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c++boostchi-squaredprobability-density
drahnr
drahnr

Reputation: 6886

map probability to threshold with boost

I need to calculate the probability of missed detection for a certain threshold t, where the chi square distribution has non centrality parameter lambda.

I tried to understand the boost probability fun, but so far I did not come up with something working.

boost::math::non_central_chi_squared mydist(n, lambda);
boost::math::cdf(mydist, t); // probability that value is taken less than or equal
boost::math::cdf(complement(mydist, t)); // probability that value is taken greater or equal

gives to probability that a pick is below or above t.

How do I get reverse mapping a given probability p to a threshold t?

Upvotes: 1

Views: 121

Answers (1)

drahnr
drahnr

Reputation: 6886

boost::math::chi_squared mydist(n);
x = boost::math::qunatile(complement(mydist, pfa));


boost::math::non_central_chi_squared mydist(n, lambda);
y = boost::math::quantile(mydist, pmd);

where pfa is the probability of false alert and pmd the probability of missed detection

Upvotes: 1

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