmin) d = fpmin; c = 1 + aa / c; if (Math.abs(c) < fpmin) c = fpmin; d = 1 / d; h *= d * c; aa = -(a + m) * (qab + m) * x / ((a + m2) * (qap + m2)); // Next step of the recurrence (the odd one) d = 1 + aa * d; if (Math.abs(d) < fpmin) d = fpmin; c = 1 + aa / c; if (Math.abs(c) < fpmin) c = fpmin; d = 1 / d; del = d * c; h *= del; if (Math.abs(del - 1.0) < 3e-7) break; } return h; }; // Returns the inverse of the lower regularized inomplete gamma function jStat.gammapinv = function gammapinv(p, a) { var j = 0; var a1 = a - 1; var EPS = 1e-8; var gln = jStat.gammaln(a); var x, err, t, u, pp, lna1, afac; if (p >= 1) return Math.max(100, a + 100 * Math.sqrt(a)); if (p <= 0) return 0; if (a > 1) { lna1 = Math.log(a1); afac = Math.exp(a1 * (lna1 - 1) - gln); pp = (p < 0.5) ? p : 1 - p; t = Math.sqrt(-2 * Math.log(pp)); x = (2.30753 + t * 0.27061) / (1 + t * (0.99229 + t * 0.04481)) - t; if (p < 0.5) x = -x; x = Math.max(1e-3, a * Math.pow(1 - 1 / (9 * a) - x / (3 * Math.sqrt(a)), 3)); } else { t = 1 - a * (0.253 + a * 0.12); if (p < t) x = Math.pow(p / t, 1 / a); else x = 1 - Math.log(1 - (p - t) / (1 - t)); } for(; j < 12; j++) { if (x <= 0) return 0; err = jStat.lowRegGamma(a, x) - p; if (a > 1) t = afac * Math.exp(-(x - a1) + a1 * (Math.log(x) - lna1)); else t = Math.exp(-x + a1 * Math.log(x) - gln); u = err / t; x -= (t = u / (1 - 0.5 * Math.min(1, u * ((a - 1) / x - 1)))); if (x <= 0) x = 0.5 * (x + t); if (Math.abs(t) < EPS * x) break; } return x; }; // Returns the error function erf(x) jStat.erf = function erf(x) { var cof = [-1.3026537197817094, 6.4196979235649026e-1, 1.9476473204185836e-2, -9.561514786808631e-3, -9.46595344482036e-4, 3.66839497852761e-4, 4.2523324806907e-5, -2.0278578112534e-5, -1.624290004647e-6, 1.303655835580e-6, 1.5626441722e-8, -8.5238095915e-8, 6.529054439e-9, 5.059343495e-9, -9.91364156e-10, -2.27365122e-10, 9.6467911e-11, 2.394038e-12, -6.886027e-12, 8.94487e-13, 3.13092e-13, -1.12708e-13, 3.81e-16, 7.106e-15, -1.523e-15, -9.4e-17, 1.21e-16, -2.8e-17]; var j = cof.length - 1; var isneg = false; var d = 0; var dd = 0; var t, ty, tmp, res; if (x < 0) { x = -x; isneg = true; } t = 2 / (2 + x); ty = 4 * t - 2; for(; j > 0; j--) { tmp = d; d = ty * d - dd + cof[j]; dd = tmp; } res = t * Math.exp(-x * x + 0.5 * (cof[0] + ty * d) - dd); return isneg ? res - 1 : 1 - res; }; // Returns the complmentary error function erfc(x) jStat.erfc = function erfc(x) { return 1 - jStat.erf(x); }; // Returns the inverse of the complementary error function jStat.erfcinv = function erfcinv(p) { var j = 0; var x, err, t, pp; if (p >= 2) return -100; if (p <= 0) return 100; pp = (p < 1) ? p : 2 - p; t = Math.sqrt(-2 * Math.log(pp / 2)); x = -0.70711 * ((2.30753 + t * 0.27061) / (1 + t * (0.99229 + t * 0.04481)) - t); for (; j < 2; j++) { err = jStat.erfc(x) - pp; x += err / (1.12837916709551257 * Math.exp(-x * x) - x * err); } return (p < 1) ? x : -x; }; // Returns the inverse of the incomplete beta function jStat.ibetainv = function ibetainv(p, a, b) { var EPS = 1e-8; var a1 = a - 1; var b1 = b - 1; var j = 0; var lna, lnb, pp, t, u, err, x, al, h, w, afac; if (p <= 0) return 0; if (p >= 1) return 1; if (a >= 1 && b >= 1) { pp = (p < 0.5) ? p : 1 - p; t = Math.sqrt(-2 * Math.log(pp)); x = (2.30753 + t * 0.27061) / (1 + t* (0.99229 + t * 0.04481)) - t; if (p < 0.5) x = -x; al = (x * x - 3) / 6; h = 2 / (1 / (2 * a - 1) + 1 / (2 * b - 1)); w = (x * Math.sqrt(al + h) / h) - (1 / (2 * b - 1) - 1 / (2 * a - 1)) * (al + 5 / 6 - 2 / (3 * h)); x = a / (a + b * Math.exp(2 * w)); } else { lna = Math.log(a / (a + b)); lnb = Math.log(b / (a + b)); t = Math.exp(a * lna) / a; u = Math.exp(b * lnb) / b; w = t + u; if (p < t / w) x = Math.pow(a * w * p, 1 / a); else x = 1 - Math.pow(b * w * (1 - p), 1 / b); } afac = -jStat.gammaln(a) - jStat.gammaln(b) + jStat.gammaln(a + b); for(; j < 10; j++) { if (x === 0 || x === 1) return x; err = jStat.ibeta(x, a, b) - p; t = Math.exp(a1 * Math.log(x) + b1 * Math.log(1 - x) + afac); u = err / t; x -= (t = u / (1 - 0.5 * Math.min(1, u * (a1 / x - b1 / (1 - x))))); if (x <= 0) x = 0.5 * (x + t); if (x >= 1) x = 0.5 * (x + t + 1); if (Math.abs(t) < EPS * x && j > 0) break; } return x; }; // Returns the incomplete beta function I_x(a,b) jStat.ibeta = function ibeta(x, a, b) { // Factors in front of the continued fraction. var bt = (x === 0 || x === 1) ? 0 : Math.exp(jStat.gammaln(a + b) - jStat.gammaln(a) - jStat.gammaln(b) + a * Math.log(x) + b * Math.log(1 - x)); if (x < 0 || x > 1) return false; if (x < (a + 1) / (a + b + 2)) // Use continued fraction directly. return bt * jStat.betacf(x, a, b) / a; // else use continued fraction after making the symmetry transformation. return 1 - bt * jStat.betacf(1 - x, b, a) / b; }; // Returns a normal deviate (mu=0, sigma=1). // If n and m are specified it returns a object of normal deviates. jStat.randn = function randn(n, m) { var u, v, x, y, q, mat; if (!m) m = n; if (n) return jStat.create(n, m, function() { return jStat.randn(); }); do { u = Math.random(); v = 1.7156 * (Math.random() - 0.5); x = u - 0.449871; y = Math.abs(v) + 0.386595; q = x * x + y * (0.19600 * y - 0.25472 * x); } while (q > 0.27597 && (q > 0.27846 || v * v > -4 * Math.log(u) * u * u)); return v / u; }; // Returns a gamma deviate by the method of Marsaglia and Tsang. jStat.randg = function randg(shape, n, m) { var oalph = shape; var a1, a2, u, v, x, mat; if (!m) m = n; if (!shape) shape = 1; if (n) { mat = jStat.zeros(n,m); mat.alter(function() { return jStat.randg(shape); }); return mat; } if (shape < 1) shape += 1; a1 = shape - 1 / 3; a2 = 1 / Math.sqrt(9 * a1); do { do { x = jStat.randn(); v = 1 + a2 * x; } while(v <= 0); v = v * v * v; u = Math.random(); } while(u > 1 - 0.331 * Math.pow(x, 4) && Math.log(u) > 0.5 * x*x + a1 * (1 - v + Math.log(v))); // alpha > 1 if (shape == oalph) return a1 * v; // alpha < 1 do { u = Math.random(); } while(u === 0); return Math.pow(u, 1 / oalph) * a1 * v; }; // making use of static methods on the instance (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { jStat.fn[passfunc] = function() { return jStat( jStat.map(this, function(value) { return jStat[passfunc](value); })); } })(funcs[i]); })('gammaln gammafn factorial factorialln'.split(' ')); (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { jStat.fn[passfunc] = function() { return jStat(jStat[passfunc].apply(null, arguments)); }; })(funcs[i]); })('randn'.split(' ')); }(jStat, Math)); (function(jStat, Math) { // generate all distribution instance methods (function(list) { for (var i = 0; i < list.length; i++) (function(func) { // distribution instance method jStat[func] = function(a, b, c) { if (!(this instanceof arguments.callee)) return new arguments.callee(a, b, c); this._a = a; this._b = b; this._c = c; return this; }; // distribution method to be used on a jStat instance jStat.fn[func] = function(a, b, c) { var newthis = jStat[func](a, b, c); newthis.data = this; return newthis; }; // sample instance method jStat[func].prototype.sample = function(arr) { var a = this._a; var b = this._b; var c = this._c; if (arr) return jStat.alter(arr, function() { return jStat[func].sample(a, b, c); }); else return jStat[func].sample(a, b, c); }; // generate the pdf, cdf and inv instance methods (function(vals) { for (var i = 0; i < vals.length; i++) (function(fnfunc) { jStat[func].prototype[fnfunc] = function(x) { var a = this._a; var b = this._b; var c = this._c; if (!x && x !== 0) x = this.data; if (typeof x !== 'number') { return jStat.fn.map.call(x, function(x) { return jStat[func][fnfunc](x, a, b, c); }); } return jStat[func][fnfunc](x, a, b, c); }; })(vals[i]); })('pdf cdf inv'.split(' ')); // generate the mean, median, mode and variance instance methods (function(vals) { for (var i = 0; i < vals.length; i++) (function(fnfunc) { jStat[func].prototype[fnfunc] = function() { return jStat[func][fnfunc](this._a, this._b, this._c); }; })(vals[i]); })('mean median mode variance'.split(' ')); })(list[i]); })(( 'beta centralF cauchy chisquare exponential gamma invgamma kumaraswamy ' + 'laplace lognormal noncentralt normal pareto studentt weibull uniform ' + 'binomial negbin hypgeom poisson triangular tukey arcsine' ).split(' ')); // extend beta function with static methods jStat.extend(jStat.beta, { pdf: function pdf(x, alpha, beta) { // PDF is zero outside the support if (x > 1 || x < 0) return 0; // PDF is one for the uniform case if (alpha == 1 && beta == 1) return 1; if (alpha < 512 && beta < 512) { return (Math.pow(x, alpha - 1) * Math.pow(1 - x, beta - 1)) / jStat.betafn(alpha, beta); } else { return Math.exp((alpha - 1) * Math.log(x) + (beta - 1) * Math.log(1 - x) - jStat.betaln(alpha, beta)); } }, cdf: function cdf(x, alpha, beta) { return (x > 1 || x < 0) ? (x > 1) * 1 : jStat.ibeta(x, alpha, beta); }, inv: function inv(x, alpha, beta) { return jStat.ibetainv(x, alpha, beta); }, mean: function mean(alpha, beta) { return alpha / (alpha + beta); }, median: function median(alpha, beta) { return jStat.ibetainv(0.5, alpha, beta); }, mode: function mode(alpha, beta) { return (alpha - 1 ) / ( alpha + beta - 2); }, // return a random sample sample: function sample(alpha, beta) { var u = jStat.randg(alpha); return u / (u + jStat.randg(beta)); }, variance: function variance(alpha, beta) { return (alpha * beta) / (Math.pow(alpha + beta, 2) * (alpha + beta + 1)); } }); // extend F function with static methods jStat.extend(jStat.centralF, { // This implementation of the pdf function avoids float overflow // See the way that R calculates this value: // https://svn.r-project.org/R/trunk/src/nmath/df.c pdf: function pdf(x, df1, df2) { var p, q, f; if (x < 0) return 0; if (df1 <= 2) { if (x === 0 && df1 < 2) { return Infinity; } if (x === 0 && df1 === 2) { return 1; } return (1 / jStat.betafn(df1 / 2, df2 / 2)) * Math.pow(df1 / df2, df1 / 2) * Math.pow(x, (df1/2) - 1) * Math.pow((1 + (df1 / df2) * x), -(df1 + df2) / 2); } p = (df1 * x) / (df2 + x * df1); q = df2 / (df2 + x * df1); f = df1 * q / 2.0; return f * jStat.binomial.pdf((df1 - 2) / 2, (df1 + df2 - 2) / 2, p); }, cdf: function cdf(x, df1, df2) { if (x < 0) return 0; return jStat.ibeta((df1 * x) / (df1 * x + df2), df1 / 2, df2 / 2); }, inv: function inv(x, df1, df2) { return df2 / (df1 * (1 / jStat.ibetainv(x, df1 / 2, df2 / 2) - 1)); }, mean: function mean(df1, df2) { return (df2 > 2) ? df2 / (df2 - 2) : undefined; }, mode: function mode(df1, df2) { return (df1 > 2) ? (df2 * (df1 - 2)) / (df1 * (df2 + 2)) : undefined; }, // return a random sample sample: function sample(df1, df2) { var x1 = jStat.randg(df1 / 2) * 2; var x2 = jStat.randg(df2 / 2) * 2; return (x1 / df1) / (x2 / df2); }, variance: function variance(df1, df2) { if (df2 <= 4) return undefined; return 2 * df2 * df2 * (df1 + df2 - 2) / (df1 * (df2 - 2) * (df2 - 2) * (df2 - 4)); } }); // extend cauchy function with static methods jStat.extend(jStat.cauchy, { pdf: function pdf(x, local, scale) { if (scale < 0) { return 0; } return (scale / (Math.pow(x - local, 2) + Math.pow(scale, 2))) / Math.PI; }, cdf: function cdf(x, local, scale) { return Math.atan((x - local) / scale) / Math.PI + 0.5; }, inv: function(p, local, scale) { return local + scale * Math.tan(Math.PI * (p - 0.5)); }, median: function median(local, scale) { return local; }, mode: function mode(local, scale) { return local; }, sample: function sample(local, scale) { return jStat.randn() * Math.sqrt(1 / (2 * jStat.randg(0.5))) * scale + local; } }); // extend chisquare function with static methods jStat.extend(jStat.chisquare, { pdf: function pdf(x, dof) { if (x < 0) return 0; return (x === 0 && dof === 2) ? 0.5 : Math.exp((dof / 2 - 1) * Math.log(x) - x / 2 - (dof / 2) * Math.log(2) - jStat.gammaln(dof / 2)); }, cdf: function cdf(x, dof) { if (x < 0) return 0; return jStat.lowRegGamma(dof / 2, x / 2); }, inv: function(p, dof) { return 2 * jStat.gammapinv(p, 0.5 * dof); }, mean : function(dof) { return dof; }, // TODO: this is an approximation (is there a better way?) median: function median(dof) { return dof * Math.pow(1 - (2 / (9 * dof)), 3); }, mode: function mode(dof) { return (dof - 2 > 0) ? dof - 2 : 0; }, sample: function sample(dof) { return jStat.randg(dof / 2) * 2; }, variance: function variance(dof) { return 2 * dof; } }); // extend exponential function with static methods jStat.extend(jStat.exponential, { pdf: function pdf(x, rate) { return x < 0 ? 0 : rate * Math.exp(-rate * x); }, cdf: function cdf(x, rate) { return x < 0 ? 0 : 1 - Math.exp(-rate * x); }, inv: function(p, rate) { return -Math.log(1 - p) / rate; }, mean : function(rate) { return 1 / rate; }, median: function (rate) { return (1 / rate) * Math.log(2); }, mode: function mode(rate) { return 0; }, sample: function sample(rate) { return -1 / rate * Math.log(Math.random()); }, variance : function(rate) { return Math.pow(rate, -2); } }); // extend gamma function with static methods jStat.extend(jStat.gamma, { pdf: function pdf(x, shape, scale) { if (x < 0) return 0; return (x === 0 && shape === 1) ? 1 / scale : Math.exp((shape - 1) * Math.log(x) - x / scale - jStat.gammaln(shape) - shape * Math.log(scale)); }, cdf: function cdf(x, shape, scale) { if (x < 0) return 0; return jStat.lowRegGamma(shape, x / scale); }, inv: function(p, shape, scale) { return jStat.gammapinv(p, shape) * scale; }, mean : function(shape, scale) { return shape * scale; }, mode: function mode(shape, scale) { if(shape > 1) return (shape - 1) * scale; return undefined; }, sample: function sample(shape, scale) { return jStat.randg(shape) * scale; }, variance: function variance(shape, scale) { return shape * scale * scale; } }); // extend inverse gamma function with static methods jStat.extend(jStat.invgamma, { pdf: function pdf(x, shape, scale) { if (x <= 0) return 0; return Math.exp(-(shape + 1) * Math.log(x) - scale / x - jStat.gammaln(shape) + shape * Math.log(scale)); }, cdf: function cdf(x, shape, scale) { if (x <= 0) return 0; return 1 - jStat.lowRegGamma(shape, scale / x); }, inv: function(p, shape, scale) { return scale / jStat.gammapinv(1 - p, shape); }, mean : function(shape, scale) { return (shape > 1) ? scale / (shape - 1) : undefined; }, mode: function mode(shape, scale) { return scale / (shape + 1); }, sample: function sample(shape, scale) { return scale / jStat.randg(shape); }, variance: function variance(shape, scale) { if (shape <= 2) return undefined; return scale * scale / ((shape - 1) * (shape - 1) * (shape - 2)); } }); // extend kumaraswamy function with static methods jStat.extend(jStat.kumaraswamy, { pdf: function pdf(x, alpha, beta) { if (x === 0 && alpha === 1) return beta; else if (x === 1 && beta === 1) return alpha; return Math.exp(Math.log(alpha) + Math.log(beta) + (alpha - 1) * Math.log(x) + (beta - 1) * Math.log(1 - Math.pow(x, alpha))); }, cdf: function cdf(x, alpha, beta) { if (x < 0) return 0; else if (x > 1) return 1; return (1 - Math.pow(1 - Math.pow(x, alpha), beta)); }, inv: function inv(p, alpha, beta) { return Math.pow(1 - Math.pow(1 - p, 1 / beta), 1 / alpha); }, mean : function(alpha, beta) { return (beta * jStat.gammafn(1 + 1 / alpha) * jStat.gammafn(beta)) / (jStat.gammafn(1 + 1 / alpha + beta)); }, median: function median(alpha, beta) { return Math.pow(1 - Math.pow(2, -1 / beta), 1 / alpha); }, mode: function mode(alpha, beta) { if (!(alpha >= 1 && beta >= 1 && (alpha !== 1 && beta !== 1))) return undefined; return Math.pow((alpha - 1) / (alpha * beta - 1), 1 / alpha); }, variance: function variance(alpha, beta) { throw new Error('variance not yet implemented'); // TODO: complete this } }); // extend lognormal function with static methods jStat.extend(jStat.lognormal, { pdf: function pdf(x, mu, sigma) { if (x <= 0) return 0; return Math.exp(-Math.log(x) - 0.5 * Math.log(2 * Math.PI) - Math.log(sigma) - Math.pow(Math.log(x) - mu, 2) / (2 * sigma * sigma)); }, cdf: function cdf(x, mu, sigma) { if (x < 0) return 0; return 0.5 + (0.5 * jStat.erf((Math.log(x) - mu) / Math.sqrt(2 * sigma * sigma))); }, inv: function(p, mu, sigma) { return Math.exp(-1.41421356237309505 * sigma * jStat.erfcinv(2 * p) + mu); }, mean: function mean(mu, sigma) { return Math.exp(mu + sigma * sigma / 2); }, median: function median(mu, sigma) { return Math.exp(mu); }, mode: function mode(mu, sigma) { return Math.exp(mu - sigma * sigma); }, sample: function sample(mu, sigma) { return Math.exp(jStat.randn() * sigma + mu); }, variance: function variance(mu, sigma) { return (Math.exp(sigma * sigma) - 1) * Math.exp(2 * mu + sigma * sigma); } }); // extend noncentralt function with static methods jStat.extend(jStat.noncentralt, { pdf: function pdf(x, dof, ncp) { var tol = 1e-14; if (Math.abs(ncp) < tol) // ncp approx 0; use student-t return jStat.studentt.pdf(x, dof) if (Math.abs(x) < tol) { // different formula for x == 0 return Math.exp(jStat.gammaln((dof + 1) / 2) - ncp * ncp / 2 - 0.5 * Math.log(Math.PI * dof) - jStat.gammaln(dof / 2)); } // formula for x != 0 return dof / x * (jStat.noncentralt.cdf(x * Math.sqrt(1 + 2 / dof), dof+2, ncp) - jStat.noncentralt.cdf(x, dof, ncp)); }, cdf: function cdf(x, dof, ncp) { var tol = 1e-14; var min_iterations = 200; if (Math.abs(ncp) < tol) // ncp approx 0; use student-t return jStat.studentt.cdf(x, dof); // turn negative x into positive and flip result afterwards var flip = false; if (x < 0) { flip = true; ncp = -ncp; } var prob = jStat.normal.cdf(-ncp, 0, 1); var value = tol + 1; // use value at last two steps to determine convergence var lastvalue = value; var y = x * x / (x * x + dof); var j = 0; var p = Math.exp(-ncp * ncp / 2); var q = Math.exp(-ncp * ncp / 2 - 0.5 * Math.log(2) - jStat.gammaln(3 / 2)) * ncp; while (j < min_iterations || lastvalue > tol || value > tol) { lastvalue = value; if (j > 0) { p *= (ncp * ncp) / (2 * j); q *= (ncp * ncp) / (2 * (j + 1 / 2)); } value = p * jStat.beta.cdf(y, j + 0.5, dof / 2) + q * jStat.beta.cdf(y, j+1, dof/2); prob += 0.5 * value; j++; } return flip ? (1 - prob) : prob; } }); // extend normal function with static methods jStat.extend(jStat.normal, { pdf: function pdf(x, mean, std) { return Math.exp(-0.5 * Math.log(2 * Math.PI) - Math.log(std) - Math.pow(x - mean, 2) / (2 * std * std)); }, cdf: function cdf(x, mean, std) { return 0.5 * (1 + jStat.erf((x - mean) / Math.sqrt(2 * std * std))); }, inv: function(p, mean, std) { return -1.41421356237309505 * std * jStat.erfcinv(2 * p) + mean; }, mean : function(mean, std) { return mean; }, median: function median(mean, std) { return mean; }, mode: function (mean, std) { return mean; }, sample: function sample(mean, std) { return jStat.randn() * std + mean; }, variance : function(mean, std) { return std * std; } }); // extend pareto function with static methods jStat.extend(jStat.pareto, { pdf: function pdf(x, scale, shape) { if (x < scale) return 0; return (shape * Math.pow(scale, shape)) / Math.pow(x, shape + 1); }, cdf: function cdf(x, scale, shape) { if (x < scale) return 0; return 1 - Math.pow(scale / x, shape); }, inv: function inv(p, scale, shape) { return scale / Math.pow(1 - p, 1 / shape); }, mean: function mean(scale, shape) { if (shape <= 1) return undefined; return (shape * Math.pow(scale, shape)) / (shape - 1); }, median: function median(scale, shape) { return scale * (shape * Math.SQRT2); }, mode: function mode(scale, shape) { return scale; }, variance : function(scale, shape) { if (shape <= 2) return undefined; return (scale*scale * shape) / (Math.pow(shape - 1, 2) * (shape - 2)); } }); // extend studentt function with static methods jStat.extend(jStat.studentt, { pdf: function pdf(x, dof) { dof = dof > 1e100 ? 1e100 : dof; return (1/(Math.sqrt(dof) * jStat.betafn(0.5, dof/2))) * Math.pow(1 + ((x * x) / dof), -((dof + 1) / 2)); }, cdf: function cdf(x, dof) { var dof2 = dof / 2; return jStat.ibeta((x + Math.sqrt(x * x + dof)) / (2 * Math.sqrt(x * x + dof)), dof2, dof2); }, inv: function(p, dof) { var x = jStat.ibetainv(2 * Math.min(p, 1 - p), 0.5 * dof, 0.5); x = Math.sqrt(dof * (1 - x) / x); return (p > 0.5) ? x : -x; }, mean: function mean(dof) { return (dof > 1) ? 0 : undefined; }, median: function median(dof) { return 0; }, mode: function mode(dof) { return 0; }, sample: function sample(dof) { return jStat.randn() * Math.sqrt(dof / (2 * jStat.randg(dof / 2))); }, variance: function variance(dof) { return (dof > 2) ? dof / (dof - 2) : (dof > 1) ? Infinity : undefined; } }); // extend weibull function with static methods jStat.extend(jStat.weibull, { pdf: function pdf(x, scale, shape) { if (x < 0 || scale < 0 || shape < 0) return 0; return (shape / scale) * Math.pow((x / scale), (shape - 1)) * Math.exp(-(Math.pow((x / scale), shape))); }, cdf: function cdf(x, scale, shape) { return x < 0 ? 0 : 1 - Math.exp(-Math.pow((x / scale), shape)); }, inv: function(p, scale, shape) { return scale * Math.pow(-Math.log(1 - p), 1 / shape); }, mean : function(scale, shape) { return scale * jStat.gammafn(1 + 1 / shape); }, median: function median(scale, shape) { return scale * Math.pow(Math.log(2), 1 / shape); }, mode: function mode(scale, shape) { if (shape <= 1) return 0; return scale * Math.pow((shape - 1) / shape, 1 / shape); }, sample: function sample(scale, shape) { return scale * Math.pow(-Math.log(Math.random()), 1 / shape); }, variance: function variance(scale, shape) { return scale * scale * jStat.gammafn(1 + 2 / shape) - Math.pow(jStat.weibull.mean(scale, shape), 2); } }); // extend uniform function with static methods jStat.extend(jStat.uniform, { pdf: function pdf(x, a, b) { return (x < a || x > b) ? 0 : 1 / (b - a); }, cdf: function cdf(x, a, b) { if (x < a) return 0; else if (x < b) return (x - a) / (b - a); return 1; }, inv: function(p, a, b) { return a + (p * (b - a)); }, mean: function mean(a, b) { return 0.5 * (a + b); }, median: function median(a, b) { return jStat.mean(a, b); }, mode: function mode(a, b) { throw new Error('mode is not yet implemented'); }, sample: function sample(a, b) { return (a / 2 + b / 2) + (b / 2 - a / 2) * (2 * Math.random() - 1); }, variance: function variance(a, b) { return Math.pow(b - a, 2) / 12; } }); // extend uniform function with static methods jStat.extend(jStat.binomial, { pdf: function pdf(k, n, p) { return (p === 0 || p === 1) ? ((n * p) === k ? 1 : 0) : jStat.combination(n, k) * Math.pow(p, k) * Math.pow(1 - p, n - k); }, cdf: function cdf(x, n, p) { var binomarr = [], k = 0; if (x < 0) { return 0; } if (x < n) { for (; k <= x; k++) { binomarr[ k ] = jStat.binomial.pdf(k, n, p); } return jStat.sum(binomarr); } return 1; } }); // extend uniform function with static methods jStat.extend(jStat.negbin, { pdf: function pdf(k, r, p) { if (k !== k >>> 0) return false; if (k < 0) return 0; return jStat.combination(k + r - 1, r - 1) * Math.pow(1 - p, k) * Math.pow(p, r); }, cdf: function cdf(x, r, p) { var sum = 0, k = 0; if (x < 0) return 0; for (; k <= x; k++) { sum += jStat.negbin.pdf(k, r, p); } return sum; } }); // extend uniform function with static methods jStat.extend(jStat.hypgeom, { pdf: function pdf(k, N, m, n) { // Hypergeometric PDF. // A simplification of the CDF algorithm below. // k = number of successes drawn // N = population size // m = number of successes in population // n = number of items drawn from population if(k !== k | 0) { return false; } else if(k < 0 || k < m - (N - n)) { // It's impossible to have this few successes drawn. return 0; } else if(k > n || k > m) { // It's impossible to have this many successes drawn. return 0; } else if (m * 2 > N) { // More than half the population is successes. if(n * 2 > N) { // More than half the population is sampled. return jStat.hypgeom.pdf(N - m - n + k, N, N - m, N - n) } else { // Half or less of the population is sampled. return jStat.hypgeom.pdf(n - k, N, N - m, n); } } else if(n * 2 > N) { // Half or less is successes. return jStat.hypgeom.pdf(m - k, N, m, N - n); } else if(m < n) { // We want to have the number of things sampled to be less than the // successes available. So swap the definitions of successful and sampled. return jStat.hypgeom.pdf(k, N, n, m); } else { // If we get here, half or less of the population was sampled, half or // less of it was successes, and we had fewer sampled things than // successes. Now we can do this complicated iterative algorithm in an // efficient way. // The basic premise of the algorithm is that we partially normalize our // intermediate product to keep it in a numerically good region, and then // finish the normalization at the end. // This variable holds the scaled probability of the current number of // successes. var scaledPDF = 1; // This keeps track of how much we have normalized. var samplesDone = 0; for(var i = 0; i < k; i++) { // For every possible number of successes up to that observed... while(scaledPDF > 1 && samplesDone < n) { // Intermediate result is growing too big. Apply some of the // normalization to shrink everything. scaledPDF *= 1 - (m / (N - samplesDone)); // Say we've normalized by this sample already. samplesDone++; } // Work out the partially-normalized hypergeometric PDF for the next // number of successes scaledPDF *= (n - i) * (m - i) / ((i + 1) * (N - m - n + i + 1)); } for(; samplesDone < n; samplesDone++) { // Apply all the rest of the normalization scaledPDF *= 1 - (m / (N - samplesDone)); } // Bound answer sanely before returning. return Math.min(1, Math.max(0, scaledPDF)); } }, cdf: function cdf(x, N, m, n) { // Hypergeometric CDF. // This algorithm is due to Prof. Thomas S. Ferguson, , // and comes from his hypergeometric test calculator at // . // x = number of successes drawn // N = population size // m = number of successes in population // n = number of items drawn from population if(x < 0 || x < m - (N - n)) { // It's impossible to have this few successes drawn or fewer. return 0; } else if(x >= n || x >= m) { // We will always have this many successes or fewer. return 1; } else if (m * 2 > N) { // More than half the population is successes. if(n * 2 > N) { // More than half the population is sampled. return jStat.hypgeom.cdf(N - m - n + x, N, N - m, N - n) } else { // Half or less of the population is sampled. return 1 - jStat.hypgeom.cdf(n - x - 1, N, N - m, n); } } else if(n * 2 > N) { // Half or less is successes. return 1 - jStat.hypgeom.cdf(m - x - 1, N, m, N - n); } else if(m < n) { // We want to have the number of things sampled to be less than the // successes available. So swap the definitions of successful and sampled. return jStat.hypgeom.cdf(x, N, n, m); } else { // If we get here, half or less of the population was sampled, half or // less of it was successes, and we had fewer sampled things than // successes. Now we can do this complicated iterative algorithm in an // efficient way. // The basic premise of the algorithm is that we partially normalize our // intermediate sum to keep it in a numerically good region, and then // finish the normalization at the end. // Holds the intermediate, scaled total CDF. var scaledCDF = 1; // This variable holds the scaled probability of the current number of // successes. var scaledPDF = 1; // This keeps track of how much we have normalized. var samplesDone = 0; for(var i = 0; i < x; i++) { // For every possible number of successes up to that observed... while(scaledCDF > 1 && samplesDone < n) { // Intermediate result is growing too big. Apply some of the // normalization to shrink everything. var factor = 1 - (m / (N - samplesDone)); scaledPDF *= factor; scaledCDF *= factor; // Say we've normalized by this sample already. samplesDone++; } // Work out the partially-normalized hypergeometric PDF for the next // number of successes scaledPDF *= (n - i) * (m - i) / ((i + 1) * (N - m - n + i + 1)); // Add to the CDF answer. scaledCDF += scaledPDF; } for(; samplesDone < n; samplesDone++) { // Apply all the rest of the normalization scaledCDF *= 1 - (m / (N - samplesDone)); } // Bound answer sanely before returning. return Math.min(1, Math.max(0, scaledCDF)); } } }); // extend uniform function with static methods jStat.extend(jStat.poisson, { pdf: function pdf(k, l) { if (l < 0 || (k % 1) !== 0 || k < 0) { return 0; } return Math.pow(l, k) * Math.exp(-l) / jStat.factorial(k); }, cdf: function cdf(x, l) { var sumarr = [], k = 0; if (x < 0) return 0; for (; k <= x; k++) { sumarr.push(jStat.poisson.pdf(k, l)); } return jStat.sum(sumarr); }, mean : function(l) { return l; }, variance : function(l) { return l; }, sample: function sample(l) { var p = 1, k = 0, L = Math.exp(-l); do { k++; p *= Math.random(); } while (p > L); return k - 1; } }); // extend triangular function with static methods jStat.extend(jStat.triangular, { pdf: function pdf(x, a, b, c) { if (b <= a || c < a || c > b) { return NaN; } else { if (x < a || x > b) { return 0; } else if (x < c) { return (2 * (x - a)) / ((b - a) * (c - a)); } else if (x === c) { return (2 / (b - a)); } else { // x > c return (2 * (b - x)) / ((b - a) * (b - c)); } } }, cdf: function cdf(x, a, b, c) { if (b <= a || c < a || c > b) return NaN; if (x <= a) return 0; else if (x >= b) return 1; if (x <= c) return Math.pow(x - a, 2) / ((b - a) * (c - a)); else // x > c return 1 - Math.pow(b - x, 2) / ((b - a) * (b - c)); }, inv: function inv(p, a, b, c) { if (b <= a || c < a || c > b) { return NaN; } else { if (p <= ((c - a) / (b - a))) { return a + (b - a) * Math.sqrt(p * ((c - a) / (b - a))); } else { // p > ((c - a) / (b - a)) return a + (b - a) * (1 - Math.sqrt((1 - p) * (1 - ((c - a) / (b - a))))); } } }, mean: function mean(a, b, c) { return (a + b + c) / 3; }, median: function median(a, b, c) { if (c <= (a + b) / 2) { return b - Math.sqrt((b - a) * (b - c)) / Math.sqrt(2); } else if (c > (a + b) / 2) { return a + Math.sqrt((b - a) * (c - a)) / Math.sqrt(2); } }, mode: function mode(a, b, c) { return c; }, sample: function sample(a, b, c) { var u = Math.random(); if (u < ((c - a) / (b - a))) return a + Math.sqrt(u * (b - a) * (c - a)) return b - Math.sqrt((1 - u) * (b - a) * (b - c)); }, variance: function variance(a, b, c) { return (a * a + b * b + c * c - a * b - a * c - b * c) / 18; } }); // extend arcsine function with static methods jStat.extend(jStat.arcsine, { pdf: function pdf(x, a, b) { if (b <= a) return NaN; return (x <= a || x >= b) ? 0 : (2 / Math.PI) * Math.pow(Math.pow(b - a, 2) - Math.pow(2 * x - a - b, 2), -0.5); }, cdf: function cdf(x, a, b) { if (x < a) return 0; else if (x < b) return (2 / Math.PI) * Math.asin(Math.sqrt((x - a)/(b - a))); return 1; }, inv: function(p, a, b) { return a + (0.5 - 0.5 * Math.cos(Math.PI * p)) * (b - a); }, mean: function mean(a, b) { if (b <= a) return NaN; return (a + b) / 2; }, median: function median(a, b) { if (b <= a) return NaN; return (a + b) / 2; }, mode: function mode(a, b) { throw new Error('mode is not yet implemented'); }, sample: function sample(a, b) { return ((a + b) / 2) + ((b - a) / 2) * Math.sin(2 * Math.PI * jStat.uniform.sample(0, 1)); }, variance: function variance(a, b) { if (b <= a) return NaN; return Math.pow(b - a, 2) / 8; } }); function laplaceSign(x) { return x / Math.abs(x); } jStat.extend(jStat.laplace, { pdf: function pdf(x, mu, b) { return (b <= 0) ? 0 : (Math.exp(-Math.abs(x - mu) / b)) / (2 * b); }, cdf: function cdf(x, mu, b) { if (b <= 0) { return 0; } if(x < mu) { return 0.5 * Math.exp((x - mu) / b); } else { return 1 - 0.5 * Math.exp(- (x - mu) / b); } }, mean: function(mu, b) { return mu; }, median: function(mu, b) { return mu; }, mode: function(mu, b) { return mu; }, variance: function(mu, b) { return 2 * b * b; }, sample: function sample(mu, b) { var u = Math.random() - 0.5; return mu - (b * laplaceSign(u) * Math.log(1 - (2 * Math.abs(u)))); } }); function tukeyWprob(w, rr, cc) { var nleg = 12; var ihalf = 6; var C1 = -30; var C2 = -50; var C3 = 60; var bb = 8; var wlar = 3; var wincr1 = 2; var wincr2 = 3; var xleg = [ 0.981560634246719250690549090149, 0.904117256370474856678465866119, 0.769902674194304687036893833213, 0.587317954286617447296702418941, 0.367831498998180193752691536644, 0.125233408511468915472441369464 ]; var aleg = [ 0.047175336386511827194615961485, 0.106939325995318430960254718194, 0.160078328543346226334652529543, 0.203167426723065921749064455810, 0.233492536538354808760849898925, 0.249147045813402785000562436043 ]; var qsqz = w * 0.5; // if w >= 16 then the integral lower bound (occurs for c=20) // is 0.99999999999995 so return a value of 1. if (qsqz >= bb) return 1.0; // find (f(w/2) - 1) ^ cc // (first term in integral of hartley's form). var pr_w = 2 * jStat.normal.cdf(qsqz, 0, 1, 1, 0) - 1; // erf(qsqz / M_SQRT2) // if pr_w ^ cc < 2e-22 then set pr_w = 0 if (pr_w >= Math.exp(C2 / cc)) pr_w = Math.pow(pr_w, cc); else pr_w = 0.0; // if w is large then the second component of the // integral is small, so fewer intervals are needed. var wincr; if (w > wlar) wincr = wincr1; else wincr = wincr2; // find the integral of second term of hartley's form // for the integral of the range for equal-length // intervals using legendre quadrature. limits of // integration are from (w/2, 8). two or three // equal-length intervals are used. // blb and bub are lower and upper limits of integration. var blb = qsqz; var binc = (bb - qsqz) / wincr; var bub = blb + binc; var einsum = 0.0; // integrate over each interval var cc1 = cc - 1.0; for (var wi = 1; wi <= wincr; wi++) { var elsum = 0.0; var a = 0.5 * (bub + blb); // legendre quadrature with order = nleg var b = 0.5 * (bub - blb); for (var jj = 1; jj <= nleg; jj++) { var j, xx; if (ihalf < jj) { j = (nleg - jj) + 1; xx = xleg[j-1]; } else { j = jj; xx = -xleg[j-1]; } var c = b * xx; var ac = a + c; // if exp(-qexpo/2) < 9e-14, // then doesn't contribute to integral var qexpo = ac * ac; if (qexpo > C3) break; var pplus = 2 * jStat.normal.cdf(ac, 0, 1, 1, 0); var pminus= 2 * jStat.normal.cdf(ac, w, 1, 1, 0); // if rinsum ^ (cc-1) < 9e-14, // then doesn't contribute to integral var rinsum = (pplus * 0.5) - (pminus * 0.5); if (rinsum >= Math.exp(C1 / cc1)) { rinsum = (aleg[j-1] * Math.exp(-(0.5 * qexpo))) * Math.pow(rinsum, cc1); elsum += rinsum; } } elsum *= (((2.0 * b) * cc) / Math.sqrt(2 * Math.PI)); einsum += elsum; blb = bub; bub += binc; } // if pr_w ^ rr < 9e-14, then return 0 pr_w += einsum; if (pr_w <= Math.exp(C1 / rr)) return 0; pr_w = Math.pow(pr_w, rr); if (pr_w >= 1) // 1 was iMax was eps return 1; return pr_w; } function tukeyQinv(p, c, v) { var p0 = 0.322232421088; var q0 = 0.993484626060e-01; var p1 = -1.0; var q1 = 0.588581570495; var p2 = -0.342242088547; var q2 = 0.531103462366; var p3 = -0.204231210125; var q3 = 0.103537752850; var p4 = -0.453642210148e-04; var q4 = 0.38560700634e-02; var c1 = 0.8832; var c2 = 0.2368; var c3 = 1.214; var c4 = 1.208; var c5 = 1.4142; var vmax = 120.0; var ps = 0.5 - 0.5 * p; var yi = Math.sqrt(Math.log(1.0 / (ps * ps))); var t = yi + (((( yi * p4 + p3) * yi + p2) * yi + p1) * yi + p0) / (((( yi * q4 + q3) * yi + q2) * yi + q1) * yi + q0); if (v < vmax) t += (t * t * t + t) / v / 4.0; var q = c1 - c2 * t; if (v < vmax) q += -c3 / v + c4 * t / v; return t * (q * Math.log(c - 1.0) + c5); } jStat.extend(jStat.tukey, { cdf: function cdf(q, nmeans, df) { // Identical implementation as the R ptukey() function as of commit 68947 var rr = 1; var cc = nmeans; var nlegq = 16; var ihalfq = 8; var eps1 = -30.0; var eps2 = 1.0e-14; var dhaf = 100.0; var dquar = 800.0; var deigh = 5000.0; var dlarg = 25000.0; var ulen1 = 1.0; var ulen2 = 0.5; var ulen3 = 0.25; var ulen4 = 0.125; var xlegq = [ 0.989400934991649932596154173450, 0.944575023073232576077988415535, 0.865631202387831743880467897712, 0.755404408355003033895101194847, 0.617876244402643748446671764049, 0.458016777657227386342419442984, 0.281603550779258913230460501460, 0.950125098376374401853193354250e-1 ]; var alegq = [ 0.271524594117540948517805724560e-1, 0.622535239386478928628438369944e-1, 0.951585116824927848099251076022e-1, 0.124628971255533872052476282192, 0.149595988816576732081501730547, 0.169156519395002538189312079030, 0.182603415044923588866763667969, 0.189450610455068496285396723208 ]; if (q <= 0) return 0; // df must be > 1 // there must be at least two values if (df < 2 || rr < 1 || cc < 2) return NaN; if (!Number.isFinite(q)) return 1; if (df > dlarg) return tukeyWprob(q, rr, cc); // calculate leading constant var f2 = df * 0.5; var f2lf = ((f2 * Math.log(df)) - (df * Math.log(2))) - jStat.gammaln(f2); var f21 = f2 - 1.0; // integral is divided into unit, half-unit, quarter-unit, or // eighth-unit length intervals depending on the value of the // degrees of freedom. var ff4 = df * 0.25; var ulen; if (df <= dhaf) ulen = ulen1; else if (df <= dquar) ulen = ulen2; else if (df <= deigh) ulen = ulen3; else ulen = ulen4; f2lf += Math.log(ulen); // integrate over each subinterval var ans = 0.0; for (var i = 1; i <= 50; i++) { var otsum = 0.0; // legendre quadrature with order = nlegq // nodes (stored in xlegq) are symmetric around zero. var twa1 = (2 * i - 1) * ulen; for (var jj = 1; jj <= nlegq; jj++) { var j, t1; if (ihalfq < jj) { j = jj - ihalfq - 1; t1 = (f2lf + (f21 * Math.log(twa1 + (xlegq[j] * ulen)))) - (((xlegq[j] * ulen) + twa1) * ff4); } else { j = jj - 1; t1 = (f2lf + (f21 * Math.log(twa1 - (xlegq[j] * ulen)))) + (((xlegq[j] * ulen) - twa1) * ff4); } // if exp(t1) < 9e-14, then doesn't contribute to integral var qsqz; if (t1 >= eps1) { if (ihalfq < jj) { qsqz = q * Math.sqrt(((xlegq[j] * ulen) + twa1) * 0.5); } else { qsqz = q * Math.sqrt(((-(xlegq[j] * ulen)) + twa1) * 0.5); } // call wprob to find integral of range portion var wprb = tukeyWprob(qsqz, rr, cc); var rotsum = (wprb * alegq[j]) * Math.exp(t1); otsum += rotsum; } // end legendre integral for interval i // L200: } // if integral for interval i < 1e-14, then stop. // However, in order to avoid small area under left tail, // at least 1 / ulen intervals are calculated. if (i * ulen >= 1.0 && otsum <= eps2) break; // end of interval i // L330: ans += otsum; } if (otsum > eps2) { // not converged throw new Error('tukey.cdf failed to converge'); } if (ans > 1) ans = 1; return ans; }, inv: function(p, nmeans, df) { // Identical implementation as the R qtukey() function as of commit 68947 var rr = 1; var cc = nmeans; var eps = 0.0001; var maxiter = 50; // df must be > 1 ; there must be at least two values if (df < 2 || rr < 1 || cc < 2) return NaN; if (p < 0 || p > 1) return NaN; if (p === 0) return 0; if (p === 1) return Infinity; // Initial value var x0 = tukeyQinv(p, cc, df); // Find prob(value < x0) var valx0 = jStat.tukey.cdf(x0, nmeans, df) - p; // Find the second iterate and prob(value < x1). // If the first iterate has probability value // exceeding p then second iterate is 1 less than // first iterate; otherwise it is 1 greater. var x1; if (valx0 > 0.0) x1 = Math.max(0.0, x0 - 1.0); else x1 = x0 + 1.0; var valx1 = jStat.tukey.cdf(x1, nmeans, df) - p; // Find new iterate var ans; for(var iter = 1; iter < maxiter; iter++) { ans = x1 - ((valx1 * (x1 - x0)) / (valx1 - valx0)); valx0 = valx1; // New iterate must be >= 0 x0 = x1; if (ans < 0.0) { ans = 0.0; valx1 = -p; } // Find prob(value < new iterate) valx1 = jStat.tukey.cdf(ans, nmeans, df) - p; x1 = ans; // If the difference between two successive // iterates is less than eps, stop var xabs = Math.abs(x1 - x0); if (xabs < eps) return ans; } throw new Error('tukey.inv failed to converge'); } }); }(jStat, Math)); /* Provides functions for the solution of linear system of equations, integration, extrapolation, * interpolation, eigenvalue problems, differential equations and PCA analysis. */ (function(jStat, Math) { var push = Array.prototype.push; var isArray = jStat.utils.isArray; function isUsable(arg) { return isArray(arg) || arg instanceof jStat; } jStat.extend({ // add a vector/matrix to a vector/matrix or scalar add: function add(arr, arg) { // check if arg is a vector or scalar if (isUsable(arg)) { if (!isUsable(arg[0])) arg = [ arg ]; return jStat.map(arr, function(value, row, col) { return value + arg[row][col]; }); } return jStat.map(arr, function(value) { return value + arg; }); }, // subtract a vector or scalar from the vector subtract: function subtract(arr, arg) { // check if arg is a vector or scalar if (isUsable(arg)) { if (!isUsable(arg[0])) arg = [ arg ]; return jStat.map(arr, function(value, row, col) { return value - arg[row][col] || 0; }); } return jStat.map(arr, function(value) { return value - arg; }); }, // matrix division divide: function divide(arr, arg) { if (isUsable(arg)) { if (!isUsable(arg[0])) arg = [ arg ]; return jStat.multiply(arr, jStat.inv(arg)); } return jStat.map(arr, function(value) { return value / arg; }); }, // matrix multiplication multiply: function multiply(arr, arg) { var row, col, nrescols, sum, nrow, ncol, res, rescols; // eg: arr = 2 arg = 3 -> 6 for res[0][0] statement closure if (arr.length === undefined && arg.length === undefined) { return arr * arg; } nrow = arr.length, ncol = arr[0].length, res = jStat.zeros(nrow, nrescols = (isUsable(arg)) ? arg[0].length : ncol), rescols = 0; if (isUsable(arg)) { for (; rescols < nrescols; rescols++) { for (row = 0; row < nrow; row++) { sum = 0; for (col = 0; col < ncol; col++) sum += arr[row][col] * arg[col][rescols]; res[row][rescols] = sum; } } return (nrow === 1 && rescols === 1) ? res[0][0] : res; } return jStat.map(arr, function(value) { return value * arg; }); }, // outer([1,2,3],[4,5,6]) // === // [[1],[2],[3]] times [[4,5,6]] // -> // [[4,5,6],[8,10,12],[12,15,18]] outer:function outer(A, B) { return jStat.multiply(A.map(function(t){ return [t] }), [B]); }, // Returns the dot product of two matricies dot: function dot(arr, arg) { if (!isUsable(arr[0])) arr = [ arr ]; if (!isUsable(arg[0])) arg = [ arg ]; // convert column to row vector var left = (arr[0].length === 1 && arr.length !== 1) ? jStat.transpose(arr) : arr, right = (arg[0].length === 1 && arg.length !== 1) ? jStat.transpose(arg) : arg, res = [], row = 0, nrow = left.length, ncol = left[0].length, sum, col; for (; row < nrow; row++) { res[row] = []; sum = 0; for (col = 0; col < ncol; col++) sum += left[row][col] * right[row][col]; res[row] = sum; } return (res.length === 1) ? res[0] : res; }, // raise every element by a scalar pow: function pow(arr, arg) { return jStat.map(arr, function(value) { return Math.pow(value, arg); }); }, // exponentiate every element exp: function exp(arr) { return jStat.map(arr, function(value) { return Math.exp(value); }); }, // generate the natural log of every element log: function exp(arr) { return jStat.map(arr, function(value) { return Math.log(value); }); }, // generate the absolute values of the vector abs: function abs(arr) { return jStat.map(arr, function(value) { return Math.abs(value); }); }, // computes the p-norm of the vector // In the case that a matrix is passed, uses the first row as the vector norm: function norm(arr, p) { var nnorm = 0, i = 0; // check the p-value of the norm, and set for most common case if (isNaN(p)) p = 2; // check if multi-dimensional array, and make vector correction if (isUsable(arr[0])) arr = arr[0]; // vector norm for (; i < arr.length; i++) { nnorm += Math.pow(Math.abs(arr[i]), p); } return Math.pow(nnorm, 1 / p); }, // computes the angle between two vectors in rads // In case a matrix is passed, this uses the first row as the vector angle: function angle(arr, arg) { return Math.acos(jStat.dot(arr, arg) / (jStat.norm(arr) * jStat.norm(arg))); }, // augment one matrix by another // Note: this function returns a matrix, not a jStat object aug: function aug(a, b) { var newarr = []; for (var i = 0; i < a.length; i++) { newarr.push(a[i].slice()); } for (var i = 0; i < newarr.length; i++) { push.apply(newarr[i], b[i]); } return newarr; }, // The inv() function calculates the inverse of a matrix // Create the inverse by augmenting the matrix by the identity matrix of the // appropriate size, and then use G-J elimination on the augmented matrix. inv: function inv(a) { var rows = a.length; var cols = a[0].length; var b = jStat.identity(rows, cols); var c = jStat.gauss_jordan(a, b); var result = []; var i = 0; var j; //We need to copy the inverse portion to a new matrix to rid G-J artifacts for (; i < rows; i++) { result[i] = []; for (j = cols; j < c[0].length; j++) result[i][j - cols] = c[i][j]; } return result; }, // calculate the determinant of a matrix det: function det(a) { var alen = a.length, alend = alen * 2, vals = new Array(alend), rowshift = alen - 1, colshift = alend - 1, mrow = rowshift - alen + 1, mcol = colshift, i = 0, result = 0, j; // check for special 2x2 case if (alen === 2) { return a[0][0] * a[1][1] - a[0][1] * a[1][0]; } for (; i < alend; i++) { vals[i] = 1; } for (var i = 0; i < alen; i++) { for (j = 0; j < alen; j++) { vals[(mrow < 0) ? mrow + alen : mrow ] *= a[i][j]; vals[(mcol < alen) ? mcol + alen : mcol ] *= a[i][j]; mrow++; mcol--; } mrow = --rowshift - alen + 1; mcol = --colshift; } for (var i = 0; i < alen; i++) { result += vals[i]; } for (; i < alend; i++) { result -= vals[i]; } return result; }, gauss_elimination: function gauss_elimination(a, b) { var i = 0, j = 0, n = a.length, m = a[0].length, factor = 1, sum = 0, x = [], maug, pivot, temp, k; a = jStat.aug(a, b); maug = a[0].length; for(var i = 0; i < n; i++) { pivot = a[i][i]; j = i; for (k = i + 1; k < m; k++) { if (pivot < Math.abs(a[k][i])) { pivot = a[k][i]; j = k; } } if (j != i) { for(k = 0; k < maug; k++) { temp = a[i][k]; a[i][k] = a[j][k]; a[j][k] = temp; } } for (j = i + 1; j < n; j++) { factor = a[j][i] / a[i][i]; for(k = i; k < maug; k++) { a[j][k] = a[j][k] - factor * a[i][k]; } } } for (var i = n - 1; i >= 0; i--) { sum = 0; for (j = i + 1; j<= n - 1; j++) { sum = sum + x[j] * a[i][j]; } x[i] =(a[i][maug - 1] - sum) / a[i][i]; } return x; }, gauss_jordan: function gauss_jordan(a, b) { var m = jStat.aug(a, b), h = m.length, w = m[0].length; var c = 0; // find max pivot for (var y = 0; y < h; y++) { var maxrow = y; for (var y2 = y+1; y2 < h; y2++) { if (Math.abs(m[y2][y]) > Math.abs(m[maxrow][y])) maxrow = y2; } var tmp = m[y]; m[y] = m[maxrow]; m[maxrow] = tmp for (var y2 = y+1; y2 < h; y2++) { c = m[y2][y] / m[y][y]; for (var x = y; x < w; x++) { m[y2][x] -= m[y][x] * c; } } } // backsubstitute for (var y = h-1; y >= 0; y--) { c = m[y][y]; for (var y2 = 0; y2 < y; y2++) { for (var x = w-1; x > y-1; x--) { m[y2][x] -= m[y][x] * m[y2][y] / c; } } m[y][y] /= c; for (var x = h; x < w; x++) { m[y][x] /= c; } } return m; }, // solve equation // Ax=b // A is upper triangular matrix // A=[[1,2,3],[0,4,5],[0,6,7]] // b=[1,2,3] // triaUpSolve(A,b) // -> [2.666,0.1666,1.666] // if you use matrix style // A=[[1,2,3],[0,4,5],[0,6,7]] // b=[[1],[2],[3]] // will return [[2.666],[0.1666],[1.666]] triaUpSolve: function triaUpSolve(A, b) { var size = A[0].length; var x = jStat.zeros(1, size)[0]; var parts; var matrix_mode = false; if (b[0].length != undefined) { b = b.map(function(i){ return i[0] }); matrix_mode = true; } jStat.arange(size - 1, -1, -1).forEach(function(i) { parts = jStat.arange(i + 1, size).map(function(j) { return x[j] * A[i][j]; }); x[i] = (b[i] - jStat.sum(parts)) / A[i][i]; }); if (matrix_mode) return x.map(function(i){ return [i] }); return x; }, triaLowSolve: function triaLowSolve(A, b) { // like to triaUpSolve but A is lower triangular matrix var size = A[0].length; var x = jStat.zeros(1, size)[0]; var parts; var matrix_mode=false; if (b[0].length != undefined) { b = b.map(function(i){ return i[0] }); matrix_mode = true; } jStat.arange(size).forEach(function(i) { parts = jStat.arange(i).map(function(j) { return A[i][j] * x[j]; }); x[i] = (b[i] - jStat.sum(parts)) / A[i][i]; }) if (matrix_mode) return x.map(function(i){ return [i] }); return x; }, // A -> [L,U] // A=LU // L is lower triangular matrix // U is upper triangular matrix lu: function lu(A) { var size = A.length; //var L=jStat.diagonal(jStat.ones(1,size)[0]); var L = jStat.identity(size); var R = jStat.zeros(A.length, A[0].length); var parts; jStat.arange(size).forEach(function(t) { R[0][t] = A[0][t]; }); jStat.arange(1, size).forEach(function(l) { jStat.arange(l).forEach(function(i) { parts = jStat.arange(i).map(function(jj) { return L[l][jj] * R[jj][i]; }); L[l][i] = (A[l][i] - jStat.sum(parts)) / R[i][i]; }); jStat.arange(l, size).forEach(function(j) { parts = jStat.arange(l).map(function(jj) { return L[l][jj] * R[jj][j]; }); R[l][j] = A[i][j] - jStat.sum(parts); }); }); return [L, R]; }, // A -> T // A=TT' // T is lower triangular matrix cholesky: function cholesky(A) { var size = A.length; var T = jStat.zeros(A.length, A[0].length); var parts; jStat.arange(size).forEach(function(i) { parts = jStat.arange(i).map(function(t) { return Math.pow(T[i][t],2); }); T[i][i] = Math.sqrt(A[i][i] - jStat.sum(parts)); jStat.arange(i + 1, size).forEach(function(j) { parts = jStat.arange(i).map(function(t) { return T[i][t] * T[j][t]; }); T[j][i] = (A[i][j] - jStat.sum(parts)) / T[i][i]; }); }); return T; }, gauss_jacobi: function gauss_jacobi(a, b, x, r) { var i = 0; var j = 0; var n = a.length; var l = []; var u = []; var d = []; var xv, c, h, xk; for (; i < n; i++) { l[i] = []; u[i] = []; d[i] = []; for (j = 0; j < n; j++) { if (i > j) { l[i][j] = a[i][j]; u[i][j] = d[i][j] = 0; } else if (i < j) { u[i][j] = a[i][j]; l[i][j] = d[i][j] = 0; } else { d[i][j] = a[i][j]; l[i][j] = u[i][j] = 0; } } } h = jStat.multiply(jStat.multiply(jStat.inv(d), jStat.add(l, u)), -1); c = jStat.multiply(jStat.inv(d), b); xv = x; xk = jStat.add(jStat.multiply(h, x), c); i = 2; while (Math.abs(jStat.norm(jStat.subtract(xk,xv))) > r) { xv = xk; xk = jStat.add(jStat.multiply(h, xv), c); i++; } return xk; }, gauss_seidel: function gauss_seidel(a, b, x, r) { var i = 0; var n = a.length; var l = []; var u = []; var d = []; var j, xv, c, h, xk; for (; i < n; i++) { l[i] = []; u[i] = []; d[i] = []; for (j = 0; j < n; j++) { if (i > j) { l[i][j] = a[i][j]; u[i][j] = d[i][j] = 0; } else if (i < j) { u[i][j] = a[i][j]; l[i][j] = d[i][j] = 0; } else { d[i][j] = a[i][j]; l[i][j] = u[i][j] = 0; } } } h = jStat.multiply(jStat.multiply(jStat.inv(jStat.add(d, l)), u), -1); c = jStat.multiply(jStat.inv(jStat.add(d, l)), b); xv = x; xk = jStat.add(jStat.multiply(h, x), c); i = 2; while (Math.abs(jStat.norm(jStat.subtract(xk, xv))) > r) { xv = xk; xk = jStat.add(jStat.multiply(h, xv), c); i = i + 1; } return xk; }, SOR: function SOR(a, b, x, r, w) { var i = 0; var n = a.length; var l = []; var u = []; var d = []; var j, xv, c, h, xk; for (; i < n; i++) { l[i] = []; u[i] = []; d[i] = []; for (j = 0; j < n; j++) { if (i > j) { l[i][j] = a[i][j]; u[i][j] = d[i][j] = 0; } else if (i < j) { u[i][j] = a[i][j]; l[i][j] = d[i][j] = 0; } else { d[i][j] = a[i][j]; l[i][j] = u[i][j] = 0; } } } h = jStat.multiply(jStat.inv(jStat.add(d, jStat.multiply(l, w))), jStat.subtract(jStat.multiply(d, 1 - w), jStat.multiply(u, w))); c = jStat.multiply(jStat.multiply(jStat.inv(jStat.add(d, jStat.multiply(l, w))), b), w); xv = x; xk = jStat.add(jStat.multiply(h, x), c); i = 2; while (Math.abs(jStat.norm(jStat.subtract(xk, xv))) > r) { xv = xk; xk = jStat.add(jStat.multiply(h, xv), c); i++; } return xk; }, householder: function householder(a) { var m = a.length; var n = a[0].length; var i = 0; var w = []; var p = []; var alpha, r, k, j, factor; for (; i < m - 1; i++) { alpha = 0; for (j = i + 1; j < n; j++) alpha += (a[j][i] * a[j][i]); factor = (a[i + 1][i] > 0) ? -1 : 1; alpha = factor * Math.sqrt(alpha); r = Math.sqrt((((alpha * alpha) - a[i + 1][i] * alpha) / 2)); w = jStat.zeros(m, 1); w[i + 1][0] = (a[i + 1][i] - alpha) / (2 * r); for (k = i + 2; k < m; k++) w[k][0] = a[k][i] / (2 * r); p = jStat.subtract(jStat.identity(m, n), jStat.multiply(jStat.multiply(w, jStat.transpose(w)), 2)); a = jStat.multiply(p, jStat.multiply(a, p)); } return a; }, // A -> [Q,R] // Q is orthogonal matrix // R is upper triangular QR: (function() { // x -> Q // find a orthogonal matrix Q st. // Qx=y // y is [||x||,0,0,...] // quick ref var sum = jStat.sum; var range = jStat.arange; function get_Q1(x) { var size = x.length; var norm_x = jStat.norm(x, 2); var e1 = jStat.zeros(1, size)[0]; e1[0] = 1; var u = jStat.add(jStat.multiply(jStat.multiply(e1, norm_x), -1), x); var norm_u = jStat.norm(u, 2); var v = jStat.divide(u, norm_u); var Q = jStat.subtract(jStat.identity(size), jStat.multiply(jStat.outer(v, v), 2)); return Q; } function qr(A) { var size = A[0].length; var QList = []; jStat.arange(size).forEach(function(i) { var x = jStat.slice(A, { row: { start: i }, col: i }); var Q = get_Q1(x); var Qn = jStat.identity(A.length); Qn = jStat.sliceAssign(Qn, { row: { start: i }, col: { start: i }}, Q); A = jStat.multiply(Qn, A); QList.push(Qn); }); var Q = QList.reduce(function(x, y){ return jStat.multiply(x,y) }); var R = A; return [Q, R]; } function qr2(x) { // quick impletation // https://www.stat.wisc.edu/~larget/math496/qr.html var n = x.length; var p = x[0].length; x = jStat.copy(x); r = jStat.zeros(p, p); var i,j,k; for(j = 0; j < p; j++){ r[j][j] = Math.sqrt(sum(range(n).map(function(i){ return x[i][j] * x[i][j]; }))); for(i = 0; i < n; i++){ x[i][j] = x[i][j] / r[j][j]; } for(k = j+1; k < p; k++){ r[j][k] = sum(range(n).map(function(i){ return x[i][j] * x[i][k]; })); for(i = 0; i < n; i++){ x[i][k] = x[i][k] - x[i][j]*r[j][k]; } } } return [x, r]; } return qr2; }()), lstsq: (function(A, b) { // solve least squard problem for Ax=b as QR decomposition way if b is // [[b1],[b2],[b3]] form will return [[x1],[x2],[x3]] array form solution // else b is [b1,b2,b3] form will return [x1,x2,x3] array form solution function R_I(A) { A = jStat.copy(A); var size = A.length; var I = jStat.identity(size); jStat.arange(size - 1, -1, -1).forEach(function(i) { jStat.sliceAssign( I, { row: i }, jStat.divide(jStat.slice(I, { row: i }), A[i][i])); jStat.sliceAssign( A, { row: i }, jStat.divide(jStat.slice(A, { row: i }), A[i][i])); jStat.arange(i).forEach(function(j) { var c = jStat.multiply(A[j][i], -1); var Aj = jStat.slice(A, { row: j }); var cAi = jStat.multiply(jStat.slice(A, { row: i }), c); jStat.sliceAssign(A, { row: j }, jStat.add(Aj, cAi)); var Ij = jStat.slice(I, { row: j }); var cIi = jStat.multiply(jStat.slice(I, { row: i }), c); jStat.sliceAssign(I, { row: j }, jStat.add(Ij, cIi)); }) }); return I; } function qr_solve(A, b){ var array_mode = false; if (b[0].length === undefined) { // [c1,c2,c3] mode b = b.map(function(x){ return [x] }); array_mode = true; } var QR = jStat.QR(A); var Q = QR[0]; var R = QR[1]; var attrs = A[0].length; var Q1 = jStat.slice(Q,{col:{end:attrs}}); var R1 = jStat.slice(R,{row:{end:attrs}}); var RI = R_I(R1); var Q2 = jStat.transpose(Q1); if(Q2[0].length === undefined){ Q2 = [Q2]; // The confusing jStat.multifly implementation threat nature process again. } var x = jStat.multiply(jStat.multiply(RI, Q2), b); if(x.length === undefined){ x = [[x]]; // The confusing jStat.multifly implementation threat nature process again. } if (array_mode) return x.map(function(i){ return i[0] }); return x; } return qr_solve; }()), jacobi: function jacobi(a) { var condition = 1; var count = 0; var n = a.length; var e = jStat.identity(n, n); var ev = []; var b, i, j, p, q, maxim, theta, s; // condition === 1 only if tolerance is not reached while (condition === 1) { count++; maxim = a[0][1]; p = 0; q = 1; for (var i = 0; i < n; i++) { for (j = 0; j < n; j++) { if (i != j) { if (maxim < Math.abs(a[i][j])) { maxim = Math.abs(a[i][j]); p = i; q = j; } } } } if (a[p][p] === a[q][q]) theta = (a[p][q] > 0) ? Math.PI / 4 : -Math.PI / 4; else theta = Math.atan(2 * a[p][q] / (a[p][p] - a[q][q])) / 2; s = jStat.identity(n, n); s[p][p] = Math.cos(theta); s[p][q] = -Math.sin(theta); s[q][p] = Math.sin(theta); s[q][q] = Math.cos(theta); // eigen vector matrix e = jStat.multiply(e, s); b = jStat.multiply(jStat.multiply(jStat.inv(s), a), s); a = b; condition = 0; for (var i = 1; i < n; i++) { for (j = 1; j < n; j++) { if (i != j && Math.abs(a[i][j]) > 0.001) { condition = 1; } } } } for (var i = 0; i < n; i++) ev.push(a[i][i]); //returns both the eigenvalue and eigenmatrix return [e, ev]; }, rungekutta: function rungekutta(f, h, p, t_j, u_j, order) { var k1, k2, u_j1, k3, k4; if (order === 2) { while (t_j <= p) { k1 = h * f(t_j, u_j); k2 = h * f(t_j + h, u_j + k1); u_j1 = u_j + (k1 + k2) / 2; u_j = u_j1; t_j = t_j + h; } } if (order === 4) { while (t_j <= p) { k1 = h * f(t_j, u_j); k2 = h * f(t_j + h / 2, u_j + k1 / 2); k3 = h * f(t_j + h / 2, u_j + k2 / 2); k4 = h * f(t_j +h, u_j + k3); u_j1 = u_j + (k1 + 2 * k2 + 2 * k3 + k4) / 6; u_j = u_j1; t_j = t_j + h; } } return u_j; }, romberg: function romberg(f, a, b, order) { var i = 0; var h = (b - a) / 2; var x = []; var h1 = []; var g = []; var m, a1, j, k, I, d; while (i < order / 2) { I = f(a); for (j = a, k = 0; j <= b; j = j + h, k++) x[k] = j; m = x.length; for (j = 1; j < m - 1; j++) { I += (((j % 2) !== 0) ? 4 : 2) * f(x[j]); } I = (h / 3) * (I + f(b)); g[i] = I; h /= 2; i++; } a1 = g.length; m = 1; while (a1 !== 1) { for (j = 0; j < a1 - 1; j++) h1[j] = ((Math.pow(4, m)) * g[j + 1] - g[j]) / (Math.pow(4, m) - 1); a1 = h1.length; g = h1; h1 = []; m++; } return g; }, richardson: function richardson(X, f, x, h) { function pos(X, x) { var i = 0; var n = X.length; var p; for (; i < n; i++) if (X[i] === x) p = i; return p; } var n = X.length, h_min = Math.abs(x - X[pos(X, x) + 1]), i = 0, g = [], h1 = [], y1, y2, m, a, j; while (h >= h_min) { y1 = pos(X, x + h); y2 = pos(X, x); g[i] = (f[y1] - 2 * f[y2] + f[2 * y2 - y1]) / (h * h); h /= 2; i++; } a = g.length; m = 1; while (a != 1) { for (j = 0; j < a - 1; j++) h1[j] = ((Math.pow(4, m)) * g[j + 1] - g[j]) / (Math.pow(4, m) - 1); a = h1.length; g = h1; h1 = []; m++; } return g; }, simpson: function simpson(f, a, b, n) { var h = (b - a) / n; var I = f(a); var x = []; var j = a; var k = 0; var i = 1; var m; for (; j <= b; j = j + h, k++) x[k] = j; m = x.length; for (; i < m - 1; i++) { I += ((i % 2 !== 0) ? 4 : 2) * f(x[i]); } return (h / 3) * (I + f(b)); }, hermite: function hermite(X, F, dF, value) { var n = X.length; var p = 0; var i = 0; var l = []; var dl = []; var A = []; var B = []; var j; for (; i < n; i++) { l[i] = 1; for (j = 0; j < n; j++) { if (i != j) l[i] *= (value - X[j]) / (X[i] - X[j]); } dl[i] = 0; for (j = 0; j < n; j++) { if (i != j) dl[i] += 1 / (X [i] - X[j]); } A[i] = (1 - 2 * (value - X[i]) * dl[i]) * (l[i] * l[i]); B[i] = (value - X[i]) * (l[i] * l[i]); p += (A[i] * F[i] + B[i] * dF[i]); } return p; }, lagrange: function lagrange(X, F, value) { var p = 0; var i = 0; var j, l; var n = X.length; for (; i < n; i++) { l = F[i]; for (j = 0; j < n; j++) { // calculating the lagrange polynomial L_i if (i != j) l *= (value - X[j]) / (X[i] - X[j]); } // adding the lagrange polynomials found above p += l; } return p; }, cubic_spline: function cubic_spline(X, F, value) { var n = X.length; var i = 0, j; var A = []; var B = []; var alpha = []; var c = []; var h = []; var b = []; var d = []; for (; i < n - 1; i++) h[i] = X[i + 1] - X[i]; alpha[0] = 0; for (var i = 1; i < n - 1; i++) { alpha[i] = (3 / h[i]) * (F[i + 1] - F[i]) - (3 / h[i-1]) * (F[i] - F[i-1]); } for (var i = 1; i < n - 1; i++) { A[i] = []; B[i] = []; A[i][i-1] = h[i-1]; A[i][i] = 2 * (h[i - 1] + h[i]); A[i][i+1] = h[i]; B[i][0] = alpha[i]; } c = jStat.multiply(jStat.inv(A), B); for (j = 0; j < n - 1; j++) { b[j] = (F[j + 1] - F[j]) / h[j] - h[j] * (c[j + 1][0] + 2 * c[j][0]) / 3; d[j] = (c[j + 1][0] - c[j][0]) / (3 * h[j]); } for (j = 0; j < n; j++) { if (X[j] > value) break; } j -= 1; return F[j] + (value - X[j]) * b[j] + jStat.sq(value-X[j]) * c[j] + (value - X[j]) * jStat.sq(value - X[j]) * d[j]; }, gauss_quadrature: function gauss_quadrature() { throw new Error('gauss_quadrature not yet implemented'); }, PCA: function PCA(X) { var m = X.length; var n = X[0].length; var flag = false; var i = 0; var j, temp1; var u = []; var D = []; var result = []; var temp2 = []; var Y = []; var Bt = []; var B = []; var C = []; var V = []; var Vt = []; for (var i = 0; i < m; i++) { u[i] = jStat.sum(X[i]) / n; } for (var i = 0; i < n; i++) { B[i] = []; for(j = 0; j < m; j++) { B[i][j] = X[j][i] - u[j]; } } B = jStat.transpose(B); for (var i = 0; i < m; i++) { C[i] = []; for (j = 0; j < m; j++) { C[i][j] = (jStat.dot([B[i]], [B[j]])) / (n - 1); } } result = jStat.jacobi(C); V = result[0]; D = result[1]; Vt = jStat.transpose(V); for (var i = 0; i < D.length; i++) { for (j = i; j < D.length; j++) { if(D[i] < D[j]) { temp1 = D[i]; D[i] = D[j]; D[j] = temp1; temp2 = Vt[i]; Vt[i] = Vt[j]; Vt[j] = temp2; } } } Bt = jStat.transpose(B); for (var i = 0; i < m; i++) { Y[i] = []; for (j = 0; j < Bt.length; j++) { Y[i][j] = jStat.dot([Vt[i]], [Bt[j]]); } } return [X, D, Vt, Y]; } }); // extend jStat.fn with methods that require one argument (function(funcs) { for (var i = 0; i < funcs.length; i++) (function(passfunc) { jStat.fn[passfunc] = function(arg, func) { var tmpthis = this; // check for callback if (func) { setTimeout(function() { func.call(tmpthis, jStat.fn[passfunc].call(tmpthis, arg)); }, 15); return this; } if (typeof jStat[passfunc](this, arg) === 'number') return jStat[passfunc](this, arg); else return jStat(jStat[passfunc](this, arg)); }; }(funcs[i])); }('add divide multiply subtract dot pow exp log abs norm angle'.split(' '))); }(jStat, Math)); (function(jStat, Math) { var slice = [].slice; var isNumber = jStat.utils.isNumber; var isArray = jStat.utils.isArray; // flag==true denotes use of sample standard deviation // Z Statistics jStat.extend({ // 2 different parameter lists: // (value, mean, sd) // (value, array, flag) zscore: function zscore() { var args = slice.call(arguments); if (isNumber(args[1])) { return (args[0] - args[1]) / args[2]; } return (args[0] - jStat.mean(args[1])) / jStat.stdev(args[1], args[2]); }, // 3 different paramter lists: // (value, mean, sd, sides) // (zscore, sides) // (value, array, sides, flag) ztest: function ztest() { var args = slice.call(arguments); var z; if (isArray(args[1])) { // (value, array, sides, flag) z = jStat.zscore(args[0],args[1],args[3]); return (args[2] === 1) ? (jStat.normal.cdf(-Math.abs(z), 0, 1)) : (jStat.normal.cdf(-Math.abs(z), 0, 1)*2); } else { if (args.length > 2) { // (value, mean, sd, sides) z = jStat.zscore(args[0],args[1],args[2]); return (args[3] === 1) ? (jStat.normal.cdf(-Math.abs(z),0,1)) : (jStat.normal.cdf(-Math.abs(z),0,1)* 2); } else { // (zscore, sides) z = args[0]; return (args[1] === 1) ? (jStat.normal.cdf(-Math.abs(z),0,1)) : (jStat.normal.cdf(-Math.abs(z),0,1)*2); } } } }); jStat.extend(jStat.fn, { zscore: function zscore(value, flag) { return (value - this.mean()) / this.stdev(flag); }, ztest: function ztest(value, sides, flag) { var zscore = Math.abs(this.zscore(value, flag)); return (sides === 1) ? (jStat.normal.cdf(-zscore, 0, 1)) : (jStat.normal.cdf(-zscore, 0, 1) * 2); } }); // T Statistics jStat.extend({ // 2 parameter lists // (value, mean, sd, n) // (value, array) tscore: function tscore() { var args = slice.call(arguments); return (args.length === 4) ? ((args[0] - args[1]) / (args[2] / Math.sqrt(args[3]))) : ((args[0] - jStat.mean(args[1])) / (jStat.stdev(args[1], true) / Math.sqrt(args[1].length))); }, // 3 different paramter lists: // (value, mean, sd, n, sides) // (tscore, n, sides) // (value, array, sides) ttest: function ttest() { var args = slice.call(arguments); var tscore; if (args.length === 5) { tscore = Math.abs(jStat.tscore(args[0], args[1], args[2], args[3])); return (args[4] === 1) ? (jStat.studentt.cdf(-tscore, args[3]-1)) : (jStat.studentt.cdf(-tscore, args[3]-1)*2); } if (isNumber(args[1])) { tscore = Math.abs(args[0]) return (args[2] == 1) ? (jStat.studentt.cdf(-tscore, args[1]-1)) : (jStat.studentt.cdf(-tscore, args[1]-1) * 2); } tscore = Math.abs(jStat.tscore(args[0], args[1])) return (args[2] == 1) ? (jStat.studentt.cdf(-tscore, args[1].length-1)) : (jStat.studentt.cdf(-tscore, args[1].length-1) * 2); } }); jStat.extend(jStat.fn, { tscore: function tscore(value) { return (value - this.mean()) / (this.stdev(true) / Math.sqrt(this.cols())); }, ttest: function ttest(value, sides) { return (sides === 1) ? (1 - jStat.studentt.cdf(Math.abs(this.tscore(value)), this.cols()-1)) : (jStat.studentt.cdf(-Math.abs(this.tscore(value)), this.cols()-1)*2); } }); // F Statistics jStat.extend({ // Paramter list is as follows: // (array1, array2, array3, ...) // or it is an array of arrays // array of arrays conversion anovafscore: function anovafscore() { var args = slice.call(arguments), expVar, sample, sampMean, sampSampMean, tmpargs, unexpVar, i, j; if (args.length === 1) { tmpargs = new Array(args[0].length); for (var i = 0; i < args[0].length; i++) { tmpargs[i] = args[0][i]; } args = tmpargs; } // 2 sample case if (args.length === 2) { return jStat.variance(args[0]) / jStat.variance(args[1]); } // Builds sample array sample = new Array(); for (var i = 0; i < args.length; i++) { sample = sample.concat(args[i]); } sampMean = jStat.mean(sample); // Computes the explained variance expVar = 0; for (var i = 0; i < args.length; i++) { expVar = expVar + args[i].length * Math.pow(jStat.mean(args[i]) - sampMean, 2); } expVar /= (args.length - 1); // Computes unexplained variance unexpVar = 0; for (var i = 0; i < args.length; i++) { sampSampMean = jStat.mean(args[i]); for (j = 0; j < args[i].length; j++) { unexpVar += Math.pow(args[i][j] - sampSampMean, 2); } } unexpVar /= (sample.length - args.length); return expVar / unexpVar; }, // 2 different paramter setups // (array1, array2, array3, ...) // (anovafscore, df1, df2) anovaftest: function anovaftest() { var args = slice.call(arguments), df1, df2, n, i; if (isNumber(args[0])) { return 1 - jStat.centralF.cdf(args[0], args[1], args[2]); } anovafscore = jStat.anovafscore(args); df1 = args.length - 1; n = 0; for (var i = 0; i < args.length; i++) { n = n + args[i].length; } df2 = n - df1 - 1; return 1 - jStat.centralF.cdf(anovafscore, df1, df2); }, ftest: function ftest(fscore, df1, df2) { return 1 - jStat.centralF.cdf(fscore, df1, df2); } }); jStat.extend(jStat.fn, { anovafscore: function anovafscore() { return jStat.anovafscore(this.toArray()); }, anovaftes: function anovaftes() { var n = 0; var i; for (var i = 0; i < this.length; i++) { n = n + this[i].length; } return jStat.ftest(this.anovafscore(), this.length - 1, n - this.length); } }); // Tukey's range test jStat.extend({ // 2 parameter lists // (mean1, mean2, n1, n2, sd) // (array1, array2, sd) qscore: function qscore() { var args = slice.call(arguments); var mean1, mean2, n1, n2, sd; if (isNumber(args[0])) { mean1 = args[0]; mean2 = args[1]; n1 = args[2]; n2 = args[3]; sd = args[4]; } else { mean1 = jStat.mean(args[0]); mean2 = jStat.mean(args[1]); n1 = args[0].length; n2 = args[1].length; sd = args[2]; } return Math.abs(mean1 - mean2) / (sd * Math.sqrt((1 / n1 + 1 / n2) / 2)); }, // 3 different parameter lists: // (qscore, n, k) // (mean1, mean2, n1, n2, sd, n, k) // (array1, array2, sd, n, k) qtest: function qtest() { var args = slice.call(arguments); var qscore; if (args.length === 3) { qscore = args[0]; args = args.slice(1); } else if (args.length === 7) { qscore = jStat.qscore(args[0], args[1], args[2], args[3], args[4]); args = args.slice(5); } else { qscore = jStat.qscore(args[0], args[1], args[2]); args = args.slice(3); } var n = args[0]; var k = args[1]; return 1 - jStat.tukey.cdf(qscore, k, n - k); }, tukeyhsd: function tukeyhsd(arrays) { var sd = jStat.pooledstdev(arrays); var means = arrays.map(function (arr) {return jStat.mean(arr);}); var n = arrays.reduce(function (n, arr) {return n + arr.length;}, 0); var results = []; for (var i = 0; i < arrays.length; ++i) { for (var j = i + 1; j < arrays.length; ++j) { var p = jStat.qtest(means[i], means[j], arrays[i].length, arrays[j].length, sd, n, arrays.length); results.push([[i, j], p]); } } return results; } }); // Error Bounds jStat.extend({ // 2 different parameter setups // (value, alpha, sd, n) // (value, alpha, array) normalci: function normalci() { var args = slice.call(arguments), ans = new Array(2), change; if (args.length === 4) { change = Math.abs(jStat.normal.inv(args[1] / 2, 0, 1) * args[2] / Math.sqrt(args[3])); } else { change = Math.abs(jStat.normal.inv(args[1] / 2, 0, 1) * jStat.stdev(args[2]) / Math.sqrt(args[2].length)); } ans[0] = args[0] - change; ans[1] = args[0] + change; return ans; }, // 2 different parameter setups // (value, alpha, sd, n) // (value, alpha, array) tci: function tci() { var args = slice.call(arguments), ans = new Array(2), change; if (args.length === 4) { change = Math.abs(jStat.studentt.inv(args[1] / 2, args[3] - 1) * args[2] / Math.sqrt(args[3])); } else { change = Math.abs(jStat.studentt.inv(args[1] / 2, args[2].length - 1) * jStat.stdev(args[2], true) / Math.sqrt(args[2].length)); } ans[0] = args[0] - change; ans[1] = args[0] + change; return ans; }, significant: function significant(pvalue, alpha) { return pvalue < alpha; } }); jStat.extend(jStat.fn, { normalci: function normalci(value, alpha) { return jStat.normalci(value, alpha, this.toArray()); }, tci: function tci(value, alpha) { return jStat.tci(value, alpha, this.toArray()); } }); // internal method for calculating the z-score for a difference of proportions test function differenceOfProportions(p1, n1, p2, n2) { if (p1 > 1 || p2 > 1 || p1 <= 0 || p2 <= 0) { throw new Error("Proportions should be greater than 0 and less than 1") } var pooled = (p1 * n1 + p2 * n2) / (n1 + n2); var se = Math.sqrt(pooled * (1 - pooled) * ((1/n1) + (1/n2))); return (p1 - p2) / se; } // Difference of Proportions jStat.extend(jStat.fn, { oneSidedDifferenceOfProportions: function oneSidedDifferenceOfProportions(p1, n1, p2, n2) { var z = differenceOfProportions(p1, n1, p2, n2); return jStat.ztest(z, 1); }, twoSidedDifferenceOfProportions: function twoSidedDifferenceOfProportions(p1, n1, p2, n2) { var z = differenceOfProportions(p1, n1, p2, n2); return jStat.ztest(z, 2); } }); }(jStat, Math)); jStat.models = (function(){ function sub_regress(endog, exog) { return ols(endog, exog); } function sub_regress(exog) { var var_count = exog[0].length; var modelList = jStat.arange(var_count).map(function(endog_index) { var exog_index = jStat.arange(var_count).filter(function(i){return i!==endog_index}); return ols(jStat.col(exog, endog_index).map(function(x){ return x[0] }), jStat.col(exog, exog_index)) }); return modelList; } // do OLS model regress // exog have include const columns ,it will not generate it .In fact, exog is // "design matrix" look at //https://en.wikipedia.org/wiki/Design_matrix function ols(endog, exog) { var nobs = endog.length; var df_model = exog[0].length - 1; var df_resid = nobs-df_model - 1; var coef = jStat.lstsq(exog, endog); var predict = jStat.multiply(exog, coef.map(function(x) { return [x] })) .map(function(p) { return p[0] }); var resid = jStat.subtract(endog, predict); var ybar = jStat.mean(endog); // constant cause problem // var SST = jStat.sum(endog.map(function(y) { // return Math.pow(y-ybar,2); // })); var SSE = jStat.sum(predict.map(function(f) { return Math.pow(f - ybar, 2); })); var SSR = jStat.sum(endog.map(function(y, i) { return Math.pow(y - predict[i], 2); })); var SST = SSE + SSR; var R2 = (SSE / SST); return { exog:exog, endog:endog, nobs:nobs, df_model:df_model, df_resid:df_resid, coef:coef, predict:predict, resid:resid, ybar:ybar, SST:SST, SSE:SSE, SSR:SSR, R2:R2 }; } // H0: b_I=0 // H1: b_I!=0 function t_test(model) { var subModelList = sub_regress(model.exog); //var sigmaHat=jStat.stdev(model.resid); var sigmaHat = Math.sqrt(model.SSR / (model.df_resid)); var seBetaHat = subModelList.map(function(mod) { var SST = mod.SST; var R2 = mod.R2; return sigmaHat / Math.sqrt(SST * (1 - R2)); }); var tStatistic = model.coef.map(function(coef, i) { return (coef - 0) / seBetaHat[i]; }); var pValue = tStatistic.map(function(t) { var leftppf = jStat.studentt.cdf(t, model.df_resid); return (leftppf > 0.5 ? 1 - leftppf : leftppf) * 2; }); var c = jStat.studentt.inv(0.975, model.df_resid); var interval95 = model.coef.map(function(coef, i) { var d = c * seBetaHat[i]; return [coef - d, coef + d]; }) return { se: seBetaHat, t: tStatistic, p: pValue, sigmaHat: sigmaHat, interval95: interval95 }; } function F_test(model) { var F_statistic = (model.R2 / model.df_model) / ((1 - model.R2) / model.df_resid); var fcdf = function(x, n1, n2) { return jStat.beta.cdf(x / (n2 / n1 + x), n1 / 2, n2 / 2) } var pvalue = 1 - fcdf(F_statistic, model.df_model, model.df_resid); return { F_statistic: F_statistic, pvalue: pvalue }; } function ols_wrap(endog, exog) { var model = ols(endog,exog); var ttest = t_test(model); var ftest = F_test(model); // Provide the Wherry / Ezekiel / McNemar / Cohen Adjusted R^2 // Which matches the 'adjusted R^2' provided by R's lm package var adjust_R2 = 1 - (1 - model.R2) * ((model.nobs - 1) / (model.df_resid)); model.t = ttest; model.f = ftest; model.adjust_R2 = adjust_R2; return model; } return { ols: ols_wrap }; })(); // Make it compatible with previous version. jStat.jStat = jStat; return jStat; });