root/library/tests/epdf_test.cpp @ 596

#include "base/user_info.h"
#include "stat/exp_family.h"
#include "itpp_ext.h"
#include "epdf_harness.h"
#include "mat_checks.h"
#include "UnitTest++.h"

using namespace bdm;

TEST ( test_egamma ) {
        epdf_harness::test_config ( "egamma.cfg" );
}

TEST ( test_enorm ) {
        epdf_harness::test_config ( "enorm.cfg" );
}

// not using epdf_harness because eprod isn't configurable (yet?)
TEST ( test_eprod ) {
        RV a ( "{eprod_a }", "1" );
        RV b ( "{eprod_b }", "2" );

        egamma_ptr g0;
        g0->set_parameters ( vec ( "2" ), vec ( "2" ) );
        g0->set_rv ( a );

        egamma_ptr g1;
        g1->set_parameters ( vec ( "100000 10000" ), vec ( "10000 1000" ) );
        g1->set_rv ( b );

        Array<const epdf*> coms ( 2 );
        coms ( 0 ) = g0.get();
        coms ( 1 ) = g1.get();

        eprod p;
        // set_parameters doesn't say so, but it actually requires
        // pointers in the array to outlast the eprod instance...
        p.set_parameters ( coms );

        CHECK_EQUAL ( vec ( "1 10 10" ), p.mean() );
        CHECK_EQUAL ( vec ( "0 0 0" ), p.variance() );
}

TEST ( test_ewishart ) {
        mat wM = "1.0 0.9; 0.9 1.0";
        eWishartCh eW;
        eW.set_parameters ( wM / 100, 100 );
        mat mea = zeros ( 2, 2 );
        mat Ch;
        for ( int i = 0; i < 100; i++ ) {
                Ch = eW.sample_mat();
                mea += Ch.T() * Ch;
        }

        mat observed ( "0.978486 0.88637; 0.88637 0.992141" );
        mat actual = mea / 100;
        CHECK_CLOSE ( observed, actual, 0.1 );
}

TEST ( test_rwiwishart ) {
        mat wM = "1.0 0.9; 0.9 1.0";
        rwiWishartCh rwW;
        rwW.set_parameters ( 2, 0.1, "1 1", 0.9 );
        mat mea = zeros ( 2, 2 );
        mat wMch = chol ( wM );
        mat Ch ( 2, 2 );
        for ( int i = 0; i < 100; i++ ) {
                vec tmp = rwW.samplecond ( vec ( wMch._data(), 4 ) );
                copy_vector ( 4, tmp._data(), Ch._data() );
                mea += Ch.T() * Ch;
        }

        mat observed ( "0.99464 0.885458; 0.885458 1.01853" );
        mat actual = mea / 100;
        CHECK_CLOSE ( observed, actual, 0.1 );
}