Quantile Function

Lognormal distribution quantile function.

The quantile function for a lognormal random variable is

for 0 <= p < 1, where mu is the location parameter and sigma > 0 is the scale parameter.

Installation

$ npm install distributions-lognormal-quantile

For use in the browser, use browserify.

Usage

var quantile = require( 'distributions-lognormal-quantile' );

quantile( p[, options] )

Evaluates the quantile function for the lognormal distribution. p may be either a number between 0 and 1, an array, a typed array, or a matrix.

var matrix = require( 'dstructs-matrix' ),
    mat,
    out,
    x,
    i;
 
out = quantile( 0.25 );
// returns ~0.509
 
x = [ 0, 0.2, 0.4, 0.6, 0.8, 1 ];
out = quantile( x );
// returns [ 0, ~0.431, ~0.776, ~1.29, ~2.32, +Infinity ]
 
x = new Float32Array( x );
out = quantile( x );
// returns Float64Array( [0,~0.431,~0.776,~1.29,~2.32,+Infinity] )
 
x = new Float32Array( 6 );
for ( i = 0; i < 6; i++ ) {
    x[ i ] = i / 6;
}
mat = matrix( x, [3,2], 'float32' );
/*
    [   0  1/6
      2/6  3/6
      4/5  5/6 ]
*/
 
out = quantile( mat );
/*
    [  0    ~0.38
      ~0.65 ~1
      ~1.54 ~2.63 ]
*/

The function accepts the following options:

• mu: location parameter. Default: 0.
• sigma: scale parameter. Default: 1.
• accessor: accessor function for accessing array values.
• dtype: output typed array or matrix data type. Default: float64.
• copy: boolean indicating if the function should return a new data structure. Default: true.
• path: deepget/deepset key path.
• sep: deepget/deepset key path separator. Default: '.'.

A Lognormal distribution is a function of two parameter(s): mu(location parameter) and sigma > 0(scale parameter). By default, mu is equal to 0 and sigma is equal to 1. To adjust either parameter, set the corresponding option.

var x = [ 0, 0.2, 0.4, 0.6, 0.8, 1 ];
 
var out = quantile( x, {
    'mu': 8,
    'sigma': 8
});
// returns [0,~1.3,~95,~2981,~93510,~6847352]

For non-numeric arrays, provide an accessor function for accessing array values.

var data = [
    [0,0],
    [1,0.2],
    [2,0.4],
    [3,0.6],
    [4,0.8],
    [5,1]
];
 
function getValue( d, i ) {
    return d[ 1 ];
}
 
var out = quantile( data, {
    'accessor': getValue
});
// returns [ 0, ~0.431, ~0.776, ~1.29, ~2.32, +Infinity ]

To deepset an object array, provide a key path and, optionally, a key path separator.

var data = [
    {'x':[0,0]},
    {'x':[1,0.2]},
    {'x':[2,0.4]},
    {'x':[3,0.6]},
    {'x':[4,0.8]},
    {'x':[5,1]}
];
 
var out = quantile( data, {
    'path': 'x/1',
    'sep': '/'
});
/*
    [
        {'x':[0,0]},
        {'x':[1,~0.431]},
        {'x':[2,~0.776]},
        {'x':[3,~1.29]},
        {'x':[4,~2.32]},
        {'x':[5,+Infinity]}
    ]
*/
 
var bool = ( data === out );
// returns true

By default, when provided a typed array or matrix, the output data structure is float64 in order to preserve precision. To specify a different data type, set the dtype option (see matrix for a list of acceptable data types).

var x, out;
 
x = new Float32Array( [0.2,0.4,0.6,0.8] );
 
out = quantile( x, {
    'dtype': 'int32'
});
// returns Int32Array( [0,0,1,2] )
 
// Works for plain arrays, as well...
out = quantile( [0.2,0.4,0.6,0.8], {
    'dtype': 'uint8'
});
// returns Uint8Array( [0,0,1,2] )

By default, the function returns a new data structure. To mutate the input data structure (e.g., when input values can be discarded or when optimizing memory usage), set the copy option to false.

var bool,
    mat,
    out,
    x,
    i;
 
x = [ 0, 0.2, 0.4, 0.6, 0.8, 1 ];
 
out = quantile( x, {
    'copy': false
});
// returns [ 0, ~0.431, ~0.776, ~1.29, ~2.32, +Infinity ]
 
bool = ( x === out );
// returns true
 
x = new Float32Array( 6 );
for ( i = 0; i < 6; i++ ) {
    x[ i ] = i / 6 ;
}
mat = matrix( x, [3,2], 'float32' );
/*
    [   0  1/6
      2/6  3/6
      4/5  5/6 ]
*/
 
out = quantile( mat, {
    'copy': false
});
/*
    [  0    ~0.38
      ~0.65 ~1
      ~1.54 ~2.63 ]
*/
 
bool = ( mat === out );
// returns true

Notes

• For any p outside the interval [0,1], the the evaluated quantile function is NaN.

  var out;
   
  out = quantile( 1.1 );
  // returns NaN
   
  out = quantile( -0.1 );
  // returns NaN

• If an element is not a numeric value, the evaluated quantile function is NaN.

  var data, out;
   
  out = quantile( null );
  // returns NaN
   
  out = quantile( true );
  // returns NaN
   
  out = quantile( {'a':'b'} );
  // returns NaN
   
  out = quantile( [ true, null, [] ] );
  // returns [ NaN, NaN, NaN ]
   
  function getValue( d, i ) {
      return d.x;
  }
  data = [
      {'x':true},
      {'x':[]},
      {'x':{}},
      {'x':null}
  ];
   
  out = quantile( data, {
      'accessor': getValue
  });
  // returns [ NaN, NaN, NaN, NaN ]
   
  out = quantile( data, {
      'path': 'x'
  });
  /*
      [
          {'x':NaN},
          {'x':NaN},
          {'x':NaN,
          {'x':NaN}
      ]
  */

• Be careful when providing a data structure which contains non-numeric elements and specifying an integer output data type, as NaN values are cast to 0.

  var out = quantile( [ true, null, [] ], {
      'dtype': 'int8'
  });
  // returns Int8Array( [0,0,0] );

Examples

var quantile = require( 'distributions-lognormal-quantile' ),
    matrix = require( 'dstructs-matrix' );
 
var data,
    mat,
    out,
    tmp,
    i;
 
// Plain arrays...
data = new Array( 10 );
for ( i = 0; i < data.length; i++ ) {
    data[ i ] = i / 10;
}
out = quantile( data );
 
// Object arrays (accessors)...
function getValue( d ) {
    return d.x;
}
for ( i = 0; i < data.length; i++ ) {
    data[ i ] = {
        'x': data[ i ]
    };
}
out = quantile( data, {
    'accessor': getValue
});
 
// Deep set arrays...
for ( i = 0; i < data.length; i++ ) {
    data[ i ] = {
        'x': [ i, data[ i ].x ]
    };
}
out = quantile( data, {
    'path': 'x/1',
    'sep': '/'
});
 
// Typed arrays...
data = new Float32Array( 10 );
for ( i = 0; i < data.length; i++ ) {
    data[ i ] = i / 10;
}
out = quantile( data );
 
// Matrices...
mat = matrix( data, [5,2], 'float32' );
out = quantile( mat );
 
// Matrices (custom output data type)...
out = quantile( mat, {
    'dtype': 'uint8'
});

To run the example code from the top-level application directory,

$ node ./examples/index.js

Tests

Unit

Unit tests use the Mocha test framework with Chai assertions. To run the tests, execute the following command in the top-level application directory:

$ make test

All new feature development should have corresponding unit tests to validate correct functionality.

Test Coverage

This repository uses Istanbul as its code coverage tool. To generate a test coverage report, execute the following command in the top-level application directory:

$ make test-cov

Istanbul creates a ./reports/coverage directory. To access an HTML version of the report,

$ make view-cov

---

License

MIT license.

Copyright

Copyright © 2015. The Compute.io Authors.