probability-distributions

Probability distributions for statistical estimation.

Header

#include <mathtoolbox/probability-distributions.hpp>

Overview

The following probability distributions and their first derivatives are supported:

• Standard normal distribution: $\mathcal{N}(x \mid 0, 1)$
• Normal distribution: $\mathcal{N}(x \mid \mu, \sigma^{2})$
• Log-normal distribution: $\mathcal{LN}(x \mid \mu, \sigma^{2})$

In statistical estimation, taking logarithms of probabilities is often necessary. For this purpose, the following probability distributions and their derivatives are supported:

• Log of log-normal distribution: $\log \{ \mathcal{LN}(x \mid \mu, \sigma^{2}) \}$

Useful Resources

• Normal distribution - Wikipedia. https://en.wikipedia.org/wiki/Normal_distribution.
• Log-normal distribution - Wikipedia. https://en.wikipedia.org/wiki/Log-normal_distribution.