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c++boostquantile

Quantile functions in boost (C++)

Judging from the documentation boost seems to offer quantile functions (inverse cdf functions) for both normal and gamma distributions, but its not clear for me how can I actually use them. Could someone paste an example please?

Solution

  • The quantile calculation is implemented as a free function. Here's an example:

    #include <boost/math/distributions/normal.hpp>

boost::math::normal dist(0.0, 1.0);

// 95% of distribution is below q:
double q = quantile(dist, 0.95);

    You can also get the complement (quantile from the right) using:

    // 95% of distribution is above qc:
double qc = quantile(complement(dist, 0.05));

    There are some similar worked examples here:

    http://www.boost.org/doc/libs/1_46_1/libs/math/doc/sf_and_dist/html/math_toolkit/dist/stat_tut/weg.html

    Edit: don't need namespaces on the free functions thanks to ADL