Boost C++ Libraries

...one of the most highly regarded and expertly designed C++ library projects in the world. Herb Sutter and Andrei Alexandrescu, C++ Coding Standards

This is an old version of boost. Click here for the latest version's documentation home page.
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References

General references

(Specific detailed sources for individual functions and distributions are given at the end of each individual section).

DLMF (NIST Digital Library of Mathematical Functions) is intended to be a replacement for the legendary Abramowitz and Stegun's Handbook of Mathematical Functions, now scheduled to be completed in 2007.

M. Abramowitz and I. A. Stegun (Eds.) (1964) Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, National Bureau of Standards Applied Mathematics Series, U.S. Government Printing Office, Washington, D.C..

The Wolfram Functions Site The Wolfram Functions Site - Providing the mathematical and scientific community with the world's largest (and most authorititive) collection of formulas and graphics about mathematical functions.

NIST/SEMATECH e-Handbook of Statistical Methods

Mathematica Documentation: DiscreteDistributions The Wolfram Research Documentation Center is a collection of online reference materials about Mathematica, CalculationCenter, and other Wolfram Research products.

Mathematica Documentation: ContinuousDistributions The Wolfram Research Documentation Center is a collection of online reference materials about Mathematica, CalculationCenter, and other Wolfram Research products.

Statistical Distributions (Wiley Series in Probability & Statistics) (Paperback) by N.A.J. Hastings, Brian Peacock, Merran Evans, ISBN: 0471371246, Wiley 2000.

Extreme Value Distributions, Theory and Applications Samuel Kotz & Saralees Nadarajah, ISBN 978-1-86094-224-2 & 1-86094-224-5 Oct 2000, Chapter 1.2 discusses the various extreme value distributions.

pugh.pdf (application/pdf Object) Pugh Msc Thesis on the Lanczos approximation to the gamma function.

N1514, 03-0097, A Proposal to Add Mathematical Special Functions to the C++ Standard Library (version 2), Walter E. Brown

Calculators* that we found (and used to cross-check - as far as their widely-varying accuracy allowed).

http://www.adsciengineering.combpdcalc Binomial Probability Distribution Calculator.

Other Libraries

Cephes library by Shephen Moshier and his book:

Methods and programs for mathematical functions, Stephen L B Moshier, Ellis Horwood (1989) ISBN 0745802893 0470216093 provided inspiration.

100-decimal digit calculator provided some spot values.

C++ version.

CDFLIB Library of Fortran Routines for Cumulative Distribution functions.

DCDFLIB C++ version DCDFLIB is a library of C++ routines, using double precision arithmetic, for evaluating cumulative probability density functions.

http://www.softintegration.com/docs/packagechnagstat

NAG libraries.

MathCAD

JMSL Numerical Library (Java).

John F Hart, Computer Approximations, (1978) ISBN 0 088275 642-7.

William J Cody, Software Manual for the Elementary Functions, Prentice-Hall (1980) ISBN 0138220646.

Nico Temme, Special Functions, An Introduction to the Classical Functions of Mathematical Physics, Wiley, ISBN: 0471-11313-1 (1996) who also gave valueable advice.

Statistics Glossary, Valerie Easton and John H. McColl.

_R R Development Core Team (2010). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. ISBN 3-900051-07-0, URL http://www.R-project.org.

For use of R, see:

Jim Albert, Bayesian Computation with R, ISBN 978-0-387-71384-7.

C++ Statistical Distributions in Boost - QuantNetwork forum discusses using Boost.Math in finance.

Quantnet Boost and computational finance. Robert Demming & Daniel J. Duffy, Introduction to the C++ Boost Libraries - Volume I - Foundations and Volume II ISBN 978-94-91028-01-4, Advanced Libraries and Applications, ISBN 978-94-91028-02-1 (to be published in 2011). discusses application of Boost.Math, especially in finance.]


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