mwc-probability

commit f3089411a06ee133fa410e820c3856d2715a0adf
parent 016183757f1fa9dba2b2a95047215d36de9cbcea
Author: Marco Zocca <marco.zocca@recordunion.com>
Date:   Tue, 30 Jan 2018 10:04:38 +0100

add normalGamma

Diffstat:
M
src/System/Random/MWC/Probability.hs
 | 
10
++++++++++

1 file changed, 10 insertions(+), 0 deletions(-)
diff --git a/src/System/Random/MWC/Probability.hs b/src/System/Random/MWC/Probability.hs
@@ -72,6 +72,7 @@ module System.Random.MWC.Probability (
   , laplace
   , gamma
   , inverseGamma
+  , normalGamma
   , weibull
   , chiSquare
   , beta
@@ -221,6 +222,7 @@ weibull :: (Floating a, Variate a, PrimMonad m) => a -> a -> Prob m a
 weibull a b = do
   x <- uniform
   return $ (- 1/a * log (1 - x)) ** 1/b
+{-# INLINABLE weibull #-}
 
 
 -- | The gamma distribution with shape parameter a and scale parameter b.
@@ -239,6 +241,14 @@ inverseGamma :: PrimMonad m => Double -> Double -> Prob m Double
 inverseGamma a b = recip <$> gamma a b
 {-# INLINABLE inverseGamma #-}
 
+-- | The Normal-Gamma distribution of parameters mu, lambda, a, b
+normalGamma :: PrimMonad m => Double -> Double -> Double -> Double -> Prob m Double
+normalGamma mu lambda a b = do
+  tau <- gamma a b
+  let xsd = sqrt $ 1 / (lambda * tau)
+  normal mu xsd
+{-# INLINABLE normalGamma #-}
+
 -- | The chi-square distribution.
 chiSquare :: PrimMonad m => Int -> Prob m Double
 chiSquare k = Prob $ MWC.Dist.chiSquare k