# # Author: Travis Oliphant 2002-2011 with contributions from # SciPy Developers 2004-2011 # from __future__ import division, print_function, absolute_import from scipy.lib.six import string_types, exec_ import sys import keyword import re import inspect import types import warnings from scipy.misc import doccer from ._distr_params import distcont, distdiscrete from scipy.special import xlogy, chndtr, gammaln, hyp0f1, comb # for root finding for discrete distribution ppf, and max likelihood estimation from scipy import optimize # for functions of continuous distributions (e.g. moments, entropy, cdf) from scipy import integrate # to approximate the pdf of a continuous distribution given its cdf from scipy.misc import derivative from numpy import (arange, putmask, ravel, take, ones, sum, shape, product, reshape, zeros, floor, logical_and, log, sqrt, exp, ndarray) from numpy import (place, any, argsort, argmax, vectorize, asarray, nan, inf, isinf, NINF, empty) import numpy as np import numpy.random as mtrand from ._constants import _EPS, _XMAX from .estimation import FitDistribution try: from new import instancemethod except ImportError: # Python 3 def instancemethod(func, obj, cls): return types.MethodType(func, obj) # These are the docstring parts used for substitution in specific # distribution docstrings docheaders = {'methods': """\nMethods\n-------\n""", 'parameters': """\nParameters\n---------\n""", 'notes': """\nNotes\n-----\n""", 'examples': """\nExamples\n--------\n"""} _doc_rvs = """\ ``rvs(%(shapes)s, loc=0, scale=1, size=1)`` Random variates. """ _doc_pdf = """\ ``pdf(x, %(shapes)s, loc=0, scale=1)`` Probability density function. """ _doc_logpdf = """\ ``logpdf(x, %(shapes)s, loc=0, scale=1)`` Log of the probability density function. """ _doc_pmf = """\ ``pmf(x, %(shapes)s, loc=0, scale=1)`` Probability mass function. """ _doc_logpmf = """\ ``logpmf(x, %(shapes)s, loc=0, scale=1)`` Log of the probability mass function. """ _doc_cdf = """\ ``cdf(x, %(shapes)s, loc=0, scale=1)`` Cumulative density function. """ _doc_logcdf = """\ ``logcdf(x, %(shapes)s, loc=0, scale=1)`` Log of the cumulative density function. """ _doc_sf = """\ ``sf(x, %(shapes)s, loc=0, scale=1)`` Survival function (1-cdf --- sometimes more accurate). """ _doc_logsf = """\ ``logsf(x, %(shapes)s, loc=0, scale=1)`` Log of the survival function. """ _doc_ppf = """\ ``ppf(q, %(shapes)s, loc=0, scale=1)`` Percent point function (inverse of cdf --- percentiles). """ _doc_isf = """\ ``isf(q, %(shapes)s, loc=0, scale=1)`` Inverse survival function (inverse of sf). """ _doc_moment = """\ ``moment(n, %(shapes)s, loc=0, scale=1)`` Non-central moment of order n """ _doc_stats = """\ ``stats(%(shapes)s, loc=0, scale=1, moments='mv')`` Mean('m'), variance('v'), skew('s'), and/or kurtosis('k'). """ _doc_entropy = """\ ``entropy(%(shapes)s, loc=0, scale=1)`` (Differential) entropy of the RV. """ _doc_fit = """\ ``fit(data, %(shapes)s, loc=0, scale=1)`` Parameter estimates for generic data. """ _doc_expect = """\ ``expect(func, %(shapes)s, loc=0, scale=1, lb=None, ub=None, conditional=False, **kwds)`` Expected value of a function (of one argument) with respect to the distribution. """ _doc_expect_discrete = """\ ``expect(func, %(shapes)s, loc=0, lb=None, ub=None, conditional=False)`` Expected value of a function (of one argument) with respect to the distribution. """ _doc_median = """\ ``median(%(shapes)s, loc=0, scale=1)`` Median of the distribution. """ _doc_mean = """\ ``mean(%(shapes)s, loc=0, scale=1)`` Mean of the distribution. """ _doc_var = """\ ``var(%(shapes)s, loc=0, scale=1)`` Variance of the distribution. """ _doc_std = """\ ``std(%(shapes)s, loc=0, scale=1)`` Standard deviation of the distribution. """ _doc_interval = """\ ``interval(alpha, %(shapes)s, loc=0, scale=1)`` Endpoints of the range that contains alpha percent of the distribution """ _doc_allmethods = ''.join([docheaders['methods'], _doc_rvs, _doc_pdf, _doc_logpdf, _doc_cdf, _doc_logcdf, _doc_sf, _doc_logsf, _doc_ppf, _doc_isf, _doc_moment, _doc_stats, _doc_entropy, _doc_fit, _doc_expect, _doc_median, _doc_mean, _doc_var, _doc_std, _doc_interval]) # Note that the two lines for %(shapes) are searched for and replaced in # rv_continuous and rv_discrete - update there if the exact string changes _doc_default_callparams = """ Parameters ---------- x : array_like quantiles q : array_like lower or upper tail probability %(shapes)s : array_like shape parameters loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) size : int or tuple of ints, optional shape of random variates (default computed from input arguments ) moments : str, optional composed of letters ['mvsk'] specifying which moments to compute where 'm' = mean, 'v' = variance, 's' = (Fisher's) skew and 'k' = (Fisher's) kurtosis. Default is 'mv'. """ _doc_default_longsummary = """\ Continuous random variables are defined from a standard form and may require some shape parameters to complete its specification. Any optional keyword parameters can be passed to the methods of the RV object as given below: """ _doc_default_frozen_note = """ Alternatively, the object may be called (as a function) to fix the shape, location, and scale parameters returning a "frozen" continuous RV object: rv = %(name)s(%(shapes)s, loc=0, scale=1) - Frozen RV object with the same methods but holding the given shape, location, and scale fixed. """ _doc_default_example = """\ Examples -------- >>> from wafo.stats import %(name)s >>> import matplotlib.pyplot as plt >>> fig, ax = plt.subplots(1, 1) Calculate a few first moments: %(set_vals_stmt)s >>> mean, var, skew, kurt = %(name)s.stats(%(shapes)s, moments='mvsk') Display the probability density function (``pdf``): >>> x = np.linspace(%(name)s.ppf(0.01, %(shapes)s), ... %(name)s.ppf(0.99, %(shapes)s), 100) >>> ax.plot(x, %(name)s.pdf(x, %(shapes)s), ... 'r-', lw=5, alpha=0.6, label='%(name)s pdf') Alternatively, freeze the distribution and display the frozen pdf: >>> rv = %(name)s(%(shapes)s) >>> ax.plot(x, rv.pdf(x), 'k-', lw=2, label='frozen pdf') Check accuracy of ``cdf`` and ``ppf``: >>> vals = %(name)s.ppf([0.001, 0.5, 0.999], %(shapes)s) >>> np.allclose([0.001, 0.5, 0.999], %(name)s.cdf(vals, %(shapes)s)) True Generate random numbers: >>> r = %(name)s.rvs(%(shapes)s, size=1000) And compare the histogram: >>> ax.hist(r, normed=True, histtype='stepfilled', alpha=0.2) >>> ax.legend(loc='best', frameon=False) >>> plt.show() Compare ML and MPS method >>> phat = %(name)s.fit2(R, method='ml'); >>> phat.plotfitsummary(); plt.figure(plt.gcf().number+1) >>> phat2 = %(name)s.fit2(R, method='mps') >>> phat2.plotfitsummary(); plt.figure(plt.gcf().number+1) Fix loc=0 and estimate shapes and scale >>> phat3 = %(name)s.fit2(R, scale=1, floc=0, method='mps') >>> phat3.plotfitsummary(); plt.figure(plt.gcf().number+1) Accurate confidence interval with profile loglikelihood >>> lp = phat3.profile() >>> lp.plot() >>> pci = lp.get_bounds() """ _doc_default = ''.join([_doc_default_longsummary, _doc_allmethods, _doc_default_callparams, _doc_default_frozen_note, _doc_default_example]) _doc_default_before_notes = ''.join([_doc_default_longsummary, _doc_allmethods, _doc_default_callparams, _doc_default_frozen_note]) docdict = { 'rvs': _doc_rvs, 'pdf': _doc_pdf, 'logpdf': _doc_logpdf, 'cdf': _doc_cdf, 'logcdf': _doc_logcdf, 'sf': _doc_sf, 'logsf': _doc_logsf, 'ppf': _doc_ppf, 'isf': _doc_isf, 'stats': _doc_stats, 'entropy': _doc_entropy, 'fit': _doc_fit, 'moment': _doc_moment, 'expect': _doc_expect, 'interval': _doc_interval, 'mean': _doc_mean, 'std': _doc_std, 'var': _doc_var, 'median': _doc_median, 'allmethods': _doc_allmethods, 'callparams': _doc_default_callparams, 'longsummary': _doc_default_longsummary, 'frozennote': _doc_default_frozen_note, 'example': _doc_default_example, 'default': _doc_default, 'before_notes': _doc_default_before_notes } # Reuse common content between continuous and discrete docs, change some # minor bits. docdict_discrete = docdict.copy() docdict_discrete['pmf'] = _doc_pmf docdict_discrete['logpmf'] = _doc_logpmf docdict_discrete['expect'] = _doc_expect_discrete _doc_disc_methods = ['rvs', 'pmf', 'logpmf', 'cdf', 'logcdf', 'sf', 'logsf', 'ppf', 'isf', 'stats', 'entropy', 'expect', 'median', 'mean', 'var', 'std', 'interval', 'fit'] for obj in _doc_disc_methods: docdict_discrete[obj] = docdict_discrete[obj].replace(', scale=1', '') docdict_discrete.pop('pdf') docdict_discrete.pop('logpdf') _doc_allmethods = ''.join([docdict_discrete[obj] for obj in _doc_disc_methods]) docdict_discrete['allmethods'] = docheaders['methods'] + _doc_allmethods docdict_discrete['longsummary'] = _doc_default_longsummary.replace( 'Continuous', 'Discrete') _doc_default_frozen_note = """ Alternatively, the object may be called (as a function) to fix the shape and location parameters returning a "frozen" discrete RV object: rv = %(name)s(%(shapes)s, loc=0) - Frozen RV object with the same methods but holding the given shape and location fixed. """ docdict_discrete['frozennote'] = _doc_default_frozen_note _doc_default_discrete_example = """\ Examples -------- >>> from wafo.stats import %(name)s >>> import matplotlib.pyplot as plt >>> fig, ax = plt.subplots(1, 1) Calculate a few first moments: %(set_vals_stmt)s >>> mean, var, skew, kurt = %(name)s.stats(%(shapes)s, moments='mvsk') Display the probability mass function (``pmf``): >>> x = np.arange(%(name)s.ppf(0.01, %(shapes)s), ... %(name)s.ppf(0.99, %(shapes)s)) >>> ax.plot(x, %(name)s.pmf(x, %(shapes)s), 'bo', ms=8, label='%(name)s pmf') >>> ax.vlines(x, 0, %(name)s.pmf(x, %(shapes)s), colors='b', lw=5, alpha=0.5) Alternatively, freeze the distribution and display the frozen ``pmf``: >>> rv = %(name)s(%(shapes)s) >>> ax.vlines(x, 0, rv.pmf(x), colors='k', linestyles='-', lw=1, ... label='frozen pmf') >>> ax.legend(loc='best', frameon=False) >>> plt.show() Check accuracy of ``cdf`` and ``ppf``: >>> prob = %(name)s.cdf(x, %(shapes)s) >>> np.allclose(x, %(name)s.ppf(prob, %(shapes)s)) True Generate random numbers: >>> r = %(name)s.rvs(%(shapes)s, size=1000) """ docdict_discrete['example'] = _doc_default_discrete_example _doc_default_before_notes = ''.join([docdict_discrete['longsummary'], docdict_discrete['allmethods'], docdict_discrete['callparams'], docdict_discrete['frozennote']]) docdict_discrete['before_notes'] = _doc_default_before_notes _doc_default_disc = ''.join([docdict_discrete['longsummary'], docdict_discrete['allmethods'], docdict_discrete['frozennote'], docdict_discrete['example']]) docdict_discrete['default'] = _doc_default_disc # clean up all the separate docstring elements, we do not need them anymore for obj in [s for s in dir() if s.startswith('_doc_')]: exec('del ' + obj) del obj try: del s except NameError: # in Python 3, loop variables are not visible after the loop pass def _moment(data, n, mu=None): if mu is None: mu = data.mean() return ((data - mu)**n).mean() def _moment_from_stats(n, mu, mu2, g1, g2, moment_func, args): if (n == 0): return 1.0 elif (n == 1): if mu is None: val = moment_func(1, *args) else: val = mu elif (n == 2): if mu2 is None or mu is None: val = moment_func(2, *args) else: val = mu2 + mu*mu elif (n == 3): if g1 is None or mu2 is None or mu is None: val = moment_func(3, *args) else: mu3 = g1 * np.power(mu2, 1.5) # 3rd central moment val = mu3+3*mu*mu2+mu*mu*mu # 3rd non-central moment elif (n == 4): if g1 is None or g2 is None or mu2 is None or mu is None: val = moment_func(4, *args) else: mu4 = (g2+3.0)*(mu2**2.0) # 4th central moment mu3 = g1*np.power(mu2, 1.5) # 3rd central moment val = mu4+4*mu*mu3+6*mu*mu*mu2+mu*mu*mu*mu else: val = moment_func(n, *args) return val def _skew(data): """ skew is third central moment / variance**(1.5) """ data = np.ravel(data) mu = data.mean() m2 = ((data - mu)**2).mean() m3 = ((data - mu)**3).mean() return m3 / np.power(m2, 1.5) def _kurtosis(data): """ kurtosis is fourth central moment / variance**2 - 3 """ data = np.ravel(data) mu = data.mean() m2 = ((data - mu)**2).mean() m4 = ((data - mu)**4).mean() return m4 / m2**2 - 3 # Frozen RV class class rv_frozen_old(object): def __init__(self, dist, *args, **kwds): self.args = args self.kwds = kwds # create a new instance self.dist = dist.__class__(**dist._ctor_param) # a, b may be set in _argcheck, depending on *args, **kwds. Ouch. shapes, _, _ = self.dist._parse_args(*args, **kwds) self.dist._argcheck(*shapes) def pdf(self, x): # raises AttributeError in frozen discrete distribution return self.dist.pdf(x, *self.args, **self.kwds) def logpdf(self, x): return self.dist.logpdf(x, *self.args, **self.kwds) def cdf(self, x): return self.dist.cdf(x, *self.args, **self.kwds) def logcdf(self, x): return self.dist.logcdf(x, *self.args, **self.kwds) def ppf(self, q): return self.dist.ppf(q, *self.args, **self.kwds) def isf(self, q): return self.dist.isf(q, *self.args, **self.kwds) def rvs(self, size=None): kwds = self.kwds.copy() kwds.update({'size': size}) return self.dist.rvs(*self.args, **kwds) def sf(self, x): return self.dist.sf(x, *self.args, **self.kwds) def logsf(self, x): return self.dist.logsf(x, *self.args, **self.kwds) def stats(self, moments='mv'): kwds = self.kwds.copy() kwds.update({'moments': moments}) return self.dist.stats(*self.args, **kwds) def median(self): return self.dist.median(*self.args, **self.kwds) def mean(self): return self.dist.mean(*self.args, **self.kwds) def var(self): return self.dist.var(*self.args, **self.kwds) def std(self): return self.dist.std(*self.args, **self.kwds) def moment(self, n): return self.dist.moment(n, *self.args, **self.kwds) def entropy(self): return self.dist.entropy(*self.args, **self.kwds) def pmf(self, k): return self.dist.pmf(k, *self.args, **self.kwds) def logpmf(self, k): return self.dist.logpmf(k, *self.args, **self.kwds) def interval(self, alpha): return self.dist.interval(alpha, *self.args, **self.kwds) # Frozen RV class class rv_frozen(object): ''' Frozen continous or discrete 1D Random Variable object (RV) Methods ------- RV.rvs(size=1) - random variates RV.pdf(x) - probability density function (continous case) RV.pmf(x) - probability mass function (discrete case) RV.cdf(x) - cumulative density function RV.sf(x) - survival function (1-cdf --- sometimes more accurate) RV.ppf(q) - percent point function (inverse of cdf --- percentiles) RV.isf(q) - inverse survival function (inverse of sf) RV.stats(moments='mv') - mean('m'), variance('v'), skew('s'), and/or kurtosis('k') RV.entropy() - (differential) entropy of the RV. Parameters ---------- x : array-like quantiles q : array-like lower or upper tail probability size : int or tuple of ints, optional, keyword shape of random variates moments : string, optional, keyword one or more of 'm' mean, 'v' variance, 's' skewness, 'k' kurtosis ''' def __init__(self, dist, *args, **kwds): self.dist = dist args, loc, scale = dist._parse_args(*args, **kwds) if isinstance(dist, rv_continuous): self.par = args + (loc, scale) else: # rv_discrete self.par = args + (loc,) def pdf(self, x): ''' Probability density function at x of the given RV.''' return self.dist.pdf(x, *self.par) def logpdf(self, x): return self.dist.logpdf(x, *self.par) def cdf(self, x): '''Cumulative distribution function at x of the given RV.''' return self.dist.cdf(x, *self.par) def logcdf(self, x): return self.dist.logcdf(x, *self.par) def ppf(self, q): '''Percent point function (inverse of cdf) at q of the given RV.''' return self.dist.ppf(q, *self.par) def isf(self, q): '''Inverse survival function at q of the given RV.''' return self.dist.isf(q, *self.par) def rvs(self, size=None): '''Random variates of given type.''' kwds = dict(size=size) return self.dist.rvs(*self.par, **kwds) def sf(self, x): '''Survival function (1-cdf) at x of the given RV.''' return self.dist.sf(x, *self.par) def logsf(self, x): return self.dist.logsf(x, *self.par) def stats(self, moments='mv'): ''' Some statistics of the given RV''' kwds = dict(moments=moments) return self.dist.stats(*self.par, **kwds) def median(self): return self.dist.median(*self.par) def mean(self): return self.dist.mean(*self.par) def var(self): return self.dist.var(*self.par) def std(self): return self.dist.std(*self.par) def moment(self, n): return self.dist.moment(n, *self.par) def entropy(self): return self.dist.entropy(*self.par) def pmf(self, k): '''Probability mass function at k of the given RV''' return self.dist.pmf(k, *self.par) def logpmf(self, k): return self.dist.logpmf(k, *self.par) def interval(self, alpha): return self.dist.interval(alpha, *self.par) def valarray(shape, value=nan, typecode=None): """Return an array of all value. """ out = ones(shape, dtype=bool) * value if typecode is not None: out = out.astype(typecode) if not isinstance(out, ndarray): out = asarray(out) return out def _lazywhere(cond, arrays, f, fillvalue=None, f2=None): """ np.where(cond, x, fillvalue) always evaluates x even where cond is False. This one only evaluates f(arr1[cond], arr2[cond], ...). For example, >>> a, b = np.array([1, 2, 3, 4]), np.array([5, 6, 7, 8]) >>> def f(a, b): return a*b >>> _lazywhere(a > 2, (a, b), f, np.nan) array([ nan, nan, 21., 32.]) Notice it assumes that all `arrays` are of the same shape, or can be broadcasted together. """ if fillvalue is None: if f2 is None: raise ValueError("One of (fillvalue, f2) must be given.") else: fillvalue = np.nan else: if f2 is not None: raise ValueError("Only one of (fillvalue, f2) can be given.") arrays = np.broadcast_arrays(*arrays) temp = tuple(np.extract(cond, arr) for arr in arrays) out = valarray(shape(arrays[0]), value=fillvalue) np.place(out, cond, f(*temp)) if f2 is not None: temp = tuple(np.extract(~cond, arr) for arr in arrays) np.place(out, ~cond, f2(*temp)) return out # This should be rewritten def argsreduce(cond, *args): """Return the sequence of ravel(args[i]) where ravel(condition) is True in 1D. Examples -------- >>> import numpy as np >>> rand = np.random.random_sample >>> A = rand((4, 5)) >>> B = 2 >>> C = rand((1, 5)) >>> cond = np.ones(A.shape) >>> [A1, B1, C1] = argsreduce(cond, A, B, C) >>> B1.shape (20,) >>> cond[2,:] = 0 >>> [A2, B2, C2] = argsreduce(cond, A, B, C) >>> B2.shape (15,) """ newargs = np.atleast_1d(*args) if not isinstance(newargs, list): newargs = [newargs, ] expand_arr = (cond == cond) return [np.extract(cond, arr1 * expand_arr) for arr1 in newargs] parse_arg_template = """ def _parse_args(self, %(shape_arg_str)s %(locscale_in)s): return (%(shape_arg_str)s), %(locscale_out)s def _parse_args_rvs(self, %(shape_arg_str)s %(locscale_in)s, size=None): return (%(shape_arg_str)s), %(locscale_out)s, size def _parse_args_stats(self, %(shape_arg_str)s %(locscale_in)s, moments='mv'): return (%(shape_arg_str)s), %(locscale_out)s, moments """ # Both the continuous and discrete distributions depend on ncx2. # I think the function name ncx2 is an abbreviation for noncentral chi squared. def _ncx2_log_pdf(x, df, nc): a = asarray(df/2.0) fac = -nc/2.0 - x/2.0 + (a-1)*log(x) - a*log(2) - gammaln(a) return fac + np.nan_to_num(log(hyp0f1(a, nc * x/4.0))) def _ncx2_pdf(x, df, nc): return np.exp(_ncx2_log_pdf(x, df, nc)) def _ncx2_cdf(x, df, nc): return chndtr(x, df, nc) class rv_generic(object): """Class which encapsulates common functionality between rv_discrete and rv_continuous. """ def __init__(self): super(rv_generic, self).__init__() # figure out if _stats signature has 'moments' keyword sign = inspect.getargspec(self._stats) self._stats_has_moments = ((sign[2] is not None) or ('moments' in sign[0])) def _construct_argparser( self, meths_to_inspect, locscale_in, locscale_out): """Construct the parser for the shape arguments. Generates the argument-parsing functions dynamically and attaches them to the instance. Is supposed to be called in __init__ of a class for each distribution. If self.shapes is a non-empty string, interprets it as a comma-separated list of shape parameters. Otherwise inspects the call signatures of `meths_to_inspect` and constructs the argument-parsing functions from these. In this case also sets `shapes` and `numargs`. """ if self.shapes: # sanitize the user-supplied shapes if not isinstance(self.shapes, string_types): raise TypeError('shapes must be a string.') shapes = self.shapes.replace(',', ' ').split() for field in shapes: if keyword.iskeyword(field): raise SyntaxError('keywords cannot be used as shapes.') if not re.match('^[_a-zA-Z][_a-zA-Z0-9]*$', field): raise SyntaxError( 'shapes must be valid python identifiers') else: # find out the call signatures (_pdf, _cdf etc), deduce shape # arguments shapes_list = [] for meth in meths_to_inspect: shapes_args = inspect.getargspec(meth) shapes_list.append(shapes_args.args) # *args or **kwargs are not allowed w/automatic shapes # (generic methods have 'self, x' only) if len(shapes_args.args) > 2: if shapes_args.varargs is not None: raise TypeError( '*args are not allowed w/out explicit shapes') if shapes_args.keywords is not None: raise TypeError( '**kwds are not allowed w/out explicit shapes') if shapes_args.defaults is not None: raise TypeError('defaults are not allowed for shapes') shapes = max(shapes_list, key=lambda x: len(x)) shapes = shapes[2:] # remove self, x, # make sure the signatures are consistent # (generic methods have 'self, x' only) for item in shapes_list: if len(item) > 2 and item[2:] != shapes: raise TypeError('Shape arguments are inconsistent.') # have the arguments, construct the method from template shapes_str = ', '.join(shapes) + ', ' if shapes else '' # NB: not None dct = dict(shape_arg_str=shapes_str, locscale_in=locscale_in, locscale_out=locscale_out, ) ns = {} exec_(parse_arg_template % dct, ns) # NB: attach to the instance, not class for name in ['_parse_args', '_parse_args_stats', '_parse_args_rvs']: setattr(self, name, instancemethod(ns[name], self, self.__class__) ) self.shapes = ', '.join(shapes) if shapes else None if not hasattr(self, 'numargs'): # allows more general subclassing with *args self.numargs = len(shapes) def _construct_doc(self, docdict, shapes_vals=None): """Construct the instance docstring with string substitutions.""" tempdict = docdict.copy() tempdict['name'] = self.name or 'distname' tempdict['shapes'] = self.shapes or '' if shapes_vals is None: shapes_vals = () vals = ', '.join(str(_) for _ in shapes_vals) tempdict['vals'] = vals if self.shapes: tempdict['set_vals_stmt'] = '>>> %s = %s' % (self.shapes, vals) else: tempdict['set_vals_stmt'] = '' if self.shapes is None: # remove shapes from call parameters if there are none for item in ['callparams', 'default', 'before_notes']: tempdict[item] = tempdict[item].replace( "\n%(shapes)s : array_like\n shape parameters", "") for i in range(2): if self.shapes is None: # necessary because we use %(shapes)s in two forms (w w/o ", ") self.__doc__ = self.__doc__.replace("%(shapes)s, ", "") self.__doc__ = doccer.docformat(self.__doc__, tempdict) # correct for empty shapes self.__doc__ = self.__doc__.replace('(, ', '(').replace(', )', ')') def freeze(self, *args, **kwds): """Freeze the distribution for the given arguments. Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution. Should include all the non-optional arguments, may include ``loc`` and ``scale``. Returns ------- rv_frozen : rv_frozen instance The frozen distribution. """ return rv_frozen(self, *args, **kwds) def __call__(self, *args, **kwds): return self.freeze(*args, **kwds) # The actual calculation functions (no basic checking need be done) # If these are defined, the others won't be looked at. # Otherwise, the other set can be defined. def _stats(self, *args, **kwds): return None, None, None, None # Central moments def _munp(self, n, *args): # Silence floating point warnings from integration. olderr = np.seterr(all='ignore') vals = self.generic_moment(n, *args) np.seterr(**olderr) return vals ## These are the methods you must define (standard form functions) ## NB: generic _pdf, _logpdf, _cdf are different for ## rv_continuous and rv_discrete hence are defined in there def _argcheck(self, *args): """Default check for correct values on args and keywords. Returns condition array of 1's where arguments are correct and 0's where they are not. """ cond = 1 for arg in args: cond = logical_and(cond, (asarray(arg) > 0)) return cond ##(return 1-d using self._size to get number) def _rvs(self, *args): ## Use basic inverse cdf algorithm for RV generation as default. U = mtrand.sample(self._size) Y = self._ppf(U, *args) return Y def _logcdf(self, x, *args): return log(self._cdf(x, *args)) def _sf(self, x, *args): return 1.0-self._cdf(x, *args) def _logsf(self, x, *args): return log(self._sf(x, *args)) def _ppf(self, q, *args): return self._ppfvec(q, *args) def _isf(self, q, *args): return self._ppf(1.0-q, *args) # use correct _ppf for subclasses # These are actually called, and should not be overwritten if you # want to keep error checking. def rvs(self, *args, **kwds): """ Random variates of given type. Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). scale : array_like, optional Scale parameter (default=1). size : int or tuple of ints, optional Defining number of random variates (default=1). Returns ------- rvs : ndarray or scalar Random variates of given `size`. """ discrete = kwds.pop('discrete', None) args, loc, scale, size = self._parse_args_rvs(*args, **kwds) cond = logical_and(self._argcheck(*args), (scale >= 0)) if not np.all(cond): raise ValueError("Domain error in arguments.") # self._size is total size of all output values self._size = product(size, axis=0) if self._size is not None and self._size > 1: size = np.array(size, ndmin=1) if np.all(scale == 0): return loc*ones(size, 'd') vals = self._rvs(*args) if self._size is not None: vals = reshape(vals, size) vals = vals * scale + loc # Cast to int if discrete if discrete: if np.isscalar(vals): vals = int(vals) else: vals = vals.astype(int) return vals def stats(self, *args, **kwds): """ Some statistics of the given RV Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional (discrete RVs only) scale parameter (default=1) moments : str, optional composed of letters ['mvsk'] defining which moments to compute: 'm' = mean, 'v' = variance, 's' = (Fisher's) skew, 'k' = (Fisher's) kurtosis. (default='mv') Returns ------- stats : sequence of requested moments. """ args, loc, scale, moments = self._parse_args_stats(*args, **kwds) # scale = 1 by construction for discrete RVs loc, scale = map(asarray, (loc, scale)) args = tuple(map(asarray, args)) cond = self._argcheck(*args) & (scale > 0) & (loc == loc) output = [] default = valarray(shape(cond), self.badvalue) # Use only entries that are valid in calculation if any(cond): goodargs = argsreduce(cond, *(args+(scale, loc))) scale, loc, goodargs = goodargs[-2], goodargs[-1], goodargs[:-2] if self._stats_has_moments: mu, mu2, g1, g2 = self._stats(*goodargs, **{'moments': moments}) else: mu, mu2, g1, g2 = self._stats(*goodargs) if g1 is None: mu3 = None else: if mu2 is None: mu2 = self._munp(2, *goodargs) # (mu2**1.5) breaks down for nan and inf mu3 = g1 * np.power(mu2, 1.5) if 'm' in moments: if mu is None: mu = self._munp(1, *goodargs) out0 = default.copy() place(out0, cond, mu * scale + loc) output.append(out0) if 'v' in moments: if mu2 is None: mu2p = self._munp(2, *goodargs) if mu is None: mu = self._munp(1, *goodargs) mu2 = mu2p - mu * mu if np.isinf(mu): #if mean is inf then var is also inf mu2 = np.inf out0 = default.copy() place(out0, cond, mu2 * scale * scale) output.append(out0) if 's' in moments: if g1 is None: mu3p = self._munp(3, *goodargs) if mu is None: mu = self._munp(1, *goodargs) if mu2 is None: mu2p = self._munp(2, *goodargs) mu2 = mu2p - mu * mu mu3 = mu3p - 3 * mu * mu2 - mu**3 g1 = mu3 / np.power(mu2, 1.5) out0 = default.copy() place(out0, cond, g1) output.append(out0) if 'k' in moments: if g2 is None: mu4p = self._munp(4, *goodargs) if mu is None: mu = self._munp(1, *goodargs) if mu2 is None: mu2p = self._munp(2, *goodargs) mu2 = mu2p - mu * mu if mu3 is None: mu3p = self._munp(3, *goodargs) mu3 = mu3p - 3 * mu * mu2 - mu**3 mu4 = mu4p - 4 * mu * mu3 - 6 * mu * mu * mu2 - mu**4 g2 = mu4 / mu2**2.0 - 3.0 out0 = default.copy() place(out0, cond, g2) output.append(out0) else: # no valid args output = [] for _ in moments: out0 = default.copy() output.append(out0) if len(output) == 1: return output[0] else: return tuple(output) def entropy(self, *args, **kwds): """ Differential entropy of the RV. Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). scale : array_like, optional (continuous distributions only). Scale parameter (default=1). Notes ----- Entropy is defined base `e`: >>> drv = rv_discrete(values=((0, 1), (0.5, 0.5))) >>> np.allclose(drv.entropy(), np.log(2.0)) True """ args, loc, scale = self._parse_args(*args, **kwds) # NB: for discrete distributions scale=1 by construction in _parse_args args = tuple(map(asarray, args)) cond0 = self._argcheck(*args) & (scale > 0) & (loc == loc) output = zeros(shape(cond0), 'd') place(output, (1-cond0), self.badvalue) goodargs = argsreduce(cond0, *args) # I don't know when or why vecentropy got broken when numargs == 0 # 09.08.2013: is this still relevant? cf check_vecentropy test # in tests/test_continuous_basic.py if self.numargs == 0: place(output, cond0, self._entropy() + log(scale)) else: place(output, cond0, self.vecentropy(*goodargs) + log(scale)) return output def moment(self, n, *args, **kwds): """ n'th order non-central moment of distribution. Parameters ---------- n : int, n>=1 Order of moment. arg1, arg2, arg3,... : float The shape parameter(s) for the distribution (see docstring of the instance object for more information). kwds : keyword arguments, optional These can include "loc" and "scale", as well as other keyword arguments relevant for a given distribution. """ args, loc, scale = self._parse_args(*args, **kwds) if not (self._argcheck(*args) and (scale > 0)): return nan if (floor(n) != n): raise ValueError("Moment must be an integer.") if (n < 0): raise ValueError("Moment must be positive.") mu, mu2, g1, g2 = None, None, None, None if (n > 0) and (n < 5): if self._stats_has_moments: mdict = {'moments': {1: 'm', 2: 'v', 3: 'vs', 4: 'vk'}[n]} else: mdict = {} mu, mu2, g1, g2 = self._stats(*args, **mdict) val = _moment_from_stats(n, mu, mu2, g1, g2, self._munp, args) # Convert to transformed X = L + S*Y # E[X^n] = E[(L+S*Y)^n] = L^n sum(comb(n, k)*(S/L)^k E[Y^k], k=0...n) if loc == 0: return scale**n * val else: result = 0 fac = float(scale) / float(loc) for k in range(n): valk = _moment_from_stats(k, mu, mu2, g1, g2, self._munp, args) result += comb(n, k, exact=True)*(fac**k) * valk result += fac**n * val return result * loc**n def median(self, *args, **kwds): """ Median of the distribution. Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional Location parameter, Default is 0. scale : array_like, optional Scale parameter, Default is 1. Returns ------- median : float The median of the distribution. See Also -------- stats.distributions.rv_discrete.ppf Inverse of the CDF """ return self.ppf(0.5, *args, **kwds) def mean(self, *args, **kwds): """ Mean of the distribution Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- mean : float the mean of the distribution """ kwds['moments'] = 'm' res = self.stats(*args, **kwds) if isinstance(res, ndarray) and res.ndim == 0: return res[()] return res def var(self, *args, **kwds): """ Variance of the distribution Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- var : float the variance of the distribution """ kwds['moments'] = 'v' res = self.stats(*args, **kwds) if isinstance(res, ndarray) and res.ndim == 0: return res[()] return res def std(self, *args, **kwds): """ Standard deviation of the distribution. Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- std : float standard deviation of the distribution """ kwds['moments'] = 'v' res = sqrt(self.stats(*args, **kwds)) return res def interval(self, alpha, *args, **kwds): """ Confidence interval with equal areas around the median. Parameters ---------- alpha : array_like of float Probability that an rv will be drawn from the returned range. Each value should be in the range [0, 1]. arg1, arg2, ... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional location parameter, Default is 0. scale : array_like, optional scale parameter, Default is 1. Returns ------- a, b : ndarray of float end-points of range that contain ``100 * alpha %`` of the rv's possible values. """ alpha = asarray(alpha) if any((alpha > 1) | (alpha < 0)): raise ValueError("alpha must be between 0 and 1 inclusive") q1 = (1.0-alpha)/2 q2 = (1.0+alpha)/2 a = self.ppf(q1, *args, **kwds) b = self.ppf(q2, *args, **kwds) return a, b ## continuous random variables: implement maybe later ## ## hf --- Hazard Function (PDF / SF) ## chf --- Cumulative hazard function (-log(SF)) ## psf --- Probability sparsity function (reciprocal of the pdf) in ## units of percent-point-function (as a function of q). ## Also, the derivative of the percent-point function. class rv_continuous(rv_generic): """ A generic continuous random variable class meant for subclassing. `rv_continuous` is a base class to construct specific distribution classes and instances from for continuous random variables. It cannot be used directly as a distribution. Parameters ---------- momtype : int, optional The type of generic moment calculation to use: 0 for pdf, 1 (default) for ppf. a : float, optional Lower bound of the support of the distribution, default is minus infinity. b : float, optional Upper bound of the support of the distribution, default is plus infinity. xtol : float, optional The tolerance for fixed point calculation for generic ppf. badvalue : object, optional The value in a result arrays that indicates a value that for which some argument restriction is violated, default is np.nan. name : str, optional The name of the instance. This string is used to construct the default example for distributions. longname : str, optional This string is used as part of the first line of the docstring returned when a subclass has no docstring of its own. Note: `longname` exists for backwards compatibility, do not use for new subclasses. shapes : str, optional The shape of the distribution. For example ``"m, n"`` for a distribution that takes two integers as the two shape arguments for all its methods. extradoc : str, optional, deprecated This string is used as the last part of the docstring returned when a subclass has no docstring of its own. Note: `extradoc` exists for backwards compatibility, do not use for new subclasses. Methods ------- ``rvs(, loc=0, scale=1, size=1)`` random variates ``pdf(x, , loc=0, scale=1)`` probability density function ``logpdf(x, , loc=0, scale=1)`` log of the probability density function ``cdf(x, , loc=0, scale=1)`` cumulative density function ``logcdf(x, , loc=0, scale=1)`` log of the cumulative density function ``sf(x, , loc=0, scale=1)`` survival function (1-cdf --- sometimes more accurate) ``logsf(x, , loc=0, scale=1)`` log of the survival function ``ppf(q, , loc=0, scale=1)`` percent point function (inverse of cdf --- quantiles) ``isf(q, , loc=0, scale=1)`` inverse survival function (inverse of sf) ``moment(n, , loc=0, scale=1)`` non-central n-th moment of the distribution. May not work for array arguments. ``stats(, loc=0, scale=1, moments='mv')`` mean('m'), variance('v'), skew('s'), and/or kurtosis('k') ``entropy(, loc=0, scale=1)`` (differential) entropy of the RV. ``fit(data, , loc=0, scale=1)`` Parameter estimates for generic data ``expect(func=None, args=(), loc=0, scale=1, lb=None, ub=None, conditional=False, **kwds)`` Expected value of a function with respect to the distribution. Additional kwd arguments passed to integrate.quad ``median(, loc=0, scale=1)`` Median of the distribution. ``mean(, loc=0, scale=1)`` Mean of the distribution. ``std(, loc=0, scale=1)`` Standard deviation of the distribution. ``var(, loc=0, scale=1)`` Variance of the distribution. ``interval(alpha, , loc=0, scale=1)`` Interval that with `alpha` percent probability contains a random realization of this distribution. ``__call__(, loc=0, scale=1)`` Calling a distribution instance creates a frozen RV object with the same methods but holding the given shape, location, and scale fixed. See Notes section. **Parameters for Methods** x : array_like quantiles q : array_like lower or upper tail probability : array_like shape parameters loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) size : int or tuple of ints, optional shape of random variates (default computed from input arguments ) moments : string, optional composed of letters ['mvsk'] specifying which moments to compute where 'm' = mean, 'v' = variance, 's' = (Fisher's) skew and 'k' = (Fisher's) kurtosis. (default='mv') n : int order of moment to calculate in method moments Notes ----- **Methods that can be overwritten by subclasses** :: _rvs _pdf _cdf _sf _ppf _isf _stats _munp _entropy _argcheck There are additional (internal and private) generic methods that can be useful for cross-checking and for debugging, but might work in all cases when directly called. **Frozen Distribution** Alternatively, the object may be called (as a function) to fix the shape, location, and scale parameters returning a "frozen" continuous RV object: rv = generic(, loc=0, scale=1) frozen RV object with the same methods but holding the given shape, location, and scale fixed **Subclassing** New random variables can be defined by subclassing rv_continuous class and re-defining at least the ``_pdf`` or the ``_cdf`` method (normalized to location 0 and scale 1) which will be given clean arguments (in between a and b) and passing the argument check method. If positive argument checking is not correct for your RV then you will also need to re-define the ``_argcheck`` method. Correct, but potentially slow defaults exist for the remaining methods but for speed and/or accuracy you can over-ride:: _logpdf, _cdf, _logcdf, _ppf, _rvs, _isf, _sf, _logsf Rarely would you override ``_isf``, ``_sf`` or ``_logsf``, but you could. Statistics are computed using numerical integration by default. For speed you can redefine this using ``_stats``: - take shape parameters and return mu, mu2, g1, g2 - If you can't compute one of these, return it as None - Can also be defined with a keyword argument ``moments=``, where is a string composed of 'm', 'v', 's', and/or 'k'. Only the components appearing in string should be computed and returned in the order 'm', 'v', 's', or 'k' with missing values returned as None. Alternatively, you can override ``_munp``, which takes n and shape parameters and returns the nth non-central moment of the distribution. A note on ``shapes``: subclasses need not specify them explicitly. In this case, the `shapes` will be automatically deduced from the signatures of the overridden methods. If, for some reason, you prefer to avoid relying on introspection, you can specify ``shapes`` explicitly as an argument to the instance constructor. Examples -------- To create a new Gaussian distribution, we would do the following:: class gaussian_gen(rv_continuous): "Gaussian distribution" def _pdf(self, x): ... ... """ def __init__(self, momtype=1, a=None, b=None, xtol=1e-14, badvalue=None, name=None, longname=None, shapes=None, extradoc=None): super(rv_continuous, self).__init__() # save the ctor parameters, cf generic freeze self._ctor_param = dict( momtype=momtype, a=a, b=b, xtol=xtol, badvalue=badvalue, name=name, longname=longname, shapes=shapes, extradoc=extradoc) if badvalue is None: badvalue = nan if name is None: name = 'Distribution' self.badvalue = badvalue self.name = name self.a = a self.b = b if a is None: self.a = -inf if b is None: self.b = inf self.xtol = xtol self._size = 1 self.moment_type = momtype self.shapes = shapes self._construct_argparser(meths_to_inspect=[self._pdf, self._cdf], locscale_in='loc=0, scale=1', locscale_out='loc, scale') # nin correction self._ppfvec = vectorize(self._ppf_single, otypes='d') self._ppfvec.nin = self.numargs + 1 self.vecentropy = vectorize(self._entropy, otypes='d') self._cdfvec = vectorize(self._cdf_single, otypes='d') self._cdfvec.nin = self.numargs + 1 # backwards compat. these were removed in 0.14.0, put back but # deprecated in 0.14.1: self.vecfunc = np.deprecate(self._ppfvec, "vecfunc") self.veccdf = np.deprecate(self._cdfvec, "veccdf") self.extradoc = extradoc if momtype == 0: self.generic_moment = vectorize(self._mom0_sc, otypes='d') else: self.generic_moment = vectorize(self._mom1_sc, otypes='d') # Because of the *args argument of _mom0_sc, vectorize cannot count the # number of arguments correctly. self.generic_moment.nin = self.numargs + 1 if longname is None: if name[0] in ['aeiouAEIOU']: hstr = "An " else: hstr = "A " longname = hstr + name if sys.flags.optimize < 2: # Skip adding docstrings if interpreter is run with -OO if self.__doc__ is None: self._construct_default_doc(longname=longname, extradoc=extradoc) else: dct = dict(distcont) self._construct_doc(docdict, dct.get(self.name)) def _construct_default_doc(self, longname=None, extradoc=None): """Construct instance docstring from the default template.""" if longname is None: longname = 'A' if extradoc is None: extradoc = '' if extradoc.startswith('\n\n'): extradoc = extradoc[2:] self.__doc__ = ''.join(['%s continuous random variable.' % longname, '\n\n%(before_notes)s\n', docheaders['notes'], extradoc, '\n%(example)s']) self._construct_doc(docdict) def _ppf_to_solve(self, x, q, *args): return self.cdf(*(x, )+args)-q def _ppf_single(self, q, *args): left = right = None if self.a > -np.inf: left = self.a if self.b < np.inf: right = self.b factor = 10. if not left: # i.e. self.a = -inf left = -1.*factor while self._ppf_to_solve(left, q, *args) > 0.: right = left left *= factor # left is now such that cdf(left) < q if not right: # i.e. self.b = inf right = factor while self._ppf_to_solve(right, q, *args) < 0.: left = right right *= factor # right is now such that cdf(right) > q return optimize.brentq(self._ppf_to_solve, left, right, args=(q,)+args, xtol=self.xtol) # moment from definition def _mom_integ0(self, x, m, *args): return x**m * self.pdf(x, *args) def _mom0_sc(self, m, *args): return integrate.quad(self._mom_integ0, self.a, self.b, args=(m,)+args)[0] # moment calculated using ppf def _mom_integ1(self, q, m, *args): return (self.ppf(q, *args))**m def _mom1_sc(self, m, *args): return integrate.quad(self._mom_integ1, 0, 1, args=(m,)+args)[0] def _pdf(self, x, *args): return derivative(self._cdf, x, dx=1e-5, args=args, order=5) ## Could also define any of these def _logpdf(self, x, *args): return log(self._pdf(x, *args)) def _cdf_single(self, x, *args): return integrate.quad(self._pdf, self.a, x, args=args)[0] def _cdf(self, x, *args): return self._cdfvec(x, *args) ## generic _argcheck, _logcdf, _sf, _logsf, _ppf, _isf, _rvs are defined ## in rv_generic def pdf(self, x, *args, **kwds): """ Probability density function at x of the given RV. Parameters ---------- x : array_like quantiles arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- pdf : ndarray Probability density function evaluated at x """ args, loc, scale = self._parse_args(*args, **kwds) x, loc, scale = map(asarray, (x, loc, scale)) args = tuple(map(asarray, args)) x = asarray((x-loc)*1.0/scale) cond0 = self._argcheck(*args) & (scale > 0) cond1 = (scale > 0) & (x >= self.a) & (x <= self.b) cond = cond0 & cond1 output = zeros(shape(cond), 'd') putmask(output, (1-cond0)+np.isnan(x), self.badvalue) if any(cond): goodargs = argsreduce(cond, *((x,)+args+(scale,))) scale, goodargs = goodargs[-1], goodargs[:-1] place(output, cond, self._pdf(*goodargs) / scale) if output.ndim == 0: return output[()] return output def logpdf(self, x, *args, **kwds): """ Log of the probability density function at x of the given RV. This uses a more numerically accurate calculation if available. Parameters ---------- x : array_like quantiles arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- logpdf : array_like Log of the probability density function evaluated at x """ args, loc, scale = self._parse_args(*args, **kwds) x, loc, scale = map(asarray, (x, loc, scale)) args = tuple(map(asarray, args)) x = asarray((x-loc)*1.0/scale) cond0 = self._argcheck(*args) & (scale > 0) cond1 = (scale > 0) & (x >= self.a) & (x <= self.b) cond = cond0 & cond1 output = empty(shape(cond), 'd') output.fill(NINF) putmask(output, (1-cond0)+np.isnan(x), self.badvalue) if any(cond): goodargs = argsreduce(cond, *((x,)+args+(scale,))) scale, goodargs = goodargs[-1], goodargs[:-1] place(output, cond, self._logpdf(*goodargs) - log(scale)) if output.ndim == 0: return output[()] return output def cdf(self, x, *args, **kwds): """ Cumulative distribution function of the given RV. Parameters ---------- x : array_like quantiles arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- cdf : ndarray Cumulative distribution function evaluated at `x` """ args, loc, scale = self._parse_args(*args, **kwds) x, loc, scale = map(asarray, (x, loc, scale)) args = tuple(map(asarray, args)) x = (x-loc)*1.0/scale cond0 = self._argcheck(*args) & (scale > 0) cond1 = (scale > 0) & (x > self.a) & (x < self.b) cond2 = (x >= self.b) & cond0 cond = cond0 & cond1 output = zeros(shape(cond), 'd') place(output, (1-cond0)+np.isnan(x), self.badvalue) place(output, cond2, 1.0) if any(cond): # call only if at least 1 entry goodargs = argsreduce(cond, *((x,)+args)) place(output, cond, self._cdf(*goodargs)) if output.ndim == 0: return output[()] return output def logcdf(self, x, *args, **kwds): """ Log of the cumulative distribution function at x of the given RV. Parameters ---------- x : array_like quantiles arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- logcdf : array_like Log of the cumulative distribution function evaluated at x """ args, loc, scale = self._parse_args(*args, **kwds) x, loc, scale = map(asarray, (x, loc, scale)) args = tuple(map(asarray, args)) x = (x-loc)*1.0/scale cond0 = self._argcheck(*args) & (scale > 0) cond1 = (scale > 0) & (x > self.a) & (x < self.b) cond2 = (x >= self.b) & cond0 cond = cond0 & cond1 output = empty(shape(cond), 'd') output.fill(NINF) place(output, (1-cond0)*(cond1 == cond1)+np.isnan(x), self.badvalue) place(output, cond2, 0.0) if any(cond): # call only if at least 1 entry goodargs = argsreduce(cond, *((x,)+args)) place(output, cond, self._logcdf(*goodargs)) if output.ndim == 0: return output[()] return output def sf(self, x, *args, **kwds): """ Survival function (1-cdf) at x of the given RV. Parameters ---------- x : array_like quantiles arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- sf : array_like Survival function evaluated at x """ args, loc, scale = self._parse_args(*args, **kwds) x, loc, scale = map(asarray, (x, loc, scale)) args = tuple(map(asarray, args)) x = (x-loc)*1.0/scale cond0 = self._argcheck(*args) & (scale > 0) cond1 = (scale > 0) & (x > self.a) & (x < self.b) cond2 = cond0 & (x <= self.a) cond = cond0 & cond1 output = zeros(shape(cond), 'd') place(output, (1-cond0)+np.isnan(x), self.badvalue) place(output, cond2, 1.0) if any(cond): goodargs = argsreduce(cond, *((x,)+args)) place(output, cond, self._sf(*goodargs)) if output.ndim == 0: return output[()] return output def logsf(self, x, *args, **kwds): """ Log of the survival function of the given RV. Returns the log of the "survival function," defined as (1 - `cdf`), evaluated at `x`. Parameters ---------- x : array_like quantiles arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- logsf : ndarray Log of the survival function evaluated at `x`. """ args, loc, scale = self._parse_args(*args, **kwds) x, loc, scale = map(asarray, (x, loc, scale)) args = tuple(map(asarray, args)) x = (x-loc)*1.0/scale cond0 = self._argcheck(*args) & (scale > 0) cond1 = (scale > 0) & (x > self.a) & (x < self.b) cond2 = cond0 & (x <= self.a) cond = cond0 & cond1 output = empty(shape(cond), 'd') output.fill(NINF) place(output, (1-cond0)+np.isnan(x), self.badvalue) place(output, cond2, 0.0) if any(cond): goodargs = argsreduce(cond, *((x,)+args)) place(output, cond, self._logsf(*goodargs)) if output.ndim == 0: return output[()] return output def ppf(self, q, *args, **kwds): """ Percent point function (inverse of cdf) at q of the given RV. Parameters ---------- q : array_like lower tail probability arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- x : array_like quantile corresponding to the lower tail probability q. """ args, loc, scale = self._parse_args(*args, **kwds) q, loc, scale = map(asarray, (q, loc, scale)) args = tuple(map(asarray, args)) cond0 = self._argcheck(*args) & (scale > 0) & (loc == loc) cond1 = (0 < q) & (q < 1) cond2 = cond0 & (q == 0) cond3 = cond0 & (q == 1) cond = cond0 & cond1 output = valarray(shape(cond), value=self.badvalue) lower_bound = self.a * scale + loc upper_bound = self.b * scale + loc place(output, cond2, argsreduce(cond2, lower_bound)[0]) place(output, cond3, argsreduce(cond3, upper_bound)[0]) if any(cond): # call only if at least 1 entry goodargs = argsreduce(cond, *((q,)+args+(scale, loc))) scale, loc, goodargs = goodargs[-2], goodargs[-1], goodargs[:-2] place(output, cond, self._ppf(*goodargs) * scale + loc) if output.ndim == 0: return output[()] return output def isf(self, q, *args, **kwds): """ Inverse survival function at q of the given RV. Parameters ---------- q : array_like upper tail probability arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional location parameter (default=0) scale : array_like, optional scale parameter (default=1) Returns ------- x : ndarray or scalar Quantile corresponding to the upper tail probability q. """ args, loc, scale = self._parse_args(*args, **kwds) q, loc, scale = map(asarray, (q, loc, scale)) args = tuple(map(asarray, args)) cond0 = self._argcheck(*args) & (scale > 0) & (loc == loc) cond1 = (0 < q) & (q < 1) cond2 = cond0 & (q == 1) cond3 = cond0 & (q == 0) cond = cond0 & cond1 output = valarray(shape(cond), value=self.badvalue) lower_bound = self.a * scale + loc upper_bound = self.b * scale + loc place(output, cond2, argsreduce(cond2, lower_bound)[0]) place(output, cond3, argsreduce(cond3, upper_bound)[0]) if any(cond): goodargs = argsreduce(cond, *((q,)+args+(scale, loc))) scale, loc, goodargs = goodargs[-2], goodargs[-1], goodargs[:-2] place(output, cond, self._isf(*goodargs) * scale + loc) if output.ndim == 0: return output[()] return output def link(self, x, logSF, theta, i): ''' Return theta[i] as function of quantile, survival probability and theta[j] for j!=i. Parameters ---------- x : quantile logSF : logarithm of the survival probability theta : list all distribution parameters including location and scale. Returns ------- theta[i] : real scalar fixed distribution parameter theta[i] as function of x, logSF and theta[j] where j != i. LINK is a function connecting the fixed distribution parameter theta[i] with the quantile (x) and the survival probability (SF) and the remaining free distribution parameters theta[j] for j!=i, i.e.: theta[i] = link(x, logSF, theta, i), where logSF = log(Prob(X>x; theta)). See also estimation.Profile ''' return self._link(x, logSF, theta, i) def _link(self, x, logSF, theta, i): msg = ('Link function not implemented for the %s distribution' % self.name) raise NotImplementedError(msg) def _nnlf(self, x, *args): return -sum(self._logpdf(x, *args), axis=0) def nnlf(self, theta, x): '''Return negative loglikelihood function Notes ----- This is ``-sum(log pdf(x, theta), axis=0)`` where theta are the parameters (including loc and scale). ''' try: loc = theta[-2] scale = theta[-1] args = tuple(theta[:-2]) except IndexError: raise ValueError("Not enough input arguments.") if not self._argcheck(*args) or scale <= 0: return inf x = asarray((x-loc) / scale) cond0 = (x <= self.a) | (self.b <= x) if (any(cond0)): return inf else: N = len(x) return self._nnlf(x, *args) + N * log(scale) def _penalized_nnlf(self, theta, x): ''' Return negative loglikelihood function, i.e., - sum (log pdf(x, theta), axis=0) where theta are the parameters (including loc and scale) ''' try: loc = theta[-2] scale = theta[-1] args = tuple(theta[:-2]) except IndexError: raise ValueError("Not enough input arguments.") if not self._argcheck(*args) or scale <= 0: return inf x = asarray((x-loc) / scale) loginf = log(_XMAX) if np.isneginf(self.a).all() and np.isinf(self.b).all(): Nbad = 0 else: cond0 = (x <= self.a) | (self.b <= x) Nbad = sum(cond0) if Nbad > 0: x = argsreduce(~cond0, x)[0] N = len(x) return self._nnlf(x, *args) + N*log(scale) + Nbad * 100.0 * loginf def hessian_nnlf(self, theta, data, eps=None): ''' approximate hessian of nnlf where theta are the parameters (including loc and scale) ''' #Nd = len(x) np = len(theta) # pab 07.01.2001: Always choose the stepsize h so that # it is an exactly representable number. # This is important when calculating numerical derivatives and is # accomplished by the following. if eps == None: eps = (_EPS) ** 0.4 #xmin = floatinfo.machar.xmin #myfun = lambda y: max(y,100.0*log(xmin)) #% trick to avoid log of zero delta = (eps + 2.0) - 2.0 delta2 = delta ** 2.0 # Approximate 1/(nE( (d L(x|theta)/dtheta)^2)) with # 1/(d^2 L(theta|x)/dtheta^2) # using central differences LL = self.nnlf(theta, data) H = zeros((np, np)) #%% Hessian matrix theta = tuple(theta) for ix in xrange(np): sparam = list(theta) sparam[ix] = theta[ix] + delta fp = self.nnlf(sparam, data) #fp = sum(myfun(x)) sparam[ix] = theta[ix] - delta fm = self.nnlf(sparam, data) #fm = sum(myfun(x)) H[ix, ix] = (fp - 2 * LL + fm) / delta2 for iy in range(ix + 1, np): sparam[ix] = theta[ix] + delta sparam[iy] = theta[iy] + delta fpp = self.nnlf(sparam, data) #fpp = sum(myfun(x)) sparam[iy] = theta[iy] - delta fpm = self.nnlf(sparam, data) #fpm = sum(myfun(x)) sparam[ix] = theta[ix] - delta fmm = self.nnlf(sparam, data) #fmm = sum(myfun(x)); sparam[iy] = theta[iy] + delta fmp = self.nnlf(sparam, data) #fmp = sum(myfun(x)) H[ix, iy] = ((fpp + fmm) - (fmp + fpm)) / (4. * delta2) H[iy, ix] = H[ix, iy] sparam[iy] = theta[iy] # invert the Hessian matrix (i.e. invert the observed information number) #pcov = -pinv(H); return - H def nlogps(self, theta, x): """ Moran's negative log Product Spacings statistic where theta are the parameters (including loc and scale) Note the data in x must be sorted References ----------- R. C. H. Cheng; N. A. K. Amin (1983) "Estimating Parameters in Continuous Univariate Distributions with a Shifted Origin.", Journal of the Royal Statistical Society. Series B (Methodological), Vol. 45, No. 3. (1983), pp. 394-403. R. C. H. Cheng; M. A. Stephens (1989) "A Goodness-Of-Fit Test Using Moran's Statistic with Estimated Parameters", Biometrika, 76, 2, pp 385-392 Wong, T.S.T. and Li, W.K. (2006) "A note on the estimation of extreme value distributions using maximum product of spacings.", IMS Lecture Notes Monograph Series 2006, Vol. 52, pp. 272-283 """ try: loc = theta[-2] scale = theta[-1] args = tuple(theta[:-2]) except IndexError: raise ValueError("Not enough input arguments.") if not self._argcheck(*args) or scale <= 0: return inf x = asarray((x - loc) / scale) cond0 = (x <= self.a) | (self.b <= x) Nbad = sum(cond0) if Nbad > 0: x = argsreduce(~cond0, x)[0] lowertail = True if lowertail: prb = np.hstack((0.0, self.cdf(x, *args), 1.0)) dprb = np.diff(prb) else: prb = np.hstack((1.0, self.sf(x, *args), 0.0)) dprb = -np.diff(prb) logD = log(dprb) dx = np.diff(x, axis=0) tie = (dx == 0) if any(tie): # TODO : implement this method for treating ties in data: # Assume measuring error is delta. Then compute # yL = F(xi-delta,theta) # yU = F(xi+delta,theta) # and replace # logDj = log((yU-yL)/(r-1)) for j = i+1,i+2,...i+r-1 # The following is OK when only minimization of T is wanted i_tie, = np.nonzero(tie) tiedata = x[i_tie] logD[i_tie + 1] = log(self._pdf(tiedata, *args)) - log(scale) finiteD = np.isfinite(logD) nonfiniteD = 1 - finiteD Nbad += sum(nonfiniteD, axis=0) if Nbad > 0: T = -sum(logD[finiteD], axis=0) + 100.0 * log(_XMAX) * Nbad else: T = -sum(logD, axis=0) #Moran's negative log product spacing statistic return T def hessian_nlogps(self, theta, data, eps=None): ''' approximate hessian of nlogps where theta are the parameters (including loc and scale) ''' np = len(theta) # pab 07.01.2001: Always choose the stepsize h so that # it is an exactly representable number. # This is important when calculating numerical derivatives and is # accomplished by the following. if eps == None: eps = (_EPS) ** 0.4 #xmin = floatinfo.machar.xmin #myfun = lambda y: max(y,100.0*log(xmin)) #% trick to avoid log of zero delta = (eps + 2.0) - 2.0 delta2 = delta ** 2.0 # Approximate 1/(nE( (d L(x|theta)/dtheta)^2)) with # 1/(d^2 L(theta|x)/dtheta^2) # using central differences LL = self.nlogps(theta, data) H = zeros((np, np)) # Hessian matrix theta = tuple(theta) for ix in xrange(np): sparam = list(theta) sparam[ix] = theta[ix] + delta fp = self.nlogps(sparam, data) #fp = sum(myfun(x)) sparam[ix] = theta[ix] - delta fm = self.nlogps(sparam, data) #fm = sum(myfun(x)) H[ix, ix] = (fp - 2 * LL + fm) / delta2 for iy in range(ix + 1, np): sparam[ix] = theta[ix] + delta sparam[iy] = theta[iy] + delta fpp = self.nlogps(sparam, data) #fpp = sum(myfun(x)) sparam[iy] = theta[iy] - delta fpm = self.nlogps(sparam, data) #fpm = sum(myfun(x)) sparam[ix] = theta[ix] - delta fmm = self.nlogps(sparam, data) #fmm = sum(myfun(x)); sparam[iy] = theta[iy] + delta fmp = self.nlogps(sparam, data) #fmp = sum(myfun(x)) H[ix, iy] = ((fpp + fmm) - (fmp + fpm)) / (4. * delta2) H[iy, ix] = H[ix, iy] sparam[iy] = theta[iy]; # invert the Hessian matrix (i.e. invert the observed information number) #pcov = -pinv(H); return - H # return starting point for fit (shape arguments + loc + scale) def _fitstart(self, data, args=None): if args is None: args = (1.0,)*self.numargs return args + self.fit_loc_scale(data, *args) # Return the (possibly reduced) function to optimize in order to find MLE # estimates for the .fit method def _reduce_func(self, args, kwds): args = list(args) Nargs = len(args) fixedn = [] index = list(range(Nargs)) names = ['f%d' % n for n in range(Nargs - 2)] + ['floc', 'fscale'] x0 = [] for n, key in zip(index, names): if key in kwds: fixedn.append(n) args[n] = kwds[key] else: x0.append(args[n]) method = kwds.get('method', 'ml').lower() if method.startswith('mps'): fitfun = self.nlogps else: fitfun = self._penalized_nnlf if len(fixedn) == 0: func = fitfun restore = None else: if len(fixedn) == len(index): raise ValueError( "All parameters fixed. There is nothing to optimize.") def restore(args, theta): # Replace with theta for all numbers not in fixedn # This allows the non-fixed values to vary, but # we still call self.nnlf with all parameters. i = 0 for n in range(Nargs): if n not in fixedn: args[n] = theta[i] i += 1 return args def func(theta, x): newtheta = restore(args[:], theta) return fitfun(newtheta, x) return x0, func, restore, args def fit(self, data, *args, **kwds): """ Return MLEs for shape, location, and scale parameters from data. MLE stands for Maximum Likelihood Estimate. Starting estimates for the fit are given by input arguments; for any arguments not provided with starting estimates, ``self._fitstart(data)`` is called to generate such. One can hold some parameters fixed to specific values by passing in keyword arguments ``f0``, ``f1``, ..., ``fn`` (for shape parameters) and ``floc`` and ``fscale`` (for location and scale parameters, respectively). Parameters ---------- data : array_like Data to use in calculating the MLEs. args : floats, optional Starting value(s) for any shape-characterizing arguments (those not provided will be determined by a call to ``_fitstart(data)``). No default value. kwds : floats, optional Starting values for the location and scale parameters; no default. Special keyword arguments are recognized as holding certain parameters fixed: f0...fn : hold respective shape parameters fixed. floc : hold location parameter fixed to specified value. fscale : hold scale parameter fixed to specified value. optimizer : The optimizer to use. The optimizer must take func, and starting position as the first two arguments, plus args (for extra arguments to pass to the function to be optimized) and disp=0 to suppress output as keyword arguments. Returns ------- shape, loc, scale : tuple of floats MLEs for any shape statistics, followed by those for location and scale. Notes ----- This fit is computed by maximizing a log-likelihood function, with penalty applied for samples outside of range of the distribution. The returned answer is not guaranteed to be the globally optimal MLE, it may only be locally optimal, or the optimization may fail altogether. """ Narg = len(args) if Narg > self.numargs: raise TypeError("Too many input arguments.") start = [None]*2 if (Narg < self.numargs) or not ('loc' in kwds and 'scale' in kwds): # get distribution specific starting locations start = self._fitstart(data) args += start[Narg:-2] loc = kwds.get('loc', start[-2]) scale = kwds.get('scale', start[-1]) args += (loc, scale) x0, func, restore, args = self._reduce_func(args, kwds) optimizer = kwds.get('optimizer', optimize.fmin) # convert string to function in scipy.optimize if not callable(optimizer) and isinstance(optimizer, string_types): if not optimizer.startswith('fmin_'): optimizer = "fmin_"+optimizer if optimizer == 'fmin_': optimizer = 'fmin' try: optimizer = getattr(optimize, optimizer) except AttributeError: raise ValueError("%s is not a valid optimizer" % optimizer) vals = optimizer(func, x0, args=(ravel(data),), disp=0) if restore is not None: vals = restore(args, vals) vals = tuple(vals) return vals def fit2(self, data, *args, **kwds): ''' Return Maximum Likelihood or Maximum Product Spacing estimator object Parameters ---------- data : array-like Data to use in calculating the ML or MPS estimators args : optional Starting values for any shape arguments (those not specified will be determined by dist._fitstart(data)) kwds : loc, scale Starting values for the location and scale parameters Special keyword arguments are recognized as holding certain parameters fixed: f0..fn : hold respective shape paramters fixed floc : hold location parameter fixed to specified value fscale : hold scale parameter fixed to specified value method : of estimation. Options are 'ml' : Maximum Likelihood method (default) 'mps': Maximum Product Spacing method alpha : scalar, optional Confidence coefficent (default=0.05) search : bool If true search for best estimator (default), otherwise return object with initial distribution parameters copydata : bool If true copydata (default) optimizer : The optimizer to use. The optimizer must take func, and starting position as the first two arguments, plus args (for extra arguments to pass to the function to be optimized) and disp=0 to suppress output as keyword arguments. Return ------ phat : FitDistribution object Fitted distribution object with following member variables: LLmax : loglikelihood function evaluated using par LPSmax : log product spacing function evaluated using par pvalue : p-value for the fit par : distribution parameters (fixed and fitted) par_cov : covariance of distribution parameters par_fix : fixed distribution parameters par_lower : lower (1-alpha)% confidence bound for the parameters par_upper : upper (1-alpha)% confidence bound for the parameters Note ---- `data` is sorted using this function, so if `copydata`==False the data in your namespace will be sorted as well. ''' return FitDistribution(self, data, *args, **kwds) def fit_loc_scale(self, data, *args): """ Estimate loc and scale parameters from data using 1st and 2nd moments. Parameters ---------- data : array_like Data to fit. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). Returns ------- Lhat : float Estimated location parameter for the data. Shat : float Estimated scale parameter for the data. """ mu, mu2 = self.stats(*args, **{'moments': 'mv'}) tmp = asarray(data) muhat = tmp.mean() mu2hat = tmp.var() Shat = sqrt(mu2hat / mu2) Lhat = muhat - Shat*mu if not np.isfinite(Lhat): Lhat = 0 if not (np.isfinite(Shat) and (0 < Shat)): Shat = 1 return Lhat, Shat @np.deprecate def est_loc_scale(self, data, *args): """This function is deprecated, use self.fit_loc_scale(data) instead. """ return self.fit_loc_scale(data, *args) def _entropy(self, *args): def integ(x): val = self._pdf(x, *args) return -xlogy(val, val) # upper limit is often inf, so suppress warnings when integrating olderr = np.seterr(over='ignore') h = integrate.quad(integ, self.a, self.b)[0] np.seterr(**olderr) if not np.isnan(h): return h else: # try with different limits if integration problems low, upp = self.ppf([1e-10, 1. - 1e-10], *args) if np.isinf(self.b): upper = upp else: upper = self.b if np.isinf(self.a): lower = low else: lower = self.a return integrate.quad(integ, lower, upper)[0] def entropy(self, *args, **kwds): """ Differential entropy of the RV. Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). scale : array_like, optional Scale parameter (default=1). """ args, loc, scale = self._parse_args(*args, **kwds) args = tuple(map(asarray, args)) cond0 = self._argcheck(*args) & (scale > 0) & (loc == loc) output = zeros(shape(cond0), 'd') place(output, (1-cond0), self.badvalue) goodargs = argsreduce(cond0, *args) # np.vectorize doesn't work when numargs == 0 in numpy 1.5.1 if self.numargs == 0: place(output, cond0, self._entropy() + log(scale)) else: place(output, cond0, self.vecentropy(*goodargs) + log(scale)) return output def expect(self, func=None, args=(), loc=0, scale=1, lb=None, ub=None, conditional=False, **kwds): """Calculate expected value of a function with respect to the distribution. The expected value of a function ``f(x)`` with respect to a distribution ``dist`` is defined as:: ubound E[x] = Integral(f(x) * dist.pdf(x)) lbound Parameters ---------- func : callable, optional Function for which integral is calculated. Takes only one argument. The default is the identity mapping f(x) = x. args : tuple, optional Argument (parameters) of the distribution. lb, ub : scalar, optional Lower and upper bound for integration. default is set to the support of the distribution. conditional : bool, optional If True, the integral is corrected by the conditional probability of the integration interval. The return value is the expectation of the function, conditional on being in the given interval. Default is False. Additional keyword arguments are passed to the integration routine. Returns ------- expect : float The calculated expected value. Notes ----- The integration behavior of this function is inherited from `integrate.quad`. """ lockwds = {'loc': loc, 'scale': scale} self._argcheck(*args) if func is None: def fun(x, *args): return x * self.pdf(x, *args, **lockwds) else: def fun(x, *args): return func(x) * self.pdf(x, *args, **lockwds) if lb is None: lb = loc + self.a * scale if ub is None: ub = loc + self.b * scale if conditional: invfac = (self.sf(lb, *args, **lockwds) - self.sf(ub, *args, **lockwds)) else: invfac = 1.0 kwds['args'] = args # Silence floating point warnings from integration. olderr = np.seterr(all='ignore') vals = integrate.quad(fun, lb, ub, **kwds)[0] / invfac np.seterr(**olderr) return vals ## Handlers for generic case where xk and pk are given ## The _drv prefix probably means discrete random variable. def _drv_pmf(self, xk, *args): try: return self.P[xk] except KeyError: return 0.0 def _drv_cdf(self, xk, *args): indx = argmax((self.xk > xk), axis=-1)-1 return self.F[self.xk[indx]] def _drv_ppf(self, q, *args): indx = argmax((self.qvals >= q), axis=-1) return self.Finv[self.qvals[indx]] def _drv_nonzero(self, k, *args): return 1 def _drv_moment(self, n, *args): n = asarray(n) return sum(self.xk**n[np.newaxis, ...] * self.pk, axis=0) def _drv_moment_gen(self, t, *args): t = asarray(t) return sum(exp(self.xk * t[np.newaxis, ...]) * self.pk, axis=0) def _drv2_moment(self, n, *args): """Non-central moment of discrete distribution.""" # many changes, originally not even a return tot = 0.0 diff = 1e100 # pos = self.a pos = max(0.0, 1.0*self.a) count = 0 # handle cases with infinite support ulimit = max(1000, (min(self.b, 1000) + max(self.a, -1000))/2.0) llimit = min(-1000, (min(self.b, 1000) + max(self.a, -1000))/2.0) while (pos <= self.b) and ((pos <= ulimit) or (diff > self.moment_tol)): diff = np.power(pos, n) * self.pmf(pos, *args) # use pmf because _pmf does not check support in randint and there # might be problems ? with correct self.a, self.b at this stage tot += diff pos += self.inc count += 1 if self.a < 0: # handle case when self.a = -inf diff = 1e100 pos = -self.inc while (pos >= self.a) and ((pos >= llimit) or (diff > self.moment_tol)): diff = np.power(pos, n) * self.pmf(pos, *args) # using pmf instead of _pmf, see above tot += diff pos -= self.inc count += 1 return tot def _drv2_ppfsingle(self, q, *args): # Use basic bisection algorithm b = self.b a = self.a if isinf(b): # Be sure ending point is > q b = int(max(100*q, 10)) while 1: if b >= self.b: qb = 1.0 break qb = self._cdf(b, *args) if (qb < q): b += 10 else: break else: qb = 1.0 if isinf(a): # be sure starting point < q a = int(min(-100*q, -10)) while 1: if a <= self.a: qb = 0.0 break qa = self._cdf(a, *args) if (qa > q): a -= 10 else: break else: qa = self._cdf(a, *args) while 1: if (qa == q): return a if (qb == q): return b if b <= a+1: # testcase: return wrong number at lower index # python -c "from scipy.stats import zipf;print zipf.ppf(0.01, 2)" wrong # python -c "from scipy.stats import zipf;print zipf.ppf([0.01, 0.61, 0.77, 0.83], 2)" # python -c "from scipy.stats import logser;print logser.ppf([0.1, 0.66, 0.86, 0.93], 0.6)" if qa > q: return a else: return b c = int((a+b)/2.0) qc = self._cdf(c, *args) if (qc < q): if a != c: a = c else: raise RuntimeError('updating stopped, endless loop') qa = qc elif (qc > q): if b != c: b = c else: raise RuntimeError('updating stopped, endless loop') qb = qc else: return c def entropy(pk, qk=None, base=None): """Calculate the entropy of a distribution for given probability values. If only probabilities `pk` are given, the entropy is calculated as ``S = -sum(pk * log(pk), axis=0)``. If `qk` is not None, then compute the Kullback-Leibler divergence ``S = sum(pk * log(pk / qk), axis=0)``. This routine will normalize `pk` and `qk` if they don't sum to 1. Parameters ---------- pk : sequence Defines the (discrete) distribution. ``pk[i]`` is the (possibly unnormalized) probability of event ``i``. qk : sequence, optional Sequence against which the relative entropy is computed. Should be in the same format as `pk`. base : float, optional The logarithmic base to use, defaults to ``e`` (natural logarithm). Returns ------- S : float The calculated entropy. """ pk = asarray(pk) pk = 1.0*pk / sum(pk, axis=0) if qk is None: vec = xlogy(pk, pk) else: qk = asarray(qk) if len(qk) != len(pk): raise ValueError("qk and pk must have same length.") qk = 1.0*qk / sum(qk, axis=0) # If qk is zero anywhere, then unless pk is zero at those places # too, the relative entropy is infinite. mask = qk == 0.0 qk[mask] = 1.0 # Avoid the divide-by-zero warning quotient = pk / qk vec = -xlogy(pk, quotient) vec[mask & (pk != 0.0)] = -inf vec[mask & (pk == 0.0)] = 0.0 S = -sum(vec, axis=0) if base is not None: S /= log(base) return S # Must over-ride one of _pmf or _cdf or pass in # x_k, p(x_k) lists in initialization class rv_discrete(rv_generic): """ A generic discrete random variable class meant for subclassing. `rv_discrete` is a base class to construct specific distribution classes and instances from for discrete random variables. rv_discrete can be used to construct an arbitrary distribution with defined by a list of support points and the corresponding probabilities. Parameters ---------- a : float, optional Lower bound of the support of the distribution, default: 0 b : float, optional Upper bound of the support of the distribution, default: plus infinity moment_tol : float, optional The tolerance for the generic calculation of moments values : tuple of two array_like (xk, pk) where xk are points (integers) with positive probability pk with sum(pk) = 1 inc : integer increment for the support of the distribution, default: 1 other values have not been tested badvalue : object, optional The value in (masked) arrays that indicates a value that should be ignored. name : str, optional The name of the instance. This string is used to construct the default example for distributions. longname : str, optional This string is used as part of the first line of the docstring returned when a subclass has no docstring of its own. Note: `longname` exists for backwards compatibility, do not use for new subclasses. shapes : str, optional The shape of the distribution. For example ``"m, n"`` for a distribution that takes two integers as the first two arguments for all its methods. extradoc : str, optional This string is used as the last part of the docstring returned when a subclass has no docstring of its own. Note: `extradoc` exists for backwards compatibility, do not use for new subclasses. Methods ------- ``generic.rvs(, loc=0, size=1)`` random variates ``generic.pmf(x, , loc=0)`` probability mass function ``logpmf(x, , loc=0)`` log of the probability density function ``generic.cdf(x, , loc=0)`` cumulative density function ``generic.logcdf(x, , loc=0)`` log of the cumulative density function ``generic.sf(x, , loc=0)`` survival function (1-cdf --- sometimes more accurate) ``generic.logsf(x, , loc=0, scale=1)`` log of the survival function ``generic.ppf(q, , loc=0)`` percent point function (inverse of cdf --- percentiles) ``generic.isf(q, , loc=0)`` inverse survival function (inverse of sf) ``generic.moment(n, , loc=0)`` non-central n-th moment of the distribution. May not work for array arguments. ``generic.stats(, loc=0, moments='mv')`` mean('m', axis=0), variance('v'), skew('s'), and/or kurtosis('k') ``generic.entropy(, loc=0)`` entropy of the RV ``generic.expect(func=None, args=(), loc=0, lb=None, ub=None, conditional=False)`` Expected value of a function with respect to the distribution. Additional kwd arguments passed to integrate.quad ``generic.median(, loc=0)`` Median of the distribution. ``generic.mean(, loc=0)`` Mean of the distribution. ``generic.std(, loc=0)`` Standard deviation of the distribution. ``generic.var(, loc=0)`` Variance of the distribution. ``generic.interval(alpha, , loc=0)`` Interval that with `alpha` percent probability contains a random realization of this distribution. ``generic(, loc=0)`` calling a distribution instance returns a frozen distribution Notes ----- You can construct an arbitrary discrete rv where ``P{X=xk} = pk`` by passing to the rv_discrete initialization method (through the values=keyword) a tuple of sequences (xk, pk) which describes only those values of X (xk) that occur with nonzero probability (pk). To create a new discrete distribution, we would do the following:: class poisson_gen(rv_discrete): # "Poisson distribution" def _pmf(self, k, mu): ... and create an instance:: poisson = poisson_gen(name="poisson", longname='A Poisson') The docstring can be created from a template. Alternatively, the object may be called (as a function) to fix the shape and location parameters returning a "frozen" discrete RV object:: myrv = generic(, loc=0) - frozen RV object with the same methods but holding the given shape and location fixed. A note on ``shapes``: subclasses need not specify them explicitly. In this case, the `shapes` will be automatically deduced from the signatures of the overridden methods. If, for some reason, you prefer to avoid relying on introspection, you can specify ``shapes`` explicitly as an argument to the instance constructor. Examples -------- Custom made discrete distribution: >>> from scipy import stats >>> xk = np.arange(7) >>> pk = (0.1, 0.2, 0.3, 0.1, 0.1, 0.0, 0.2) >>> custm = stats.rv_discrete(name='custm', values=(xk, pk)) >>> >>> import matplotlib.pyplot as plt >>> fig, ax = plt.subplots(1, 1) >>> ax.plot(xk, custm.pmf(xk), 'ro', ms=12, mec='r') >>> ax.vlines(xk, 0, custm.pmf(xk), colors='r', lw=4) >>> plt.show() Random number generation: >>> R = custm.rvs(size=100) Check accuracy of cdf and ppf: >>> prb = custm.cdf(x, ) >>> h = plt.semilogy(np.abs(x-custm.ppf(prb, ))+1e-20) """ def __init__(self, a=0, b=inf, name=None, badvalue=None, moment_tol=1e-8, values=None, inc=1, longname=None, shapes=None, extradoc=None): super(rv_discrete, self).__init__() # cf generic freeze self._ctor_param = dict( a=a, b=b, name=name, badvalue=badvalue, moment_tol=moment_tol, values=values, inc=inc, longname=longname, shapes=shapes, extradoc=extradoc) if badvalue is None: badvalue = nan if name is None: name = 'Distribution' self.badvalue = badvalue self.a = a self.b = b self.name = name self.moment_tol = moment_tol self.inc = inc self._cdfvec = vectorize(self._cdf_single, otypes='d') self.return_integers = 1 self.vecentropy = vectorize(self._entropy) self.shapes = shapes self.extradoc = extradoc if values is not None: self.xk, self.pk = values self.return_integers = 0 indx = argsort(ravel(self.xk)) self.xk = take(ravel(self.xk), indx, 0) self.pk = take(ravel(self.pk), indx, 0) self.a = self.xk[0] self.b = self.xk[-1] self.P = dict(zip(self.xk, self.pk)) self.qvals = np.cumsum(self.pk, axis=0) self.F = dict(zip(self.xk, self.qvals)) decreasing_keys = sorted(self.F.keys(), reverse=True) self.Finv = dict((self.F[k], k) for k in decreasing_keys) self._ppf = instancemethod(vectorize(_drv_ppf, otypes='d'), self, rv_discrete) self._pmf = instancemethod(vectorize(_drv_pmf, otypes='d'), self, rv_discrete) self._cdf = instancemethod(vectorize(_drv_cdf, otypes='d'), self, rv_discrete) self._nonzero = instancemethod(_drv_nonzero, self, rv_discrete) self.generic_moment = instancemethod(_drv_moment, self, rv_discrete) self.moment_gen = instancemethod(_drv_moment_gen, self, rv_discrete) self._construct_argparser(meths_to_inspect=[_drv_pmf], locscale_in='loc=0', # scale=1 for discrete RVs locscale_out='loc, 1') else: self._construct_argparser(meths_to_inspect=[self._pmf, self._cdf], locscale_in='loc=0', # scale=1 for discrete RVs locscale_out='loc, 1') # nin correction needs to be after we know numargs # correct nin for generic moment vectorization _vec_generic_moment = vectorize(_drv2_moment, otypes='d') _vec_generic_moment.nin = self.numargs + 2 self.generic_moment = instancemethod(_vec_generic_moment, self, rv_discrete) # backwards compat. was removed in 0.14.0, put back but # deprecated in 0.14.1: self.vec_generic_moment = np.deprecate(_vec_generic_moment, "vec_generic_moment", "generic_moment") # correct nin for ppf vectorization _vppf = vectorize(_drv2_ppfsingle, otypes='d') _vppf.nin = self.numargs + 2 # +1 is for self self._ppfvec = instancemethod(_vppf, self, rv_discrete) # now that self.numargs is defined, we can adjust nin self._cdfvec.nin = self.numargs + 1 # generate docstring for subclass instances if longname is None: if name[0] in ['aeiouAEIOU']: hstr = "An " else: hstr = "A " longname = hstr + name if sys.flags.optimize < 2: # Skip adding docstrings if interpreter is run with -OO if self.__doc__ is None: self._construct_default_doc(longname=longname, extradoc=extradoc) else: dct = dict(distdiscrete) self._construct_doc(docdict_discrete, dct.get(self.name)) #discrete RV do not have the scale parameter, remove it self.__doc__ = self.__doc__.replace( '\n scale : array_like, ' 'optional\n scale parameter (default=1)', '') def _construct_default_doc(self, longname=None, extradoc=None): """Construct instance docstring from the rv_discrete template.""" if extradoc is None: extradoc = '' if extradoc.startswith('\n\n'): extradoc = extradoc[2:] self.__doc__ = ''.join(['%s discrete random variable.' % longname, '\n\n%(before_notes)s\n', docheaders['notes'], extradoc, '\n%(example)s']) self._construct_doc(docdict_discrete) def _nonzero(self, k, *args): return floor(k) == k def _pmf(self, k, *args): return self._cdf(k, *args) - self._cdf(k-1, *args) def _logpmf(self, k, *args): return log(self._pmf(k, *args)) def _cdf_single(self, k, *args): m = arange(int(self.a), k+1) return sum(self._pmf(m, *args), axis=0) def _cdf(self, x, *args): k = floor(x) return self._cdfvec(k, *args) # generic _logcdf, _sf, _logsf, _ppf, _isf, _rvs defined in rv_generic def rvs(self, *args, **kwargs): """ Random variates of given type. Parameters ---------- arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). size : int or tuple of ints, optional Defining number of random variates (default=1). Note that `size` has to be given as keyword, not as positional argument. Returns ------- rvs : ndarray or scalar Random variates of given `size`. """ kwargs['discrete'] = True return super(rv_discrete, self).rvs(*args, **kwargs) def pmf(self, k, *args, **kwds): """ Probability mass function at k of the given RV. Parameters ---------- k : array_like quantiles arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information) loc : array_like, optional Location parameter (default=0). Returns ------- pmf : array_like Probability mass function evaluated at k """ args, loc, _ = self._parse_args(*args, **kwds) k, loc = map(asarray, (k, loc)) args = tuple(map(asarray, args)) k = asarray((k-loc)) cond0 = self._argcheck(*args) cond1 = (k >= self.a) & (k <= self.b) & self._nonzero(k, *args) cond = cond0 & cond1 output = zeros(shape(cond), 'd') place(output, (1-cond0) + np.isnan(k), self.badvalue) if any(cond): goodargs = argsreduce(cond, *((k,)+args)) place(output, cond, np.clip(self._pmf(*goodargs), 0, 1)) if output.ndim == 0: return output[()] return output def logpmf(self, k, *args, **kwds): """ Log of the probability mass function at k of the given RV. Parameters ---------- k : array_like Quantiles. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter. Default is 0. Returns ------- logpmf : array_like Log of the probability mass function evaluated at k. """ args, loc, _ = self._parse_args(*args, **kwds) k, loc = map(asarray, (k, loc)) args = tuple(map(asarray, args)) k = asarray((k-loc)) cond0 = self._argcheck(*args) cond1 = (k >= self.a) & (k <= self.b) & self._nonzero(k, *args) cond = cond0 & cond1 output = empty(shape(cond), 'd') output.fill(NINF) place(output, (1-cond0) + np.isnan(k), self.badvalue) if any(cond): goodargs = argsreduce(cond, *((k,)+args)) place(output, cond, self._logpmf(*goodargs)) if output.ndim == 0: return output[()] return output def cdf(self, k, *args, **kwds): """ Cumulative distribution function of the given RV. Parameters ---------- k : array_like, int Quantiles. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). Returns ------- cdf : ndarray Cumulative distribution function evaluated at `k`. """ args, loc, _ = self._parse_args(*args, **kwds) k, loc = map(asarray, (k, loc)) args = tuple(map(asarray, args)) k = asarray((k-loc)) cond0 = self._argcheck(*args) cond1 = (k >= self.a) & (k < self.b) cond2 = (k >= self.b) cond = cond0 & cond1 output = zeros(shape(cond), 'd') place(output, (1-cond0) + np.isnan(k), self.badvalue) place(output, cond2*(cond0 == cond0), 1.0) if any(cond): goodargs = argsreduce(cond, *((k,)+args)) place(output, cond, np.clip(self._cdf(*goodargs), 0, 1)) if output.ndim == 0: return output[()] return output def logcdf(self, k, *args, **kwds): """ Log of the cumulative distribution function at k of the given RV Parameters ---------- k : array_like, int Quantiles. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). Returns ------- logcdf : array_like Log of the cumulative distribution function evaluated at k. """ args, loc, _ = self._parse_args(*args, **kwds) k, loc = map(asarray, (k, loc)) args = tuple(map(asarray, args)) k = asarray((k-loc)) cond0 = self._argcheck(*args) cond1 = (k >= self.a) & (k < self.b) cond2 = (k >= self.b) cond = cond0 & cond1 output = empty(shape(cond), 'd') output.fill(NINF) place(output, (1-cond0) + np.isnan(k), self.badvalue) place(output, cond2*(cond0 == cond0), 0.0) if any(cond): goodargs = argsreduce(cond, *((k,)+args)) place(output, cond, self._logcdf(*goodargs)) if output.ndim == 0: return output[()] return output def sf(self, k, *args, **kwds): """ Survival function (1-cdf) at k of the given RV. Parameters ---------- k : array_like Quantiles. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). Returns ------- sf : array_like Survival function evaluated at k. """ args, loc, _ = self._parse_args(*args, **kwds) k, loc = map(asarray, (k, loc)) args = tuple(map(asarray, args)) k = asarray(k-loc) cond0 = self._argcheck(*args) cond1 = (k >= self.a) & (k <= self.b) cond2 = (k < self.a) & cond0 cond = cond0 & cond1 output = zeros(shape(cond), 'd') place(output, (1-cond0) + np.isnan(k), self.badvalue) place(output, cond2, 1.0) if any(cond): goodargs = argsreduce(cond, *((k,)+args)) place(output, cond, np.clip(self._sf(*goodargs), 0, 1)) if output.ndim == 0: return output[()] return output def logsf(self, k, *args, **kwds): """ Log of the survival function of the given RV. Returns the log of the "survival function," defined as ``1 - cdf``, evaluated at `k`. Parameters ---------- k : array_like Quantiles. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). Returns ------- logsf : ndarray Log of the survival function evaluated at `k`. """ args, loc, _ = self._parse_args(*args, **kwds) k, loc = map(asarray, (k, loc)) args = tuple(map(asarray, args)) k = asarray(k-loc) cond0 = self._argcheck(*args) cond1 = (k >= self.a) & (k <= self.b) cond2 = (k < self.a) & cond0 cond = cond0 & cond1 output = empty(shape(cond), 'd') output.fill(NINF) place(output, (1-cond0) + np.isnan(k), self.badvalue) place(output, cond2, 0.0) if any(cond): goodargs = argsreduce(cond, *((k,)+args)) place(output, cond, self._logsf(*goodargs)) if output.ndim == 0: return output[()] return output def ppf(self, q, *args, **kwds): """ Percent point function (inverse of cdf) at q of the given RV Parameters ---------- q : array_like Lower tail probability. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). scale : array_like, optional Scale parameter (default=1). Returns ------- k : array_like Quantile corresponding to the lower tail probability, q. """ args, loc, _ = self._parse_args(*args, **kwds) q, loc = map(asarray, (q, loc)) args = tuple(map(asarray, args)) cond0 = self._argcheck(*args) & (loc == loc) cond1 = (q > 0) & (q < 1) cond2 = (q == 1) & cond0 cond = cond0 & cond1 output = valarray(shape(cond), value=self.badvalue, typecode='d') # output type 'd' to handle nin and inf place(output, (q == 0)*(cond == cond), self.a-1) place(output, cond2, self.b) if any(cond): goodargs = argsreduce(cond, *((q,)+args+(loc,))) loc, goodargs = goodargs[-1], goodargs[:-1] place(output, cond, self._ppf(*goodargs) + loc) if output.ndim == 0: return output[()] return output def isf(self, q, *args, **kwds): """ Inverse survival function (inverse of `sf`) at q of the given RV. Parameters ---------- q : array_like Upper tail probability. arg1, arg2, arg3,... : array_like The shape parameter(s) for the distribution (see docstring of the instance object for more information). loc : array_like, optional Location parameter (default=0). Returns ------- k : ndarray or scalar Quantile corresponding to the upper tail probability, q. """ args, loc, _ = self._parse_args(*args, **kwds) q, loc = map(asarray, (q, loc)) args = tuple(map(asarray, args)) cond0 = self._argcheck(*args) & (loc == loc) cond1 = (q > 0) & (q < 1) cond2 = (q == 1) & cond0 cond = cond0 & cond1 # same problem as with ppf; copied from ppf and changed output = valarray(shape(cond), value=self.badvalue, typecode='d') # output type 'd' to handle nin and inf place(output, (q == 0)*(cond == cond), self.b) place(output, cond2, self.a-1) # call place only if at least 1 valid argument if any(cond): goodargs = argsreduce(cond, *((q,)+args+(loc,))) loc, goodargs = goodargs[-1], goodargs[:-1] # PB same as ticket 766 place(output, cond, self._isf(*goodargs) + loc) if output.ndim == 0: return output[()] return output def _entropy(self, *args): if hasattr(self, 'pk'): return entropy(self.pk) else: mu = int(self.stats(*args, **{'moments': 'm'})) val = self.pmf(mu, *args) ent = -xlogy(val, val) k = 1 term = 1.0 while (abs(term) > _EPS): val = self.pmf(mu+k, *args) term = -xlogy(val, val) val = self.pmf(mu-k, *args) term -= xlogy(val, val) k += 1 ent += term return ent def expect(self, func=None, args=(), loc=0, lb=None, ub=None, conditional=False): """ Calculate expected value of a function with respect to the distribution for discrete distribution Parameters ---------- fn : function (default: identity mapping) Function for which sum is calculated. Takes only one argument. args : tuple argument (parameters) of the distribution lb, ub : numbers, optional lower and upper bound for integration, default is set to the support of the distribution, lb and ub are inclusive (ul<=k<=ub) conditional : bool, optional Default is False. If true then the expectation is corrected by the conditional probability of the integration interval. The return value is the expectation of the function, conditional on being in the given interval (k such that ul<=k<=ub). Returns ------- expect : float Expected value. Notes ----- * function is not vectorized * accuracy: uses self.moment_tol as stopping criterium for heavy tailed distribution e.g. zipf(4), accuracy for mean, variance in example is only 1e-5, increasing precision (moment_tol) makes zipf very slow * suppnmin=100 internal parameter for minimum number of points to evaluate could be added as keyword parameter, to evaluate functions with non-monotonic shapes, points include integers in (-suppnmin, suppnmin) * uses maxcount=1000 limits the number of points that are evaluated to break loop for infinite sums (a maximum of suppnmin+1000 positive plus suppnmin+1000 negative integers are evaluated) """ # moment_tol = 1e-12 # increase compared to self.moment_tol, # too slow for only small gain in precision for zipf # avoid endless loop with unbound integral, eg. var of zipf(2) maxcount = 1000 suppnmin = 100 # minimum number of points to evaluate (+ and -) if func is None: def fun(x): # loc and args from outer scope return (x+loc)*self._pmf(x, *args) else: def fun(x): # loc and args from outer scope return func(x+loc)*self._pmf(x, *args) # used pmf because _pmf does not check support in randint and there # might be problems(?) with correct self.a, self.b at this stage maybe # not anymore, seems to work now with _pmf self._argcheck(*args) # (re)generate scalar self.a and self.b if lb is None: lb = (self.a) else: lb = lb - loc # convert bound for standardized distribution if ub is None: ub = (self.b) else: ub = ub - loc # convert bound for standardized distribution if conditional: if np.isposinf(ub)[()]: # work around bug: stats.poisson.sf(stats.poisson.b, 2) is nan invfac = 1 - self.cdf(lb-1, *args) else: invfac = 1 - self.cdf(lb-1, *args) - self.sf(ub, *args) else: invfac = 1.0 #tot = 0.0 low, upp = self._ppf(0.001, *args), self._ppf(0.999, *args) low = max(min(-suppnmin, low), lb) upp = min(max(suppnmin, upp), ub) supp = np.arange(low, upp+1, self.inc) # check limits tot = np.sum(fun(supp)) diff = 1e100 pos = upp + self.inc count = 0 # handle cases with infinite support while (pos <= ub) and (diff > self.moment_tol) and count <= maxcount: diff = fun(pos) tot += diff pos += self.inc count += 1 if self.a < 0: # handle case when self.a = -inf diff = 1e100 pos = low - self.inc while ((pos >= lb) and (diff > self.moment_tol) and count <= maxcount): diff = fun(pos) tot += diff pos -= self.inc count += 1 if count > maxcount: warnings.warn('expect(): sum did not converge', RuntimeWarning) return tot/invfac def get_distribution_names(namespace_pairs, rv_base_class): """ Collect names of statistical distributions and their generators. Parameters ---------- namespace_pairs : sequence A snapshot of (name, value) pairs in the namespace of a module. rv_base_class : class The base class of random variable generator classes in a module. Returns ------- distn_names : list of strings Names of the statistical distributions. distn_gen_names : list of strings Names of the generators of the statistical distributions. Note that these are not simply the names of the statistical distributions, with a _gen suffix added. """ distn_names = [] distn_gen_names = [] for name, value in namespace_pairs: if name.startswith('_'): continue if name.endswith('_gen') and issubclass(value, rv_base_class): distn_gen_names.append(name) if isinstance(value, rv_base_class): distn_names.append(name) return distn_names, distn_gen_names