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- #
- # Author: Travis Oliphant 2002-2011 with contributions from
- # SciPy Developers 2004-2011
- #
- from functools import partial
- from scipy import special
- from scipy.special import entr, logsumexp, betaln, gammaln as gamln
- import scipy.special._ufuncs as scu
- from scipy._lib._util import rng_integers
- import scipy._lib.array_api_extra as xpx
- from scipy.interpolate import interp1d
- from numpy import floor, ceil, log, exp, sqrt, log1p, expm1, tanh, cosh, sinh
- import numpy as np
- from ._distn_infrastructure import (rv_discrete, get_distribution_names,
- _vectorize_rvs_over_shapes,
- _ShapeInfo, _isintegral,
- rv_discrete_frozen)
- from ._biasedurn import (_PyFishersNCHypergeometric,
- _PyWalleniusNCHypergeometric,
- _PyStochasticLib3)
- from ._stats_pythran import _poisson_binom
- class binom_gen(rv_discrete):
- r"""A binomial discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `binom` is:
- .. math::
- f(k) = \binom{n}{k} p^k (1-p)^{n-k}
- for :math:`k \in \{0, 1, \dots, n\}`, :math:`0 \leq p \leq 1`
- `binom` takes :math:`n` and :math:`p` as shape parameters,
- where :math:`p` is the probability of a single success
- and :math:`1-p` is the probability of a single failure.
- This distribution uses routines from the Boost Math C++ library for
- the computation of the ``pmf``, ``cdf``, ``sf``, ``ppf`` and ``isf``
- methods. [1]_
- %(after_notes)s
- References
- ----------
- .. [1] The Boost Developers. "Boost C++ Libraries". https://www.boost.org/.
- %(example)s
- See Also
- --------
- hypergeom, nbinom, nhypergeom
- """
- def _shape_info(self):
- return [_ShapeInfo("n", True, (0, np.inf), (True, False)),
- _ShapeInfo("p", False, (0, 1), (True, True))]
- def _rvs(self, n, p, size=None, random_state=None):
- return random_state.binomial(n, p, size)
- def _argcheck(self, n, p):
- return (n >= 0) & _isintegral(n) & (p >= 0) & (p <= 1)
- def _get_support(self, n, p):
- return self.a, n
- def _logpmf(self, x, n, p):
- k = floor(x)
- combiln = (gamln(n+1) - (gamln(k+1) + gamln(n-k+1)))
- return combiln + special.xlogy(k, p) + special.xlog1py(n-k, -p)
- def _pmf(self, x, n, p):
- # binom.pmf(k) = choose(n, k) * p**k * (1-p)**(n-k)
- return scu._binom_pmf(x, n, p)
- def _cdf(self, x, n, p):
- k = floor(x)
- return scu._binom_cdf(k, n, p)
- def _sf(self, x, n, p):
- k = floor(x)
- return scu._binom_sf(k, n, p)
- def _isf(self, x, n, p):
- return scu._binom_isf(x, n, p)
- def _ppf(self, q, n, p):
- return scu._binom_ppf(q, n, p)
- def _stats(self, n, p, moments='mv'):
- mu = n * p
- var = mu - n * np.square(p)
- g1, g2 = None, None
- if 's' in moments:
- pq = p - np.square(p)
- npq_sqrt = np.sqrt(n * pq)
- t1 = np.reciprocal(npq_sqrt)
- t2 = (2.0 * p) / npq_sqrt
- g1 = t1 - t2
- if 'k' in moments:
- pq = p - np.square(p)
- npq = n * pq
- t1 = np.reciprocal(npq)
- t2 = 6.0/n
- g2 = t1 - t2
- return mu, var, g1, g2
- def _entropy(self, n, p):
- k = np.r_[0:n + 1]
- vals = self._pmf(k, n, p)
- return np.sum(entr(vals), axis=0)
- binom = binom_gen(name='binom')
- class bernoulli_gen(binom_gen):
- r"""A Bernoulli discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `bernoulli` is:
- .. math::
- f(k) = \begin{cases}1-p &\text{if } k = 0\\
- p &\text{if } k = 1\end{cases}
- for :math:`k` in :math:`\{0, 1\}`, :math:`0 \leq p \leq 1`
- `bernoulli` takes :math:`p` as shape parameter,
- where :math:`p` is the probability of a single success
- and :math:`1-p` is the probability of a single failure.
- %(after_notes)s
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("p", False, (0, 1), (True, True))]
- def _rvs(self, p, size=None, random_state=None):
- return binom_gen._rvs(self, 1, p, size=size, random_state=random_state)
- def _argcheck(self, p):
- return (p >= 0) & (p <= 1)
- def _get_support(self, p):
- # Overrides binom_gen._get_support!x
- return self.a, self.b
- def _logpmf(self, x, p):
- return binom._logpmf(x, 1, p)
- def _pmf(self, x, p):
- # bernoulli.pmf(k) = 1-p if k = 0
- # = p if k = 1
- return binom._pmf(x, 1, p)
- def _cdf(self, x, p):
- return binom._cdf(x, 1, p)
- def _sf(self, x, p):
- return binom._sf(x, 1, p)
- def _isf(self, x, p):
- return binom._isf(x, 1, p)
- def _ppf(self, q, p):
- return binom._ppf(q, 1, p)
- def _stats(self, p):
- return binom._stats(1, p)
- def _entropy(self, p):
- return entr(p) + entr(1-p)
- bernoulli = bernoulli_gen(b=1, name='bernoulli')
- class betabinom_gen(rv_discrete):
- r"""A beta-binomial discrete random variable.
- %(before_notes)s
- Notes
- -----
- The beta-binomial distribution is a binomial distribution with a
- probability of success `p` that follows a beta distribution.
- The probability mass function for `betabinom` is:
- .. math::
- f(k) = \binom{n}{k} \frac{B(k + a, n - k + b)}{B(a, b)}
- for :math:`k \in \{0, 1, \dots, n\}`, :math:`n \geq 0`, :math:`a > 0`,
- :math:`b > 0`, where :math:`B(a, b)` is the beta function.
- `betabinom` takes :math:`n`, :math:`a`, and :math:`b` as shape parameters.
- %(after_notes)s
- References
- ----------
- .. [1] https://en.wikipedia.org/wiki/Beta-binomial_distribution
- .. versionadded:: 1.4.0
- See Also
- --------
- beta, binom
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("n", True, (0, np.inf), (True, False)),
- _ShapeInfo("a", False, (0, np.inf), (False, False)),
- _ShapeInfo("b", False, (0, np.inf), (False, False))]
- def _rvs(self, n, a, b, size=None, random_state=None):
- p = random_state.beta(a, b, size)
- return random_state.binomial(n, p, size)
- def _get_support(self, n, a, b):
- return 0, n
- def _argcheck(self, n, a, b):
- return (n >= 0) & _isintegral(n) & (a > 0) & (b > 0)
- def _logpmf(self, x, n, a, b):
- k = floor(x)
- combiln = -log(n + 1) - betaln(n - k + 1, k + 1)
- return combiln + betaln(k + a, n - k + b) - betaln(a, b)
- def _pmf(self, x, n, a, b):
- return exp(self._logpmf(x, n, a, b))
- def _stats(self, n, a, b, moments='mv'):
- e_p = a / (a + b)
- e_q = 1 - e_p
- mu = n * e_p
- var = n * (a + b + n) * e_p * e_q / (a + b + 1)
- g1, g2 = None, None
- if 's' in moments:
- g1 = 1.0 / sqrt(var)
- g1 *= (a + b + 2 * n) * (b - a)
- g1 /= (a + b + 2) * (a + b)
- if 'k' in moments:
- g2 = (a + b).astype(e_p.dtype)
- g2 *= (a + b - 1 + 6 * n)
- g2 += 3 * a * b * (n - 2)
- g2 += 6 * n ** 2
- g2 -= 3 * e_p * b * n * (6 - n)
- g2 -= 18 * e_p * e_q * n ** 2
- g2 *= (a + b) ** 2 * (1 + a + b)
- g2 /= (n * a * b * (a + b + 2) * (a + b + 3) * (a + b + n))
- g2 -= 3
- return mu, var, g1, g2
- betabinom = betabinom_gen(name='betabinom')
- class nbinom_gen(rv_discrete):
- r"""A negative binomial discrete random variable.
- %(before_notes)s
- Notes
- -----
- Negative binomial distribution describes a sequence of i.i.d. Bernoulli
- trials, repeated until a predefined, non-random number of successes occurs.
- The probability mass function of the number of failures for `nbinom` is:
- .. math::
- f(k) = \binom{k+n-1}{n-1} p^n (1-p)^k
- for :math:`k \ge 0`, :math:`0 < p \leq 1`
- `nbinom` takes :math:`n` and :math:`p` as shape parameters where :math:`n`
- is the number of successes, :math:`p` is the probability of a single
- success, and :math:`1-p` is the probability of a single failure.
- Another common parameterization of the negative binomial distribution is
- in terms of the mean number of failures :math:`\mu` to achieve :math:`n`
- successes. The mean :math:`\mu` is related to the probability of success
- as
- .. math::
- p = \frac{n}{n + \mu}
- The number of successes :math:`n` may also be specified in terms of a
- "dispersion", "heterogeneity", or "aggregation" parameter :math:`\alpha`,
- which relates the mean :math:`\mu` to the variance :math:`\sigma^2`,
- e.g. :math:`\sigma^2 = \mu + \alpha \mu^2`. Regardless of the convention
- used for :math:`\alpha`,
- .. math::
- p &= \frac{\mu}{\sigma^2} \\
- n &= \frac{\mu^2}{\sigma^2 - \mu}
- This distribution uses routines from the Boost Math C++ library for
- the computation of the ``pmf``, ``cdf``, ``sf``, ``ppf``, ``isf``
- and ``stats`` methods. [1]_
- %(after_notes)s
- References
- ----------
- .. [1] The Boost Developers. "Boost C++ Libraries". https://www.boost.org/.
- %(example)s
- See Also
- --------
- hypergeom, binom, nhypergeom
- """
- def _shape_info(self):
- return [_ShapeInfo("n", True, (0, np.inf), (True, False)),
- _ShapeInfo("p", False, (0, 1), (True, True))]
- def _rvs(self, n, p, size=None, random_state=None):
- return random_state.negative_binomial(n, p, size)
- def _argcheck(self, n, p):
- return (n > 0) & (p > 0) & (p <= 1)
- def _pmf(self, x, n, p):
- # nbinom.pmf(k) = choose(k+n-1, n-1) * p**n * (1-p)**k
- return scu._nbinom_pmf(x, n, p)
- def _logpmf(self, x, n, p):
- coeff = gamln(n+x) - gamln(x+1) - gamln(n)
- return coeff + n*log(p) + special.xlog1py(x, -p)
- def _cdf(self, x, n, p):
- k = floor(x)
- return scu._nbinom_cdf(k, n, p)
- def _logcdf(self, x, n, p):
- k = floor(x)
- k, n, p = np.broadcast_arrays(k, n, p)
- cdf = self._cdf(k, n, p)
- cond = cdf > 0.5
- def f1(k, n, p):
- return np.log1p(-special.betainc(k + 1, n, 1 - p))
- # do calc in place
- logcdf = cdf
- with np.errstate(divide='ignore'):
- logcdf[cond] = f1(k[cond], n[cond], p[cond])
- logcdf[~cond] = np.log(cdf[~cond])
- return logcdf
- def _sf(self, x, n, p):
- k = floor(x)
- return scu._nbinom_sf(k, n, p)
- def _isf(self, x, n, p):
- with np.errstate(over='ignore'): # see gh-17432
- return scu._nbinom_isf(x, n, p)
- def _ppf(self, q, n, p):
- with np.errstate(over='ignore'): # see gh-17432
- return scu._nbinom_ppf(q, n, p)
- def _stats(self, n, p):
- return (
- scu._nbinom_mean(n, p),
- scu._nbinom_variance(n, p),
- scu._nbinom_skewness(n, p),
- scu._nbinom_kurtosis_excess(n, p),
- )
- nbinom = nbinom_gen(name='nbinom')
- class betanbinom_gen(rv_discrete):
- r"""A beta-negative-binomial discrete random variable.
- %(before_notes)s
- Notes
- -----
- The beta-negative-binomial distribution is a negative binomial
- distribution with a probability of success `p` that follows a
- beta distribution.
- The probability mass function for `betanbinom` is:
- .. math::
- f(k) = \binom{n + k - 1}{k} \frac{B(a + n, b + k)}{B(a, b)}
- for :math:`k \ge 0`, :math:`n \geq 0`, :math:`a > 0`,
- :math:`b > 0`, where :math:`B(a, b)` is the beta function.
- `betanbinom` takes :math:`n`, :math:`a`, and :math:`b` as shape parameters.
- %(after_notes)s
- References
- ----------
- .. [1] https://en.wikipedia.org/wiki/Beta_negative_binomial_distribution
- .. versionadded:: 1.12.0
- See Also
- --------
- betabinom : Beta binomial distribution
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("n", True, (0, np.inf), (True, False)),
- _ShapeInfo("a", False, (0, np.inf), (False, False)),
- _ShapeInfo("b", False, (0, np.inf), (False, False))]
- def _rvs(self, n, a, b, size=None, random_state=None):
- p = random_state.beta(a, b, size)
- return random_state.negative_binomial(n, p, size)
- def _argcheck(self, n, a, b):
- return (n >= 0) & _isintegral(n) & (a > 0) & (b > 0)
- def _logpmf(self, x, n, a, b):
- k = floor(x)
- combiln = -np.log(n + k) - betaln(n, k + 1)
- return combiln + betaln(a + n, b + k) - betaln(a, b)
- def _pmf(self, x, n, a, b):
- return exp(self._logpmf(x, n, a, b))
- def _stats(self, n, a, b, moments='mv'):
- # reference: Wolfram Alpha input
- # BetaNegativeBinomialDistribution[a, b, n]
- def mean(n, a, b):
- return n * b / (a - 1.)
- mu = xpx.apply_where(a > 1, (n, a, b), mean, fill_value=np.inf)
- def var(n, a, b):
- return (n * b * (n + a - 1.) * (a + b - 1.)
- / ((a - 2.) * (a - 1.)**2.))
- var = xpx.apply_where(a > 2, (n, a, b), var, fill_value=np.inf)
- g1, g2 = None, None
- def skew(n, a, b):
- return ((2 * n + a - 1.) * (2 * b + a - 1.)
- / (a - 3.) / sqrt(n * b * (n + a - 1.) * (b + a - 1.)
- / (a - 2.)))
- if 's' in moments:
- g1 = xpx.apply_where(a > 3, (n, a, b), skew, fill_value=np.inf)
- def kurtosis(n, a, b):
- term = (a - 2.)
- term_2 = ((a - 1.)**2. * (a**2. + a * (6 * b - 1.)
- + 6. * (b - 1.) * b)
- + 3. * n**2. * ((a + 5.) * b**2. + (a + 5.)
- * (a - 1.) * b + 2. * (a - 1.)**2)
- + 3 * (a - 1.) * n
- * ((a + 5.) * b**2. + (a + 5.) * (a - 1.) * b
- + 2. * (a - 1.)**2.))
- denominator = ((a - 4.) * (a - 3.) * b * n
- * (a + b - 1.) * (a + n - 1.))
- # Wolfram Alpha uses Pearson kurtosis, so we subtract 3 to get
- # scipy's Fisher kurtosis
- return term * term_2 / denominator - 3.
- if 'k' in moments:
- g2 = xpx.apply_where(a > 4, (n, a, b), kurtosis, fill_value=np.inf)
- return mu, var, g1, g2
- betanbinom = betanbinom_gen(name='betanbinom')
- class geom_gen(rv_discrete):
- r"""A geometric discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `geom` is:
- .. math::
- f(k) = (1-p)^{k-1} p
- for :math:`k \ge 1`, :math:`0 < p \leq 1`
- `geom` takes :math:`p` as shape parameter,
- where :math:`p` is the probability of a single success
- and :math:`1-p` is the probability of a single failure.
- Note that when drawing random samples, the probability of observations that exceed
- ``np.iinfo(np.int64).max`` increases rapidly as $p$ decreases below $10^{-17}$. For
- $p < 10^{-20}$, almost all observations would exceed the maximum ``int64``; however,
- the output dtype is always ``int64``, so these values are clipped to the maximum.
- %(after_notes)s
- See Also
- --------
- planck
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("p", False, (0, 1), (True, True))]
- def _rvs(self, p, size=None, random_state=None):
- res = random_state.geometric(p, size=size)
- # RandomState.geometric can wrap around to negative values; make behavior
- # consistent with Generator.geometric by replacing with maximum integer.
- max_int = np.iinfo(res.dtype).max
- return np.where(res < 0, max_int, res)
- def _argcheck(self, p):
- return (p <= 1) & (p > 0)
- def _pmf(self, k, p):
- return np.power(1-p, k-1) * p
- def _logpmf(self, k, p):
- return special.xlog1py(k - 1, -p) + log(p)
- def _cdf(self, x, p):
- k = floor(x)
- return -expm1(log1p(-p)*k)
- def _sf(self, x, p):
- return np.exp(self._logsf(x, p))
- def _logsf(self, x, p):
- k = floor(x)
- return k*log1p(-p)
- def _ppf(self, q, p):
- vals = ceil(log1p(-q) / log1p(-p))
- temp = self._cdf(vals-1, p)
- return np.where((temp >= q) & (vals > 0), vals-1, vals)
- def _stats(self, p):
- mu = 1.0/p
- qr = 1.0-p
- var = qr / p / p
- g1 = (2.0-p) / sqrt(qr)
- g2 = np.polyval([1, -6, 6], p)/(1.0-p)
- return mu, var, g1, g2
- def _entropy(self, p):
- return -np.log(p) - np.log1p(-p) * (1.0-p) / p
- geom = geom_gen(a=1, name='geom', longname="A geometric")
- class hypergeom_gen(rv_discrete):
- r"""A hypergeometric discrete random variable.
- The hypergeometric distribution models drawing objects from a bin.
- `M` is the total number of objects, `n` is total number of Type I objects.
- The random variate represents the number of Type I objects in `N` drawn
- without replacement from the total population.
- %(before_notes)s
- Notes
- -----
- The symbols used to denote the shape parameters (`M`, `n`, and `N`) are not
- universally accepted. See the Examples for a clarification of the
- definitions used here.
- The probability mass function is defined as,
- .. math:: p(k, M, n, N) = \frac{\binom{n}{k} \binom{M - n}{N - k}}
- {\binom{M}{N}}
- for :math:`k \in [\max(0, N - M + n), \min(n, N)]`, where the binomial
- coefficients are defined as,
- .. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}.
- This distribution uses routines from the Boost Math C++ library for
- the computation of the ``pmf``, ``cdf``, ``sf`` and ``stats`` methods. [1]_
- %(after_notes)s
- References
- ----------
- .. [1] The Boost Developers. "Boost C++ Libraries". https://www.boost.org/.
- Examples
- --------
- >>> import numpy as np
- >>> from scipy.stats import hypergeom
- >>> import matplotlib.pyplot as plt
- Suppose we have a collection of 20 animals, of which 7 are dogs. Then if
- we want to know the probability of finding a given number of dogs if we
- choose at random 12 of the 20 animals, we can initialize a frozen
- distribution and plot the probability mass function:
- >>> [M, n, N] = [20, 7, 12]
- >>> rv = hypergeom(M, n, N)
- >>> x = np.arange(0, n+1)
- >>> pmf_dogs = rv.pmf(x)
- >>> fig = plt.figure()
- >>> ax = fig.add_subplot(111)
- >>> ax.plot(x, pmf_dogs, 'bo')
- >>> ax.vlines(x, 0, pmf_dogs, lw=2)
- >>> ax.set_xlabel('# of dogs in our group of chosen animals')
- >>> ax.set_ylabel('hypergeom PMF')
- >>> plt.show()
- Instead of using a frozen distribution we can also use `hypergeom`
- methods directly. To for example obtain the cumulative distribution
- function, use:
- >>> prb = hypergeom.cdf(x, M, n, N)
- And to generate random numbers:
- >>> R = hypergeom.rvs(M, n, N, size=10)
- See Also
- --------
- nhypergeom, binom, nbinom
- """
- def _shape_info(self):
- return [_ShapeInfo("M", True, (0, np.inf), (True, False)),
- _ShapeInfo("n", True, (0, np.inf), (True, False)),
- _ShapeInfo("N", True, (0, np.inf), (True, False))]
- def _rvs(self, M, n, N, size=None, random_state=None):
- return random_state.hypergeometric(n, M-n, N, size=size)
- def _get_support(self, M, n, N):
- return np.maximum(N-(M-n), 0), np.minimum(n, N)
- def _argcheck(self, M, n, N):
- cond = (M > 0) & (n >= 0) & (N >= 0)
- cond &= (n <= M) & (N <= M)
- cond &= _isintegral(M) & _isintegral(n) & _isintegral(N)
- return cond
- def _logpmf(self, k, M, n, N):
- tot, good = M, n
- bad = tot - good
- result = (betaln(good+1, 1) + betaln(bad+1, 1) + betaln(tot-N+1, N+1) -
- betaln(k+1, good-k+1) - betaln(N-k+1, bad-N+k+1) -
- betaln(tot+1, 1))
- return result
- def _pmf(self, k, M, n, N):
- return scu._hypergeom_pmf(k, n, N, M)
- def _cdf(self, k, M, n, N):
- return scu._hypergeom_cdf(k, n, N, M)
- def _stats(self, M, n, N):
- M, n, N = 1. * M, 1. * n, 1. * N
- m = M - n
- # Boost kurtosis_excess doesn't return the same as the value
- # computed here.
- g2 = M * (M + 1) - 6. * N * (M - N) - 6. * n * m
- g2 *= (M - 1) * M * M
- g2 += 6. * n * N * (M - N) * m * (5. * M - 6)
- g2 /= n * N * (M - N) * m * (M - 2.) * (M - 3.)
- return (
- scu._hypergeom_mean(n, N, M),
- scu._hypergeom_variance(n, N, M),
- scu._hypergeom_skewness(n, N, M),
- g2,
- )
- def _entropy(self, M, n, N):
- k = np.r_[N - (M - n):min(n, N) + 1]
- vals = self.pmf(k, M, n, N)
- return np.sum(entr(vals), axis=0)
- def _sf(self, k, M, n, N):
- return scu._hypergeom_sf(k, n, N, M)
- def _logsf(self, k, M, n, N):
- res = []
- for quant, tot, good, draw in zip(*np.broadcast_arrays(k, M, n, N)):
- if (quant + 0.5) * (tot + 0.5) < (good - 0.5) * (draw - 0.5):
- # Less terms to sum if we calculate log(1-cdf)
- res.append(log1p(-exp(self.logcdf(quant, tot, good, draw))))
- else:
- # Integration over probability mass function using logsumexp
- k2 = np.arange(quant + 1, draw + 1)
- res.append(logsumexp(self._logpmf(k2, tot, good, draw)))
- return np.asarray(res)
- def _logcdf(self, k, M, n, N):
- res = []
- for quant, tot, good, draw in zip(*np.broadcast_arrays(k, M, n, N)):
- if (quant + 0.5) * (tot + 0.5) > (good - 0.5) * (draw - 0.5):
- # Less terms to sum if we calculate log(1-sf)
- res.append(log1p(-exp(self.logsf(quant, tot, good, draw))))
- else:
- # Integration over probability mass function using logsumexp
- k2 = np.arange(0, quant + 1)
- res.append(logsumexp(self._logpmf(k2, tot, good, draw)))
- return np.asarray(res)
- hypergeom = hypergeom_gen(name='hypergeom')
- class nhypergeom_gen(rv_discrete):
- r"""A negative hypergeometric discrete random variable.
- Consider a box containing :math:`M` balls:, :math:`n` red and
- :math:`M-n` blue. We randomly sample balls from the box, one
- at a time and *without* replacement, until we have picked :math:`r`
- blue balls. `nhypergeom` is the distribution of the number of
- red balls :math:`k` we have picked.
- %(before_notes)s
- Notes
- -----
- The symbols used to denote the shape parameters (`M`, `n`, and `r`) are not
- universally accepted. See the Examples for a clarification of the
- definitions used here.
- The probability mass function is defined as,
- .. math:: f(k; M, n, r) = \frac{{{k+r-1}\choose{k}}{{M-r-k}\choose{n-k}}}
- {{M \choose n}}
- for :math:`k \in [0, n]`, :math:`n \in [0, M]`, :math:`r \in [0, M-n]`,
- and the binomial coefficient is:
- .. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}.
- It is equivalent to observing :math:`k` successes in :math:`k+r-1`
- samples with :math:`k+r`'th sample being a failure. The former
- can be modelled as a hypergeometric distribution. The probability
- of the latter is simply the number of failures remaining
- :math:`M-n-(r-1)` divided by the size of the remaining population
- :math:`M-(k+r-1)`. This relationship can be shown as:
- .. math:: NHG(k;M,n,r) = HG(k;M,n,k+r-1)\frac{(M-n-(r-1))}{(M-(k+r-1))}
- where :math:`NHG` is probability mass function (PMF) of the
- negative hypergeometric distribution and :math:`HG` is the
- PMF of the hypergeometric distribution.
- %(after_notes)s
- Examples
- --------
- >>> import numpy as np
- >>> from scipy.stats import nhypergeom
- >>> import matplotlib.pyplot as plt
- Suppose we have a collection of 20 animals, of which 7 are dogs.
- Then if we want to know the probability of finding a given number
- of dogs (successes) in a sample with exactly 12 animals that
- aren't dogs (failures), we can initialize a frozen distribution
- and plot the probability mass function:
- >>> M, n, r = [20, 7, 12]
- >>> rv = nhypergeom(M, n, r)
- >>> x = np.arange(0, n+2)
- >>> pmf_dogs = rv.pmf(x)
- >>> fig = plt.figure()
- >>> ax = fig.add_subplot(111)
- >>> ax.plot(x, pmf_dogs, 'bo')
- >>> ax.vlines(x, 0, pmf_dogs, lw=2)
- >>> ax.set_xlabel('# of dogs in our group with given 12 failures')
- >>> ax.set_ylabel('nhypergeom PMF')
- >>> plt.show()
- Instead of using a frozen distribution we can also use `nhypergeom`
- methods directly. To for example obtain the probability mass
- function, use:
- >>> prb = nhypergeom.pmf(x, M, n, r)
- And to generate random numbers:
- >>> R = nhypergeom.rvs(M, n, r, size=10)
- To verify the relationship between `hypergeom` and `nhypergeom`, use:
- >>> from scipy.stats import hypergeom, nhypergeom
- >>> M, n, r = 45, 13, 8
- >>> k = 6
- >>> nhypergeom.pmf(k, M, n, r)
- 0.06180776620271643
- >>> hypergeom.pmf(k, M, n, k+r-1) * (M - n - (r-1)) / (M - (k+r-1))
- 0.06180776620271644
- See Also
- --------
- hypergeom, binom, nbinom
- References
- ----------
- .. [1] Negative Hypergeometric Distribution on Wikipedia
- https://en.wikipedia.org/wiki/Negative_hypergeometric_distribution
- .. [2] Negative Hypergeometric Distribution from
- http://www.math.wm.edu/~leemis/chart/UDR/PDFs/Negativehypergeometric.pdf
- """
- def _shape_info(self):
- return [_ShapeInfo("M", True, (0, np.inf), (True, False)),
- _ShapeInfo("n", True, (0, np.inf), (True, False)),
- _ShapeInfo("r", True, (0, np.inf), (True, False))]
- def _get_support(self, M, n, r):
- return 0, n
- def _argcheck(self, M, n, r):
- cond = (n >= 0) & (n <= M) & (r >= 0) & (r <= M-n)
- cond &= _isintegral(M) & _isintegral(n) & _isintegral(r)
- return cond
- def _rvs(self, M, n, r, size=None, random_state=None):
- @_vectorize_rvs_over_shapes
- def _rvs1(M, n, r, size, random_state):
- # invert cdf by calculating all values in support, scalar M, n, r
- a, b = self.support(M, n, r)
- ks = np.arange(a, b+1)
- cdf = self.cdf(ks, M, n, r)
- ppf = interp1d(cdf, ks, kind='next', fill_value='extrapolate')
- rvs = ppf(random_state.uniform(size=size)).astype(int)
- if size is None:
- return rvs.item()
- return rvs
- return _rvs1(M, n, r, size=size, random_state=random_state)
- def _logpmf(self, k, M, n, r):
- return xpx.apply_where(
- (r != 0) | (k != 0), (k, M, n, r),
- lambda k, M, n, r:
- (-betaln(k+1, r) + betaln(k+r, 1)
- - betaln(n-k+1, M-r-n+1) + betaln(M-r-k+1, 1)
- + betaln(n+1, M-n+1) - betaln(M+1, 1)),
- fill_value=0.0)
- def _pmf(self, k, M, n, r):
- # same as the following but numerically more precise
- # return comb(k+r-1, k) * comb(M-r-k, n-k) / comb(M, n)
- return exp(self._logpmf(k, M, n, r))
- def _stats(self, M, n, r):
- # Promote the datatype to at least float
- # mu = rn / (M-n+1)
- M, n, r = 1.*M, 1.*n, 1.*r
- mu = r*n / (M-n+1)
- var = r*(M+1)*n / ((M-n+1)*(M-n+2)) * (1 - r / (M-n+1))
- # The skew and kurtosis are mathematically
- # intractable so return `None`. See [2]_.
- g1, g2 = None, None
- return mu, var, g1, g2
- nhypergeom = nhypergeom_gen(name='nhypergeom')
- # FIXME: Fails _cdfvec
- class logser_gen(rv_discrete):
- r"""A Logarithmic (Log-Series, Series) discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `logser` is:
- .. math::
- f(k) = - \frac{p^k}{k \log(1-p)}
- for :math:`k \ge 1`, :math:`0 < p < 1`
- `logser` takes :math:`p` as shape parameter,
- where :math:`p` is the probability of a single success
- and :math:`1-p` is the probability of a single failure.
- %(after_notes)s
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("p", False, (0, 1), (True, True))]
- def _rvs(self, p, size=None, random_state=None):
- # looks wrong for p>0.5, too few k=1
- # trying to use generic is worse, no k=1 at all
- return random_state.logseries(p, size=size)
- def _argcheck(self, p):
- return (p > 0) & (p < 1)
- def _pmf(self, k, p):
- # logser.pmf(k) = - p**k / (k*log(1-p))
- return -np.power(p, k) * 1.0 / k / special.log1p(-p)
- def _sf(self, k, p):
- tiny = 1e-100
- # Ideally, this is the unregularized beta function with `b=0`. We don't have
- # an unregularized beta function (yet, although we could get it from Boost),
- # and neither technically support `b=0` - despite the function being accurate
- # for `b` super close to zero. See https://github.com/scipy/scipy/issues/3890.
- return -special.betainc(k+1, tiny, p) * special.beta(k+1, tiny) / np.log1p(-p)
- def _stats(self, p):
- r = special.log1p(-p)
- mu = p / (p - 1.0) / r
- mu2p = -p / r / (p - 1.0)**2
- var = mu2p - mu*mu
- mu3p = -p / r * (1.0+p) / (1.0 - p)**3
- mu3 = mu3p - 3*mu*mu2p + 2*mu**3
- g1 = mu3 / np.power(var, 1.5)
- mu4p = -p / r * (
- 1.0 / (p-1)**2 - 6*p / (p - 1)**3 + 6*p*p / (p-1)**4)
- mu4 = mu4p - 4*mu3p*mu + 6*mu2p*mu*mu - 3*mu**4
- g2 = mu4 / var**2 - 3.0
- return mu, var, g1, g2
- logser = logser_gen(a=1, name='logser', longname='A logarithmic')
- class poisson_gen(rv_discrete):
- r"""A Poisson discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `poisson` is:
- .. math::
- f(k) = \exp(-\mu) \frac{\mu^k}{k!}
- for :math:`k \ge 0`.
- `poisson` takes :math:`\mu \geq 0` as shape parameter.
- When :math:`\mu = 0`, the ``pmf`` method
- returns ``1.0`` at quantile :math:`k = 0`.
- %(after_notes)s
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("mu", False, (0, np.inf), (True, False))]
- # Override rv_discrete._argcheck to allow mu=0.
- def _argcheck(self, mu):
- return mu >= 0
- def _rvs(self, mu, size=None, random_state=None):
- return random_state.poisson(mu, size)
- def _logpmf(self, k, mu):
- Pk = special.xlogy(k, mu) - gamln(k + 1) - mu
- return Pk
- def _pmf(self, k, mu):
- # poisson.pmf(k) = exp(-mu) * mu**k / k!
- return exp(self._logpmf(k, mu))
- def _cdf(self, x, mu):
- k = floor(x)
- return special.pdtr(k, mu)
- def _sf(self, x, mu):
- k = floor(x)
- return special.pdtrc(k, mu)
- def _ppf(self, q, mu):
- vals = ceil(special.pdtrik(q, mu))
- vals1 = np.maximum(vals - 1, 0)
- temp = special.pdtr(vals1, mu)
- return np.where(temp >= q, vals1, vals)
- def _stats(self, mu):
- var = mu
- tmp = np.asarray(mu)
- mu_nonzero = tmp > 0
- g1 = xpx.apply_where(mu_nonzero, tmp, lambda x: sqrt(1.0/x), fill_value=np.inf)
- g2 = xpx.apply_where(mu_nonzero, tmp, lambda x: 1.0/x, fill_value=np.inf)
- return mu, var, g1, g2
- poisson = poisson_gen(name="poisson", longname='A Poisson')
- class planck_gen(rv_discrete):
- r"""A Planck discrete exponential random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `planck` is:
- .. math::
- f(k) = (1-\exp(-\lambda)) \exp(-\lambda k)
- for :math:`k \ge 0` and :math:`\lambda > 0`.
- `planck` takes :math:`\lambda` as shape parameter. The Planck distribution
- can be written as a geometric distribution (`geom`) with
- :math:`p = 1 - \exp(-\lambda)` shifted by ``loc = -1``.
- %(after_notes)s
- See Also
- --------
- geom
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("lambda_", False, (0, np.inf), (False, False))]
- def _argcheck(self, lambda_):
- return lambda_ > 0
- def _pmf(self, k, lambda_):
- return -expm1(-lambda_)*exp(-lambda_*k)
- def _cdf(self, x, lambda_):
- k = floor(x)
- return -expm1(-lambda_*(k+1))
- def _sf(self, x, lambda_):
- return exp(self._logsf(x, lambda_))
- def _logsf(self, x, lambda_):
- k = floor(x)
- return -lambda_*(k+1)
- def _ppf(self, q, lambda_):
- vals = ceil(-1.0/lambda_ * log1p(-q)-1)
- vals1 = (vals-1).clip(*(self._get_support(lambda_)))
- temp = self._cdf(vals1, lambda_)
- return np.where(temp >= q, vals1, vals)
- def _rvs(self, lambda_, size=None, random_state=None):
- # use relation to geometric distribution for sampling
- p = -expm1(-lambda_)
- return random_state.geometric(p, size=size) - 1.0
- def _stats(self, lambda_):
- mu = 1/expm1(lambda_)
- var = exp(-lambda_)/(expm1(-lambda_))**2
- g1 = 2*cosh(lambda_/2.0)
- g2 = 4+2*cosh(lambda_)
- return mu, var, g1, g2
- def _entropy(self, lambda_):
- C = -expm1(-lambda_)
- return lambda_*exp(-lambda_)/C - log(C)
- planck = planck_gen(a=0, name='planck', longname='A discrete exponential ')
- class boltzmann_gen(rv_discrete):
- r"""A Boltzmann (Truncated Discrete Exponential) random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `boltzmann` is:
- .. math::
- f(k) = (1-\exp(-\lambda)) \exp(-\lambda k) / (1-\exp(-\lambda N))
- for :math:`k = 0,..., N-1`.
- `boltzmann` takes :math:`\lambda > 0` and :math:`N > 0` as shape parameters.
- %(after_notes)s
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("lambda_", False, (0, np.inf), (False, False)),
- _ShapeInfo("N", True, (0, np.inf), (False, False))]
- def _argcheck(self, lambda_, N):
- return (lambda_ > 0) & (N > 0) & _isintegral(N)
- def _get_support(self, lambda_, N):
- return self.a, N - 1
- def _pmf(self, k, lambda_, N):
- # boltzmann.pmf(k) =
- # (1-exp(-lambda_)*exp(-lambda_*k)/(1-exp(-lambda_*N))
- fact = (1-exp(-lambda_))/(1-exp(-lambda_*N))
- return fact*exp(-lambda_*k)
- def _cdf(self, x, lambda_, N):
- k = floor(x)
- return (1-exp(-lambda_*(k+1)))/(1-exp(-lambda_*N))
- def _ppf(self, q, lambda_, N):
- qnew = q*(1-exp(-lambda_*N))
- vals = ceil(-1.0/lambda_ * log(1-qnew)-1)
- vals1 = (vals-1).clip(0.0, np.inf)
- temp = self._cdf(vals1, lambda_, N)
- return np.where(temp >= q, vals1, vals)
- def _stats(self, lambda_, N):
- z = exp(-lambda_)
- zN = exp(-lambda_*N)
- mu = z/(1.0-z)-N*zN/(1-zN)
- var = z/(1.0-z)**2 - N*N*zN/(1-zN)**2
- trm = (1-zN)/(1-z)
- trm2 = (z*trm**2 - N*N*zN)
- g1 = z*(1+z)*trm**3 - N**3*zN*(1+zN)
- g1 = g1 / trm2**(1.5)
- g2 = z*(1+4*z+z*z)*trm**4 - N**4 * zN*(1+4*zN+zN*zN)
- g2 = g2 / trm2 / trm2
- return mu, var, g1, g2
- boltzmann = boltzmann_gen(name='boltzmann', a=0,
- longname='A truncated discrete exponential ')
- class randint_gen(rv_discrete):
- r"""A uniform discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `randint` is:
- .. math::
- f(k) = \frac{1}{\texttt{high} - \texttt{low}}
- for :math:`k \in \{\texttt{low}, \dots, \texttt{high} - 1\}`.
- `randint` takes :math:`\texttt{low}` and :math:`\texttt{high}` as shape
- parameters.
- %(after_notes)s
- Examples
- --------
- >>> import numpy as np
- >>> from scipy.stats import randint
- >>> import matplotlib.pyplot as plt
- >>> fig, ax = plt.subplots(1, 1)
- Calculate the first four moments:
- >>> low, high = 7, 31
- >>> mean, var, skew, kurt = randint.stats(low, high, moments='mvsk')
- Display the probability mass function (``pmf``):
- >>> x = np.arange(low - 5, high + 5)
- >>> ax.plot(x, randint.pmf(x, low, high), 'bo', ms=8, label='randint pmf')
- >>> ax.vlines(x, 0, randint.pmf(x, low, high), colors='b', lw=5, alpha=0.5)
- Alternatively, the distribution object can be called (as a function) to
- fix the shape and location. This returns a "frozen" RV object holding the
- given parameters fixed.
- Freeze the distribution and display the frozen ``pmf``:
- >>> rv = randint(low, high)
- >>> ax.vlines(x, 0, rv.pmf(x), colors='k', linestyles='-',
- ... lw=1, label='frozen pmf')
- >>> ax.legend(loc='lower center')
- >>> plt.show()
- Check the relationship between the cumulative distribution function
- (``cdf``) and its inverse, the percent point function (``ppf``):
- >>> q = np.arange(low, high)
- >>> p = randint.cdf(q, low, high)
- >>> np.allclose(q, randint.ppf(p, low, high))
- True
- Generate random numbers:
- >>> r = randint.rvs(low, high, size=1000)
- """
- def _shape_info(self):
- return [_ShapeInfo("low", True, (-np.inf, np.inf), (False, False)),
- _ShapeInfo("high", True, (-np.inf, np.inf), (False, False))]
- def _argcheck(self, low, high):
- return (high > low) & _isintegral(low) & _isintegral(high)
- def _get_support(self, low, high):
- return low, high-1
- def _pmf(self, k, low, high):
- # randint.pmf(k) = 1./(high - low)
- p = np.ones_like(k) / (np.asarray(high, dtype=np.int64) - low)
- return np.where((k >= low) & (k < high), p, 0.)
- def _cdf(self, x, low, high):
- k = floor(x)
- return (k - low + 1.) / (high - low)
- def _ppf(self, q, low, high):
- vals = ceil(q * (high - low) + low) - 1
- vals1 = (vals - 1).clip(low, high)
- temp = self._cdf(vals1, low, high)
- return np.where(temp >= q, vals1, vals)
- def _stats(self, low, high):
- m2, m1 = np.asarray(high), np.asarray(low)
- mu = (m2 + m1 - 1.0) / 2
- d = m2 - m1
- var = (d*d - 1) / 12.0
- g1 = 0.0
- g2 = -6.0/5.0 * (d*d + 1.0) / (d*d - 1.0)
- return mu, var, g1, g2
- def _rvs(self, low, high, size=None, random_state=None):
- """An array of *size* random integers >= ``low`` and < ``high``."""
- if np.asarray(low).size == 1 and np.asarray(high).size == 1:
- # no need to vectorize in that case
- return rng_integers(random_state, low, high, size=size)
- if size is not None:
- # NumPy's RandomState.randint() doesn't broadcast its arguments.
- # Use `broadcast_to()` to extend the shapes of low and high
- # up to size. Then we can use the numpy.vectorize'd
- # randint without needing to pass it a `size` argument.
- low = np.broadcast_to(low, size)
- high = np.broadcast_to(high, size)
- randint = np.vectorize(partial(rng_integers, random_state),
- otypes=[np.dtype(int)])
- return randint(low, high)
- def _entropy(self, low, high):
- return log(high - low)
- randint = randint_gen(name='randint', longname='A discrete uniform '
- '(random integer)')
- # FIXME: problems sampling.
- class zipf_gen(rv_discrete):
- r"""A Zipf (Zeta) discrete random variable.
- %(before_notes)s
- See Also
- --------
- zipfian
- Notes
- -----
- The probability mass function for `zipf` is:
- .. math::
- f(k, a) = \frac{1}{\zeta(a) k^a}
- for :math:`k \ge 1`, :math:`a > 1`.
- `zipf` takes :math:`a > 1` as shape parameter. :math:`\zeta` is the
- Riemann zeta function (`scipy.special.zeta`)
- The Zipf distribution is also known as the zeta distribution, which is
- a special case of the Zipfian distribution (`zipfian`).
- %(after_notes)s
- References
- ----------
- .. [1] "Zeta Distribution", Wikipedia,
- https://en.wikipedia.org/wiki/Zeta_distribution
- %(example)s
- Confirm that `zipf` is the large `n` limit of `zipfian`.
- >>> import numpy as np
- >>> from scipy.stats import zipf, zipfian
- >>> k = np.arange(11)
- >>> np.allclose(zipf.pmf(k, a), zipfian.pmf(k, a, n=10000000))
- True
- """
- def _shape_info(self):
- return [_ShapeInfo("a", False, (1, np.inf), (False, False))]
- def _rvs(self, a, size=None, random_state=None):
- return random_state.zipf(a, size=size)
- def _argcheck(self, a):
- return a > 1
- def _pmf(self, k, a):
- k = k.astype(np.float64)
- # zipf.pmf(k, a) = 1/(zeta(a) * k**a)
- Pk = 1.0 / special.zeta(a, 1) * k**-a
- return Pk
- def _munp(self, n, a):
- return xpx.apply_where(
- a > n + 1, (a, n),
- lambda a, n: special.zeta(a - n, 1) / special.zeta(a, 1),
- fill_value=np.inf)
- zipf = zipf_gen(a=1, name='zipf', longname='A Zipf')
- class zipfian_gen(rv_discrete):
- r"""A Zipfian discrete random variable.
- %(before_notes)s
- See Also
- --------
- zipf
- Notes
- -----
- The probability mass function for `zipfian` is:
- .. math::
- f(k, a, n) = \frac{1}{H_{n,a} k^a}
- for :math:`k \in \{1, 2, \dots, n-1, n\}`, :math:`a \ge 0`,
- :math:`n \in \{1, 2, 3, \dots\}`.
- `zipfian` takes :math:`a` and :math:`n` as shape parameters.
- :math:`H_{n,a}` is the :math:`n`:sup:`th` generalized harmonic
- number of order :math:`a`.
- The SciPy implementation of this distribution requires :math:`1 \le n \le 2^{53}`.
- For larger values of :math:`n`, the `zipfian` methods (`pmf`, `cdf`, `mean`, etc.)
- will return `nan`.
- When :math:`a > 1`, the Zipfian distribution reduces to the Zipf (zeta)
- distribution as :math:`n \rightarrow \infty`.
- %(after_notes)s
- References
- ----------
- .. [1] "Zipf's Law", Wikipedia, https://en.wikipedia.org/wiki/Zipf's_law
- .. [2] Larry Leemis, "Zipf Distribution", Univariate Distribution
- Relationships. http://www.math.wm.edu/~leemis/chart/UDR/PDFs/Zipf.pdf
- %(example)s
- Confirm that `zipfian` reduces to `zipf` for large `n`, ``a > 1``.
- >>> import numpy as np
- >>> from scipy.stats import zipf, zipfian
- >>> k = np.arange(11)
- >>> np.allclose(zipfian.pmf(k, a=3.5, n=10000000), zipf.pmf(k, a=3.5))
- True
- """
- def _shape_info(self):
- return [_ShapeInfo("a", False, (0, np.inf), (True, False)),
- _ShapeInfo("n", True, (0, np.inf), (False, False))]
- def _argcheck(self, a, n):
- # The upper bound on n is for practical numerical reasons. The numerical
- # methods for computing the PMF, CDF and SF involve sums over range(1, n+1)
- # when a <= 1, so there is no way they can be computed for extremely large
- # n--even 2**53 is ridiculously large for those calculations. The bound is
- # also required to ensure that the loops compute the sums correctly when
- # the inputs are double precision instead of integers.
- #
- # n may be an integer or a float, but the value must be an integer in the
- # range 1 <= n <= 2**53. The expression below clips n to the accepted range
- # before attempting to cast to integer to avoid warnings generated by an
- # input such as n=1e100. The extra `np.asarray()` wrapper avoids the error
- # that arises with an input such as `n=2**100`.
- return ((a >= 0) &
- (n == np.asarray(np.clip(n, 1, 2**53)).astype(dtype=np.int64)))
- def _get_support(self, a, n):
- return 1, np.floor(n)
- def _pmf(self, k, a, n):
- k = np.floor(k)
- n = np.floor(n)
- return scu._normalized_gen_harmonic(k, k, n, a)
- def _cdf(self, k, a, n):
- k = np.floor(k)
- n = np.floor(n)
- return scu._normalized_gen_harmonic(1, k, n, a)
- def _sf(self, k, a, n):
- k = np.floor(k)
- n = np.floor(n)
- return scu._normalized_gen_harmonic(k + 1, n, n, a)
- def _stats(self, a, n):
- n = np.floor(n)
- # see http://www.math.wm.edu/~leemis/chart/UDR/PDFs/Zipf.pdf
- Hna = scu._gen_harmonic(n, a)
- Hna1 = scu._gen_harmonic(n, a-1)
- Hna2 = scu._gen_harmonic(n, a-2)
- Hna3 = scu._gen_harmonic(n, a-3)
- Hna4 = scu._gen_harmonic(n, a-4)
- mu1 = Hna1/Hna
- mu2n = (Hna2*Hna - Hna1**2)
- mu2d = Hna**2
- mu2 = mu2n / mu2d
- g1 = (Hna3/Hna - 3*Hna1*Hna2/Hna**2 + 2*Hna1**3/Hna**3)/mu2**(3/2)
- g2 = (Hna**3*Hna4 - 4*Hna**2*Hna1*Hna3 + 6*Hna*Hna1**2*Hna2
- - 3*Hna1**4) / mu2n**2
- g2 -= 3
- return mu1, mu2, g1, g2
- zipfian = zipfian_gen(a=1, name='zipfian', longname='A Zipfian')
- class dlaplace_gen(rv_discrete):
- r"""A Laplacian discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for `dlaplace` is:
- .. math::
- f(k) = \tanh(a/2) \exp(-a |k|)
- for integers :math:`k` and :math:`a > 0`.
- `dlaplace` takes :math:`a` as shape parameter.
- %(after_notes)s
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("a", False, (0, np.inf), (False, False))]
- def _pmf(self, k, a):
- # dlaplace.pmf(k) = tanh(a/2) * exp(-a*abs(k))
- return tanh(a/2.0) * exp(-a * abs(k))
- def _cdf(self, x, a):
- k = floor(x)
- def f1(k, a):
- return 1.0 - exp(-a * k) / (exp(a) + 1)
- def f2(k, a):
- return exp(a * (k + 1)) / (exp(a) + 1)
- return xpx.apply_where(k >= 0, (k, a), f1, f2)
- def _ppf(self, q, a):
- const = 1 + exp(a)
- vals = ceil(np.where(q < 1.0 / (1 + exp(-a)),
- log(q*const) / a - 1,
- -log((1-q) * const) / a))
- vals1 = vals - 1
- return np.where(self._cdf(vals1, a) >= q, vals1, vals)
- def _stats(self, a):
- ea = exp(a)
- mu2 = 2.*ea/(ea-1.)**2
- mu4 = 2.*ea*(ea**2+10.*ea+1.) / (ea-1.)**4
- return 0., mu2, 0., mu4/mu2**2 - 3.
- def _entropy(self, a):
- return a / sinh(a) - log(tanh(a/2.0))
- def _rvs(self, a, size=None, random_state=None):
- # The discrete Laplace is equivalent to the two-sided geometric
- # distribution with PMF:
- # f(k) = (1 - alpha)/(1 + alpha) * alpha^abs(k)
- # Reference:
- # https://www.sciencedirect.com/science/
- # article/abs/pii/S0378375804003519
- # Furthermore, the two-sided geometric distribution is
- # equivalent to the difference between two iid geometric
- # distributions.
- # Reference (page 179):
- # https://pdfs.semanticscholar.org/61b3/
- # b99f466815808fd0d03f5d2791eea8b541a1.pdf
- # Thus, we can leverage the following:
- # 1) alpha = e^-a
- # 2) probability_of_success = 1 - alpha (Bernoulli trial)
- probOfSuccess = -np.expm1(-np.asarray(a))
- x = random_state.geometric(probOfSuccess, size=size)
- y = random_state.geometric(probOfSuccess, size=size)
- return x - y
- dlaplace = dlaplace_gen(a=-np.inf,
- name='dlaplace', longname='A discrete Laplacian')
- class poisson_binom_gen(rv_discrete):
- r"""A Poisson Binomial discrete random variable.
- %(before_notes)s
- See Also
- --------
- binom
- Notes
- -----
- The probability mass function for `poisson_binom` is:
- .. math::
- f(k; p_1, p_2, ..., p_n) = \sum_{A \in F_k} \prod_{i \in A} p_i \prod_{j \in A^C} 1 - p_j
- where :math:`k \in \{0, 1, \dots, n-1, n\}`, :math:`F_k` is the set of all
- subsets of :math:`k` integers that can be selected :math:`\{0, 1, \dots, n-1, n\}`,
- and :math:`A^C` is the complement of a set :math:`A`.
- `poisson_binom` accepts a single array argument ``p`` for shape parameters
- :math:`0 ≤ p_i ≤ 1`, where the last axis corresponds with the index :math:`i` and
- any others are for batch dimensions. Broadcasting behaves according to the usual
- rules except that the last axis of ``p`` is ignored. Instances of this class do
- not support serialization/unserialization.
- %(after_notes)s
- References
- ----------
- .. [1] "Poisson binomial distribution", Wikipedia,
- https://en.wikipedia.org/wiki/Poisson_binomial_distribution
- .. [2] Biscarri, William, Sihai Dave Zhao, and Robert J. Brunner. "A simple and
- fast method for computing the Poisson binomial distribution function".
- Computational Statistics & Data Analysis 122 (2018) 92-100.
- :doi:`10.1016/j.csda.2018.01.007`
- %(example)s
- """ # noqa: E501
- def _shape_info(self):
- # message = 'Fitting is not implemented for this distribution."
- # raise NotImplementedError(message)
- return []
- def _argcheck(self, *args):
- p = np.stack(args, axis=0)
- conds = (0 <= p) & (p <= 1)
- return np.all(conds, axis=0)
- def _rvs(self, *args, size=None, random_state=None):
- # convenient to work along the last axis here to avoid interference with `size`
- p = np.stack(args, axis=-1)
- # Size passed by the user is the *shape of the returned array*, so it won't
- # contain the length of the last axis of p.
- size = (p.shape if size is None else
- (size, 1) if np.isscalar(size) else tuple(size) + (1,))
- size = np.broadcast_shapes(p.shape, size)
- return bernoulli._rvs(p, size=size, random_state=random_state).sum(axis=-1)
- def _get_support(self, *args):
- return 0, len(args)
- def _pmf(self, k, *args):
- k = np.atleast_1d(k).astype(np.int64)
- k, *args = np.broadcast_arrays(k, *args)
- args = np.asarray(args, dtype=np.float64)
- return _poisson_binom(k, args, 'pmf')
- def _cdf(self, k, *args):
- k = np.atleast_1d(k).astype(np.int64)
- k, *args = np.broadcast_arrays(k, *args)
- args = np.asarray(args, dtype=np.float64)
- return _poisson_binom(k, args, 'cdf')
- def _stats(self, *args, **kwds):
- p = np.stack(args, axis=0)
- mean = np.sum(p, axis=0)
- var = np.sum(p * (1-p), axis=0)
- return (mean, var, None, None)
- def __call__(self, *args, **kwds):
- return poisson_binomial_frozen(self, *args, **kwds)
- poisson_binom = poisson_binom_gen(name='poisson_binom', longname='A Poisson binomial',
- shapes='p')
- # The _parse_args methods don't work with vector-valued shape parameters, so we rewrite
- # them. Note that `p` is accepted as an array with the index `i` of `p_i` corresponding
- # with the last axis; we return it as a tuple (p_1, p_2, ..., p_n) so that it looks
- # like `n` scalar (or arrays of scalar-valued) shape parameters to the infrastructure.
- def _parse_args_rvs(self, p, loc=0, size=None):
- return tuple(np.moveaxis(p, -1, 0)), loc, 1.0, size
- def _parse_args_stats(self, p, loc=0, moments='mv'):
- return tuple(np.moveaxis(p, -1, 0)), loc, 1.0, moments
- def _parse_args(self, p, loc=0):
- return tuple(np.moveaxis(p, -1, 0)), loc, 1.0
- # The infrastructure manually binds these methods to the instance, so
- # we can only override them by manually binding them, too.
- _pb_obj, _pb_cls = poisson_binom, poisson_binom_gen # shorter names (for PEP8)
- poisson_binom._parse_args_rvs = _parse_args_rvs.__get__(_pb_obj, _pb_cls)
- poisson_binom._parse_args_stats = _parse_args_stats.__get__(_pb_obj, _pb_cls)
- poisson_binom._parse_args = _parse_args.__get__(_pb_obj, _pb_cls)
- class poisson_binomial_frozen(rv_discrete_frozen):
- # copied from rv_frozen; we just need to bind the `_parse_args` methods
- def __init__(self, dist, *args, **kwds): # verbatim
- self.args = args # verbatim
- self.kwds = kwds # verbatim
- # create a new instance # verbatim
- self.dist = dist.__class__(**dist._updated_ctor_param()) # verbatim
- # Here is the only modification
- self.dist._parse_args_rvs = _parse_args_rvs.__get__(_pb_obj, _pb_cls)
- self.dist._parse_args_stats = _parse_args_stats.__get__(_pb_obj, _pb_cls)
- self.dist._parse_args = _parse_args.__get__(_pb_obj, _pb_cls)
- shapes, _, _ = self.dist._parse_args(*args, **kwds) # verbatim
- self.a, self.b = self.dist._get_support(*shapes) # verbatim
- def expect(self, func=None, lb=None, ub=None, conditional=False, **kwds):
- a, loc, scale = self.dist._parse_args(*self.args, **self.kwds)
- # Here's the modification: we pass all args (including `loc`) into the `args`
- # parameter of `expect` so the shape only goes through `_parse_args` once.
- return self.dist.expect(func, self.args, loc, lb, ub, conditional, **kwds)
- class skellam_gen(rv_discrete):
- r"""A Skellam discrete random variable.
- %(before_notes)s
- Notes
- -----
- Probability distribution of the difference of two correlated or
- uncorrelated Poisson random variables.
- Let :math:`k_1` and :math:`k_2` be two Poisson-distributed r.v. with
- expected values :math:`\lambda_1` and :math:`\lambda_2`. Then,
- :math:`k_1 - k_2` follows a Skellam distribution with parameters
- :math:`\mu_1 = \lambda_1 - \rho \sqrt{\lambda_1 \lambda_2}` and
- :math:`\mu_2 = \lambda_2 - \rho \sqrt{\lambda_1 \lambda_2}`, where
- :math:`\rho` is the correlation coefficient between :math:`k_1` and
- :math:`k_2`. If the two Poisson-distributed r.v. are independent then
- :math:`\rho = 0`.
- Parameters :math:`\mu_1` and :math:`\mu_2` must be strictly positive.
- For details see: https://en.wikipedia.org/wiki/Skellam_distribution
- `skellam` takes :math:`\mu_1` and :math:`\mu_2` as shape parameters.
- %(after_notes)s
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("mu1", False, (0, np.inf), (False, False)),
- _ShapeInfo("mu2", False, (0, np.inf), (False, False))]
- def _rvs(self, mu1, mu2, size=None, random_state=None):
- n = size
- return (random_state.poisson(mu1, n) -
- random_state.poisson(mu2, n))
- def _pmf(self, x, mu1, mu2):
- with np.errstate(over='ignore'): # see gh-17432
- px = np.where(x < 0,
- scu._ncx2_pdf(2*mu2, 2*(1-x), 2*mu1)*2,
- scu._ncx2_pdf(2*mu1, 2*(1+x), 2*mu2)*2)
- # ncx2.pdf() returns nan's for extremely low probabilities
- return px
- def _cdf(self, x, mu1, mu2):
- x = floor(x)
- with np.errstate(over='ignore'): # see gh-17432
- px = np.where(x < 0,
- special.chndtr(2*mu2, -2*x, 2*mu1),
- scu._ncx2_sf(2*mu1, 2*(x+1), 2*mu2))
- return px
- def _stats(self, mu1, mu2):
- mean = mu1 - mu2
- var = mu1 + mu2
- g1 = mean / sqrt((var)**3)
- g2 = 1 / var
- return mean, var, g1, g2
- skellam = skellam_gen(a=-np.inf, name="skellam", longname='A Skellam')
- class yulesimon_gen(rv_discrete):
- r"""A Yule-Simon discrete random variable.
- %(before_notes)s
- Notes
- -----
- The probability mass function for the `yulesimon` is:
- .. math::
- f(k) = \alpha B(k, \alpha+1)
- for :math:`k=1,2,3,...`, where :math:`\alpha>0`.
- Here :math:`B` refers to the `scipy.special.beta` function.
- The sampling of random variates is based on pg 553, Section 6.3 of [1]_.
- Our notation maps to the referenced logic via :math:`\alpha=a-1`.
- For details see the wikipedia entry [2]_.
- References
- ----------
- .. [1] Devroye, Luc. "Non-uniform Random Variate Generation",
- (1986) Springer, New York.
- .. [2] https://en.wikipedia.org/wiki/Yule-Simon_distribution
- %(after_notes)s
- %(example)s
- """
- def _shape_info(self):
- return [_ShapeInfo("alpha", False, (0, np.inf), (False, False))]
- def _rvs(self, alpha, size=None, random_state=None):
- E1 = random_state.standard_exponential(size)
- E2 = random_state.standard_exponential(size)
- ans = ceil(-E1 / log1p(-exp(-E2 / alpha)))
- return ans
- def _pmf(self, x, alpha):
- return alpha * special.beta(x, alpha + 1)
- def _argcheck(self, alpha):
- return (alpha > 0)
- def _logpmf(self, x, alpha):
- return log(alpha) + special.betaln(x, alpha + 1)
- def _cdf(self, x, alpha):
- return 1 - x * special.beta(x, alpha + 1)
- def _sf(self, x, alpha):
- return x * special.beta(x, alpha + 1)
- def _logsf(self, x, alpha):
- return log(x) + special.betaln(x, alpha + 1)
- def _stats(self, alpha):
- mu = np.where(alpha <= 1, np.inf, alpha / (alpha - 1))
- mu2 = np.where(alpha > 2,
- alpha**2 / ((alpha - 2.0) * (alpha - 1)**2),
- np.inf)
- mu2 = np.where(alpha <= 1, np.nan, mu2)
- g1 = np.where(alpha > 3,
- sqrt(alpha - 2) * (alpha + 1)**2 / (alpha * (alpha - 3)),
- np.inf)
- g1 = np.where(alpha <= 2, np.nan, g1)
- g2 = np.where(alpha > 4,
- alpha + 3 + ((11 * alpha**3 - 49 * alpha - 22) /
- (alpha * (alpha - 4) * (alpha - 3))),
- np.inf)
- g2 = np.where(alpha <= 2, np.nan, g2)
- return mu, mu2, g1, g2
- yulesimon = yulesimon_gen(name='yulesimon', a=1)
- class _nchypergeom_gen(rv_discrete):
- r"""A noncentral hypergeometric discrete random variable.
- For subclassing by nchypergeom_fisher_gen and nchypergeom_wallenius_gen.
- """
- rvs_name = None
- dist = None
- def _shape_info(self):
- return [_ShapeInfo("M", True, (0, np.inf), (True, False)),
- _ShapeInfo("n", True, (0, np.inf), (True, False)),
- _ShapeInfo("N", True, (0, np.inf), (True, False)),
- _ShapeInfo("odds", False, (0, np.inf), (False, False))]
- def _get_support(self, M, n, N, odds):
- N, m1, n = M, n, N # follow Wikipedia notation
- m2 = N - m1
- x_min = np.maximum(0, n - m2)
- x_max = np.minimum(n, m1)
- return x_min, x_max
- def _argcheck(self, M, n, N, odds):
- M, n = np.asarray(M), np.asarray(n),
- N, odds = np.asarray(N), np.asarray(odds)
- cond1 = (~np.isnan(M)) & (M.astype(int) == M) & (M >= 0)
- cond2 = (~np.isnan(n)) & (n.astype(int) == n) & (n >= 0)
- cond3 = (~np.isnan(N)) & (N.astype(int) == N) & (N >= 0)
- cond4 = odds > 0
- cond5 = N <= M
- cond6 = n <= M
- return cond1 & cond2 & cond3 & cond4 & cond5 & cond6
- def _rvs(self, M, n, N, odds, size=None, random_state=None):
- @_vectorize_rvs_over_shapes
- def _rvs1(M, n, N, odds, size, random_state):
- if np.isnan(M) | np.isnan(n) | np.isnan(N):
- return np.full(size, np.nan)
- length = np.prod(size)
- urn = _PyStochasticLib3()
- rv_gen = getattr(urn, self.rvs_name)
- rvs = rv_gen(N, n, M, odds, length, random_state)
- rvs = rvs.reshape(size)
- return rvs
- return _rvs1(M, n, N, odds, size=size, random_state=random_state)
- def _pmf(self, x, M, n, N, odds):
- x, M, n, N, odds = np.broadcast_arrays(x, M, n, N, odds)
- if x.size == 0: # np.vectorize doesn't work with zero size input
- return np.empty_like(x)
- @np.vectorize
- def _pmf1(x, M, n, N, odds):
- if np.isnan(x) | np.isnan(M) | np.isnan(n) | np.isnan(N):
- return np.nan
- urn = self.dist(N, n, M, odds, 1e-12)
- return urn.probability(x)
- return _pmf1(x, M, n, N, odds)
- def _stats(self, M, n, N, odds, moments='mv'):
- @np.vectorize
- def _moments1(M, n, N, odds):
- if np.isnan(M) | np.isnan(n) | np.isnan(N):
- return np.nan, np.nan
- urn = self.dist(N, n, M, odds, 1e-12)
- return urn.moments()
- m, v = (_moments1(M, n, N, odds) if ("m" in moments or "v" in moments)
- else (None, None))
- s, k = None, None
- return m, v, s, k
- class nchypergeom_fisher_gen(_nchypergeom_gen):
- r"""A Fisher's noncentral hypergeometric discrete random variable.
- Fisher's noncentral hypergeometric distribution models drawing objects of
- two types from a bin. `M` is the total number of objects, `n` is the
- number of Type I objects, and `odds` is the odds ratio: the odds of
- selecting a Type I object rather than a Type II object when there is only
- one object of each type.
- The random variate represents the number of Type I objects drawn if we
- take a handful of objects from the bin at once and find out afterwards
- that we took `N` objects.
- %(before_notes)s
- See Also
- --------
- nchypergeom_wallenius, hypergeom, nhypergeom
- Notes
- -----
- Let mathematical symbols :math:`N`, :math:`n`, and :math:`M` correspond
- with parameters `N`, `n`, and `M` (respectively) as defined above.
- The probability mass function is defined as
- .. math::
- p(x; M, n, N, \omega) =
- \frac{\binom{n}{x}\binom{M - n}{N-x}\omega^x}{P_0},
- for
- :math:`x \in [x_l, x_u]`,
- :math:`M \in {\mathbb N}`,
- :math:`n \in [0, M]`,
- :math:`N \in [0, M]`,
- :math:`\omega > 0`,
- where
- :math:`x_l = \max(0, N - (M - n))`,
- :math:`x_u = \min(N, n)`,
- .. math::
- P_0 = \sum_{y=x_l}^{x_u} \binom{n}{y}\binom{M - n}{N-y}\omega^y,
- and the binomial coefficients are defined as
- .. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}.
- `nchypergeom_fisher` uses the BiasedUrn package by Agner Fog with
- permission for it to be distributed under SciPy's license.
- The symbols used to denote the shape parameters (`N`, `n`, and `M`) are not
- universally accepted; they are chosen for consistency with `hypergeom`.
- Note that Fisher's noncentral hypergeometric distribution is distinct
- from Wallenius' noncentral hypergeometric distribution, which models
- drawing a pre-determined `N` objects from a bin one by one.
- When the odds ratio is unity, however, both distributions reduce to the
- ordinary hypergeometric distribution.
- %(after_notes)s
- References
- ----------
- .. [1] Agner Fog, "Biased Urn Theory".
- https://cran.r-project.org/web/packages/BiasedUrn/vignettes/UrnTheory.pdf
- .. [2] "Fisher's noncentral hypergeometric distribution", Wikipedia,
- https://en.wikipedia.org/wiki/Fisher's_noncentral_hypergeometric_distribution
- %(example)s
- """
- rvs_name = "rvs_fisher"
- dist = _PyFishersNCHypergeometric
- nchypergeom_fisher = nchypergeom_fisher_gen(
- name='nchypergeom_fisher',
- longname="A Fisher's noncentral hypergeometric")
- class nchypergeom_wallenius_gen(_nchypergeom_gen):
- r"""A Wallenius' noncentral hypergeometric discrete random variable.
- Wallenius' noncentral hypergeometric distribution models drawing objects of
- two types from a bin. `M` is the total number of objects, `n` is the
- number of Type I objects, and `odds` is the odds ratio: the odds of
- selecting a Type I object rather than a Type II object when there is only
- one object of each type.
- The random variate represents the number of Type I objects drawn if we
- draw a pre-determined `N` objects from a bin one by one.
- %(before_notes)s
- See Also
- --------
- nchypergeom_fisher, hypergeom, nhypergeom
- Notes
- -----
- Let mathematical symbols :math:`N`, :math:`n`, and :math:`M` correspond
- with parameters `N`, `n`, and `M` (respectively) as defined above.
- The probability mass function is defined as
- .. math::
- p(x; N, n, M) = \binom{n}{x} \binom{M - n}{N-x}
- \int_0^1 \left(1-t^{\omega/D}\right)^x\left(1-t^{1/D}\right)^{N-x} dt
- for
- :math:`x \in [x_l, x_u]`,
- :math:`M \in {\mathbb N}`,
- :math:`n \in [0, M]`,
- :math:`N \in [0, M]`,
- :math:`\omega > 0`,
- where
- :math:`x_l = \max(0, N - (M - n))`,
- :math:`x_u = \min(N, n)`,
- .. math::
- D = \omega(n - x) + ((M - n)-(N-x)),
- and the binomial coefficients are defined as
- .. math:: \binom{n}{k} \equiv \frac{n!}{k! (n - k)!}.
- `nchypergeom_wallenius` uses the BiasedUrn package by Agner Fog with
- permission for it to be distributed under SciPy's license.
- The symbols used to denote the shape parameters (`N`, `n`, and `M`) are not
- universally accepted; they are chosen for consistency with `hypergeom`.
- Note that Wallenius' noncentral hypergeometric distribution is distinct
- from Fisher's noncentral hypergeometric distribution, which models
- take a handful of objects from the bin at once, finding out afterwards
- that `N` objects were taken.
- When the odds ratio is unity, however, both distributions reduce to the
- ordinary hypergeometric distribution.
- %(after_notes)s
- References
- ----------
- .. [1] Agner Fog, "Biased Urn Theory".
- https://cran.r-project.org/web/packages/BiasedUrn/vignettes/UrnTheory.pdf
- .. [2] "Wallenius' noncentral hypergeometric distribution", Wikipedia,
- https://en.wikipedia.org/wiki/Wallenius'_noncentral_hypergeometric_distribution
- %(example)s
- """
- rvs_name = "rvs_wallenius"
- dist = _PyWalleniusNCHypergeometric
- nchypergeom_wallenius = nchypergeom_wallenius_gen(
- name='nchypergeom_wallenius',
- longname="A Wallenius' noncentral hypergeometric")
- # Collect names of classes and objects in this module.
- pairs = list(globals().copy().items())
- _distn_names, _distn_gen_names = get_distribution_names(pairs, rv_discrete)
- __all__ = _distn_names + _distn_gen_names
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