peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/stats
/_distn_infrastructure.py
# | |
# Author: Travis Oliphant 2002-2011 with contributions from | |
# SciPy Developers 2004-2011 | |
# | |
from scipy._lib._util import getfullargspec_no_self as _getfullargspec | |
import sys | |
import keyword | |
import re | |
import types | |
import warnings | |
from itertools import zip_longest | |
from scipy._lib import doccer | |
from ._distr_params import distcont, distdiscrete | |
from scipy._lib._util import check_random_state | |
from scipy.special import comb, entr | |
# for root finding for continuous distribution ppf, and maximum 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._lib._finite_differences import _derivative | |
# for scipy.stats.entropy. Attempts to import just that function or file | |
# have cause import problems | |
from scipy import stats | |
from numpy import (arange, putmask, ones, shape, ndarray, zeros, floor, | |
logical_and, log, sqrt, place, argmax, vectorize, asarray, | |
nan, inf, isinf, empty) | |
import numpy as np | |
from ._constants import _XMAX, _LOGXMAX | |
from ._censored_data import CensoredData | |
from scipy.stats._warnings_errors import FitError | |
# These are the docstring parts used for substitution in specific | |
# distribution docstrings | |
docheaders = {'methods': """\nMethods\n-------\n""", | |
'notes': """\nNotes\n-----\n""", | |
'examples': """\nExamples\n--------\n"""} | |
_doc_rvs = """\ | |
rvs(%(shapes)s, loc=0, scale=1, size=1, random_state=None) | |
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(k, %(shapes)s, loc=0, scale=1) | |
Probability mass function. | |
""" | |
_doc_logpmf = """\ | |
logpmf(k, %(shapes)s, loc=0, scale=1) | |
Log of the probability mass function. | |
""" | |
_doc_cdf = """\ | |
cdf(x, %(shapes)s, loc=0, scale=1) | |
Cumulative distribution function. | |
""" | |
_doc_logcdf = """\ | |
logcdf(x, %(shapes)s, loc=0, scale=1) | |
Log of the cumulative distribution function. | |
""" | |
_doc_sf = """\ | |
sf(x, %(shapes)s, loc=0, scale=1) | |
Survival function (also defined as ``1 - cdf``, but `sf` is sometimes more accurate). | |
""" # noqa: E501 | |
_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(order, %(shapes)s, loc=0, scale=1) | |
Non-central moment of the specified order. | |
""" | |
_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) | |
Parameter estimates for generic data. | |
See `scipy.stats.rv_continuous.fit <https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.rv_continuous.fit.html#scipy.stats.rv_continuous.fit>`__ for detailed documentation of the | |
keyword arguments. | |
""" # noqa: E501 | |
_doc_expect = """\ | |
expect(func, args=(%(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. | |
""" # noqa: E501 | |
_doc_expect_discrete = """\ | |
expect(func, args=(%(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(confidence, %(shapes)s, loc=0, scale=1) | |
Confidence interval with equal areas around the median. | |
""" | |
_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]) | |
_doc_default_longsummary = """\ | |
As an instance of the `rv_continuous` class, `%(name)s` object inherits from it | |
a collection of generic methods (see below for the full list), | |
and completes them with details specific for this particular distribution. | |
""" | |
_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 | |
-------- | |
import numpy as np | |
from scipy.stats import %(name)s | |
import matplotlib.pyplot as plt | |
fig, ax = plt.subplots(1, 1) | |
Calculate the first four 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, the distribution object can be called (as a function) | |
to fix the shape, location and scale parameters. This returns a "frozen" | |
RV object holding the given parameters fixed. | |
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, density=True, bins='auto', histtype='stepfilled', alpha=0.2) | |
ax.set_xlim([x[0], x[-1]]) | |
ax.legend(loc='best', frameon=False) | |
plt.show() | |
""" | |
_doc_default_locscale = """\ | |
The probability density above is defined in the "standardized" form. To shift | |
and/or scale the distribution use the ``loc`` and ``scale`` parameters. | |
Specifically, ``%(name)s.pdf(x, %(shapes)s, loc, scale)`` is identically | |
equivalent to ``%(name)s.pdf(y, %(shapes)s) / scale`` with | |
``y = (x - loc) / scale``. Note that shifting the location of a distribution | |
does not make it a "noncentral" distribution; noncentral generalizations of | |
some distributions are available in separate classes. | |
""" | |
_doc_default = ''.join([_doc_default_longsummary, | |
_doc_allmethods, | |
'\n', | |
_doc_default_example]) | |
_doc_default_before_notes = ''.join([_doc_default_longsummary, | |
_doc_allmethods]) | |
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, | |
'longsummary': _doc_default_longsummary, | |
'frozennote': _doc_default_frozen_note, | |
'example': _doc_default_example, | |
'default': _doc_default, | |
'before_notes': _doc_default_before_notes, | |
'after_notes': _doc_default_locscale | |
} | |
# 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'] | |
for obj in _doc_disc_methods: | |
docdict_discrete[obj] = docdict_discrete[obj].replace(', scale=1', '') | |
_doc_disc_methods_err_varname = ['cdf', 'logcdf', 'sf', 'logsf'] | |
for obj in _doc_disc_methods_err_varname: | |
docdict_discrete[obj] = docdict_discrete[obj].replace('(x, ', '(k, ') | |
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( | |
'rv_continuous', 'rv_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 | |
-------- | |
import numpy as np | |
from scipy.stats import %(name)s | |
import matplotlib.pyplot as plt | |
fig, ax = plt.subplots(1, 1) | |
Calculate the first four 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, 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 = %(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) | |
""" | |
_doc_default_discrete_locscale = """\ | |
The probability mass function above is defined in the "standardized" form. | |
To shift distribution use the ``loc`` parameter. | |
Specifically, ``%(name)s.pmf(k, %(shapes)s, loc)`` is identically | |
equivalent to ``%(name)s.pmf(k - loc, %(shapes)s)``. | |
""" | |
docdict_discrete['example'] = _doc_default_discrete_example | |
docdict_discrete['after_notes'] = _doc_default_discrete_locscale | |
_doc_default_before_notes = ''.join([docdict_discrete['longsummary'], | |
docdict_discrete['allmethods']]) | |
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 | |
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 | |
def _fit_determine_optimizer(optimizer): | |
if not callable(optimizer) and isinstance(optimizer, str): | |
if not optimizer.startswith('fmin_'): | |
optimizer = "fmin_"+optimizer | |
if optimizer == 'fmin_': | |
optimizer = 'fmin' | |
try: | |
optimizer = getattr(optimize, optimizer) | |
except AttributeError as e: | |
raise ValueError("%s is not a valid optimizer" % optimizer) from e | |
return optimizer | |
def _sum_finite(x): | |
""" | |
For a 1D array x, return a tuple containing the sum of the | |
finite values of x and the number of nonfinite values. | |
This is a utility function used when evaluating the negative | |
loglikelihood for a distribution and an array of samples. | |
Examples | |
-------- | |
>>> import numpy as np | |
>>> from scipy.stats._distn_infrastructure import _sum_finite | |
>>> tot, nbad = _sum_finite(np.array([-2, -np.inf, 5, 1])) | |
>>> tot | |
4.0 | |
>>> nbad | |
1 | |
""" | |
finite_x = np.isfinite(x) | |
bad_count = finite_x.size - np.count_nonzero(finite_x) | |
return np.sum(x[finite_x]), bad_count | |
# Frozen RV class | |
class rv_frozen: | |
def __init__(self, dist, *args, **kwds): | |
self.args = args | |
self.kwds = kwds | |
# create a new instance | |
self.dist = dist.__class__(**dist._updated_ctor_param()) | |
shapes, _, _ = self.dist._parse_args(*args, **kwds) | |
self.a, self.b = self.dist._get_support(*shapes) | |
def random_state(self): | |
return self.dist._random_state | |
def random_state(self, seed): | |
self.dist._random_state = check_random_state(seed) | |
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, random_state=None): | |
kwds = self.kwds.copy() | |
kwds.update({'size': size, 'random_state': random_state}) | |
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, order=None): | |
return self.dist.moment(order, *self.args, **self.kwds) | |
def entropy(self): | |
return self.dist.entropy(*self.args, **self.kwds) | |
def interval(self, confidence=None): | |
return self.dist.interval(confidence, *self.args, **self.kwds) | |
def expect(self, func=None, lb=None, ub=None, conditional=False, **kwds): | |
# expect method only accepts shape parameters as positional args | |
# hence convert self.args, self.kwds, also loc/scale | |
# See the .expect method docstrings for the meaning of | |
# other parameters. | |
a, loc, scale = self.dist._parse_args(*self.args, **self.kwds) | |
if isinstance(self.dist, rv_discrete): | |
return self.dist.expect(func, a, loc, lb, ub, conditional, **kwds) | |
else: | |
return self.dist.expect(func, a, loc, scale, lb, ub, | |
conditional, **kwds) | |
def support(self): | |
return self.dist.support(*self.args, **self.kwds) | |
class rv_discrete_frozen(rv_frozen): | |
def pmf(self, k): | |
return self.dist.pmf(k, *self.args, **self.kwds) | |
def logpmf(self, k): # No error | |
return self.dist.logpmf(k, *self.args, **self.kwds) | |
class rv_continuous_frozen(rv_frozen): | |
def pdf(self, x): | |
return self.dist.pdf(x, *self.args, **self.kwds) | |
def logpdf(self, x): | |
return self.dist.logpdf(x, *self.args, **self.kwds) | |
def argsreduce(cond, *args): | |
"""Clean arguments to: | |
1. Ensure all arguments are iterable (arrays of dimension at least one | |
2. If cond != True and size > 1, ravel(args[i]) where ravel(condition) is | |
True, in 1D. | |
Return list of processed arguments. | |
Examples | |
-------- | |
>>> import numpy as np | |
>>> from scipy.stats._distn_infrastructure import argsreduce | |
>>> rng = np.random.default_rng() | |
>>> A = rng.random((4, 5)) | |
>>> B = 2 | |
>>> C = rng.random((1, 5)) | |
>>> cond = np.ones(A.shape) | |
>>> [A1, B1, C1] = argsreduce(cond, A, B, C) | |
>>> A1.shape | |
(4, 5) | |
>>> B1.shape | |
(1,) | |
>>> C1.shape | |
(1, 5) | |
>>> cond[2,:] = 0 | |
>>> [A1, B1, C1] = argsreduce(cond, A, B, C) | |
>>> A1.shape | |
(15,) | |
>>> B1.shape | |
(1,) | |
>>> C1.shape | |
(15,) | |
""" | |
# some distributions assume arguments are iterable. | |
newargs = np.atleast_1d(*args) | |
# np.atleast_1d returns an array if only one argument, or a list of arrays | |
# if more than one argument. | |
if not isinstance(newargs, (list, tuple)): | |
newargs = (newargs,) | |
if np.all(cond): | |
# broadcast arrays with cond | |
*newargs, cond = np.broadcast_arrays(*newargs, cond) | |
return [arg.ravel() for arg in newargs] | |
s = cond.shape | |
# np.extract returns flattened arrays, which are not broadcastable together | |
# unless they are either the same size or size == 1. | |
return [(arg if np.size(arg) == 1 | |
else np.extract(cond, np.broadcast_to(arg, s))) | |
for arg 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 self._argcheck_rvs(%(shape_arg_str)s %(locscale_out)s, size=size) | |
def _parse_args_stats(self, %(shape_arg_str)s %(locscale_in)s, moments='mv'): | |
return (%(shape_arg_str)s), %(locscale_out)s, moments | |
""" | |
class rv_generic: | |
"""Class which encapsulates common functionality between rv_discrete | |
and rv_continuous. | |
""" | |
def __init__(self, seed=None): | |
super().__init__() | |
# figure out if _stats signature has 'moments' keyword | |
sig = _getfullargspec(self._stats) | |
self._stats_has_moments = ((sig.varkw is not None) or | |
('moments' in sig.args) or | |
('moments' in sig.kwonlyargs)) | |
self._random_state = check_random_state(seed) | |
def random_state(self): | |
"""Get or set the generator object for generating random variates. | |
If `random_state` is None (or `np.random`), the | |
`numpy.random.RandomState` singleton is used. | |
If `random_state` is an int, a new ``RandomState`` instance is used, | |
seeded with `random_state`. | |
If `random_state` is already a ``Generator`` or ``RandomState`` | |
instance, that instance is used. | |
""" | |
return self._random_state | |
def random_state(self, seed): | |
self._random_state = check_random_state(seed) | |
def __setstate__(self, state): | |
try: | |
self.__dict__.update(state) | |
# attaches the dynamically created methods on each instance. | |
# if a subclass overrides rv_generic.__setstate__, or implements | |
# it's own _attach_methods, then it must make sure that | |
# _attach_argparser_methods is called. | |
self._attach_methods() | |
except ValueError: | |
# reconstitute an old pickle scipy<1.6, that contains | |
# (_ctor_param, random_state) as state | |
self._ctor_param = state[0] | |
self._random_state = state[1] | |
self.__init__() | |
def _attach_methods(self): | |
"""Attaches dynamically created methods to the rv_* instance. | |
This method must be overridden by subclasses, and must itself call | |
_attach_argparser_methods. This method is called in __init__ in | |
subclasses, and in __setstate__ | |
""" | |
raise NotImplementedError | |
def _attach_argparser_methods(self): | |
""" | |
Generates the argument-parsing functions dynamically and attaches | |
them to the instance. | |
Should be called from `_attach_methods`, typically in __init__ and | |
during unpickling (__setstate__) | |
""" | |
ns = {} | |
exec(self._parse_arg_template, ns) | |
# NB: attach to the instance, not class | |
for name in ['_parse_args', '_parse_args_stats', '_parse_args_rvs']: | |
setattr(self, name, types.MethodType(ns[name], self)) | |
def _construct_argparser( | |
self, meths_to_inspect, locscale_in, locscale_out): | |
"""Construct the parser string for the shape arguments. | |
This method should be called in __init__ of a class for each | |
distribution. It creates the `_parse_arg_template` attribute that is | |
then used by `_attach_argparser_methods` to dynamically create and | |
attach the `_parse_args`, `_parse_args_stats`, `_parse_args_rvs` | |
methods to the instance. | |
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, str): | |
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. Generic methods only have 'self, x', any further args | |
# are shapes. | |
shapes_list = [] | |
for meth in meths_to_inspect: | |
shapes_args = _getfullargspec(meth) # NB does not contain self | |
args = shapes_args.args[1:] # peel off 'x', too | |
if args: | |
shapes_list.append(args) | |
# *args or **kwargs are not allowed w/automatic shapes | |
if shapes_args.varargs is not None: | |
raise TypeError( | |
'*args are not allowed w/out explicit shapes') | |
if shapes_args.varkw is not None: | |
raise TypeError( | |
'**kwds are not allowed w/out explicit shapes') | |
if shapes_args.kwonlyargs: | |
raise TypeError( | |
'kwonly args are not allowed w/out explicit shapes') | |
if shapes_args.defaults is not None: | |
raise TypeError('defaults are not allowed for shapes') | |
if shapes_list: | |
shapes = shapes_list[0] | |
# make sure the signatures are consistent | |
for item in shapes_list: | |
if item != shapes: | |
raise TypeError('Shape arguments are inconsistent.') | |
else: | |
shapes = [] | |
# 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, | |
) | |
# this string is used by _attach_argparser_methods | |
self._parse_arg_template = parse_arg_template % dct | |
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('%.3g' % val for val in shapes_vals) | |
tempdict['vals'] = vals | |
tempdict['shapes_'] = self.shapes or '' | |
if self.shapes and self.numargs == 1: | |
tempdict['shapes_'] += ',' | |
if self.shapes: | |
tempdict['set_vals_stmt'] = f'>>> {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 ['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, ", "") | |
try: | |
self.__doc__ = doccer.docformat(self.__doc__, tempdict) | |
except TypeError as e: | |
raise Exception("Unable to construct docstring for " | |
f"distribution \"{self.name}\": {repr(e)}") from e | |
# correct for empty shapes | |
self.__doc__ = self.__doc__.replace('(, ', '(').replace(', )', ')') | |
def _construct_default_doc(self, longname=None, | |
docdict=None, discrete='continuous'): | |
"""Construct instance docstring from the default template.""" | |
if longname is None: | |
longname = 'A' | |
self.__doc__ = ''.join([f'{longname} {discrete} random variable.', | |
'\n\n%(before_notes)s\n', docheaders['notes'], | |
'\n%(example)s']) | |
self._construct_doc(docdict) | |
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. | |
""" | |
if isinstance(self, rv_continuous): | |
return rv_continuous_frozen(self, *args, **kwds) | |
else: | |
return rv_discrete_frozen(self, *args, **kwds) | |
def __call__(self, *args, **kwds): | |
return self.freeze(*args, **kwds) | |
__call__.__doc__ = freeze.__doc__ | |
# 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 | |
# Noncentral moments (also known as the moment about the origin). | |
# Expressed in LaTeX, munp would be $\mu'_{n}$, i.e. "mu-sub-n-prime". | |
# The primed mu is a widely used notation for the noncentral moment. | |
def _munp(self, n, *args): | |
# Silence floating point warnings from integration. | |
with np.errstate(all='ignore'): | |
vals = self.generic_moment(n, *args) | |
return vals | |
def _argcheck_rvs(self, *args, **kwargs): | |
# Handle broadcasting and size validation of the rvs method. | |
# Subclasses should not have to override this method. | |
# The rule is that if `size` is not None, then `size` gives the | |
# shape of the result (integer values of `size` are treated as | |
# tuples with length 1; i.e. `size=3` is the same as `size=(3,)`.) | |
# | |
# `args` is expected to contain the shape parameters (if any), the | |
# location and the scale in a flat tuple (e.g. if there are two | |
# shape parameters `a` and `b`, `args` will be `(a, b, loc, scale)`). | |
# The only keyword argument expected is 'size'. | |
size = kwargs.get('size', None) | |
all_bcast = np.broadcast_arrays(*args) | |
def squeeze_left(a): | |
while a.ndim > 0 and a.shape[0] == 1: | |
a = a[0] | |
return a | |
# Eliminate trivial leading dimensions. In the convention | |
# used by numpy's random variate generators, trivial leading | |
# dimensions are effectively ignored. In other words, when `size` | |
# is given, trivial leading dimensions of the broadcast parameters | |
# in excess of the number of dimensions in size are ignored, e.g. | |
# >>> np.random.normal([[1, 3, 5]], [[[[0.01]]]], size=3) | |
# array([ 1.00104267, 3.00422496, 4.99799278]) | |
# If `size` is not given, the exact broadcast shape is preserved: | |
# >>> np.random.normal([[1, 3, 5]], [[[[0.01]]]]) | |
# array([[[[ 1.00862899, 3.00061431, 4.99867122]]]]) | |
# | |
all_bcast = [squeeze_left(a) for a in all_bcast] | |
bcast_shape = all_bcast[0].shape | |
bcast_ndim = all_bcast[0].ndim | |
if size is None: | |
size_ = bcast_shape | |
else: | |
size_ = tuple(np.atleast_1d(size)) | |
# Check compatibility of size_ with the broadcast shape of all | |
# the parameters. This check is intended to be consistent with | |
# how the numpy random variate generators (e.g. np.random.normal, | |
# np.random.beta) handle their arguments. The rule is that, if size | |
# is given, it determines the shape of the output. Broadcasting | |
# can't change the output size. | |
# This is the standard broadcasting convention of extending the | |
# shape with fewer dimensions with enough dimensions of length 1 | |
# so that the two shapes have the same number of dimensions. | |
ndiff = bcast_ndim - len(size_) | |
if ndiff < 0: | |
bcast_shape = (1,)*(-ndiff) + bcast_shape | |
elif ndiff > 0: | |
size_ = (1,)*ndiff + size_ | |
# This compatibility test is not standard. In "regular" broadcasting, | |
# two shapes are compatible if for each dimension, the lengths are the | |
# same or one of the lengths is 1. Here, the length of a dimension in | |
# size_ must not be less than the corresponding length in bcast_shape. | |
ok = all([bcdim == 1 or bcdim == szdim | |
for (bcdim, szdim) in zip(bcast_shape, size_)]) | |
if not ok: | |
raise ValueError("size does not match the broadcast shape of " | |
f"the parameters. {size}, {size_}, {bcast_shape}") | |
param_bcast = all_bcast[:-2] | |
loc_bcast = all_bcast[-2] | |
scale_bcast = all_bcast[-1] | |
return param_bcast, loc_bcast, scale_bcast, size_ | |
# 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 | |
def _get_support(self, *args, **kwargs): | |
"""Return the support of the (unscaled, unshifted) distribution. | |
*Must* be overridden by distributions which have support dependent | |
upon the shape parameters of the distribution. Any such override | |
*must not* set or change any of the class members, as these members | |
are shared amongst all instances of the distribution. | |
Parameters | |
---------- | |
arg1, arg2, ... : array_like | |
The shape parameter(s) for the distribution (see docstring of the | |
instance object for more information). | |
Returns | |
------- | |
a, b : numeric (float, or int or +/-np.inf) | |
end-points of the distribution's support for the specified | |
shape parameters. | |
""" | |
return self.a, self.b | |
def _support_mask(self, x, *args): | |
a, b = self._get_support(*args) | |
with np.errstate(invalid='ignore'): | |
return (a <= x) & (x <= b) | |
def _open_support_mask(self, x, *args): | |
a, b = self._get_support(*args) | |
with np.errstate(invalid='ignore'): | |
return (a < x) & (x < b) | |
def _rvs(self, *args, size=None, random_state=None): | |
# This method must handle size being a tuple, and it must | |
# properly broadcast *args and size. size might be | |
# an empty tuple, which means a scalar random variate is to be | |
# generated. | |
# Use basic inverse cdf algorithm for RV generation as default. | |
U = random_state.uniform(size=size) | |
Y = self._ppf(U, *args) | |
return Y | |
def _logcdf(self, x, *args): | |
with np.errstate(divide='ignore'): | |
return log(self._cdf(x, *args)) | |
def _sf(self, x, *args): | |
return 1.0-self._cdf(x, *args) | |
def _logsf(self, x, *args): | |
with np.errstate(divide='ignore'): | |
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 is 1). | |
random_state : {None, int, `numpy.random.Generator`, | |
`numpy.random.RandomState`}, optional | |
If `random_state` is None (or `np.random`), the | |
`numpy.random.RandomState` singleton is used. | |
If `random_state` is an int, a new ``RandomState`` instance is | |
used, seeded with `random_state`. | |
If `random_state` is already a ``Generator`` or ``RandomState`` | |
instance, that instance is used. | |
Returns | |
------- | |
rvs : ndarray or scalar | |
Random variates of given `size`. | |
""" | |
discrete = kwds.pop('discrete', None) | |
rndm = kwds.pop('random_state', None) | |
args, loc, scale, size = self._parse_args_rvs(*args, **kwds) | |
cond = logical_and(self._argcheck(*args), (scale >= 0)) | |
if not np.all(cond): | |
message = ("Domain error in arguments. The `scale` parameter must " | |
"be positive for all distributions, and many " | |
"distributions have restrictions on shape parameters. " | |
f"Please see the `scipy.stats.{self.name}` " | |
"documentation for details.") | |
raise ValueError(message) | |
if np.all(scale == 0): | |
return loc*ones(size, 'd') | |
# extra gymnastics needed for a custom random_state | |
if rndm is not None: | |
random_state_saved = self._random_state | |
random_state = check_random_state(rndm) | |
else: | |
random_state = self._random_state | |
vals = self._rvs(*args, size=size, random_state=random_state) | |
vals = vals * scale + loc | |
# do not forget to restore the _random_state | |
if rndm is not None: | |
self._random_state = random_state_saved | |
# Cast to int if discrete | |
if discrete and not isinstance(self, rv_sample): | |
if size == (): | |
vals = int(vals) | |
else: | |
vals = vals.astype(np.int64) | |
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 (continuous 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 is '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 = np.full(shape(cond), fill_value=self.badvalue) | |
# Use only entries that are valid in calculation | |
if np.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 '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) | |
# if mean is inf then var is also inf | |
with np.errstate(invalid='ignore'): | |
mu2 = np.where(~np.isinf(mu), mu2p - mu**2, 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) | |
with np.errstate(invalid='ignore'): | |
mu2 = mu2p - mu * mu | |
with np.errstate(invalid='ignore'): | |
mu3 = (-mu*mu - 3*mu2)*mu + mu3p | |
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) | |
with np.errstate(invalid='ignore'): | |
mu2 = mu2p - mu * mu | |
if g1 is None: | |
mu3 = None | |
else: | |
# (mu2**1.5) breaks down for nan and inf | |
mu3 = g1 * np.power(mu2, 1.5) | |
if mu3 is None: | |
mu3p = self._munp(3, *goodargs) | |
with np.errstate(invalid='ignore'): | |
mu3 = (-mu * mu - 3 * mu2) * mu + mu3p | |
with np.errstate(invalid='ignore'): | |
mu4 = ((-mu**2 - 6*mu2) * mu - 4*mu3)*mu + mu4p | |
g2 = mu4 / mu2**2.0 - 3.0 | |
out0 = default.copy() | |
place(out0, cond, g2) | |
output.append(out0) | |
else: # no valid args | |
output = [default.copy() for _ in moments] | |
output = [out[()] for out in output] | |
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`: | |
>>> import numpy as np | |
>>> from scipy.stats._distn_infrastructure import rv_discrete | |
>>> 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 | |
loc, scale = map(asarray, (loc, scale)) | |
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, scale, *args) | |
goodscale = goodargs[0] | |
goodargs = goodargs[1:] | |
place(output, cond0, self.vecentropy(*goodargs) + log(goodscale)) | |
return output[()] | |
def moment(self, order, *args, **kwds): | |
"""non-central moment of distribution of specified order. | |
Parameters | |
---------- | |
order : int, order >= 1 | |
Order of moment. | |
arg1, arg2, arg3,... : float | |
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) | |
""" | |
n = order | |
shapes, loc, scale = self._parse_args(*args, **kwds) | |
args = np.broadcast_arrays(*(*shapes, loc, scale)) | |
*shapes, loc, scale = args | |
i0 = np.logical_and(self._argcheck(*shapes), scale > 0) | |
i1 = np.logical_and(i0, loc == 0) | |
i2 = np.logical_and(i0, loc != 0) | |
args = argsreduce(i0, *shapes, loc, scale) | |
*shapes, loc, scale = args | |
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: 'mvsk'}[n]} | |
else: | |
mdict = {} | |
mu, mu2, g1, g2 = self._stats(*shapes, **mdict) | |
val = np.empty(loc.shape) # val needs to be indexed by loc | |
val[...] = _moment_from_stats(n, mu, mu2, g1, g2, self._munp, shapes) | |
# 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) | |
result = zeros(i0.shape) | |
place(result, ~i0, self.badvalue) | |
if i1.any(): | |
res1 = scale[loc == 0]**n * val[loc == 0] | |
place(result, i1, res1) | |
if i2.any(): | |
mom = [mu, mu2, g1, g2] | |
arrs = [i for i in mom if i is not None] | |
idx = [i for i in range(4) if mom[i] is not None] | |
if any(idx): | |
arrs = argsreduce(loc != 0, *arrs) | |
j = 0 | |
for i in idx: | |
mom[i] = arrs[j] | |
j += 1 | |
mu, mu2, g1, g2 = mom | |
args = argsreduce(loc != 0, *shapes, loc, scale, val) | |
*shapes, loc, scale, val = args | |
res2 = zeros(loc.shape, dtype='d') | |
fac = scale / loc | |
for k in range(n): | |
valk = _moment_from_stats(k, mu, mu2, g1, g2, self._munp, | |
shapes) | |
res2 += comb(n, k, exact=True)*fac**k * valk | |
res2 += fac**n * val | |
res2 *= loc**n | |
place(result, i2, res2) | |
return result[()] | |
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 | |
-------- | |
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, confidence, *args, **kwds): | |
"""Confidence interval with equal areas around the median. | |
Parameters | |
---------- | |
confidence : 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. | |
Notes | |
----- | |
This is implemented as ``ppf([p_tail, 1-p_tail])``, where | |
``ppf`` is the inverse cumulative distribution function and | |
``p_tail = (1-confidence)/2``. Suppose ``[c, d]`` is the support of a | |
discrete distribution; then ``ppf([0, 1]) == (c-1, d)``. Therefore, | |
when ``confidence=1`` and the distribution is discrete, the left end | |
of the interval will be beyond the support of the distribution. | |
For discrete distributions, the interval will limit the probability | |
in each tail to be less than or equal to ``p_tail`` (usually | |
strictly less). | |
""" | |
alpha = confidence | |
alpha = asarray(alpha) | |
if np.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 | |
def support(self, *args, **kwargs): | |
"""Support of the distribution. | |
Parameters | |
---------- | |
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 : array_like | |
end-points of the distribution's support. | |
""" | |
args, loc, scale = self._parse_args(*args, **kwargs) | |
arrs = np.broadcast_arrays(*args, loc, scale) | |
args, loc, scale = arrs[:-2], arrs[-2], arrs[-1] | |
cond = self._argcheck(*args) & (scale > 0) | |
_a, _b = self._get_support(*args) | |
if cond.all(): | |
return _a * scale + loc, _b * scale + loc | |
elif cond.ndim == 0: | |
return self.badvalue, self.badvalue | |
# promote bounds to at least float to fill in the badvalue | |
_a, _b = np.asarray(_a).astype('d'), np.asarray(_b).astype('d') | |
out_a, out_b = _a * scale + loc, _b * scale + loc | |
place(out_a, 1-cond, self.badvalue) | |
place(out_b, 1-cond, self.badvalue) | |
return out_a, out_b | |
def nnlf(self, theta, x): | |
"""Negative loglikelihood function. | |
Notes | |
----- | |
This is ``-sum(log pdf(x, theta), axis=0)`` where `theta` are the | |
parameters (including loc and scale). | |
""" | |
loc, scale, args = self._unpack_loc_scale(theta) | |
if not self._argcheck(*args) or scale <= 0: | |
return inf | |
x = (asarray(x)-loc) / scale | |
n_log_scale = len(x) * log(scale) | |
if np.any(~self._support_mask(x, *args)): | |
return inf | |
return self._nnlf(x, *args) + n_log_scale | |
def _nnlf(self, x, *args): | |
return -np.sum(self._logpxf(x, *args), axis=0) | |
def _nlff_and_penalty(self, x, args, log_fitfun): | |
# negative log fit function | |
cond0 = ~self._support_mask(x, *args) | |
n_bad = np.count_nonzero(cond0, axis=0) | |
if n_bad > 0: | |
x = argsreduce(~cond0, x)[0] | |
logff = log_fitfun(x, *args) | |
finite_logff = np.isfinite(logff) | |
n_bad += np.sum(~finite_logff, axis=0) | |
if n_bad > 0: | |
penalty = n_bad * log(_XMAX) * 100 | |
return -np.sum(logff[finite_logff], axis=0) + penalty | |
return -np.sum(logff, axis=0) | |
def _penalized_nnlf(self, theta, x): | |
"""Penalized negative loglikelihood function. | |
i.e., - sum (log pdf(x, theta), axis=0) + penalty | |
where theta are the parameters (including loc and scale) | |
""" | |
loc, scale, args = self._unpack_loc_scale(theta) | |
if not self._argcheck(*args) or scale <= 0: | |
return inf | |
x = asarray((x-loc) / scale) | |
n_log_scale = len(x) * log(scale) | |
return self._nlff_and_penalty(x, args, self._logpxf) + n_log_scale | |
def _penalized_nlpsf(self, theta, x): | |
"""Penalized negative log product spacing function. | |
i.e., - sum (log (diff (cdf (x, theta))), axis=0) + penalty | |
where theta are the parameters (including loc and scale) | |
Follows reference [1] of scipy.stats.fit | |
""" | |
loc, scale, args = self._unpack_loc_scale(theta) | |
if not self._argcheck(*args) or scale <= 0: | |
return inf | |
x = (np.sort(x) - loc)/scale | |
def log_psf(x, *args): | |
x, lj = np.unique(x, return_counts=True) # fast for sorted x | |
cdf_data = self._cdf(x, *args) if x.size else [] | |
if not (x.size and 1 - cdf_data[-1] <= 0): | |
cdf = np.concatenate(([0], cdf_data, [1])) | |
lj = np.concatenate((lj, [1])) | |
else: | |
cdf = np.concatenate(([0], cdf_data)) | |
# here we could use logcdf w/ logsumexp trick to take differences, | |
# but in the context of the method, it seems unlikely to matter | |
return lj * np.log(np.diff(cdf) / lj) | |
return self._nlff_and_penalty(x, args, log_psf) | |
class _ShapeInfo: | |
def __init__(self, name, integrality=False, domain=(-np.inf, np.inf), | |
inclusive=(True, True)): | |
self.name = name | |
self.integrality = integrality | |
domain = list(domain) | |
if np.isfinite(domain[0]) and not inclusive[0]: | |
domain[0] = np.nextafter(domain[0], np.inf) | |
if np.isfinite(domain[1]) and not inclusive[1]: | |
domain[1] = np.nextafter(domain[1], -np.inf) | |
self.domain = domain | |
def _get_fixed_fit_value(kwds, names): | |
""" | |
Given names such as `['f0', 'fa', 'fix_a']`, check that there is | |
at most one non-None value in `kwds` associaed with those names. | |
Return that value, or None if none of the names occur in `kwds`. | |
As a side effect, all occurrences of those names in `kwds` are | |
removed. | |
""" | |
vals = [(name, kwds.pop(name)) for name in names if name in kwds] | |
if len(vals) > 1: | |
repeated = [name for name, val in vals] | |
raise ValueError("fit method got multiple keyword arguments to " | |
"specify the same fixed parameter: " + | |
', '.join(repeated)) | |
return vals[0][1] if vals else None | |
# 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 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 : float, 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. If not provided, shape parameters will be inferred from | |
the signature of the private methods, ``_pdf`` and ``_cdf`` of the | |
instance. | |
seed : {None, int, `numpy.random.Generator`, `numpy.random.RandomState`}, optional | |
If `seed` is None (or `np.random`), the `numpy.random.RandomState` | |
singleton is used. | |
If `seed` is an int, a new ``RandomState`` instance is used, | |
seeded with `seed`. | |
If `seed` is already a ``Generator`` or ``RandomState`` instance then | |
that instance is used. | |
Methods | |
------- | |
rvs | |
logpdf | |
cdf | |
logcdf | |
sf | |
logsf | |
ppf | |
isf | |
moment | |
stats | |
entropy | |
expect | |
median | |
mean | |
std | |
var | |
interval | |
__call__ | |
fit | |
fit_loc_scale | |
nnlf | |
support | |
Notes | |
----- | |
Public methods of an instance of a distribution class (e.g., ``pdf``, | |
``cdf``) check their arguments and pass valid arguments to private, | |
computational methods (``_pdf``, ``_cdf``). For ``pdf(x)``, ``x`` is valid | |
if it is within the support of the distribution. | |
Whether a shape parameter is valid is decided by an ``_argcheck`` method | |
(which defaults to checking that its arguments are strictly positive.) | |
**Subclassing** | |
New random variables can be defined by subclassing the `rv_continuous` class | |
and re-defining at least the ``_pdf`` or the ``_cdf`` method (normalized | |
to location 0 and scale 1). | |
If positive argument checking is not correct for your RV | |
then you will also need to re-define the ``_argcheck`` method. | |
For most of the scipy.stats distributions, the support interval doesn't | |
depend on the shape parameters. ``x`` being in the support interval is | |
equivalent to ``self.a <= x <= self.b``. If either of the endpoints of | |
the support do depend on the shape parameters, then | |
i) the distribution must implement the ``_get_support`` method; and | |
ii) those dependent endpoints must be omitted from the distribution's | |
call to the ``rv_continuous`` initializer. | |
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 | |
The default method ``_rvs`` relies on the inverse of the cdf, ``_ppf``, | |
applied to a uniform random variate. In order to generate random variates | |
efficiently, either the default ``_ppf`` needs to be overwritten (e.g. | |
if the inverse cdf can expressed in an explicit form) or a sampling | |
method needs to be implemented in a custom ``_rvs`` method. | |
If possible, you should override ``_isf``, ``_sf`` or ``_logsf``. | |
The main reason would be to improve numerical accuracy: for example, | |
the survival function ``_sf`` is computed as ``1 - _cdf`` which can | |
result in loss of precision if ``_cdf(x)`` is close to one. | |
**Methods that can be overwritten by subclasses** | |
:: | |
_rvs | |
_pdf | |
_cdf | |
_sf | |
_ppf | |
_isf | |
_stats | |
_munp | |
_entropy | |
_argcheck | |
_get_support | |
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. | |
A note on ``shapes``: subclasses need not specify them explicitly. In this | |
case, `shapes` will be automatically deduced from the signatures of the | |
overridden methods (`pdf`, `cdf` etc). | |
If, for some reason, you prefer to avoid relying on introspection, you can | |
specify ``shapes`` explicitly as an argument to the instance constructor. | |
**Frozen Distributions** | |
Normally, you must provide shape parameters (and, optionally, location and | |
scale parameters to each call of a method of a 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(<shape(s)>, loc=0, scale=1) | |
`rv_frozen` object with the same methods but holding the given shape, | |
location, and scale fixed | |
**Statistics** | |
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``, which 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 n-th non-central moment of the distribution. | |
**Deepcopying / Pickling** | |
If a distribution or frozen distribution is deepcopied (pickled/unpickled, | |
etc.), any underlying random number generator is deepcopied with it. An | |
implication is that if a distribution relies on the singleton RandomState | |
before copying, it will rely on a copy of that random state after copying, | |
and ``np.random.seed`` will no longer control the state. | |
Examples | |
-------- | |
To create a new Gaussian distribution, we would do the following: | |
>>> from scipy.stats import rv_continuous | |
>>> class gaussian_gen(rv_continuous): | |
... "Gaussian distribution" | |
... def _pdf(self, x): | |
... return np.exp(-x**2 / 2.) / np.sqrt(2.0 * np.pi) | |
>>> gaussian = gaussian_gen(name='gaussian') | |
``scipy.stats`` distributions are *instances*, so here we subclass | |
`rv_continuous` and create an instance. With this, we now have | |
a fully functional distribution with all relevant methods automagically | |
generated by the framework. | |
Note that above we defined a standard normal distribution, with zero mean | |
and unit variance. Shifting and scaling of the distribution can be done | |
by using ``loc`` and ``scale`` parameters: ``gaussian.pdf(x, loc, scale)`` | |
essentially computes ``y = (x - loc) / scale`` and | |
``gaussian._pdf(y) / scale``. | |
""" | |
def __init__(self, momtype=1, a=None, b=None, xtol=1e-14, | |
badvalue=None, name=None, longname=None, | |
shapes=None, seed=None): | |
super().__init__(seed) | |
# 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, seed=seed) | |
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.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') | |
self._attach_methods() | |
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, | |
docdict=docdict, | |
discrete='continuous') | |
else: | |
dct = dict(distcont) | |
self._construct_doc(docdict, dct.get(self.name)) | |
def __getstate__(self): | |
dct = self.__dict__.copy() | |
# these methods will be remade in __setstate__ | |
# _random_state attribute is taken care of by rv_generic | |
attrs = ["_parse_args", "_parse_args_stats", "_parse_args_rvs", | |
"_cdfvec", "_ppfvec", "vecentropy", "generic_moment"] | |
[dct.pop(attr, None) for attr in attrs] | |
return dct | |
def _attach_methods(self): | |
""" | |
Attaches dynamically created methods to the rv_continuous instance. | |
""" | |
# _attach_methods is responsible for calling _attach_argparser_methods | |
self._attach_argparser_methods() | |
# 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 | |
if self.moment_type == 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 | |
def _updated_ctor_param(self): | |
"""Return the current version of _ctor_param, possibly updated by user. | |
Used by freezing. | |
Keep this in sync with the signature of __init__. | |
""" | |
dct = self._ctor_param.copy() | |
dct['a'] = self.a | |
dct['b'] = self.b | |
dct['xtol'] = self.xtol | |
dct['badvalue'] = self.badvalue | |
dct['name'] = self.name | |
dct['shapes'] = self.shapes | |
return dct | |
def _ppf_to_solve(self, x, q, *args): | |
return self.cdf(*(x, )+args)-q | |
def _ppf_single(self, q, *args): | |
factor = 10. | |
left, right = self._get_support(*args) | |
if np.isinf(left): | |
left = min(-factor, right) | |
while self._ppf_to_solve(left, q, *args) > 0.: | |
left, right = left * factor, left | |
# left is now such that cdf(left) <= q | |
# if right has changed, then cdf(right) > q | |
if np.isinf(right): | |
right = max(factor, left) | |
while self._ppf_to_solve(right, q, *args) < 0.: | |
left, right = 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): | |
_a, _b = self._get_support(*args) | |
return integrate.quad(self._mom_integ0, _a, _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): | |
p = self._pdf(x, *args) | |
with np.errstate(divide='ignore'): | |
return log(p) | |
def _logpxf(self, x, *args): | |
# continuous distributions have PDF, discrete have PMF, but sometimes | |
# the distinction doesn't matter. This lets us use `_logpxf` for both | |
# discrete and continuous distributions. | |
return self._logpdf(x, *args) | |
def _cdf_single(self, x, *args): | |
_a, _b = self._get_support(*args) | |
return integrate.quad(self._pdf, _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)) | |
dtyp = np.promote_types(x.dtype, np.float64) | |
x = np.asarray((x - loc)/scale, dtype=dtyp) | |
cond0 = self._argcheck(*args) & (scale > 0) | |
cond1 = self._support_mask(x, *args) & (scale > 0) | |
cond = cond0 & cond1 | |
output = zeros(shape(cond), dtyp) | |
putmask(output, (1-cond0)+np.isnan(x), self.badvalue) | |
if np.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)) | |
dtyp = np.promote_types(x.dtype, np.float64) | |
x = np.asarray((x - loc)/scale, dtype=dtyp) | |
cond0 = self._argcheck(*args) & (scale > 0) | |
cond1 = self._support_mask(x, *args) & (scale > 0) | |
cond = cond0 & cond1 | |
output = empty(shape(cond), dtyp) | |
output.fill(-inf) | |
putmask(output, (1-cond0)+np.isnan(x), self.badvalue) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
dtyp = np.promote_types(x.dtype, np.float64) | |
x = np.asarray((x - loc)/scale, dtype=dtyp) | |
cond0 = self._argcheck(*args) & (scale > 0) | |
cond1 = self._open_support_mask(x, *args) & (scale > 0) | |
cond2 = (x >= np.asarray(_b)) & cond0 | |
cond = cond0 & cond1 | |
output = zeros(shape(cond), dtyp) | |
place(output, (1-cond0)+np.isnan(x), self.badvalue) | |
place(output, cond2, 1.0) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
dtyp = np.promote_types(x.dtype, np.float64) | |
x = np.asarray((x - loc)/scale, dtype=dtyp) | |
cond0 = self._argcheck(*args) & (scale > 0) | |
cond1 = self._open_support_mask(x, *args) & (scale > 0) | |
cond2 = (x >= _b) & cond0 | |
cond = cond0 & cond1 | |
output = empty(shape(cond), dtyp) | |
output.fill(-inf) | |
place(output, (1-cond0)*(cond1 == cond1)+np.isnan(x), self.badvalue) | |
place(output, cond2, 0.0) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
dtyp = np.promote_types(x.dtype, np.float64) | |
x = np.asarray((x - loc)/scale, dtype=dtyp) | |
cond0 = self._argcheck(*args) & (scale > 0) | |
cond1 = self._open_support_mask(x, *args) & (scale > 0) | |
cond2 = cond0 & (x <= _a) | |
cond = cond0 & cond1 | |
output = zeros(shape(cond), dtyp) | |
place(output, (1-cond0)+np.isnan(x), self.badvalue) | |
place(output, cond2, 1.0) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
dtyp = np.promote_types(x.dtype, np.float64) | |
x = np.asarray((x - loc)/scale, dtype=dtyp) | |
cond0 = self._argcheck(*args) & (scale > 0) | |
cond1 = self._open_support_mask(x, *args) & (scale > 0) | |
cond2 = cond0 & (x <= _a) | |
cond = cond0 & cond1 | |
output = empty(shape(cond), dtyp) | |
output.fill(-inf) | |
place(output, (1-cond0)+np.isnan(x), self.badvalue) | |
place(output, cond2, 0.0) | |
if np.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)) | |
_a, _b = self._get_support(*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 = np.full(shape(cond), fill_value=self.badvalue) | |
lower_bound = _a * scale + loc | |
upper_bound = _b * scale + loc | |
place(output, cond2, argsreduce(cond2, lower_bound)[0]) | |
place(output, cond3, argsreduce(cond3, upper_bound)[0]) | |
if np.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 (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) | |
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)) | |
_a, _b = self._get_support(*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 = np.full(shape(cond), fill_value=self.badvalue) | |
lower_bound = _a * scale + loc | |
upper_bound = _b * scale + loc | |
place(output, cond2, argsreduce(cond2, lower_bound)[0]) | |
place(output, cond3, argsreduce(cond3, upper_bound)[0]) | |
if np.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 _unpack_loc_scale(self, theta): | |
try: | |
loc = theta[-2] | |
scale = theta[-1] | |
args = tuple(theta[:-2]) | |
except IndexError as e: | |
raise ValueError("Not enough input arguments.") from e | |
return loc, scale, args | |
def _nnlf_and_penalty(self, x, args): | |
""" | |
Compute the penalized negative log-likelihood for the | |
"standardized" data (i.e. already shifted by loc and | |
scaled by scale) for the shape parameters in `args`. | |
`x` can be a 1D numpy array or a CensoredData instance. | |
""" | |
if isinstance(x, CensoredData): | |
# Filter out the data that is not in the support. | |
xs = x._supported(*self._get_support(*args)) | |
n_bad = len(x) - len(xs) | |
i1, i2 = xs._interval.T | |
terms = [ | |
# logpdf of the noncensored data. | |
self._logpdf(xs._uncensored, *args), | |
# logcdf of the left-censored data. | |
self._logcdf(xs._left, *args), | |
# logsf of the right-censored data. | |
self._logsf(xs._right, *args), | |
# log of probability of the interval-censored data. | |
np.log(self._delta_cdf(i1, i2, *args)), | |
] | |
else: | |
cond0 = ~self._support_mask(x, *args) | |
n_bad = np.count_nonzero(cond0) | |
if n_bad > 0: | |
x = argsreduce(~cond0, x)[0] | |
terms = [self._logpdf(x, *args)] | |
totals, bad_counts = zip(*[_sum_finite(term) for term in terms]) | |
total = sum(totals) | |
n_bad += sum(bad_counts) | |
return -total + n_bad * _LOGXMAX * 100 | |
def _penalized_nnlf(self, theta, x): | |
"""Penalized negative loglikelihood function. | |
i.e., - sum (log pdf(x, theta), axis=0) + penalty | |
where theta are the parameters (including loc and scale) | |
""" | |
loc, scale, args = self._unpack_loc_scale(theta) | |
if not self._argcheck(*args) or scale <= 0: | |
return inf | |
if isinstance(x, CensoredData): | |
x = (x - loc) / scale | |
n_log_scale = (len(x) - x.num_censored()) * log(scale) | |
else: | |
x = (x - loc) / scale | |
n_log_scale = len(x) * log(scale) | |
return self._nnlf_and_penalty(x, args) + n_log_scale | |
def _fitstart(self, data, args=None): | |
"""Starting point for fit (shape arguments + loc + scale).""" | |
if args is None: | |
args = (1.0,)*self.numargs | |
loc, scale = self._fit_loc_scale_support(data, *args) | |
return args + (loc, scale) | |
def _reduce_func(self, args, kwds, data=None): | |
""" | |
Return the (possibly reduced) function to optimize in order to find MLE | |
estimates for the .fit method. | |
""" | |
# Convert fixed shape parameters to the standard numeric form: e.g. for | |
# stats.beta, shapes='a, b'. To fix `a`, the caller can give a value | |
# for `f0`, `fa` or 'fix_a'. The following converts the latter two | |
# into the first (numeric) form. | |
shapes = [] | |
if self.shapes: | |
shapes = self.shapes.replace(',', ' ').split() | |
for j, s in enumerate(shapes): | |
key = 'f' + str(j) | |
names = [key, 'f' + s, 'fix_' + s] | |
val = _get_fixed_fit_value(kwds, names) | |
if val is not None: | |
kwds[key] = val | |
args = list(args) | |
Nargs = len(args) | |
fixedn = [] | |
names = ['f%d' % n for n in range(Nargs - 2)] + ['floc', 'fscale'] | |
x0 = [] | |
for n, key in enumerate(names): | |
if key in kwds: | |
fixedn.append(n) | |
args[n] = kwds.pop(key) | |
else: | |
x0.append(args[n]) | |
methods = {"mle", "mm"} | |
method = kwds.pop('method', "mle").lower() | |
if method == "mm": | |
n_params = len(shapes) + 2 - len(fixedn) | |
exponents = (np.arange(1, n_params+1))[:, np.newaxis] | |
data_moments = np.sum(data[None, :]**exponents/len(data), axis=1) | |
def objective(theta, x): | |
return self._moment_error(theta, x, data_moments) | |
elif method == "mle": | |
objective = self._penalized_nnlf | |
else: | |
raise ValueError(f"Method '{method}' not available; " | |
f"must be one of {methods}") | |
if len(fixedn) == 0: | |
func = objective | |
restore = None | |
else: | |
if len(fixedn) == Nargs: | |
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 objective(newtheta, x) | |
return x0, func, restore, args | |
def _moment_error(self, theta, x, data_moments): | |
loc, scale, args = self._unpack_loc_scale(theta) | |
if not self._argcheck(*args) or scale <= 0: | |
return inf | |
dist_moments = np.array([self.moment(i+1, *args, loc=loc, scale=scale) | |
for i in range(len(data_moments))]) | |
if np.any(np.isnan(dist_moments)): | |
raise ValueError("Method of moments encountered a non-finite " | |
"distribution moment and cannot continue. " | |
"Consider trying method='MLE'.") | |
return (((data_moments - dist_moments) / | |
np.maximum(np.abs(data_moments), 1e-8))**2).sum() | |
def fit(self, data, *args, **kwds): | |
r""" | |
Return estimates of shape (if applicable), location, and scale | |
parameters from data. The default estimation method is Maximum | |
Likelihood Estimation (MLE), but Method of Moments (MM) | |
is also available. | |
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 or `CensoredData` instance | |
Data to use in estimating the distribution parameters. | |
arg1, arg2, arg3,... : 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 | |
- `loc`: initial guess of the distribution's location parameter. | |
- `scale`: initial guess of the distribution's scale parameter. | |
Special keyword arguments are recognized as holding certain | |
parameters fixed: | |
- f0...fn : hold respective shape parameters fixed. | |
Alternatively, shape parameters to fix can be specified by name. | |
For example, if ``self.shapes == "a, b"``, ``fa`` and ``fix_a`` | |
are equivalent to ``f0``, and ``fb`` and ``fix_b`` are | |
equivalent to ``f1``. | |
- 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``. | |
The ``fit`` method calls the optimizer with ``disp=0`` to suppress output. | |
The optimizer must return the estimated parameters. | |
- method : The method to use. The default is "MLE" (Maximum | |
Likelihood Estimate); "MM" (Method of Moments) | |
is also available. | |
Raises | |
------ | |
TypeError, ValueError | |
If an input is invalid | |
`~scipy.stats.FitError` | |
If fitting fails or the fit produced would be invalid | |
Returns | |
------- | |
parameter_tuple : tuple of floats | |
Estimates for any shape parameters (if applicable), followed by | |
those for location and scale. For most random variables, shape | |
statistics will be returned, but there are exceptions (e.g. | |
``norm``). | |
Notes | |
----- | |
With ``method="MLE"`` (default), the fit is computed by minimizing | |
the negative log-likelihood function. A large, finite penalty | |
(rather than infinite negative log-likelihood) is applied for | |
observations beyond the support of the distribution. | |
With ``method="MM"``, the fit is computed by minimizing the L2 norm | |
of the relative errors between the first *k* raw (about zero) data | |
moments and the corresponding distribution moments, where *k* is the | |
number of non-fixed parameters. | |
More precisely, the objective function is:: | |
(((data_moments - dist_moments) | |
/ np.maximum(np.abs(data_moments), 1e-8))**2).sum() | |
where the constant ``1e-8`` avoids division by zero in case of | |
vanishing data moments. Typically, this error norm can be reduced to | |
zero. | |
Note that the standard method of moments can produce parameters for | |
which some data are outside the support of the fitted distribution; | |
this implementation does nothing to prevent this. | |
For either method, | |
the returned answer is not guaranteed to be globally optimal; it | |
may only be locally optimal, or the optimization may fail altogether. | |
If the data contain any of ``np.nan``, ``np.inf``, or ``-np.inf``, | |
the `fit` method will raise a ``RuntimeError``. | |
When passing a ``CensoredData`` instance to ``data``, the log-likelihood | |
function is defined as: | |
.. math:: | |
l(\pmb{\theta}; k) & = \sum | |
\log(f(k_u; \pmb{\theta})) | |
+ \sum | |
\log(F(k_l; \pmb{\theta})) \\ | |
& + \sum | |
\log(1 - F(k_r; \pmb{\theta})) \\ | |
& + \sum | |
\log(F(k_{\text{high}, i}; \pmb{\theta}) | |
- F(k_{\text{low}, i}; \pmb{\theta})) | |
where :math:`f` and :math:`F` are the pdf and cdf, respectively, of the | |
function being fitted, :math:`\pmb{\theta}` is the parameter vector, | |
:math:`u` are the indices of uncensored observations, | |
:math:`l` are the indices of left-censored observations, | |
:math:`r` are the indices of right-censored observations, | |
subscripts "low"/"high" denote endpoints of interval-censored observations, and | |
:math:`i` are the indices of interval-censored observations. | |
Examples | |
-------- | |
Generate some data to fit: draw random variates from the `beta` | |
distribution | |
>>> import numpy as np | |
>>> from scipy.stats import beta | |
>>> a, b = 1., 2. | |
>>> rng = np.random.default_rng(172786373191770012695001057628748821561) | |
>>> x = beta.rvs(a, b, size=1000, random_state=rng) | |
Now we can fit all four parameters (``a``, ``b``, ``loc`` and | |
``scale``): | |
>>> a1, b1, loc1, scale1 = beta.fit(x) | |
>>> a1, b1, loc1, scale1 | |
(1.0198945204435628, 1.9484708982737828, 4.372241314917588e-05, 0.9979078845964814) | |
The fit can be done also using a custom optimizer: | |
>>> from scipy.optimize import minimize | |
>>> def custom_optimizer(func, x0, args=(), disp=0): | |
... res = minimize(func, x0, args, method="slsqp", options={"disp": disp}) | |
... if res.success: | |
... return res.x | |
... raise RuntimeError('optimization routine failed') | |
>>> a1, b1, loc1, scale1 = beta.fit(x, method="MLE", optimizer=custom_optimizer) | |
>>> a1, b1, loc1, scale1 | |
(1.0198821087258905, 1.948484145914738, 4.3705304486881485e-05, 0.9979104663953395) | |
We can also use some prior knowledge about the dataset: let's keep | |
``loc`` and ``scale`` fixed: | |
>>> a1, b1, loc1, scale1 = beta.fit(x, floc=0, fscale=1) | |
>>> loc1, scale1 | |
(0, 1) | |
We can also keep shape parameters fixed by using ``f``-keywords. To | |
keep the zero-th shape parameter ``a`` equal 1, use ``f0=1`` or, | |
equivalently, ``fa=1``: | |
>>> a1, b1, loc1, scale1 = beta.fit(x, fa=1, floc=0, fscale=1) | |
>>> a1 | |
1 | |
Not all distributions return estimates for the shape parameters. | |
``norm`` for example just returns estimates for location and scale: | |
>>> from scipy.stats import norm | |
>>> x = norm.rvs(a, b, size=1000, random_state=123) | |
>>> loc1, scale1 = norm.fit(x) | |
>>> loc1, scale1 | |
(0.92087172783841631, 2.0015750750324668) | |
""" # noqa: E501 | |
method = kwds.get('method', "mle").lower() | |
censored = isinstance(data, CensoredData) | |
if censored: | |
if method != 'mle': | |
raise ValueError('For censored data, the method must' | |
' be "MLE".') | |
if data.num_censored() == 0: | |
# There are no censored values in data, so replace the | |
# CensoredData instance with a regular array. | |
data = data._uncensored | |
censored = False | |
Narg = len(args) | |
if Narg > self.numargs: | |
raise TypeError("Too many input arguments.") | |
# Check the finiteness of data only if data is not an instance of | |
# CensoredData. The arrays in a CensoredData instance have already | |
# been validated. | |
if not censored: | |
# Note: `ravel()` is called for backwards compatibility. | |
data = np.asarray(data).ravel() | |
if not np.isfinite(data).all(): | |
raise ValueError("The data contains non-finite values.") | |
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.pop('loc', start[-2]) | |
scale = kwds.pop('scale', start[-1]) | |
args += (loc, scale) | |
x0, func, restore, args = self._reduce_func(args, kwds, data=data) | |
optimizer = kwds.pop('optimizer', optimize.fmin) | |
# convert string to function in scipy.optimize | |
optimizer = _fit_determine_optimizer(optimizer) | |
# by now kwds must be empty, since everybody took what they needed | |
if kwds: | |
raise TypeError("Unknown arguments: %s." % kwds) | |
# In some cases, method of moments can be done with fsolve/root | |
# instead of an optimizer, but sometimes no solution exists, | |
# especially when the user fixes parameters. Minimizing the sum | |
# of squares of the error generalizes to these cases. | |
vals = optimizer(func, x0, args=(data,), disp=0) | |
obj = func(vals, data) | |
if restore is not None: | |
vals = restore(args, vals) | |
vals = tuple(vals) | |
loc, scale, shapes = self._unpack_loc_scale(vals) | |
if not (np.all(self._argcheck(*shapes)) and scale > 0): | |
raise FitError("Optimization converged to parameters that are " | |
"outside the range allowed by the distribution.") | |
if method == 'mm': | |
if not np.isfinite(obj): | |
raise FitError("Optimization failed: either a data moment " | |
"or fitted distribution moment is " | |
"non-finite.") | |
return vals | |
def _fit_loc_scale_support(self, data, *args): | |
"""Estimate loc and scale parameters from data accounting for support. | |
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. | |
""" | |
if isinstance(data, CensoredData): | |
# For this estimate, "uncensor" the data by taking the | |
# given endpoints as the data for the left- or right-censored | |
# data, and the mean for the interval-censored data. | |
data = data._uncensor() | |
else: | |
data = np.asarray(data) | |
# Estimate location and scale according to the method of moments. | |
loc_hat, scale_hat = self.fit_loc_scale(data, *args) | |
# Compute the support according to the shape parameters. | |
self._argcheck(*args) | |
_a, _b = self._get_support(*args) | |
a, b = _a, _b | |
support_width = b - a | |
# If the support is empty then return the moment-based estimates. | |
if support_width <= 0: | |
return loc_hat, scale_hat | |
# Compute the proposed support according to the loc and scale | |
# estimates. | |
a_hat = loc_hat + a * scale_hat | |
b_hat = loc_hat + b * scale_hat | |
# Use the moment-based estimates if they are compatible with the data. | |
data_a = np.min(data) | |
data_b = np.max(data) | |
if a_hat < data_a and data_b < b_hat: | |
return loc_hat, scale_hat | |
# Otherwise find other estimates that are compatible with the data. | |
data_width = data_b - data_a | |
rel_margin = 0.1 | |
margin = data_width * rel_margin | |
# For a finite interval, both the location and scale | |
# should have interesting values. | |
if support_width < np.inf: | |
loc_hat = (data_a - a) - margin | |
scale_hat = (data_width + 2 * margin) / support_width | |
return loc_hat, scale_hat | |
# For a one-sided interval, use only an interesting location parameter. | |
if a > -np.inf: | |
return (data_a - a) - margin, 1 | |
elif b < np.inf: | |
return (data_b - b) + margin, 1 | |
else: | |
raise RuntimeError | |
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) | |
with np.errstate(invalid='ignore'): | |
Lhat = muhat - Shat*mu | |
if not np.isfinite(Lhat): | |
Lhat = 0 | |
if not (np.isfinite(Shat) and (0 < Shat)): | |
Shat = 1 | |
return Lhat, Shat | |
def _entropy(self, *args): | |
def integ(x): | |
val = self._pdf(x, *args) | |
return entr(val) | |
# upper limit is often inf, so suppress warnings when integrating | |
_a, _b = self._get_support(*args) | |
with np.errstate(over='ignore'): | |
h = integrate.quad(integ, _a, _b)[0] | |
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(_b): | |
upper = upp | |
else: | |
upper = _b | |
if np.isinf(_a): | |
lower = low | |
else: | |
lower = _a | |
return integrate.quad(integ, lower, upper)[0] | |
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 by numerical integration. | |
The expected value of a function ``f(x)`` with respect to a | |
distribution ``dist`` is defined as:: | |
ub | |
E[f(x)] = Integral(f(x) * dist.pdf(x)), | |
lb | |
where ``ub`` and ``lb`` are arguments and ``x`` has the ``dist.pdf(x)`` | |
distribution. If the bounds ``lb`` and ``ub`` correspond to the | |
support of the distribution, e.g. ``[-inf, inf]`` in the default | |
case, then the integral is the unrestricted expectation of ``f(x)``. | |
Also, the function ``f(x)`` may be defined such that ``f(x)`` is ``0`` | |
outside a finite interval in which case the expectation is | |
calculated within the finite range ``[lb, ub]``. | |
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 | |
Shape parameters of the distribution. | |
loc : float, optional | |
Location parameter (default=0). | |
scale : float, optional | |
Scale parameter (default=1). | |
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 | |
`scipy.integrate.quad`. Neither this function nor | |
`scipy.integrate.quad` can verify whether the integral exists or is | |
finite. For example ``cauchy(0).mean()`` returns ``np.nan`` and | |
``cauchy(0).expect()`` returns ``0.0``. | |
Likewise, the accuracy of results is not verified by the function. | |
`scipy.integrate.quad` is typically reliable for integrals that are | |
numerically favorable, but it is not guaranteed to converge | |
to a correct value for all possible intervals and integrands. This | |
function is provided for convenience; for critical applications, | |
check results against other integration methods. | |
The function is not vectorized. | |
Examples | |
-------- | |
To understand the effect of the bounds of integration consider | |
>>> from scipy.stats import expon | |
>>> expon(1).expect(lambda x: 1, lb=0.0, ub=2.0) | |
0.6321205588285578 | |
This is close to | |
>>> expon(1).cdf(2.0) - expon(1).cdf(0.0) | |
0.6321205588285577 | |
If ``conditional=True`` | |
>>> expon(1).expect(lambda x: 1, lb=0.0, ub=2.0, conditional=True) | |
1.0000000000000002 | |
The slight deviation from 1 is due to numerical integration. | |
The integrand can be treated as a complex-valued function | |
by passing ``complex_func=True`` to `scipy.integrate.quad` . | |
>>> import numpy as np | |
>>> from scipy.stats import vonmises | |
>>> res = vonmises(loc=2, kappa=1).expect(lambda x: np.exp(1j*x), | |
... complex_func=True) | |
>>> res | |
(-0.18576377217422957+0.40590124735052263j) | |
>>> np.angle(res) # location of the (circular) distribution | |
2.0 | |
""" | |
lockwds = {'loc': loc, | |
'scale': scale} | |
self._argcheck(*args) | |
_a, _b = self._get_support(*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 + _a * scale | |
if ub is None: | |
ub = loc + _b * scale | |
cdf_bounds = self.cdf([lb, ub], *args, **lockwds) | |
invfac = cdf_bounds[1] - cdf_bounds[0] | |
kwds['args'] = args | |
# split interval to help integrator w/ infinite support; see gh-8928 | |
alpha = 0.05 # split body from tails at probability mass `alpha` | |
inner_bounds = np.array([alpha, 1-alpha]) | |
cdf_inner_bounds = cdf_bounds[0] + invfac * inner_bounds | |
c, d = loc + self._ppf(cdf_inner_bounds, *args) * scale | |
# Do not silence warnings from integration. | |
lbc = integrate.quad(fun, lb, c, **kwds)[0] | |
cd = integrate.quad(fun, c, d, **kwds)[0] | |
dub = integrate.quad(fun, d, ub, **kwds)[0] | |
vals = (lbc + cd + dub) | |
if conditional: | |
vals /= invfac | |
return np.array(vals)[()] # make it a numpy scalar like other methods | |
def _param_info(self): | |
shape_info = self._shape_info() | |
loc_info = _ShapeInfo("loc", False, (-np.inf, np.inf), (False, False)) | |
scale_info = _ShapeInfo("scale", False, (0, np.inf), (False, False)) | |
param_info = shape_info + [loc_info, scale_info] | |
return param_info | |
# For now, _delta_cdf is a private method. | |
def _delta_cdf(self, x1, x2, *args, loc=0, scale=1): | |
""" | |
Compute CDF(x2) - CDF(x1). | |
Where x1 is greater than the median, compute SF(x1) - SF(x2), | |
otherwise compute CDF(x2) - CDF(x1). | |
This function is only useful if `dist.sf(x, ...)` has an implementation | |
that is numerically more accurate than `1 - dist.cdf(x, ...)`. | |
""" | |
cdf1 = self.cdf(x1, *args, loc=loc, scale=scale) | |
# Possible optimizations (needs investigation-these might not be | |
# better): | |
# * Use _lazywhere instead of np.where | |
# * Instead of cdf1 > 0.5, compare x1 to the median. | |
result = np.where(cdf1 > 0.5, | |
(self.sf(x1, *args, loc=loc, scale=scale) | |
- self.sf(x2, *args, loc=loc, scale=scale)), | |
self.cdf(x2, *args, loc=loc, scale=scale) - cdf1) | |
if result.ndim == 0: | |
result = result[()] | |
return result | |
# Helpers for the discrete distributions | |
def _drv2_moment(self, n, *args): | |
"""Non-central moment of discrete distribution.""" | |
def fun(x): | |
return np.power(x, n) * self._pmf(x, *args) | |
_a, _b = self._get_support(*args) | |
return _expect(fun, _a, _b, self.ppf(0.5, *args), self.inc) | |
def _drv2_ppfsingle(self, q, *args): # Use basic bisection algorithm | |
_a, _b = self._get_support(*args) | |
b = _b | |
a = _a | |
if isinf(b): # Be sure ending point is > q | |
b = int(max(100*q, 10)) | |
while 1: | |
if b >= _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 <= _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: | |
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 | |
# 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 for discrete random variables. It can also be used | |
to construct an arbitrary distribution defined by a list of support | |
points and 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, optional | |
``(xk, pk)`` where ``xk`` are integers and ``pk`` are the non-zero | |
probabilities between 0 and 1 with ``sum(pk) = 1``. ``xk`` | |
and ``pk`` must have the same shape, and ``xk`` must be unique. | |
inc : integer, optional | |
Increment for the support of the distribution. | |
Default is 1. (other values have not been tested) | |
badvalue : float, 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 | |
If not provided, shape parameters will be inferred from | |
the signatures of the private methods, ``_pmf`` and ``_cdf`` of | |
the instance. | |
seed : {None, int, `numpy.random.Generator`, `numpy.random.RandomState`}, optional | |
If `seed` is None (or `np.random`), the `numpy.random.RandomState` | |
singleton is used. | |
If `seed` is an int, a new ``RandomState`` instance is used, | |
seeded with `seed`. | |
If `seed` is already a ``Generator`` or ``RandomState`` instance then | |
that instance is used. | |
Methods | |
------- | |
rvs | |
pmf | |
logpmf | |
cdf | |
logcdf | |
sf | |
logsf | |
ppf | |
isf | |
moment | |
stats | |
entropy | |
expect | |
median | |
mean | |
std | |
var | |
interval | |
__call__ | |
support | |
Notes | |
----- | |
This class is similar to `rv_continuous`. Whether a shape parameter is | |
valid is decided by an ``_argcheck`` method (which defaults to checking | |
that its arguments are strictly positive.) | |
The main differences are as follows. | |
- The support of the distribution is a set of integers. | |
- Instead of the probability density function, ``pdf`` (and the | |
corresponding private ``_pdf``), this class defines the | |
*probability mass function*, `pmf` (and the corresponding | |
private ``_pmf``.) | |
- There is no ``scale`` parameter. | |
- The default implementations of methods (e.g. ``_cdf``) are not designed | |
for distributions with support that is unbounded below (i.e. | |
``a=-np.inf``), so they must be overridden. | |
To create a new discrete distribution, we would do the following: | |
>>> from scipy.stats import rv_discrete | |
>>> class poisson_gen(rv_discrete): | |
... "Poisson distribution" | |
... def _pmf(self, k, mu): | |
... return exp(-mu) * mu**k / factorial(k) | |
and create an instance:: | |
>>> poisson = poisson_gen(name="poisson") | |
Note that above we defined the Poisson distribution in the standard form. | |
Shifting the distribution can be done by providing the ``loc`` parameter | |
to the methods of the instance. For example, ``poisson.pmf(x, mu, loc)`` | |
delegates the work to ``poisson._pmf(x-loc, mu)``. | |
**Discrete distributions from a list of probabilities** | |
Alternatively, you can construct an arbitrary discrete rv defined | |
on a finite set of values ``xk`` with ``Prob{X=xk} = pk`` by using the | |
``values`` keyword argument to the `rv_discrete` constructor. | |
**Deepcopying / Pickling** | |
If a distribution or frozen distribution is deepcopied (pickled/unpickled, | |
etc.), any underlying random number generator is deepcopied with it. An | |
implication is that if a distribution relies on the singleton RandomState | |
before copying, it will rely on a copy of that random state after copying, | |
and ``np.random.seed`` will no longer control the state. | |
Examples | |
-------- | |
Custom made discrete distribution: | |
>>> import numpy as np | |
>>> 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) | |
""" | |
def __new__(cls, a=0, b=inf, name=None, badvalue=None, | |
moment_tol=1e-8, values=None, inc=1, longname=None, | |
shapes=None, seed=None): | |
if values is not None: | |
# dispatch to a subclass | |
return super().__new__(rv_sample) | |
else: | |
# business as usual | |
return super().__new__(cls) | |
def __init__(self, a=0, b=inf, name=None, badvalue=None, | |
moment_tol=1e-8, values=None, inc=1, longname=None, | |
shapes=None, seed=None): | |
super().__init__(seed) | |
# 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, seed=seed) | |
if badvalue is None: | |
badvalue = nan | |
self.badvalue = badvalue | |
self.a = a | |
self.b = b | |
self.moment_tol = moment_tol | |
self.inc = inc | |
self.shapes = shapes | |
if values is not None: | |
raise ValueError("rv_discrete.__init__(..., values != None, ...)") | |
self._construct_argparser(meths_to_inspect=[self._pmf, self._cdf], | |
locscale_in='loc=0', | |
# scale=1 for discrete RVs | |
locscale_out='loc, 1') | |
self._attach_methods() | |
self._construct_docstrings(name, longname) | |
def __getstate__(self): | |
dct = self.__dict__.copy() | |
# these methods will be remade in __setstate__ | |
attrs = ["_parse_args", "_parse_args_stats", "_parse_args_rvs", | |
"_cdfvec", "_ppfvec", "generic_moment"] | |
[dct.pop(attr, None) for attr in attrs] | |
return dct | |
def _attach_methods(self): | |
"""Attaches dynamically created methods to the rv_discrete instance.""" | |
self._cdfvec = vectorize(self._cdf_single, otypes='d') | |
self.vecentropy = vectorize(self._entropy) | |
# _attach_methods is responsible for calling _attach_argparser_methods | |
self._attach_argparser_methods() | |
# 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 = types.MethodType(_vec_generic_moment, self) | |
# correct nin for ppf vectorization | |
_vppf = vectorize(_drv2_ppfsingle, otypes='d') | |
_vppf.nin = self.numargs + 2 | |
self._ppfvec = types.MethodType(_vppf, self) | |
# now that self.numargs is defined, we can adjust nin | |
self._cdfvec.nin = self.numargs + 1 | |
def _construct_docstrings(self, name, longname): | |
if name is None: | |
name = 'Distribution' | |
self.name = name | |
# 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, | |
docdict=docdict_discrete, | |
discrete='discrete') | |
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 _updated_ctor_param(self): | |
"""Return the current version of _ctor_param, possibly updated by user. | |
Used by freezing. | |
Keep this in sync with the signature of __init__. | |
""" | |
dct = self._ctor_param.copy() | |
dct['a'] = self.a | |
dct['b'] = self.b | |
dct['badvalue'] = self.badvalue | |
dct['moment_tol'] = self.moment_tol | |
dct['inc'] = self.inc | |
dct['name'] = self.name | |
dct['shapes'] = self.shapes | |
return dct | |
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 _logpxf(self, k, *args): | |
# continuous distributions have PDF, discrete have PMF, but sometimes | |
# the distinction doesn't matter. This lets us use `_logpxf` for both | |
# discrete and continuous distributions. | |
return self._logpmf(k, *args) | |
def _unpack_loc_scale(self, theta): | |
try: | |
loc = theta[-1] | |
scale = 1 | |
args = tuple(theta[:-1]) | |
except IndexError as e: | |
raise ValueError("Not enough input arguments.") from e | |
return loc, scale, args | |
def _cdf_single(self, k, *args): | |
_a, _b = self._get_support(*args) | |
m = arange(int(_a), k+1) | |
return np.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 is 1). Note that `size` | |
has to be given as keyword, not as positional argument. | |
random_state : {None, int, `numpy.random.Generator`, | |
`numpy.random.RandomState`}, optional | |
If `random_state` is None (or `np.random`), the | |
`numpy.random.RandomState` singleton is used. | |
If `random_state` is an int, a new ``RandomState`` instance is | |
used, seeded with `random_state`. | |
If `random_state` is already a ``Generator`` or ``RandomState`` | |
instance, that instance is used. | |
Returns | |
------- | |
rvs : ndarray or scalar | |
Random variates of given `size`. | |
""" | |
kwargs['discrete'] = True | |
return super().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)) | |
_a, _b = self._get_support(*args) | |
k = asarray(k-loc) | |
cond0 = self._argcheck(*args) | |
cond1 = (k >= _a) & (k <= _b) | |
if not isinstance(self, rv_sample): | |
cond1 = cond1 & self._nonzero(k, *args) | |
cond = cond0 & cond1 | |
output = zeros(shape(cond), 'd') | |
place(output, (1-cond0) + np.isnan(k), self.badvalue) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
k = asarray(k-loc) | |
cond0 = self._argcheck(*args) | |
cond1 = (k >= _a) & (k <= _b) | |
if not isinstance(self, rv_sample): | |
cond1 = cond1 & self._nonzero(k, *args) | |
cond = cond0 & cond1 | |
output = empty(shape(cond), 'd') | |
output.fill(-inf) | |
place(output, (1-cond0) + np.isnan(k), self.badvalue) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
k = asarray(k-loc) | |
cond0 = self._argcheck(*args) | |
cond1 = (k >= _a) & (k < _b) | |
cond2 = (k >= _b) | |
cond3 = np.isneginf(k) | |
cond = cond0 & cond1 & np.isfinite(k) | |
output = zeros(shape(cond), 'd') | |
place(output, cond2*(cond0 == cond0), 1.0) | |
place(output, cond3*(cond0 == cond0), 0.0) | |
place(output, (1-cond0) + np.isnan(k), self.badvalue) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
k = asarray(k-loc) | |
cond0 = self._argcheck(*args) | |
cond1 = (k >= _a) & (k < _b) | |
cond2 = (k >= _b) | |
cond = cond0 & cond1 | |
output = empty(shape(cond), 'd') | |
output.fill(-inf) | |
place(output, (1-cond0) + np.isnan(k), self.badvalue) | |
place(output, cond2*(cond0 == cond0), 0.0) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
k = asarray(k-loc) | |
cond0 = self._argcheck(*args) | |
cond1 = (k >= _a) & (k < _b) | |
cond2 = ((k < _a) | np.isneginf(k)) & cond0 | |
cond = cond0 & cond1 & np.isfinite(k) | |
output = zeros(shape(cond), 'd') | |
place(output, (1-cond0) + np.isnan(k), self.badvalue) | |
place(output, cond2, 1.0) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
k = asarray(k-loc) | |
cond0 = self._argcheck(*args) | |
cond1 = (k >= _a) & (k < _b) | |
cond2 = (k < _a) & cond0 | |
cond = cond0 & cond1 | |
output = empty(shape(cond), 'd') | |
output.fill(-inf) | |
place(output, (1-cond0) + np.isnan(k), self.badvalue) | |
place(output, cond2, 0.0) | |
if np.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). | |
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)) | |
_a, _b = self._get_support(*args) | |
cond0 = self._argcheck(*args) & (loc == loc) | |
cond1 = (q > 0) & (q < 1) | |
cond2 = (q == 1) & cond0 | |
cond = cond0 & cond1 | |
output = np.full(shape(cond), fill_value=self.badvalue, dtype='d') | |
# output type 'd' to handle nin and inf | |
place(output, (q == 0)*(cond == cond), _a-1 + loc) | |
place(output, cond2, _b + loc) | |
if np.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)) | |
_a, _b = self._get_support(*args) | |
cond0 = self._argcheck(*args) & (loc == loc) | |
cond1 = (q > 0) & (q < 1) | |
cond2 = (q == 1) & cond0 | |
cond3 = (q == 0) & cond0 | |
cond = cond0 & cond1 | |
# same problem as with ppf; copied from ppf and changed | |
output = np.full(shape(cond), fill_value=self.badvalue, dtype='d') | |
# output type 'd' to handle nin and inf | |
lower_bound = _a - 1 + loc | |
upper_bound = _b + loc | |
place(output, cond2*(cond == cond), lower_bound) | |
place(output, cond3*(cond == cond), upper_bound) | |
# call place only if at least 1 valid argument | |
if np.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 stats.entropy(self.pk) | |
else: | |
_a, _b = self._get_support(*args) | |
return _expect(lambda x: entr(self.pmf(x, *args)), | |
_a, _b, self.ppf(0.5, *args), self.inc) | |
def expect(self, func=None, args=(), loc=0, lb=None, ub=None, | |
conditional=False, maxcount=1000, tolerance=1e-10, chunksize=32): | |
""" | |
Calculate expected value of a function with respect to the distribution | |
for discrete distribution by numerical summation. | |
Parameters | |
---------- | |
func : callable, optional | |
Function for which the expectation value is calculated. | |
Takes only one argument. | |
The default is the identity mapping f(k) = k. | |
args : tuple, optional | |
Shape parameters of the distribution. | |
loc : float, optional | |
Location parameter. | |
Default is 0. | |
lb, ub : int, optional | |
Lower and upper bound for the summation, default is set to the | |
support of the distribution, inclusive (``lb <= k <= ub``). | |
conditional : bool, optional | |
If true then the expectation is corrected by the conditional | |
probability of the summation interval. The return value is the | |
expectation of the function, `func`, conditional on being in | |
the given interval (k such that ``lb <= k <= ub``). | |
Default is False. | |
maxcount : int, optional | |
Maximal number of terms to evaluate (to avoid an endless loop for | |
an infinite sum). Default is 1000. | |
tolerance : float, optional | |
Absolute tolerance for the summation. Default is 1e-10. | |
chunksize : int, optional | |
Iterate over the support of a distributions in chunks of this size. | |
Default is 32. | |
Returns | |
------- | |
expect : float | |
Expected value. | |
Notes | |
----- | |
For heavy-tailed distributions, the expected value may or | |
may not exist, | |
depending on the function, `func`. If it does exist, but the | |
sum converges | |
slowly, the accuracy of the result may be rather low. For instance, for | |
``zipf(4)``, accuracy for mean, variance in example is only 1e-5. | |
increasing `maxcount` and/or `chunksize` may improve the result, | |
but may also make zipf very slow. | |
The function is not vectorized. | |
""" | |
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 | |
_a, _b = self._get_support(*args) | |
if lb is None: | |
lb = _a | |
else: | |
lb = lb - loc # convert bound for standardized distribution | |
if ub is None: | |
ub = _b | |
else: | |
ub = ub - loc # convert bound for standardized distribution | |
if conditional: | |
invfac = self.sf(lb-1, *args) - self.sf(ub, *args) | |
else: | |
invfac = 1.0 | |
if isinstance(self, rv_sample): | |
res = self._expect(fun, lb, ub) | |
return res / invfac | |
# iterate over the support, starting from the median | |
x0 = self.ppf(0.5, *args) | |
res = _expect(fun, lb, ub, x0, self.inc, maxcount, tolerance, chunksize) | |
return res / invfac | |
def _param_info(self): | |
shape_info = self._shape_info() | |
loc_info = _ShapeInfo("loc", True, (-np.inf, np.inf), (False, False)) | |
param_info = shape_info + [loc_info] | |
return param_info | |
def _expect(fun, lb, ub, x0, inc, maxcount=1000, tolerance=1e-10, | |
chunksize=32): | |
"""Helper for computing the expectation value of `fun`.""" | |
# short-circuit if the support size is small enough | |
if (ub - lb) <= chunksize: | |
supp = np.arange(lb, ub+1, inc) | |
vals = fun(supp) | |
return np.sum(vals) | |
# otherwise, iterate starting from x0 | |
if x0 < lb: | |
x0 = lb | |
if x0 > ub: | |
x0 = ub | |
count, tot = 0, 0. | |
# iterate over [x0, ub] inclusive | |
for x in _iter_chunked(x0, ub+1, chunksize=chunksize, inc=inc): | |
count += x.size | |
delta = np.sum(fun(x)) | |
tot += delta | |
if abs(delta) < tolerance * x.size: | |
break | |
if count > maxcount: | |
warnings.warn('expect(): sum did not converge', | |
RuntimeWarning, stacklevel=3) | |
return tot | |
# iterate over [lb, x0) | |
for x in _iter_chunked(x0-1, lb-1, chunksize=chunksize, inc=-inc): | |
count += x.size | |
delta = np.sum(fun(x)) | |
tot += delta | |
if abs(delta) < tolerance * x.size: | |
break | |
if count > maxcount: | |
warnings.warn('expect(): sum did not converge', | |
RuntimeWarning, stacklevel=3) | |
break | |
return tot | |
def _iter_chunked(x0, x1, chunksize=4, inc=1): | |
"""Iterate from x0 to x1 in chunks of chunksize and steps inc. | |
x0 must be finite, x1 need not be. In the latter case, the iterator is | |
infinite. | |
Handles both x0 < x1 and x0 > x1. In the latter case, iterates downwards | |
(make sure to set inc < 0.) | |
>>> from scipy.stats._distn_infrastructure import _iter_chunked | |
>>> [x for x in _iter_chunked(2, 5, inc=2)] | |
[array([2, 4])] | |
>>> [x for x in _iter_chunked(2, 11, inc=2)] | |
[array([2, 4, 6, 8]), array([10])] | |
>>> [x for x in _iter_chunked(2, -5, inc=-2)] | |
[array([ 2, 0, -2, -4])] | |
>>> [x for x in _iter_chunked(2, -9, inc=-2)] | |
[array([ 2, 0, -2, -4]), array([-6, -8])] | |
""" | |
if inc == 0: | |
raise ValueError('Cannot increment by zero.') | |
if chunksize <= 0: | |
raise ValueError('Chunk size must be positive; got %s.' % chunksize) | |
s = 1 if inc > 0 else -1 | |
stepsize = abs(chunksize * inc) | |
x = x0 | |
while (x - x1) * inc < 0: | |
delta = min(stepsize, abs(x - x1)) | |
step = delta * s | |
supp = np.arange(x, x + step, inc) | |
x += step | |
yield supp | |
class rv_sample(rv_discrete): | |
"""A 'sample' discrete distribution defined by the support and values. | |
The ctor ignores most of the arguments, only needs the `values` argument. | |
""" | |
def __init__(self, a=0, b=inf, name=None, badvalue=None, | |
moment_tol=1e-8, values=None, inc=1, longname=None, | |
shapes=None, seed=None): | |
super(rv_discrete, self).__init__(seed) | |
if values is None: | |
raise ValueError("rv_sample.__init__(..., values=None,...)") | |
# 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, seed=seed) | |
if badvalue is None: | |
badvalue = nan | |
self.badvalue = badvalue | |
self.moment_tol = moment_tol | |
self.inc = inc | |
self.shapes = shapes | |
self.vecentropy = self._entropy | |
xk, pk = values | |
if np.shape(xk) != np.shape(pk): | |
raise ValueError("xk and pk must have the same shape.") | |
if np.less(pk, 0.0).any(): | |
raise ValueError("All elements of pk must be non-negative.") | |
if not np.allclose(np.sum(pk), 1): | |
raise ValueError("The sum of provided pk is not 1.") | |
if not len(set(np.ravel(xk))) == np.size(xk): | |
raise ValueError("xk may not contain duplicate values.") | |
indx = np.argsort(np.ravel(xk)) | |
self.xk = np.take(np.ravel(xk), indx, 0) | |
self.pk = np.take(np.ravel(pk), indx, 0) | |
self.a = self.xk[0] | |
self.b = self.xk[-1] | |
self.qvals = np.cumsum(self.pk, axis=0) | |
self.shapes = ' ' # bypass inspection | |
self._construct_argparser(meths_to_inspect=[self._pmf], | |
locscale_in='loc=0', | |
# scale=1 for discrete RVs | |
locscale_out='loc, 1') | |
self._attach_methods() | |
self._construct_docstrings(name, longname) | |
def __getstate__(self): | |
dct = self.__dict__.copy() | |
# these methods will be remade in rv_generic.__setstate__, | |
# which calls rv_generic._attach_methods | |
attrs = ["_parse_args", "_parse_args_stats", "_parse_args_rvs"] | |
[dct.pop(attr, None) for attr in attrs] | |
return dct | |
def _attach_methods(self): | |
"""Attaches dynamically created argparser methods.""" | |
self._attach_argparser_methods() | |
def _get_support(self, *args): | |
"""Return the support of the (unscaled, unshifted) distribution. | |
Parameters | |
---------- | |
arg1, arg2, ... : array_like | |
The shape parameter(s) for the distribution (see docstring of the | |
instance object for more information). | |
Returns | |
------- | |
a, b : numeric (float, or int or +/-np.inf) | |
end-points of the distribution's support. | |
""" | |
return self.a, self.b | |
def _pmf(self, x): | |
return np.select([x == k for k in self.xk], | |
[np.broadcast_arrays(p, x)[0] for p in self.pk], 0) | |
def _cdf(self, x): | |
xx, xxk = np.broadcast_arrays(x[:, None], self.xk) | |
indx = np.argmax(xxk > xx, axis=-1) - 1 | |
return self.qvals[indx] | |
def _ppf(self, q): | |
qq, sqq = np.broadcast_arrays(q[..., None], self.qvals) | |
indx = argmax(sqq >= qq, axis=-1) | |
return self.xk[indx] | |
def _rvs(self, size=None, random_state=None): | |
# Need to define it explicitly, otherwise .rvs() with size=None | |
# fails due to explicit broadcasting in _ppf | |
U = random_state.uniform(size=size) | |
if size is None: | |
U = np.array(U, ndmin=1) | |
Y = self._ppf(U)[0] | |
else: | |
Y = self._ppf(U) | |
return Y | |
def _entropy(self): | |
return stats.entropy(self.pk) | |
def generic_moment(self, n): | |
n = asarray(n) | |
return np.sum(self.xk**n[np.newaxis, ...] * self.pk, axis=0) | |
def _expect(self, fun, lb, ub, *args, **kwds): | |
# ignore all args, just do a brute force summation | |
supp = self.xk[(lb <= self.xk) & (self.xk <= ub)] | |
vals = fun(supp) | |
return np.sum(vals) | |
def _check_shape(argshape, size): | |
""" | |
This is a utility function used by `_rvs()` in the class geninvgauss_gen. | |
It compares the tuple argshape to the tuple size. | |
Parameters | |
---------- | |
argshape : tuple of integers | |
Shape of the arguments. | |
size : tuple of integers or integer | |
Size argument of rvs(). | |
Returns | |
------- | |
The function returns two tuples, scalar_shape and bc. | |
scalar_shape : tuple | |
Shape to which the 1-d array of random variates returned by | |
_rvs_scalar() is converted when it is copied into the | |
output array of _rvs(). | |
bc : tuple of booleans | |
bc is an tuple the same length as size. bc[j] is True if the data | |
associated with that index is generated in one call of _rvs_scalar(). | |
""" | |
scalar_shape = [] | |
bc = [] | |
for argdim, sizedim in zip_longest(argshape[::-1], size[::-1], | |
fillvalue=1): | |
if sizedim > argdim or (argdim == sizedim == 1): | |
scalar_shape.append(sizedim) | |
bc.append(True) | |
else: | |
bc.append(False) | |
return tuple(scalar_shape[::-1]), tuple(bc[::-1]) | |
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 | |