From aeed49139b8ad652ef34eeed4b2b2e36b3fd8801 Mon Sep 17 00:00:00 2001 From: Per A Brodtkorb Date: Mon, 6 Jun 2016 19:35:52 +0200 Subject: [PATCH] Upated wafo.stats --- wafo/stats/_continuous_distns.py | 143 +++++++++++++++++++++++-------- 1 file changed, 105 insertions(+), 38 deletions(-) diff --git a/wafo/stats/_continuous_distns.py b/wafo/stats/_continuous_distns.py index 504ce8e..8e6687b 100644 --- a/wafo/stats/_continuous_distns.py +++ b/wafo/stats/_continuous_distns.py @@ -13,7 +13,8 @@ from scipy import optimize from scipy import integrate from scipy.special import (gammaln as gamln, gamma as gam, boxcox, boxcox1p, inv_boxcox, inv_boxcox1p, erfc, chndtr, chndtrix, - log1p, expm1) + log1p, expm1, + i0, i1, ndtr as _norm_cdf, log_ndtr as _norm_logcdf) from numpy import (where, arange, putmask, ravel, shape, log, sqrt, exp, arctanh, tan, sin, arcsin, arctan, @@ -32,9 +33,8 @@ from scipy.stats._tukeylambda_stats import (tukeylambda_variance as _tlvar, tukeylambda_kurtosis as _tlkurt) from ._distn_infrastructure import ( - rv_continuous, valarray, _skew, _kurtosis, # @UnresolvedImport - _lazywhere, _ncx2_log_pdf, _ncx2_pdf, _ncx2_cdf, # @UnresolvedImport - get_distribution_names, # @UnresolvedImport + rv_continuous, valarray, _skew, _kurtosis, _lazywhere, + _ncx2_log_pdf, _ncx2_pdf, _ncx2_cdf, get_distribution_names, ) from ._constants import _XMIN, _EULER, _ZETA3, _XMAX, _LOGXMAX, _EPS @@ -89,24 +89,16 @@ def _norm_logpdf(x): return -x**2 / 2.0 - _norm_pdf_logC -def _norm_cdf(x): - return special.ndtr(x) - - -def _norm_logcdf(x): - return special.log_ndtr(x) - - def _norm_ppf(q): return special.ndtri(q) def _norm_sf(x): - return special.ndtr(-x) + return _norm_cdf(-x) def _norm_logsf(x): - return special.log_ndtr(-x) + return _norm_logcdf(-x) def _norm_isf(q): @@ -127,6 +119,10 @@ class norm_gen(rv_continuous): norm.pdf(x) = exp(-x**2/2)/sqrt(2*pi) + The survival function, ``norm.sf``, is also referred to as the + Q-function in some contexts (see, e.g., + `Wikipedia's `_ definition). + %(after_notes)s %(example)s @@ -220,13 +216,13 @@ class alpha_gen(rv_continuous): """ def _pdf(self, x, a): - return 1.0/(x**2)/special.ndtr(a)*_norm_pdf(a-1.0/x) + return 1.0/(x**2)/_norm_cdf(a)*_norm_pdf(a-1.0/x) def _logpdf(self, x, a): - return -2*log(x) + _norm_logpdf(a-1.0/x) - log(special.ndtr(a)) + return -2*log(x) + _norm_logpdf(a-1.0/x) - log(_norm_cdf(a)) def _cdf(self, x, a): - return special.ndtr(a-1.0/x) / special.ndtr(a) + return _norm_cdf(a-1.0/x) / _norm_cdf(a) def _ppf(self, q, a): return 1.0/asarray(a-special.ndtri(q*special.ndtr(a))) @@ -1221,12 +1217,12 @@ class exponnorm_gen(rv_continuous): def _cdf(self, x, K): invK = 1.0 / K expval = invK * (0.5 * invK - x) - return special.ndtr(x) - exp(expval) * special.ndtr(x - invK) + return _norm_cdf(x) - exp(expval) * _norm_cdf(x - invK) def _sf(self, x, K): invK = 1.0 / K expval = invK * (0.5 * invK - x) - return special.ndtr(-x) + exp(expval) * special.ndtr(x - invK) + return _norm_cdf(-x) + exp(expval) * _norm_cdf(x - invK) def _stats(self, K): K2 = K * K @@ -1366,7 +1362,7 @@ class fatiguelife_gen(rv_continuous): 0.5*(log(2*pi) + 3*log(x))) def _cdf(self, x, c): - return special.ndtr(1.0 / c * (sqrt(x) - 1.0/sqrt(x))) + return _norm_cdf(1.0 / c * (sqrt(x) - 1.0/sqrt(x))) def _ppf(self, q, c): tmp = c*special.ndtri(q) @@ -1545,7 +1541,7 @@ class foldnorm_gen(rv_continuous): return _norm_pdf(x + c) + _norm_pdf(x-c) def _cdf(self, x, c): - return special.ndtr(x-c) + special.ndtr(x+c) - 1.0 + return _norm_cdf(x-c) + _norm_cdf(x+c) - 1.0 def _stats(self, c): # Regina C. Elandt, Technometrics 3, 551 (1961) @@ -2061,6 +2057,13 @@ class genextreme_gen(rv_continuous): return _lazywhere((x == x) & (c != 0), (x, c), lambda x, c: -expm1(-c * x) / c, x) + def _isf(self, q, c): + x = -log(-special.log1p(-q)) + result = _lazywhere((c == 0)*(x == x), (x, c), + f=lambda x, c: x, + f2=lambda x, c: -special.expm1(-c*x)/c) + return result + def _stats(self, c): g = lambda n: gam(n*c+1) g1 = g(1) @@ -2087,16 +2090,6 @@ class genextreme_gen(rv_continuous): ku = where(abs(c) <= (eps)**0.23, 12.0/5.0, ku1-3.0) return m, v, sk, ku - def _munp(self, n, c): - k = arange(0, n+1) - vals = 1.0/c**n * np.sum( - comb(n, k) * (-1)**k * special.gamma(c*k + 1), - axis=0) - return where(c*n > -1, vals, inf) - - def _entropy(self, c): - return _EULER*(1 - c) + 1 - def _fitstart(self, data): d = asarray(data) # Probability weighted moments @@ -2114,6 +2107,17 @@ class genextreme_gen(rv_continuous): (exp(gamln(1 + shape)) * (1 - 2 ** (-shape))) loc = b0 + scale * (expm1(gamln(1 + shape))) / shape return shape, loc, scale + + def _munp(self, n, c): + k = arange(0, n+1) + vals = 1.0/c**n * np.sum( + comb(n, k) * (-1)**k * special.gamma(c*k + 1), + axis=0) + return where(c*n > -1, vals, inf) + + def _entropy(self, c): + return _EULER*(1 - c) + 1 + genextreme = genextreme_gen(name='genextreme') @@ -2695,7 +2699,7 @@ class halfnorm_gen(rv_continuous): return 0.5 * np.log(2.0/pi) - x*x/2.0 def _cdf(self, x): - return special.ndtr(x)*2-1.0 + return _norm_cdf(x)*2-1.0 def _ppf(self, q): return special.ndtri((1+q)/2.0) @@ -2852,7 +2856,7 @@ class invgauss_gen(rv_continuous): %(after_notes)s - When `mu` is too small, evaluating the cumulative density function will be + When `mu` is too small, evaluating the cumulative distribution function will be inaccurate due to ``cdf(mu -> 0) = inf * 0``. NaNs are returned for ``mu <= 0.0028``. @@ -3348,9 +3352,18 @@ class lognorm_gen(rv_continuous): def _cdf(self, x, s): return _norm_cdf(log(x) / s) + def _logcdf(self, x, s): + return _norm_logcdf(log(x) / s) + def _ppf(self, q, s): return exp(s * _norm_ppf(q)) + def _sf(self, x, s): + return _norm_sf(log(x) / s) + + def _logsf(self, x, s): + return _norm_logsf(log(x) / s) + def _stats(self, s): p = exp(s*s) mu = sqrt(p) @@ -4546,13 +4559,13 @@ class skew_norm_gen(rv_continuous): Notes ----- - The pdf is + The pdf is:: - skewnorm.pdf(x, a) = 2*norm.pdf(x)*norm.cdf(ax) + skewnorm.pdf(x, a) = 2*norm.pdf(x)*norm.cdf(ax) `skewnorm` takes ``a`` as a skewness parameter When a=0 the distribution is identical to a normal distribution. - rvs implements the method of [1]. + rvs implements the method of [1]_. %(after_notes)s @@ -4562,7 +4575,7 @@ class skew_norm_gen(rv_continuous): References ---------- - [1] A. Azzalini and A. Capitanio (1999). Statistical applications of the + .. [1] A. Azzalini and A. Capitanio (1999). Statistical applications of the multivariate skew-normal distribution. J. Roy. Statist. Soc., B 61, 579-602. http://azzalini.stat.unipd.it/SN/faq-r.html """ @@ -4597,6 +4610,56 @@ class skew_norm_gen(rv_continuous): skewnorm = skew_norm_gen(name='skewnorm') + +class trapz_gen(rv_continuous): + """A trapezoidal continuous random variable. + + %(before_notes)s + + Notes + ----- + The trapezoidal distribution can be represented with an up-sloping line + from ``loc`` to ``(loc + c*scale)``, then constant to ``(loc + d*scale)`` + and then downsloping from ``(loc + d*scale)`` to ``(loc+scale)``. + + `trapz` takes ``c`` and ``d`` as shape parameters. + + %(after_notes)s + + The standard form is in the range [0, 1] with c the mode. + The location parameter shifts the start to `loc`. + The scale parameter changes the width from 1 to `scale`. + + %(example)s + + """ + def _argcheck(self, c, d): + return (c >= 0) & (c <= 1) & (d >= 0) & (d <= 1) & (d >= c) + + def _pdf(self, x, c, d): + u = 2 / (d - c + 1) + + condlist = [x < c, x <= d, x > d] + choicelist = [u * x / c, u, u * (1 - x) / (1 - d)] + return np.select(condlist, choicelist) + + def _cdf(self, x, c, d): + condlist = [x < c, x <= d, x > d] + choicelist = [x**2 / c / (d - c + 1), + (c + 2 * (x - c)) / (d - c + 1), + 1 - ((1 - x)**2 / (d - c + 1) / (1 - d))] + return np.select(condlist, choicelist) + + def _ppf(self, q, c, d): + qc, qd = self._cdf(c, c, d), self._cdf(d, c, d) + condlist = [q < qc, q <= qd, q > qd] + choicelist = [np.sqrt(q * c * (1 + d - c)), + 0.5 * q * (1 + d - c) + 0.5 * c, + 1 - sqrt((1 - q) * (d - c + 1) * (1 - d))] + return np.select(condlist, choicelist) +trapz = trapz_gen(a=0.0, b=1.0, name="trapz") + + class triang_gen(rv_continuous): """A triangular continuous random variable. @@ -4868,13 +4931,17 @@ class vonmises_gen(rv_continuous): return self._random_state.vonmises(0.0, kappa, size=self._size) def _pdf(self, x, kappa): - return exp(kappa * cos(x)) / (2*pi*special.i0(kappa)) + return exp(kappa * cos(x)) / (2*pi*i0(kappa)) def _cdf(self, x, kappa): return vonmises_cython.von_mises_cdf(kappa, x) def _stats_skip(self, kappa): return 0, None, 0, None + + def _entropy(self, kappa): + return (-kappa * i1(kappa) / i0(kappa) + + np.log(2 * np.pi * i0(kappa))) vonmises = vonmises_gen(name='vonmises') vonmises_line = vonmises_gen(a=-np.pi, b=np.pi, name='vonmises_line')