peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/stats
/_discrete_distns.py
# | |
# Author: Travis Oliphant 2002-2011 with contributions from | |
# SciPy Developers 2004-2011 | |
# | |
from functools import partial | |
from scipy import special | |
from scipy.special import entr, logsumexp, betaln, gammaln as gamln, zeta | |
from scipy._lib._util import _lazywhere, rng_integers | |
from scipy.interpolate import interp1d | |
from numpy import floor, ceil, log, exp, sqrt, log1p, expm1, tanh, cosh, sinh | |
import numpy as np | |
from ._distn_infrastructure import (rv_discrete, get_distribution_names, | |
_check_shape, _ShapeInfo) | |
import scipy.stats._boost as _boost | |
from ._biasedurn import (_PyFishersNCHypergeometric, | |
_PyWalleniusNCHypergeometric, | |
_PyStochasticLib3) | |
def _isintegral(x): | |
return x == np.round(x) | |
class binom_gen(rv_discrete): | |
r"""A binomial discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `binom` is: | |
.. math:: | |
f(k) = \binom{n}{k} p^k (1-p)^{n-k} | |
for :math:`k \in \{0, 1, \dots, n\}`, :math:`0 \leq p \leq 1` | |
`binom` takes :math:`n` and :math:`p` as shape parameters, | |
where :math:`p` is the probability of a single success | |
and :math:`1-p` is the probability of a single failure. | |
%(after_notes)s | |
%(example)s | |
See Also | |
-------- | |
hypergeom, nbinom, nhypergeom | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("n", True, (0, np.inf), (True, False)), | |
_ShapeInfo("p", False, (0, 1), (True, True))] | |
def _rvs(self, n, p, size=None, random_state=None): | |
return random_state.binomial(n, p, size) | |
def _argcheck(self, n, p): | |
return (n >= 0) & _isintegral(n) & (p >= 0) & (p <= 1) | |
def _get_support(self, n, p): | |
return self.a, n | |
def _logpmf(self, x, n, p): | |
k = floor(x) | |
combiln = (gamln(n+1) - (gamln(k+1) + gamln(n-k+1))) | |
return combiln + special.xlogy(k, p) + special.xlog1py(n-k, -p) | |
def _pmf(self, x, n, p): | |
# binom.pmf(k) = choose(n, k) * p**k * (1-p)**(n-k) | |
return _boost._binom_pdf(x, n, p) | |
def _cdf(self, x, n, p): | |
k = floor(x) | |
return _boost._binom_cdf(k, n, p) | |
def _sf(self, x, n, p): | |
k = floor(x) | |
return _boost._binom_sf(k, n, p) | |
def _isf(self, x, n, p): | |
return _boost._binom_isf(x, n, p) | |
def _ppf(self, q, n, p): | |
return _boost._binom_ppf(q, n, p) | |
def _stats(self, n, p, moments='mv'): | |
mu = _boost._binom_mean(n, p) | |
var = _boost._binom_variance(n, p) | |
g1, g2 = None, None | |
if 's' in moments: | |
g1 = _boost._binom_skewness(n, p) | |
if 'k' in moments: | |
g2 = _boost._binom_kurtosis_excess(n, p) | |
return mu, var, g1, g2 | |
def _entropy(self, n, p): | |
k = np.r_[0:n + 1] | |
vals = self._pmf(k, n, p) | |
return np.sum(entr(vals), axis=0) | |
binom = binom_gen(name='binom') | |
class bernoulli_gen(binom_gen): | |
r"""A Bernoulli discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `bernoulli` is: | |
.. math:: | |
f(k) = \begin{cases}1-p &\text{if } k = 0\\ | |
p &\text{if } k = 1\end{cases} | |
for :math:`k` in :math:`\{0, 1\}`, :math:`0 \leq p \leq 1` | |
`bernoulli` takes :math:`p` as shape parameter, | |
where :math:`p` is the probability of a single success | |
and :math:`1-p` is the probability of a single failure. | |
%(after_notes)s | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("p", False, (0, 1), (True, True))] | |
def _rvs(self, p, size=None, random_state=None): | |
return binom_gen._rvs(self, 1, p, size=size, random_state=random_state) | |
def _argcheck(self, p): | |
return (p >= 0) & (p <= 1) | |
def _get_support(self, p): | |
# Overrides binom_gen._get_support!x | |
return self.a, self.b | |
def _logpmf(self, x, p): | |
return binom._logpmf(x, 1, p) | |
def _pmf(self, x, p): | |
# bernoulli.pmf(k) = 1-p if k = 0 | |
# = p if k = 1 | |
return binom._pmf(x, 1, p) | |
def _cdf(self, x, p): | |
return binom._cdf(x, 1, p) | |
def _sf(self, x, p): | |
return binom._sf(x, 1, p) | |
def _isf(self, x, p): | |
return binom._isf(x, 1, p) | |
def _ppf(self, q, p): | |
return binom._ppf(q, 1, p) | |
def _stats(self, p): | |
return binom._stats(1, p) | |
def _entropy(self, p): | |
return entr(p) + entr(1-p) | |
bernoulli = bernoulli_gen(b=1, name='bernoulli') | |
class betabinom_gen(rv_discrete): | |
r"""A beta-binomial discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The beta-binomial distribution is a binomial distribution with a | |
probability of success `p` that follows a beta distribution. | |
The probability mass function for `betabinom` is: | |
.. math:: | |
f(k) = \binom{n}{k} \frac{B(k + a, n - k + b)}{B(a, b)} | |
for :math:`k \in \{0, 1, \dots, n\}`, :math:`n \geq 0`, :math:`a > 0`, | |
:math:`b > 0`, where :math:`B(a, b)` is the beta function. | |
`betabinom` takes :math:`n`, :math:`a`, and :math:`b` as shape parameters. | |
References | |
---------- | |
.. [1] https://en.wikipedia.org/wiki/Beta-binomial_distribution | |
%(after_notes)s | |
.. versionadded:: 1.4.0 | |
See Also | |
-------- | |
beta, binom | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("n", True, (0, np.inf), (True, False)), | |
_ShapeInfo("a", False, (0, np.inf), (False, False)), | |
_ShapeInfo("b", False, (0, np.inf), (False, False))] | |
def _rvs(self, n, a, b, size=None, random_state=None): | |
p = random_state.beta(a, b, size) | |
return random_state.binomial(n, p, size) | |
def _get_support(self, n, a, b): | |
return 0, n | |
def _argcheck(self, n, a, b): | |
return (n >= 0) & _isintegral(n) & (a > 0) & (b > 0) | |
def _logpmf(self, x, n, a, b): | |
k = floor(x) | |
combiln = -log(n + 1) - betaln(n - k + 1, k + 1) | |
return combiln + betaln(k + a, n - k + b) - betaln(a, b) | |
def _pmf(self, x, n, a, b): | |
return exp(self._logpmf(x, n, a, b)) | |
def _stats(self, n, a, b, moments='mv'): | |
e_p = a / (a + b) | |
e_q = 1 - e_p | |
mu = n * e_p | |
var = n * (a + b + n) * e_p * e_q / (a + b + 1) | |
g1, g2 = None, None | |
if 's' in moments: | |
g1 = 1.0 / sqrt(var) | |
g1 *= (a + b + 2 * n) * (b - a) | |
g1 /= (a + b + 2) * (a + b) | |
if 'k' in moments: | |
g2 = (a + b).astype(e_p.dtype) | |
g2 *= (a + b - 1 + 6 * n) | |
g2 += 3 * a * b * (n - 2) | |
g2 += 6 * n ** 2 | |
g2 -= 3 * e_p * b * n * (6 - n) | |
g2 -= 18 * e_p * e_q * n ** 2 | |
g2 *= (a + b) ** 2 * (1 + a + b) | |
g2 /= (n * a * b * (a + b + 2) * (a + b + 3) * (a + b + n)) | |
g2 -= 3 | |
return mu, var, g1, g2 | |
betabinom = betabinom_gen(name='betabinom') | |
class nbinom_gen(rv_discrete): | |
r"""A negative binomial discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
Negative binomial distribution describes a sequence of i.i.d. Bernoulli | |
trials, repeated until a predefined, non-random number of successes occurs. | |
The probability mass function of the number of failures for `nbinom` is: | |
.. math:: | |
f(k) = \binom{k+n-1}{n-1} p^n (1-p)^k | |
for :math:`k \ge 0`, :math:`0 < p \leq 1` | |
`nbinom` takes :math:`n` and :math:`p` as shape parameters where :math:`n` | |
is the number of successes, :math:`p` is the probability of a single | |
success, and :math:`1-p` is the probability of a single failure. | |
Another common parameterization of the negative binomial distribution is | |
in terms of the mean number of failures :math:`\mu` to achieve :math:`n` | |
successes. The mean :math:`\mu` is related to the probability of success | |
as | |
.. math:: | |
p = \frac{n}{n + \mu} | |
The number of successes :math:`n` may also be specified in terms of a | |
"dispersion", "heterogeneity", or "aggregation" parameter :math:`\alpha`, | |
which relates the mean :math:`\mu` to the variance :math:`\sigma^2`, | |
e.g. :math:`\sigma^2 = \mu + \alpha \mu^2`. Regardless of the convention | |
used for :math:`\alpha`, | |
.. math:: | |
p &= \frac{\mu}{\sigma^2} \\ | |
n &= \frac{\mu^2}{\sigma^2 - \mu} | |
%(after_notes)s | |
%(example)s | |
See Also | |
-------- | |
hypergeom, binom, nhypergeom | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("n", True, (0, np.inf), (True, False)), | |
_ShapeInfo("p", False, (0, 1), (True, True))] | |
def _rvs(self, n, p, size=None, random_state=None): | |
return random_state.negative_binomial(n, p, size) | |
def _argcheck(self, n, p): | |
return (n > 0) & (p > 0) & (p <= 1) | |
def _pmf(self, x, n, p): | |
# nbinom.pmf(k) = choose(k+n-1, n-1) * p**n * (1-p)**k | |
return _boost._nbinom_pdf(x, n, p) | |
def _logpmf(self, x, n, p): | |
coeff = gamln(n+x) - gamln(x+1) - gamln(n) | |
return coeff + n*log(p) + special.xlog1py(x, -p) | |
def _cdf(self, x, n, p): | |
k = floor(x) | |
return _boost._nbinom_cdf(k, n, p) | |
def _logcdf(self, x, n, p): | |
k = floor(x) | |
k, n, p = np.broadcast_arrays(k, n, p) | |
cdf = self._cdf(k, n, p) | |
cond = cdf > 0.5 | |
def f1(k, n, p): | |
return np.log1p(-special.betainc(k + 1, n, 1 - p)) | |
# do calc in place | |
logcdf = cdf | |
with np.errstate(divide='ignore'): | |
logcdf[cond] = f1(k[cond], n[cond], p[cond]) | |
logcdf[~cond] = np.log(cdf[~cond]) | |
return logcdf | |
def _sf(self, x, n, p): | |
k = floor(x) | |
return _boost._nbinom_sf(k, n, p) | |
def _isf(self, x, n, p): | |
with np.errstate(over='ignore'): # see gh-17432 | |
return _boost._nbinom_isf(x, n, p) | |
def _ppf(self, q, n, p): | |
with np.errstate(over='ignore'): # see gh-17432 | |
return _boost._nbinom_ppf(q, n, p) | |
def _stats(self, n, p): | |
return ( | |
_boost._nbinom_mean(n, p), | |
_boost._nbinom_variance(n, p), | |
_boost._nbinom_skewness(n, p), | |
_boost._nbinom_kurtosis_excess(n, p), | |
) | |
nbinom = nbinom_gen(name='nbinom') | |
class betanbinom_gen(rv_discrete): | |
r"""A beta-negative-binomial discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The beta-negative-binomial distribution is a negative binomial | |
distribution with a probability of success `p` that follows a | |
beta distribution. | |
The probability mass function for `betanbinom` is: | |
.. math:: | |
f(k) = \binom{n + k - 1}{k} \frac{B(a + n, b + k)}{B(a, b)} | |
for :math:`k \ge 0`, :math:`n \geq 0`, :math:`a > 0`, | |
:math:`b > 0`, where :math:`B(a, b)` is the beta function. | |
`betanbinom` takes :math:`n`, :math:`a`, and :math:`b` as shape parameters. | |
References | |
---------- | |
.. [1] https://en.wikipedia.org/wiki/Beta_negative_binomial_distribution | |
%(after_notes)s | |
.. versionadded:: 1.12.0 | |
See Also | |
-------- | |
betabinom : Beta binomial distribution | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("n", True, (0, np.inf), (True, False)), | |
_ShapeInfo("a", False, (0, np.inf), (False, False)), | |
_ShapeInfo("b", False, (0, np.inf), (False, False))] | |
def _rvs(self, n, a, b, size=None, random_state=None): | |
p = random_state.beta(a, b, size) | |
return random_state.negative_binomial(n, p, size) | |
def _argcheck(self, n, a, b): | |
return (n >= 0) & _isintegral(n) & (a > 0) & (b > 0) | |
def _logpmf(self, x, n, a, b): | |
k = floor(x) | |
combiln = -np.log(n + k) - betaln(n, k + 1) | |
return combiln + betaln(a + n, b + k) - betaln(a, b) | |
def _pmf(self, x, n, a, b): | |
return exp(self._logpmf(x, n, a, b)) | |
def _stats(self, n, a, b, moments='mv'): | |
# reference: Wolfram Alpha input | |
# BetaNegativeBinomialDistribution[a, b, n] | |
def mean(n, a, b): | |
return n * b / (a - 1.) | |
mu = _lazywhere(a > 1, (n, a, b), f=mean, fillvalue=np.inf) | |
def var(n, a, b): | |
return (n * b * (n + a - 1.) * (a + b - 1.) | |
/ ((a - 2.) * (a - 1.)**2.)) | |
var = _lazywhere(a > 2, (n, a, b), f=var, fillvalue=np.inf) | |
g1, g2 = None, None | |
def skew(n, a, b): | |
return ((2 * n + a - 1.) * (2 * b + a - 1.) | |
/ (a - 3.) / sqrt(n * b * (n + a - 1.) * (b + a - 1.) | |
/ (a - 2.))) | |
if 's' in moments: | |
g1 = _lazywhere(a > 3, (n, a, b), f=skew, fillvalue=np.inf) | |
def kurtosis(n, a, b): | |
term = (a - 2.) | |
term_2 = ((a - 1.)**2. * (a**2. + a * (6 * b - 1.) | |
+ 6. * (b - 1.) * b) | |
+ 3. * n**2. * ((a + 5.) * b**2. + (a + 5.) | |
* (a - 1.) * b + 2. * (a - 1.)**2) | |
+ 3 * (a - 1.) * n | |
* ((a + 5.) * b**2. + (a + 5.) * (a - 1.) * b | |
+ 2. * (a - 1.)**2.)) | |
denominator = ((a - 4.) * (a - 3.) * b * n | |
* (a + b - 1.) * (a + n - 1.)) | |
# Wolfram Alpha uses Pearson kurtosis, so we substract 3 to get | |
# scipy's Fisher kurtosis | |
return term * term_2 / denominator - 3. | |
if 'k' in moments: | |
g2 = _lazywhere(a > 4, (n, a, b), f=kurtosis, fillvalue=np.inf) | |
return mu, var, g1, g2 | |
betanbinom = betanbinom_gen(name='betanbinom') | |
class geom_gen(rv_discrete): | |
r"""A geometric discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `geom` is: | |
.. math:: | |
f(k) = (1-p)^{k-1} p | |
for :math:`k \ge 1`, :math:`0 < p \leq 1` | |
`geom` takes :math:`p` as shape parameter, | |
where :math:`p` is the probability of a single success | |
and :math:`1-p` is the probability of a single failure. | |
%(after_notes)s | |
See Also | |
-------- | |
planck | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("p", False, (0, 1), (True, True))] | |
def _rvs(self, p, size=None, random_state=None): | |
return random_state.geometric(p, size=size) | |
def _argcheck(self, p): | |
return (p <= 1) & (p > 0) | |
def _pmf(self, k, p): | |
return np.power(1-p, k-1) * p | |
def _logpmf(self, k, p): | |
return special.xlog1py(k - 1, -p) + log(p) | |
def _cdf(self, x, p): | |
k = floor(x) | |
return -expm1(log1p(-p)*k) | |
def _sf(self, x, p): | |
return np.exp(self._logsf(x, p)) | |
def _logsf(self, x, p): | |
k = floor(x) | |
return k*log1p(-p) | |
def _ppf(self, q, p): | |
vals = ceil(log1p(-q) / log1p(-p)) | |
temp = self._cdf(vals-1, p) | |
return np.where((temp >= q) & (vals > 0), vals-1, vals) | |
def _stats(self, p): | |
mu = 1.0/p | |
qr = 1.0-p | |
var = qr / p / p | |
g1 = (2.0-p) / sqrt(qr) | |
g2 = np.polyval([1, -6, 6], p)/(1.0-p) | |
return mu, var, g1, g2 | |
def _entropy(self, p): | |
return -np.log(p) - np.log1p(-p) * (1.0-p) / p | |
geom = geom_gen(a=1, name='geom', longname="A geometric") | |
class hypergeom_gen(rv_discrete): | |
r"""A hypergeometric discrete random variable. | |
The hypergeometric distribution models drawing objects from a bin. | |
`M` is the total number of objects, `n` is total number of Type I objects. | |
The random variate represents the number of Type I objects in `N` drawn | |
without replacement from the total population. | |
%(before_notes)s | |
Notes | |
----- | |
The symbols used to denote the shape parameters (`M`, `n`, and `N`) are not | |
universally accepted. See the Examples for a clarification of the | |
definitions used here. | |
The probability mass function is defined as, | |
.. math:: p(k, M, n, N) = \frac{\binom{n}{k} \binom{M - n}{N - k}} | |
{\binom{M}{N}} | |
for :math:`k \in [\max(0, N - M + n), \min(n, N)]`, where the binomial | |
coefficients are defined as, | |
.. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}. | |
%(after_notes)s | |
Examples | |
-------- | |
>>> import numpy as np | |
>>> from scipy.stats import hypergeom | |
>>> import matplotlib.pyplot as plt | |
Suppose we have a collection of 20 animals, of which 7 are dogs. Then if | |
we want to know the probability of finding a given number of dogs if we | |
choose at random 12 of the 20 animals, we can initialize a frozen | |
distribution and plot the probability mass function: | |
>>> [M, n, N] = [20, 7, 12] | |
>>> rv = hypergeom(M, n, N) | |
>>> x = np.arange(0, n+1) | |
>>> pmf_dogs = rv.pmf(x) | |
>>> fig = plt.figure() | |
>>> ax = fig.add_subplot(111) | |
>>> ax.plot(x, pmf_dogs, 'bo') | |
>>> ax.vlines(x, 0, pmf_dogs, lw=2) | |
>>> ax.set_xlabel('# of dogs in our group of chosen animals') | |
>>> ax.set_ylabel('hypergeom PMF') | |
>>> plt.show() | |
Instead of using a frozen distribution we can also use `hypergeom` | |
methods directly. To for example obtain the cumulative distribution | |
function, use: | |
>>> prb = hypergeom.cdf(x, M, n, N) | |
And to generate random numbers: | |
>>> R = hypergeom.rvs(M, n, N, size=10) | |
See Also | |
-------- | |
nhypergeom, binom, nbinom | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("M", True, (0, np.inf), (True, False)), | |
_ShapeInfo("n", True, (0, np.inf), (True, False)), | |
_ShapeInfo("N", True, (0, np.inf), (True, False))] | |
def _rvs(self, M, n, N, size=None, random_state=None): | |
return random_state.hypergeometric(n, M-n, N, size=size) | |
def _get_support(self, M, n, N): | |
return np.maximum(N-(M-n), 0), np.minimum(n, N) | |
def _argcheck(self, M, n, N): | |
cond = (M > 0) & (n >= 0) & (N >= 0) | |
cond &= (n <= M) & (N <= M) | |
cond &= _isintegral(M) & _isintegral(n) & _isintegral(N) | |
return cond | |
def _logpmf(self, k, M, n, N): | |
tot, good = M, n | |
bad = tot - good | |
result = (betaln(good+1, 1) + betaln(bad+1, 1) + betaln(tot-N+1, N+1) - | |
betaln(k+1, good-k+1) - betaln(N-k+1, bad-N+k+1) - | |
betaln(tot+1, 1)) | |
return result | |
def _pmf(self, k, M, n, N): | |
return _boost._hypergeom_pdf(k, n, N, M) | |
def _cdf(self, k, M, n, N): | |
return _boost._hypergeom_cdf(k, n, N, M) | |
def _stats(self, M, n, N): | |
M, n, N = 1. * M, 1. * n, 1. * N | |
m = M - n | |
# Boost kurtosis_excess doesn't return the same as the value | |
# computed here. | |
g2 = M * (M + 1) - 6. * N * (M - N) - 6. * n * m | |
g2 *= (M - 1) * M * M | |
g2 += 6. * n * N * (M - N) * m * (5. * M - 6) | |
g2 /= n * N * (M - N) * m * (M - 2.) * (M - 3.) | |
return ( | |
_boost._hypergeom_mean(n, N, M), | |
_boost._hypergeom_variance(n, N, M), | |
_boost._hypergeom_skewness(n, N, M), | |
g2, | |
) | |
def _entropy(self, M, n, N): | |
k = np.r_[N - (M - n):min(n, N) + 1] | |
vals = self.pmf(k, M, n, N) | |
return np.sum(entr(vals), axis=0) | |
def _sf(self, k, M, n, N): | |
return _boost._hypergeom_sf(k, n, N, M) | |
def _logsf(self, k, M, n, N): | |
res = [] | |
for quant, tot, good, draw in zip(*np.broadcast_arrays(k, M, n, N)): | |
if (quant + 0.5) * (tot + 0.5) < (good - 0.5) * (draw - 0.5): | |
# Less terms to sum if we calculate log(1-cdf) | |
res.append(log1p(-exp(self.logcdf(quant, tot, good, draw)))) | |
else: | |
# Integration over probability mass function using logsumexp | |
k2 = np.arange(quant + 1, draw + 1) | |
res.append(logsumexp(self._logpmf(k2, tot, good, draw))) | |
return np.asarray(res) | |
def _logcdf(self, k, M, n, N): | |
res = [] | |
for quant, tot, good, draw in zip(*np.broadcast_arrays(k, M, n, N)): | |
if (quant + 0.5) * (tot + 0.5) > (good - 0.5) * (draw - 0.5): | |
# Less terms to sum if we calculate log(1-sf) | |
res.append(log1p(-exp(self.logsf(quant, tot, good, draw)))) | |
else: | |
# Integration over probability mass function using logsumexp | |
k2 = np.arange(0, quant + 1) | |
res.append(logsumexp(self._logpmf(k2, tot, good, draw))) | |
return np.asarray(res) | |
hypergeom = hypergeom_gen(name='hypergeom') | |
class nhypergeom_gen(rv_discrete): | |
r"""A negative hypergeometric discrete random variable. | |
Consider a box containing :math:`M` balls:, :math:`n` red and | |
:math:`M-n` blue. We randomly sample balls from the box, one | |
at a time and *without* replacement, until we have picked :math:`r` | |
blue balls. `nhypergeom` is the distribution of the number of | |
red balls :math:`k` we have picked. | |
%(before_notes)s | |
Notes | |
----- | |
The symbols used to denote the shape parameters (`M`, `n`, and `r`) are not | |
universally accepted. See the Examples for a clarification of the | |
definitions used here. | |
The probability mass function is defined as, | |
.. math:: f(k; M, n, r) = \frac{{{k+r-1}\choose{k}}{{M-r-k}\choose{n-k}}} | |
{{M \choose n}} | |
for :math:`k \in [0, n]`, :math:`n \in [0, M]`, :math:`r \in [0, M-n]`, | |
and the binomial coefficient is: | |
.. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}. | |
It is equivalent to observing :math:`k` successes in :math:`k+r-1` | |
samples with :math:`k+r`'th sample being a failure. The former | |
can be modelled as a hypergeometric distribution. The probability | |
of the latter is simply the number of failures remaining | |
:math:`M-n-(r-1)` divided by the size of the remaining population | |
:math:`M-(k+r-1)`. This relationship can be shown as: | |
.. math:: NHG(k;M,n,r) = HG(k;M,n,k+r-1)\frac{(M-n-(r-1))}{(M-(k+r-1))} | |
where :math:`NHG` is probability mass function (PMF) of the | |
negative hypergeometric distribution and :math:`HG` is the | |
PMF of the hypergeometric distribution. | |
%(after_notes)s | |
Examples | |
-------- | |
>>> import numpy as np | |
>>> from scipy.stats import nhypergeom | |
>>> import matplotlib.pyplot as plt | |
Suppose we have a collection of 20 animals, of which 7 are dogs. | |
Then if we want to know the probability of finding a given number | |
of dogs (successes) in a sample with exactly 12 animals that | |
aren't dogs (failures), we can initialize a frozen distribution | |
and plot the probability mass function: | |
>>> M, n, r = [20, 7, 12] | |
>>> rv = nhypergeom(M, n, r) | |
>>> x = np.arange(0, n+2) | |
>>> pmf_dogs = rv.pmf(x) | |
>>> fig = plt.figure() | |
>>> ax = fig.add_subplot(111) | |
>>> ax.plot(x, pmf_dogs, 'bo') | |
>>> ax.vlines(x, 0, pmf_dogs, lw=2) | |
>>> ax.set_xlabel('# of dogs in our group with given 12 failures') | |
>>> ax.set_ylabel('nhypergeom PMF') | |
>>> plt.show() | |
Instead of using a frozen distribution we can also use `nhypergeom` | |
methods directly. To for example obtain the probability mass | |
function, use: | |
>>> prb = nhypergeom.pmf(x, M, n, r) | |
And to generate random numbers: | |
>>> R = nhypergeom.rvs(M, n, r, size=10) | |
To verify the relationship between `hypergeom` and `nhypergeom`, use: | |
>>> from scipy.stats import hypergeom, nhypergeom | |
>>> M, n, r = 45, 13, 8 | |
>>> k = 6 | |
>>> nhypergeom.pmf(k, M, n, r) | |
0.06180776620271643 | |
>>> hypergeom.pmf(k, M, n, k+r-1) * (M - n - (r-1)) / (M - (k+r-1)) | |
0.06180776620271644 | |
See Also | |
-------- | |
hypergeom, binom, nbinom | |
References | |
---------- | |
.. [1] Negative Hypergeometric Distribution on Wikipedia | |
https://en.wikipedia.org/wiki/Negative_hypergeometric_distribution | |
.. [2] Negative Hypergeometric Distribution from | |
http://www.math.wm.edu/~leemis/chart/UDR/PDFs/Negativehypergeometric.pdf | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("M", True, (0, np.inf), (True, False)), | |
_ShapeInfo("n", True, (0, np.inf), (True, False)), | |
_ShapeInfo("r", True, (0, np.inf), (True, False))] | |
def _get_support(self, M, n, r): | |
return 0, n | |
def _argcheck(self, M, n, r): | |
cond = (n >= 0) & (n <= M) & (r >= 0) & (r <= M-n) | |
cond &= _isintegral(M) & _isintegral(n) & _isintegral(r) | |
return cond | |
def _rvs(self, M, n, r, size=None, random_state=None): | |
def _rvs1(M, n, r, size, random_state): | |
# invert cdf by calculating all values in support, scalar M, n, r | |
a, b = self.support(M, n, r) | |
ks = np.arange(a, b+1) | |
cdf = self.cdf(ks, M, n, r) | |
ppf = interp1d(cdf, ks, kind='next', fill_value='extrapolate') | |
rvs = ppf(random_state.uniform(size=size)).astype(int) | |
if size is None: | |
return rvs.item() | |
return rvs | |
return _rvs1(M, n, r, size=size, random_state=random_state) | |
def _logpmf(self, k, M, n, r): | |
cond = ((r == 0) & (k == 0)) | |
result = _lazywhere(~cond, (k, M, n, r), | |
lambda k, M, n, r: | |
(-betaln(k+1, r) + betaln(k+r, 1) - | |
betaln(n-k+1, M-r-n+1) + betaln(M-r-k+1, 1) + | |
betaln(n+1, M-n+1) - betaln(M+1, 1)), | |
fillvalue=0.0) | |
return result | |
def _pmf(self, k, M, n, r): | |
# same as the following but numerically more precise | |
# return comb(k+r-1, k) * comb(M-r-k, n-k) / comb(M, n) | |
return exp(self._logpmf(k, M, n, r)) | |
def _stats(self, M, n, r): | |
# Promote the datatype to at least float | |
# mu = rn / (M-n+1) | |
M, n, r = 1.*M, 1.*n, 1.*r | |
mu = r*n / (M-n+1) | |
var = r*(M+1)*n / ((M-n+1)*(M-n+2)) * (1 - r / (M-n+1)) | |
# The skew and kurtosis are mathematically | |
# intractable so return `None`. See [2]_. | |
g1, g2 = None, None | |
return mu, var, g1, g2 | |
nhypergeom = nhypergeom_gen(name='nhypergeom') | |
# FIXME: Fails _cdfvec | |
class logser_gen(rv_discrete): | |
r"""A Logarithmic (Log-Series, Series) discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `logser` is: | |
.. math:: | |
f(k) = - \frac{p^k}{k \log(1-p)} | |
for :math:`k \ge 1`, :math:`0 < p < 1` | |
`logser` takes :math:`p` as shape parameter, | |
where :math:`p` is the probability of a single success | |
and :math:`1-p` is the probability of a single failure. | |
%(after_notes)s | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("p", False, (0, 1), (True, True))] | |
def _rvs(self, p, size=None, random_state=None): | |
# looks wrong for p>0.5, too few k=1 | |
# trying to use generic is worse, no k=1 at all | |
return random_state.logseries(p, size=size) | |
def _argcheck(self, p): | |
return (p > 0) & (p < 1) | |
def _pmf(self, k, p): | |
# logser.pmf(k) = - p**k / (k*log(1-p)) | |
return -np.power(p, k) * 1.0 / k / special.log1p(-p) | |
def _stats(self, p): | |
r = special.log1p(-p) | |
mu = p / (p - 1.0) / r | |
mu2p = -p / r / (p - 1.0)**2 | |
var = mu2p - mu*mu | |
mu3p = -p / r * (1.0+p) / (1.0 - p)**3 | |
mu3 = mu3p - 3*mu*mu2p + 2*mu**3 | |
g1 = mu3 / np.power(var, 1.5) | |
mu4p = -p / r * ( | |
1.0 / (p-1)**2 - 6*p / (p - 1)**3 + 6*p*p / (p-1)**4) | |
mu4 = mu4p - 4*mu3p*mu + 6*mu2p*mu*mu - 3*mu**4 | |
g2 = mu4 / var**2 - 3.0 | |
return mu, var, g1, g2 | |
logser = logser_gen(a=1, name='logser', longname='A logarithmic') | |
class poisson_gen(rv_discrete): | |
r"""A Poisson discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `poisson` is: | |
.. math:: | |
f(k) = \exp(-\mu) \frac{\mu^k}{k!} | |
for :math:`k \ge 0`. | |
`poisson` takes :math:`\mu \geq 0` as shape parameter. | |
When :math:`\mu = 0`, the ``pmf`` method | |
returns ``1.0`` at quantile :math:`k = 0`. | |
%(after_notes)s | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("mu", False, (0, np.inf), (True, False))] | |
# Override rv_discrete._argcheck to allow mu=0. | |
def _argcheck(self, mu): | |
return mu >= 0 | |
def _rvs(self, mu, size=None, random_state=None): | |
return random_state.poisson(mu, size) | |
def _logpmf(self, k, mu): | |
Pk = special.xlogy(k, mu) - gamln(k + 1) - mu | |
return Pk | |
def _pmf(self, k, mu): | |
# poisson.pmf(k) = exp(-mu) * mu**k / k! | |
return exp(self._logpmf(k, mu)) | |
def _cdf(self, x, mu): | |
k = floor(x) | |
return special.pdtr(k, mu) | |
def _sf(self, x, mu): | |
k = floor(x) | |
return special.pdtrc(k, mu) | |
def _ppf(self, q, mu): | |
vals = ceil(special.pdtrik(q, mu)) | |
vals1 = np.maximum(vals - 1, 0) | |
temp = special.pdtr(vals1, mu) | |
return np.where(temp >= q, vals1, vals) | |
def _stats(self, mu): | |
var = mu | |
tmp = np.asarray(mu) | |
mu_nonzero = tmp > 0 | |
g1 = _lazywhere(mu_nonzero, (tmp,), lambda x: sqrt(1.0/x), np.inf) | |
g2 = _lazywhere(mu_nonzero, (tmp,), lambda x: 1.0/x, np.inf) | |
return mu, var, g1, g2 | |
poisson = poisson_gen(name="poisson", longname='A Poisson') | |
class planck_gen(rv_discrete): | |
r"""A Planck discrete exponential random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `planck` is: | |
.. math:: | |
f(k) = (1-\exp(-\lambda)) \exp(-\lambda k) | |
for :math:`k \ge 0` and :math:`\lambda > 0`. | |
`planck` takes :math:`\lambda` as shape parameter. The Planck distribution | |
can be written as a geometric distribution (`geom`) with | |
:math:`p = 1 - \exp(-\lambda)` shifted by ``loc = -1``. | |
%(after_notes)s | |
See Also | |
-------- | |
geom | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("lambda", False, (0, np.inf), (False, False))] | |
def _argcheck(self, lambda_): | |
return lambda_ > 0 | |
def _pmf(self, k, lambda_): | |
return -expm1(-lambda_)*exp(-lambda_*k) | |
def _cdf(self, x, lambda_): | |
k = floor(x) | |
return -expm1(-lambda_*(k+1)) | |
def _sf(self, x, lambda_): | |
return exp(self._logsf(x, lambda_)) | |
def _logsf(self, x, lambda_): | |
k = floor(x) | |
return -lambda_*(k+1) | |
def _ppf(self, q, lambda_): | |
vals = ceil(-1.0/lambda_ * log1p(-q)-1) | |
vals1 = (vals-1).clip(*(self._get_support(lambda_))) | |
temp = self._cdf(vals1, lambda_) | |
return np.where(temp >= q, vals1, vals) | |
def _rvs(self, lambda_, size=None, random_state=None): | |
# use relation to geometric distribution for sampling | |
p = -expm1(-lambda_) | |
return random_state.geometric(p, size=size) - 1.0 | |
def _stats(self, lambda_): | |
mu = 1/expm1(lambda_) | |
var = exp(-lambda_)/(expm1(-lambda_))**2 | |
g1 = 2*cosh(lambda_/2.0) | |
g2 = 4+2*cosh(lambda_) | |
return mu, var, g1, g2 | |
def _entropy(self, lambda_): | |
C = -expm1(-lambda_) | |
return lambda_*exp(-lambda_)/C - log(C) | |
planck = planck_gen(a=0, name='planck', longname='A discrete exponential ') | |
class boltzmann_gen(rv_discrete): | |
r"""A Boltzmann (Truncated Discrete Exponential) random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `boltzmann` is: | |
.. math:: | |
f(k) = (1-\exp(-\lambda)) \exp(-\lambda k) / (1-\exp(-\lambda N)) | |
for :math:`k = 0,..., N-1`. | |
`boltzmann` takes :math:`\lambda > 0` and :math:`N > 0` as shape parameters. | |
%(after_notes)s | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("lambda_", False, (0, np.inf), (False, False)), | |
_ShapeInfo("N", True, (0, np.inf), (False, False))] | |
def _argcheck(self, lambda_, N): | |
return (lambda_ > 0) & (N > 0) & _isintegral(N) | |
def _get_support(self, lambda_, N): | |
return self.a, N - 1 | |
def _pmf(self, k, lambda_, N): | |
# boltzmann.pmf(k) = | |
# (1-exp(-lambda_)*exp(-lambda_*k)/(1-exp(-lambda_*N)) | |
fact = (1-exp(-lambda_))/(1-exp(-lambda_*N)) | |
return fact*exp(-lambda_*k) | |
def _cdf(self, x, lambda_, N): | |
k = floor(x) | |
return (1-exp(-lambda_*(k+1)))/(1-exp(-lambda_*N)) | |
def _ppf(self, q, lambda_, N): | |
qnew = q*(1-exp(-lambda_*N)) | |
vals = ceil(-1.0/lambda_ * log(1-qnew)-1) | |
vals1 = (vals-1).clip(0.0, np.inf) | |
temp = self._cdf(vals1, lambda_, N) | |
return np.where(temp >= q, vals1, vals) | |
def _stats(self, lambda_, N): | |
z = exp(-lambda_) | |
zN = exp(-lambda_*N) | |
mu = z/(1.0-z)-N*zN/(1-zN) | |
var = z/(1.0-z)**2 - N*N*zN/(1-zN)**2 | |
trm = (1-zN)/(1-z) | |
trm2 = (z*trm**2 - N*N*zN) | |
g1 = z*(1+z)*trm**3 - N**3*zN*(1+zN) | |
g1 = g1 / trm2**(1.5) | |
g2 = z*(1+4*z+z*z)*trm**4 - N**4 * zN*(1+4*zN+zN*zN) | |
g2 = g2 / trm2 / trm2 | |
return mu, var, g1, g2 | |
boltzmann = boltzmann_gen(name='boltzmann', a=0, | |
longname='A truncated discrete exponential ') | |
class randint_gen(rv_discrete): | |
r"""A uniform discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `randint` is: | |
.. math:: | |
f(k) = \frac{1}{\texttt{high} - \texttt{low}} | |
for :math:`k \in \{\texttt{low}, \dots, \texttt{high} - 1\}`. | |
`randint` takes :math:`\texttt{low}` and :math:`\texttt{high}` as shape | |
parameters. | |
%(after_notes)s | |
Examples | |
-------- | |
>>> import numpy as np | |
>>> from scipy.stats import randint | |
>>> import matplotlib.pyplot as plt | |
>>> fig, ax = plt.subplots(1, 1) | |
Calculate the first four moments: | |
>>> low, high = 7, 31 | |
>>> mean, var, skew, kurt = randint.stats(low, high, moments='mvsk') | |
Display the probability mass function (``pmf``): | |
>>> x = np.arange(low - 5, high + 5) | |
>>> ax.plot(x, randint.pmf(x, low, high), 'bo', ms=8, label='randint pmf') | |
>>> ax.vlines(x, 0, randint.pmf(x, low, high), colors='b', lw=5, alpha=0.5) | |
Alternatively, the distribution object can be called (as a function) to | |
fix the shape and location. This returns a "frozen" RV object holding the | |
given parameters fixed. | |
Freeze the distribution and display the frozen ``pmf``: | |
>>> rv = randint(low, high) | |
>>> ax.vlines(x, 0, rv.pmf(x), colors='k', linestyles='-', | |
... lw=1, label='frozen pmf') | |
>>> ax.legend(loc='lower center') | |
>>> plt.show() | |
Check the relationship between the cumulative distribution function | |
(``cdf``) and its inverse, the percent point function (``ppf``): | |
>>> q = np.arange(low, high) | |
>>> p = randint.cdf(q, low, high) | |
>>> np.allclose(q, randint.ppf(p, low, high)) | |
True | |
Generate random numbers: | |
>>> r = randint.rvs(low, high, size=1000) | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("low", True, (-np.inf, np.inf), (False, False)), | |
_ShapeInfo("high", True, (-np.inf, np.inf), (False, False))] | |
def _argcheck(self, low, high): | |
return (high > low) & _isintegral(low) & _isintegral(high) | |
def _get_support(self, low, high): | |
return low, high-1 | |
def _pmf(self, k, low, high): | |
# randint.pmf(k) = 1./(high - low) | |
p = np.ones_like(k) / (high - low) | |
return np.where((k >= low) & (k < high), p, 0.) | |
def _cdf(self, x, low, high): | |
k = floor(x) | |
return (k - low + 1.) / (high - low) | |
def _ppf(self, q, low, high): | |
vals = ceil(q * (high - low) + low) - 1 | |
vals1 = (vals - 1).clip(low, high) | |
temp = self._cdf(vals1, low, high) | |
return np.where(temp >= q, vals1, vals) | |
def _stats(self, low, high): | |
m2, m1 = np.asarray(high), np.asarray(low) | |
mu = (m2 + m1 - 1.0) / 2 | |
d = m2 - m1 | |
var = (d*d - 1) / 12.0 | |
g1 = 0.0 | |
g2 = -6.0/5.0 * (d*d + 1.0) / (d*d - 1.0) | |
return mu, var, g1, g2 | |
def _rvs(self, low, high, size=None, random_state=None): | |
"""An array of *size* random integers >= ``low`` and < ``high``.""" | |
if np.asarray(low).size == 1 and np.asarray(high).size == 1: | |
# no need to vectorize in that case | |
return rng_integers(random_state, low, high, size=size) | |
if size is not None: | |
# NumPy's RandomState.randint() doesn't broadcast its arguments. | |
# Use `broadcast_to()` to extend the shapes of low and high | |
# up to size. Then we can use the numpy.vectorize'd | |
# randint without needing to pass it a `size` argument. | |
low = np.broadcast_to(low, size) | |
high = np.broadcast_to(high, size) | |
randint = np.vectorize(partial(rng_integers, random_state), | |
otypes=[np.dtype(int)]) | |
return randint(low, high) | |
def _entropy(self, low, high): | |
return log(high - low) | |
randint = randint_gen(name='randint', longname='A discrete uniform ' | |
'(random integer)') | |
# FIXME: problems sampling. | |
class zipf_gen(rv_discrete): | |
r"""A Zipf (Zeta) discrete random variable. | |
%(before_notes)s | |
See Also | |
-------- | |
zipfian | |
Notes | |
----- | |
The probability mass function for `zipf` is: | |
.. math:: | |
f(k, a) = \frac{1}{\zeta(a) k^a} | |
for :math:`k \ge 1`, :math:`a > 1`. | |
`zipf` takes :math:`a > 1` as shape parameter. :math:`\zeta` is the | |
Riemann zeta function (`scipy.special.zeta`) | |
The Zipf distribution is also known as the zeta distribution, which is | |
a special case of the Zipfian distribution (`zipfian`). | |
%(after_notes)s | |
References | |
---------- | |
.. [1] "Zeta Distribution", Wikipedia, | |
https://en.wikipedia.org/wiki/Zeta_distribution | |
%(example)s | |
Confirm that `zipf` is the large `n` limit of `zipfian`. | |
>>> import numpy as np | |
>>> from scipy.stats import zipf, zipfian | |
>>> k = np.arange(11) | |
>>> np.allclose(zipf.pmf(k, a), zipfian.pmf(k, a, n=10000000)) | |
True | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("a", False, (1, np.inf), (False, False))] | |
def _rvs(self, a, size=None, random_state=None): | |
return random_state.zipf(a, size=size) | |
def _argcheck(self, a): | |
return a > 1 | |
def _pmf(self, k, a): | |
# zipf.pmf(k, a) = 1/(zeta(a) * k**a) | |
Pk = 1.0 / special.zeta(a, 1) / k**a | |
return Pk | |
def _munp(self, n, a): | |
return _lazywhere( | |
a > n + 1, (a, n), | |
lambda a, n: special.zeta(a - n, 1) / special.zeta(a, 1), | |
np.inf) | |
zipf = zipf_gen(a=1, name='zipf', longname='A Zipf') | |
def _gen_harmonic_gt1(n, a): | |
"""Generalized harmonic number, a > 1""" | |
# See https://en.wikipedia.org/wiki/Harmonic_number; search for "hurwitz" | |
return zeta(a, 1) - zeta(a, n+1) | |
def _gen_harmonic_leq1(n, a): | |
"""Generalized harmonic number, a <= 1""" | |
if not np.size(n): | |
return n | |
n_max = np.max(n) # loop starts at maximum of all n | |
out = np.zeros_like(a, dtype=float) | |
# add terms of harmonic series; starting from smallest to avoid roundoff | |
for i in np.arange(n_max, 0, -1, dtype=float): | |
mask = i <= n # don't add terms after nth | |
out[mask] += 1/i**a[mask] | |
return out | |
def _gen_harmonic(n, a): | |
"""Generalized harmonic number""" | |
n, a = np.broadcast_arrays(n, a) | |
return _lazywhere(a > 1, (n, a), | |
f=_gen_harmonic_gt1, f2=_gen_harmonic_leq1) | |
class zipfian_gen(rv_discrete): | |
r"""A Zipfian discrete random variable. | |
%(before_notes)s | |
See Also | |
-------- | |
zipf | |
Notes | |
----- | |
The probability mass function for `zipfian` is: | |
.. math:: | |
f(k, a, n) = \frac{1}{H_{n,a} k^a} | |
for :math:`k \in \{1, 2, \dots, n-1, n\}`, :math:`a \ge 0`, | |
:math:`n \in \{1, 2, 3, \dots\}`. | |
`zipfian` takes :math:`a` and :math:`n` as shape parameters. | |
:math:`H_{n,a}` is the :math:`n`:sup:`th` generalized harmonic | |
number of order :math:`a`. | |
The Zipfian distribution reduces to the Zipf (zeta) distribution as | |
:math:`n \rightarrow \infty`. | |
%(after_notes)s | |
References | |
---------- | |
.. [1] "Zipf's Law", Wikipedia, https://en.wikipedia.org/wiki/Zipf's_law | |
.. [2] Larry Leemis, "Zipf Distribution", Univariate Distribution | |
Relationships. http://www.math.wm.edu/~leemis/chart/UDR/PDFs/Zipf.pdf | |
%(example)s | |
Confirm that `zipfian` reduces to `zipf` for large `n`, `a > 1`. | |
>>> import numpy as np | |
>>> from scipy.stats import zipf, zipfian | |
>>> k = np.arange(11) | |
>>> np.allclose(zipfian.pmf(k, a=3.5, n=10000000), zipf.pmf(k, a=3.5)) | |
True | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("a", False, (0, np.inf), (True, False)), | |
_ShapeInfo("n", True, (0, np.inf), (False, False))] | |
def _argcheck(self, a, n): | |
# we need np.asarray here because moment (maybe others) don't convert | |
return (a >= 0) & (n > 0) & (n == np.asarray(n, dtype=int)) | |
def _get_support(self, a, n): | |
return 1, n | |
def _pmf(self, k, a, n): | |
return 1.0 / _gen_harmonic(n, a) / k**a | |
def _cdf(self, k, a, n): | |
return _gen_harmonic(k, a) / _gen_harmonic(n, a) | |
def _sf(self, k, a, n): | |
k = k + 1 # # to match SciPy convention | |
# see http://www.math.wm.edu/~leemis/chart/UDR/PDFs/Zipf.pdf | |
return ((k**a*(_gen_harmonic(n, a) - _gen_harmonic(k, a)) + 1) | |
/ (k**a*_gen_harmonic(n, a))) | |
def _stats(self, a, n): | |
# see # see http://www.math.wm.edu/~leemis/chart/UDR/PDFs/Zipf.pdf | |
Hna = _gen_harmonic(n, a) | |
Hna1 = _gen_harmonic(n, a-1) | |
Hna2 = _gen_harmonic(n, a-2) | |
Hna3 = _gen_harmonic(n, a-3) | |
Hna4 = _gen_harmonic(n, a-4) | |
mu1 = Hna1/Hna | |
mu2n = (Hna2*Hna - Hna1**2) | |
mu2d = Hna**2 | |
mu2 = mu2n / mu2d | |
g1 = (Hna3/Hna - 3*Hna1*Hna2/Hna**2 + 2*Hna1**3/Hna**3)/mu2**(3/2) | |
g2 = (Hna**3*Hna4 - 4*Hna**2*Hna1*Hna3 + 6*Hna*Hna1**2*Hna2 | |
- 3*Hna1**4) / mu2n**2 | |
g2 -= 3 | |
return mu1, mu2, g1, g2 | |
zipfian = zipfian_gen(a=1, name='zipfian', longname='A Zipfian') | |
class dlaplace_gen(rv_discrete): | |
r"""A Laplacian discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for `dlaplace` is: | |
.. math:: | |
f(k) = \tanh(a/2) \exp(-a |k|) | |
for integers :math:`k` and :math:`a > 0`. | |
`dlaplace` takes :math:`a` as shape parameter. | |
%(after_notes)s | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("a", False, (0, np.inf), (False, False))] | |
def _pmf(self, k, a): | |
# dlaplace.pmf(k) = tanh(a/2) * exp(-a*abs(k)) | |
return tanh(a/2.0) * exp(-a * abs(k)) | |
def _cdf(self, x, a): | |
k = floor(x) | |
def f(k, a): | |
return 1.0 - exp(-a * k) / (exp(a) + 1) | |
def f2(k, a): | |
return exp(a * (k + 1)) / (exp(a) + 1) | |
return _lazywhere(k >= 0, (k, a), f=f, f2=f2) | |
def _ppf(self, q, a): | |
const = 1 + exp(a) | |
vals = ceil(np.where(q < 1.0 / (1 + exp(-a)), | |
log(q*const) / a - 1, | |
-log((1-q) * const) / a)) | |
vals1 = vals - 1 | |
return np.where(self._cdf(vals1, a) >= q, vals1, vals) | |
def _stats(self, a): | |
ea = exp(a) | |
mu2 = 2.*ea/(ea-1.)**2 | |
mu4 = 2.*ea*(ea**2+10.*ea+1.) / (ea-1.)**4 | |
return 0., mu2, 0., mu4/mu2**2 - 3. | |
def _entropy(self, a): | |
return a / sinh(a) - log(tanh(a/2.0)) | |
def _rvs(self, a, size=None, random_state=None): | |
# The discrete Laplace is equivalent to the two-sided geometric | |
# distribution with PMF: | |
# f(k) = (1 - alpha)/(1 + alpha) * alpha^abs(k) | |
# Reference: | |
# https://www.sciencedirect.com/science/ | |
# article/abs/pii/S0378375804003519 | |
# Furthermore, the two-sided geometric distribution is | |
# equivalent to the difference between two iid geometric | |
# distributions. | |
# Reference (page 179): | |
# https://pdfs.semanticscholar.org/61b3/ | |
# b99f466815808fd0d03f5d2791eea8b541a1.pdf | |
# Thus, we can leverage the following: | |
# 1) alpha = e^-a | |
# 2) probability_of_success = 1 - alpha (Bernoulli trial) | |
probOfSuccess = -np.expm1(-np.asarray(a)) | |
x = random_state.geometric(probOfSuccess, size=size) | |
y = random_state.geometric(probOfSuccess, size=size) | |
return x - y | |
dlaplace = dlaplace_gen(a=-np.inf, | |
name='dlaplace', longname='A discrete Laplacian') | |
class skellam_gen(rv_discrete): | |
r"""A Skellam discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
Probability distribution of the difference of two correlated or | |
uncorrelated Poisson random variables. | |
Let :math:`k_1` and :math:`k_2` be two Poisson-distributed r.v. with | |
expected values :math:`\lambda_1` and :math:`\lambda_2`. Then, | |
:math:`k_1 - k_2` follows a Skellam distribution with parameters | |
:math:`\mu_1 = \lambda_1 - \rho \sqrt{\lambda_1 \lambda_2}` and | |
:math:`\mu_2 = \lambda_2 - \rho \sqrt{\lambda_1 \lambda_2}`, where | |
:math:`\rho` is the correlation coefficient between :math:`k_1` and | |
:math:`k_2`. If the two Poisson-distributed r.v. are independent then | |
:math:`\rho = 0`. | |
Parameters :math:`\mu_1` and :math:`\mu_2` must be strictly positive. | |
For details see: https://en.wikipedia.org/wiki/Skellam_distribution | |
`skellam` takes :math:`\mu_1` and :math:`\mu_2` as shape parameters. | |
%(after_notes)s | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("mu1", False, (0, np.inf), (False, False)), | |
_ShapeInfo("mu2", False, (0, np.inf), (False, False))] | |
def _rvs(self, mu1, mu2, size=None, random_state=None): | |
n = size | |
return (random_state.poisson(mu1, n) - | |
random_state.poisson(mu2, n)) | |
def _pmf(self, x, mu1, mu2): | |
with np.errstate(over='ignore'): # see gh-17432 | |
px = np.where(x < 0, | |
_boost._ncx2_pdf(2*mu2, 2*(1-x), 2*mu1)*2, | |
_boost._ncx2_pdf(2*mu1, 2*(1+x), 2*mu2)*2) | |
# ncx2.pdf() returns nan's for extremely low probabilities | |
return px | |
def _cdf(self, x, mu1, mu2): | |
x = floor(x) | |
with np.errstate(over='ignore'): # see gh-17432 | |
px = np.where(x < 0, | |
_boost._ncx2_cdf(2*mu2, -2*x, 2*mu1), | |
1 - _boost._ncx2_cdf(2*mu1, 2*(x+1), 2*mu2)) | |
return px | |
def _stats(self, mu1, mu2): | |
mean = mu1 - mu2 | |
var = mu1 + mu2 | |
g1 = mean / sqrt((var)**3) | |
g2 = 1 / var | |
return mean, var, g1, g2 | |
skellam = skellam_gen(a=-np.inf, name="skellam", longname='A Skellam') | |
class yulesimon_gen(rv_discrete): | |
r"""A Yule-Simon discrete random variable. | |
%(before_notes)s | |
Notes | |
----- | |
The probability mass function for the `yulesimon` is: | |
.. math:: | |
f(k) = \alpha B(k, \alpha+1) | |
for :math:`k=1,2,3,...`, where :math:`\alpha>0`. | |
Here :math:`B` refers to the `scipy.special.beta` function. | |
The sampling of random variates is based on pg 553, Section 6.3 of [1]_. | |
Our notation maps to the referenced logic via :math:`\alpha=a-1`. | |
For details see the wikipedia entry [2]_. | |
References | |
---------- | |
.. [1] Devroye, Luc. "Non-uniform Random Variate Generation", | |
(1986) Springer, New York. | |
.. [2] https://en.wikipedia.org/wiki/Yule-Simon_distribution | |
%(after_notes)s | |
%(example)s | |
""" | |
def _shape_info(self): | |
return [_ShapeInfo("alpha", False, (0, np.inf), (False, False))] | |
def _rvs(self, alpha, size=None, random_state=None): | |
E1 = random_state.standard_exponential(size) | |
E2 = random_state.standard_exponential(size) | |
ans = ceil(-E1 / log1p(-exp(-E2 / alpha))) | |
return ans | |
def _pmf(self, x, alpha): | |
return alpha * special.beta(x, alpha + 1) | |
def _argcheck(self, alpha): | |
return (alpha > 0) | |
def _logpmf(self, x, alpha): | |
return log(alpha) + special.betaln(x, alpha + 1) | |
def _cdf(self, x, alpha): | |
return 1 - x * special.beta(x, alpha + 1) | |
def _sf(self, x, alpha): | |
return x * special.beta(x, alpha + 1) | |
def _logsf(self, x, alpha): | |
return log(x) + special.betaln(x, alpha + 1) | |
def _stats(self, alpha): | |
mu = np.where(alpha <= 1, np.inf, alpha / (alpha - 1)) | |
mu2 = np.where(alpha > 2, | |
alpha**2 / ((alpha - 2.0) * (alpha - 1)**2), | |
np.inf) | |
mu2 = np.where(alpha <= 1, np.nan, mu2) | |
g1 = np.where(alpha > 3, | |
sqrt(alpha - 2) * (alpha + 1)**2 / (alpha * (alpha - 3)), | |
np.inf) | |
g1 = np.where(alpha <= 2, np.nan, g1) | |
g2 = np.where(alpha > 4, | |
alpha + 3 + ((alpha**3 - 49 * alpha - 22) / | |
(alpha * (alpha - 4) * (alpha - 3))), | |
np.inf) | |
g2 = np.where(alpha <= 2, np.nan, g2) | |
return mu, mu2, g1, g2 | |
yulesimon = yulesimon_gen(name='yulesimon', a=1) | |
def _vectorize_rvs_over_shapes(_rvs1): | |
"""Decorator that vectorizes _rvs method to work on ndarray shapes""" | |
# _rvs1 must be a _function_ that accepts _scalar_ args as positional | |
# arguments, `size` and `random_state` as keyword arguments. | |
# _rvs1 must return a random variate array with shape `size`. If `size` is | |
# None, _rvs1 must return a scalar. | |
# When applied to _rvs1, this decorator broadcasts ndarray args | |
# and loops over them, calling _rvs1 for each set of scalar args. | |
# For usage example, see _nchypergeom_gen | |
def _rvs(*args, size, random_state): | |
_rvs1_size, _rvs1_indices = _check_shape(args[0].shape, size) | |
size = np.array(size) | |
_rvs1_size = np.array(_rvs1_size) | |
_rvs1_indices = np.array(_rvs1_indices) | |
if np.all(_rvs1_indices): # all args are scalars | |
return _rvs1(*args, size, random_state) | |
out = np.empty(size) | |
# out.shape can mix dimensions associated with arg_shape and _rvs1_size | |
# Sort them to arg_shape + _rvs1_size for easy indexing of dimensions | |
# corresponding with the different sets of scalar args | |
j0 = np.arange(out.ndim) | |
j1 = np.hstack((j0[~_rvs1_indices], j0[_rvs1_indices])) | |
out = np.moveaxis(out, j1, j0) | |
for i in np.ndindex(*size[~_rvs1_indices]): | |
# arg can be squeezed because singleton dimensions will be | |
# associated with _rvs1_size, not arg_shape per _check_shape | |
out[i] = _rvs1(*[np.squeeze(arg)[i] for arg in args], | |
_rvs1_size, random_state) | |
return np.moveaxis(out, j0, j1) # move axes back before returning | |
return _rvs | |
class _nchypergeom_gen(rv_discrete): | |
r"""A noncentral hypergeometric discrete random variable. | |
For subclassing by nchypergeom_fisher_gen and nchypergeom_wallenius_gen. | |
""" | |
rvs_name = None | |
dist = None | |
def _shape_info(self): | |
return [_ShapeInfo("M", True, (0, np.inf), (True, False)), | |
_ShapeInfo("n", True, (0, np.inf), (True, False)), | |
_ShapeInfo("N", True, (0, np.inf), (True, False)), | |
_ShapeInfo("odds", False, (0, np.inf), (False, False))] | |
def _get_support(self, M, n, N, odds): | |
N, m1, n = M, n, N # follow Wikipedia notation | |
m2 = N - m1 | |
x_min = np.maximum(0, n - m2) | |
x_max = np.minimum(n, m1) | |
return x_min, x_max | |
def _argcheck(self, M, n, N, odds): | |
M, n = np.asarray(M), np.asarray(n), | |
N, odds = np.asarray(N), np.asarray(odds) | |
cond1 = (M.astype(int) == M) & (M >= 0) | |
cond2 = (n.astype(int) == n) & (n >= 0) | |
cond3 = (N.astype(int) == N) & (N >= 0) | |
cond4 = odds > 0 | |
cond5 = N <= M | |
cond6 = n <= M | |
return cond1 & cond2 & cond3 & cond4 & cond5 & cond6 | |
def _rvs(self, M, n, N, odds, size=None, random_state=None): | |
def _rvs1(M, n, N, odds, size, random_state): | |
length = np.prod(size) | |
urn = _PyStochasticLib3() | |
rv_gen = getattr(urn, self.rvs_name) | |
rvs = rv_gen(N, n, M, odds, length, random_state) | |
rvs = rvs.reshape(size) | |
return rvs | |
return _rvs1(M, n, N, odds, size=size, random_state=random_state) | |
def _pmf(self, x, M, n, N, odds): | |
x, M, n, N, odds = np.broadcast_arrays(x, M, n, N, odds) | |
if x.size == 0: # np.vectorize doesn't work with zero size input | |
return np.empty_like(x) | |
def _pmf1(x, M, n, N, odds): | |
urn = self.dist(N, n, M, odds, 1e-12) | |
return urn.probability(x) | |
return _pmf1(x, M, n, N, odds) | |
def _stats(self, M, n, N, odds, moments): | |
def _moments1(M, n, N, odds): | |
urn = self.dist(N, n, M, odds, 1e-12) | |
return urn.moments() | |
m, v = (_moments1(M, n, N, odds) if ("m" in moments or "v" in moments) | |
else (None, None)) | |
s, k = None, None | |
return m, v, s, k | |
class nchypergeom_fisher_gen(_nchypergeom_gen): | |
r"""A Fisher's noncentral hypergeometric discrete random variable. | |
Fisher's noncentral hypergeometric distribution models drawing objects of | |
two types from a bin. `M` is the total number of objects, `n` is the | |
number of Type I objects, and `odds` is the odds ratio: the odds of | |
selecting a Type I object rather than a Type II object when there is only | |
one object of each type. | |
The random variate represents the number of Type I objects drawn if we | |
take a handful of objects from the bin at once and find out afterwards | |
that we took `N` objects. | |
%(before_notes)s | |
See Also | |
-------- | |
nchypergeom_wallenius, hypergeom, nhypergeom | |
Notes | |
----- | |
Let mathematical symbols :math:`N`, :math:`n`, and :math:`M` correspond | |
with parameters `N`, `n`, and `M` (respectively) as defined above. | |
The probability mass function is defined as | |
.. math:: | |
p(x; M, n, N, \omega) = | |
\frac{\binom{n}{x}\binom{M - n}{N-x}\omega^x}{P_0}, | |
for | |
:math:`x \in [x_l, x_u]`, | |
:math:`M \in {\mathbb N}`, | |
:math:`n \in [0, M]`, | |
:math:`N \in [0, M]`, | |
:math:`\omega > 0`, | |
where | |
:math:`x_l = \max(0, N - (M - n))`, | |
:math:`x_u = \min(N, n)`, | |
.. math:: | |
P_0 = \sum_{y=x_l}^{x_u} \binom{n}{y}\binom{M - n}{N-y}\omega^y, | |
and the binomial coefficients are defined as | |
.. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}. | |
`nchypergeom_fisher` uses the BiasedUrn package by Agner Fog with | |
permission for it to be distributed under SciPy's license. | |
The symbols used to denote the shape parameters (`N`, `n`, and `M`) are not | |
universally accepted; they are chosen for consistency with `hypergeom`. | |
Note that Fisher's noncentral hypergeometric distribution is distinct | |
from Wallenius' noncentral hypergeometric distribution, which models | |
drawing a pre-determined `N` objects from a bin one by one. | |
When the odds ratio is unity, however, both distributions reduce to the | |
ordinary hypergeometric distribution. | |
%(after_notes)s | |
References | |
---------- | |
.. [1] Agner Fog, "Biased Urn Theory". | |
https://cran.r-project.org/web/packages/BiasedUrn/vignettes/UrnTheory.pdf | |
.. [2] "Fisher's noncentral hypergeometric distribution", Wikipedia, | |
https://en.wikipedia.org/wiki/Fisher's_noncentral_hypergeometric_distribution | |
%(example)s | |
""" | |
rvs_name = "rvs_fisher" | |
dist = _PyFishersNCHypergeometric | |
nchypergeom_fisher = nchypergeom_fisher_gen( | |
name='nchypergeom_fisher', | |
longname="A Fisher's noncentral hypergeometric") | |
class nchypergeom_wallenius_gen(_nchypergeom_gen): | |
r"""A Wallenius' noncentral hypergeometric discrete random variable. | |
Wallenius' noncentral hypergeometric distribution models drawing objects of | |
two types from a bin. `M` is the total number of objects, `n` is the | |
number of Type I objects, and `odds` is the odds ratio: the odds of | |
selecting a Type I object rather than a Type II object when there is only | |
one object of each type. | |
The random variate represents the number of Type I objects drawn if we | |
draw a pre-determined `N` objects from a bin one by one. | |
%(before_notes)s | |
See Also | |
-------- | |
nchypergeom_fisher, hypergeom, nhypergeom | |
Notes | |
----- | |
Let mathematical symbols :math:`N`, :math:`n`, and :math:`M` correspond | |
with parameters `N`, `n`, and `M` (respectively) as defined above. | |
The probability mass function is defined as | |
.. math:: | |
p(x; N, n, M) = \binom{n}{x} \binom{M - n}{N-x} | |
\int_0^1 \left(1-t^{\omega/D}\right)^x\left(1-t^{1/D}\right)^{N-x} dt | |
for | |
:math:`x \in [x_l, x_u]`, | |
:math:`M \in {\mathbb N}`, | |
:math:`n \in [0, M]`, | |
:math:`N \in [0, M]`, | |
:math:`\omega > 0`, | |
where | |
:math:`x_l = \max(0, N - (M - n))`, | |
:math:`x_u = \min(N, n)`, | |
.. math:: | |
D = \omega(n - x) + ((M - n)-(N-x)), | |
and the binomial coefficients are defined as | |
.. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}. | |
`nchypergeom_wallenius` uses the BiasedUrn package by Agner Fog with | |
permission for it to be distributed under SciPy's license. | |
The symbols used to denote the shape parameters (`N`, `n`, and `M`) are not | |
universally accepted; they are chosen for consistency with `hypergeom`. | |
Note that Wallenius' noncentral hypergeometric distribution is distinct | |
from Fisher's noncentral hypergeometric distribution, which models | |
take a handful of objects from the bin at once, finding out afterwards | |
that `N` objects were taken. | |
When the odds ratio is unity, however, both distributions reduce to the | |
ordinary hypergeometric distribution. | |
%(after_notes)s | |
References | |
---------- | |
.. [1] Agner Fog, "Biased Urn Theory". | |
https://cran.r-project.org/web/packages/BiasedUrn/vignettes/UrnTheory.pdf | |
.. [2] "Wallenius' noncentral hypergeometric distribution", Wikipedia, | |
https://en.wikipedia.org/wiki/Wallenius'_noncentral_hypergeometric_distribution | |
%(example)s | |
""" | |
rvs_name = "rvs_wallenius" | |
dist = _PyWalleniusNCHypergeometric | |
nchypergeom_wallenius = nchypergeom_wallenius_gen( | |
name='nchypergeom_wallenius', | |
longname="A Wallenius' noncentral hypergeometric") | |
# Collect names of classes and objects in this module. | |
pairs = list(globals().copy().items()) | |
_distn_names, _distn_gen_names = get_distribution_names(pairs, rv_discrete) | |
__all__ = _distn_names + _distn_gen_names | |