"""
Continuous Random Variables - Prebuilt variables
Contains
========
Arcsin
Benini
Beta
BetaPrime
Cauchy
Chi
ChiNoncentral
ChiSquared
Dagum
Erlang
Exponential
FDistribution
FisherZ
Frechet
Gamma
GammaInverse
Gompertz
Kumaraswamy
Laplace
Logistic
LogNormal
Maxwell
Nakagami
Normal
Pareto
QuadraticU
RaisedCosine
Rayleigh
ShiftedGompertz
StudentT
Triangular
Uniform
UniformSum
VonMises
Weibull
WignerSemicircle
"""
from __future__ import print_function, division
from sympy import (log, sqrt, pi, S, Dummy, Interval, sympify, gamma,
Piecewise, And, Eq, binomial, factorial, Sum, floor, Abs,
Lambda, Basic)
from sympy import beta as beta_fn
from sympy import cos, exp, besseli
from sympy.stats.crv import (SingleContinuousPSpace, SingleContinuousDistribution,
ContinuousDistributionHandmade)
from sympy.stats.rv import _value_check
import random
oo = S.Infinity
__all__ = ['ContinuousRV',
'Arcsin',
'Benini',
'Beta',
'BetaPrime',
'Cauchy',
'Chi',
'ChiNoncentral',
'ChiSquared',
'Dagum',
'Erlang',
'Exponential',
'FDistribution',
'FisherZ',
'Frechet',
'Gamma',
'GammaInverse',
'Gompertz',
'Kumaraswamy',
'Laplace',
'Logistic',
'LogNormal',
'Maxwell',
'Nakagami',
'Normal',
'Pareto',
'QuadraticU',
'RaisedCosine',
'Rayleigh',
'StudentT',
'ShiftedGompertz',
'Triangular',
'Uniform',
'UniformSum',
'VonMises',
'Weibull',
'WignerSemicircle'
]
[docs]def ContinuousRV(symbol, density, set=Interval(-oo, oo)):
"""
Create a Continuous Random Variable given the following:
-- a symbol
-- a probability density function
-- set on which the pdf is valid (defaults to entire real line)
Returns a RandomSymbol.
Many common continuous random variable types are already implemented.
This function should be necessary only very rarely.
Examples
========
>>> from sympy import Symbol, sqrt, exp, pi
>>> from sympy.stats import ContinuousRV, P, E
>>> x = Symbol("x")
>>> pdf = sqrt(2)*exp(-x**2/2)/(2*sqrt(pi)) # Normal distribution
>>> X = ContinuousRV(x, pdf)
>>> E(X)
0
>>> P(X>0)
1/2
"""
pdf = Lambda(symbol, density)
dist = ContinuousDistributionHandmade(pdf, set)
return SingleContinuousPSpace(symbol, dist).value
def rv(symbol, cls, args):
args = list(map(sympify, args))
dist = cls(*args)
dist.check(*args)
return SingleContinuousPSpace(symbol, dist).value
########################################
# Continuous Probability Distributions #
########################################
#-------------------------------------------------------------------------------
# Arcsin distribution ----------------------------------------------------------
class ArcsinDistribution(SingleContinuousDistribution):
_argnames = ('a', 'b')
def pdf(self, x):
return 1/(pi*sqrt((x - self.a)*(self.b - x)))
[docs]def Arcsin(name, a=0, b=1):
r"""
Create a Continuous Random Variable with an arcsin distribution.
The density of the arcsin distribution is given by
.. math::
f(x) := \frac{1}{\pi\sqrt{(x-a)(b-x)}}
with :math:`x \in [a,b]`. It must hold that :math:`-\infty < a < b < \infty`.
Parameters
==========
a : Real number, the left interval boundary
b : Real number, the right interval boundary
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Arcsin, density
>>> from sympy import Symbol, simplify
>>> a = Symbol("a", real=True)
>>> b = Symbol("b", real=True)
>>> z = Symbol("z")
>>> X = Arcsin("x", a, b)
>>> density(X)(z)
1/(pi*sqrt((-a + z)*(b - z)))
References
==========
.. [1] http://en.wikipedia.org/wiki/Arcsine_distribution
"""
return rv(name, ArcsinDistribution, (a, b))
#-------------------------------------------------------------------------------
# Benini distribution ----------------------------------------------------------
class BeniniDistribution(SingleContinuousDistribution):
_argnames = ('alpha', 'beta', 'sigma')
@property
def set(self):
return Interval(self.sigma, oo)
def pdf(self, x):
alpha, beta, sigma = self.alpha, self.beta, self.sigma
return (exp(-alpha*log(x/sigma) - beta*log(x/sigma)**2)
*(alpha/x + 2*beta*log(x/sigma)/x))
[docs]def Benini(name, alpha, beta, sigma):
r"""
Create a Continuous Random Variable with a Benini distribution.
The density of the Benini distribution is given by
.. math::
f(x) := e^{-\alpha\log{\frac{x}{\sigma}}
-\beta\log^2\left[{\frac{x}{\sigma}}\right]}
\left(\frac{\alpha}{x}+\frac{2\beta\log{\frac{x}{\sigma}}}{x}\right)
This is a heavy-tailed distrubtion and is also known as the log-Rayleigh
distribution.
Parameters
==========
alpha : Real number, `\alpha > 0`, a shape
beta : Real number, `\beta > 0`, a shape
sigma : Real number, `\sigma > 0`, a scale
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Benini, density
>>> from sympy import Symbol, simplify, pprint
>>> alpha = Symbol("alpha", positive=True)
>>> beta = Symbol("beta", positive=True)
>>> sigma = Symbol("sigma", positive=True)
>>> z = Symbol("z")
>>> X = Benini("x", alpha, beta, sigma)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
/ / z \\ / z \ 2/ z \
| 2*beta*log|-----|| - alpha*log|-----| - beta*log |-----|
|alpha \sigma/| \sigma/ \sigma/
|----- + -----------------|*e
\ z z /
References
==========
.. [1] http://en.wikipedia.org/wiki/Benini_distribution
.. [2] http://reference.wolfram.com/legacy/v8/ref/BeniniDistribution.html
"""
return rv(name, BeniniDistribution, (alpha, beta, sigma))
#-------------------------------------------------------------------------------
# Beta distribution ------------------------------------------------------------
class BetaDistribution(SingleContinuousDistribution):
_argnames = ('alpha', 'beta')
set = Interval(0, 1)
@staticmethod
def check(alpha, beta):
_value_check(alpha > 0, "Alpha must be positive")
_value_check(beta > 0, "Beta must be positive")
def pdf(self, x):
alpha, beta = self.alpha, self.beta
return x**(alpha - 1) * (1 - x)**(beta - 1) / beta_fn(alpha, beta)
def sample(self):
return random.betavariate(self.alpha, self.beta)
[docs]def Beta(name, alpha, beta):
r"""
Create a Continuous Random Variable with a Beta distribution.
The density of the Beta distribution is given by
.. math::
f(x) := \frac{x^{\alpha-1}(1-x)^{\beta-1}} {\mathrm{B}(\alpha,\beta)}
with :math:`x \in [0,1]`.
Parameters
==========
alpha : Real number, `\alpha > 0`, a shape
beta : Real number, `\beta > 0`, a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Beta, density, E, variance
>>> from sympy import Symbol, simplify, pprint, expand_func
>>> alpha = Symbol("alpha", positive=True)
>>> beta = Symbol("beta", positive=True)
>>> z = Symbol("z")
>>> X = Beta("x", alpha, beta)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
alpha - 1 beta - 1
z *(-z + 1)
---------------------------
beta(alpha, beta)
>>> expand_func(simplify(E(X, meijerg=True)))
alpha/(alpha + beta)
>>> simplify(variance(X, meijerg=True)) #doctest: +SKIP
alpha*beta/((alpha + beta)**2*(alpha + beta + 1))
References
==========
.. [1] http://en.wikipedia.org/wiki/Beta_distribution
.. [2] http://mathworld.wolfram.com/BetaDistribution.html
"""
return rv(name, BetaDistribution, (alpha, beta))
#-------------------------------------------------------------------------------
# Beta prime distribution ------------------------------------------------------
class BetaPrimeDistribution(SingleContinuousDistribution):
_argnames = ('alpha', 'beta')
set = Interval(0, oo)
def pdf(self, x):
alpha, beta = self.alpha, self.beta
return x**(alpha - 1)*(1 + x)**(-alpha - beta)/beta_fn(alpha, beta)
[docs]def BetaPrime(name, alpha, beta):
r"""
Create a continuous random variable with a Beta prime distribution.
The density of the Beta prime distribution is given by
.. math::
f(x) := \frac{x^{\alpha-1} (1+x)^{-\alpha -\beta}}{B(\alpha,\beta)}
with :math:`x > 0`.
Parameters
==========
alpha : Real number, `\alpha > 0`, a shape
beta : Real number, `\beta > 0`, a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import BetaPrime, density
>>> from sympy import Symbol, pprint
>>> alpha = Symbol("alpha", positive=True)
>>> beta = Symbol("beta", positive=True)
>>> z = Symbol("z")
>>> X = BetaPrime("x", alpha, beta)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
alpha - 1 -alpha - beta
z *(z + 1)
-------------------------------
beta(alpha, beta)
References
==========
.. [1] http://en.wikipedia.org/wiki/Beta_prime_distribution
.. [2] http://mathworld.wolfram.com/BetaPrimeDistribution.html
"""
return rv(name, BetaPrimeDistribution, (alpha, beta))
#-------------------------------------------------------------------------------
# Cauchy distribution ----------------------------------------------------------
class CauchyDistribution(SingleContinuousDistribution):
_argnames = ('x0', 'gamma')
def pdf(self, x):
return 1/(pi*self.gamma*(1 + ((x - self.x0)/self.gamma)**2))
[docs]def Cauchy(name, x0, gamma):
r"""
Create a continuous random variable with a Cauchy distribution.
The density of the Cauchy distribution is given by
.. math::
f(x) := \frac{1}{\pi} \arctan\left(\frac{x-x_0}{\gamma}\right)
+\frac{1}{2}
Parameters
==========
x0 : Real number, the location
gamma : Real number, `\gamma > 0`, the scale
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Cauchy, density
>>> from sympy import Symbol
>>> x0 = Symbol("x0")
>>> gamma = Symbol("gamma", positive=True)
>>> z = Symbol("z")
>>> X = Cauchy("x", x0, gamma)
>>> density(X)(z)
1/(pi*gamma*(1 + (-x0 + z)**2/gamma**2))
References
==========
.. [1] http://en.wikipedia.org/wiki/Cauchy_distribution
.. [2] http://mathworld.wolfram.com/CauchyDistribution.html
"""
return rv(name, CauchyDistribution, (x0, gamma))
#-------------------------------------------------------------------------------
# Chi distribution -------------------------------------------------------------
class ChiDistribution(SingleContinuousDistribution):
_argnames = ('k',)
set = Interval(0, oo)
def pdf(self, x):
return 2**(1 - self.k/2)*x**(self.k - 1)*exp(-x**2/2)/gamma(self.k/2)
[docs]def Chi(name, k):
r"""
Create a continuous random variable with a Chi distribution.
The density of the Chi distribution is given by
.. math::
f(x) := \frac{2^{1-k/2}x^{k-1}e^{-x^2/2}}{\Gamma(k/2)}
with :math:`x \geq 0`.
Parameters
==========
k : A positive Integer, `k > 0`, the number of degrees of freedom
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Chi, density, E, std
>>> from sympy import Symbol, simplify
>>> k = Symbol("k", integer=True)
>>> z = Symbol("z")
>>> X = Chi("x", k)
>>> density(X)(z)
2**(-k/2 + 1)*z**(k - 1)*exp(-z**2/2)/gamma(k/2)
References
==========
.. [1] http://en.wikipedia.org/wiki/Chi_distribution
.. [2] http://mathworld.wolfram.com/ChiDistribution.html
"""
return rv(name, ChiDistribution, (k,))
#-------------------------------------------------------------------------------
# Non-central Chi distribution -------------------------------------------------
class ChiNoncentralDistribution(SingleContinuousDistribution):
_argnames = ('k', 'l')
set = Interval(0, oo)
def pdf(self, x):
k, l = self.k, self.l
return exp(-(x**2+l**2)/2)*x**k*l / (l*x)**(k/2) * besseli(k/2-1, l*x)
[docs]def ChiNoncentral(name, k, l):
r"""
Create a continuous random variable with a non-central Chi distribution.
The density of the non-central Chi distribution is given by
.. math::
f(x) := \frac{e^{-(x^2+\lambda^2)/2} x^k\lambda}
{(\lambda x)^{k/2}} I_{k/2-1}(\lambda x)
with `x \geq 0`. Here, `I_\nu (x)` is the
:ref:`modified Bessel function of the first kind <besseli>`.
Parameters
==========
k : A positive Integer, `k > 0`, the number of degrees of freedom
l : Shift parameter
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import ChiNoncentral, density, E, std
>>> from sympy import Symbol, simplify
>>> k = Symbol("k", integer=True)
>>> l = Symbol("l")
>>> z = Symbol("z")
>>> X = ChiNoncentral("x", k, l)
>>> density(X)(z)
l*z**k*(l*z)**(-k/2)*exp(-l**2/2 - z**2/2)*besseli(k/2 - 1, l*z)
References
==========
.. [1] http://en.wikipedia.org/wiki/Noncentral_chi_distribution
"""
return rv(name, ChiNoncentralDistribution, (k, l))
#-------------------------------------------------------------------------------
# Chi squared distribution -----------------------------------------------------
class ChiSquaredDistribution(SingleContinuousDistribution):
_argnames = ('k',)
set = Interval(0, oo)
def pdf(self, x):
k = self.k
return 1/(2**(k/2)*gamma(k/2))*x**(k/2 - 1)*exp(-x/2)
[docs]def ChiSquared(name, k):
r"""
Create a continuous random variable with a Chi-squared distribution.
The density of the Chi-squared distribution is given by
.. math::
f(x) := \frac{1}{2^{\frac{k}{2}}\Gamma\left(\frac{k}{2}\right)}
x^{\frac{k}{2}-1} e^{-\frac{x}{2}}
with :math:`x \geq 0`.
Parameters
==========
k : A positive Integer, `k > 0`, the number of degrees of freedom
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import ChiSquared, density, E, variance
>>> from sympy import Symbol, simplify, combsimp, expand_func
>>> k = Symbol("k", integer=True, positive=True)
>>> z = Symbol("z")
>>> X = ChiSquared("x", k)
>>> density(X)(z)
2**(-k/2)*z**(k/2 - 1)*exp(-z/2)/gamma(k/2)
>>> combsimp(E(X))
k
>>> simplify(expand_func(variance(X)))
2*k
References
==========
.. [1] http://en.wikipedia.org/wiki/Chi_squared_distribution
.. [2] http://mathworld.wolfram.com/Chi-SquaredDistribution.html
"""
return rv(name, ChiSquaredDistribution, (k, ))
#-------------------------------------------------------------------------------
# Dagum distribution -----------------------------------------------------------
class DagumDistribution(SingleContinuousDistribution):
_argnames = ('p', 'a', 'b')
def pdf(self, x):
p, a, b = self.p, self.a, self.b
return a*p/x*((x/b)**(a*p)/(((x/b)**a + 1)**(p + 1)))
[docs]def Dagum(name, p, a, b):
r"""
Create a continuous random variable with a Dagum distribution.
The density of the Dagum distribution is given by
.. math::
f(x) := \frac{a p}{x} \left( \frac{\left(\tfrac{x}{b}\right)^{a p}}
{\left(\left(\tfrac{x}{b}\right)^a + 1 \right)^{p+1}} \right)
with :math:`x > 0`.
Parameters
==========
p : Real number, `p > 0`, a shape
a : Real number, `a > 0`, a shape
b : Real number, `b > 0`, a scale
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Dagum, density
>>> from sympy import Symbol, simplify
>>> p = Symbol("p", positive=True)
>>> b = Symbol("b", positive=True)
>>> a = Symbol("a", positive=True)
>>> z = Symbol("z")
>>> X = Dagum("x", p, a, b)
>>> density(X)(z)
a*p*(z/b)**(a*p)*((z/b)**a + 1)**(-p - 1)/z
References
==========
.. [1] http://en.wikipedia.org/wiki/Dagum_distribution
"""
return rv(name, DagumDistribution, (p, a, b))
#-------------------------------------------------------------------------------
# Erlang distribution ----------------------------------------------------------
[docs]def Erlang(name, k, l):
r"""
Create a continuous random variable with an Erlang distribution.
The density of the Erlang distribution is given by
.. math::
f(x) := \frac{\lambda^k x^{k-1} e^{-\lambda x}}{(k-1)!}
with :math:`x \in [0,\infty]`.
Parameters
==========
k : Integer
l : Real number, `\lambda > 0`, the rate
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Erlang, density, cdf, E, variance
>>> from sympy import Symbol, simplify, pprint
>>> k = Symbol("k", integer=True, positive=True)
>>> l = Symbol("l", positive=True)
>>> z = Symbol("z")
>>> X = Erlang("x", k, l)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
k k - 1 -l*z
l *z *e
---------------
gamma(k)
>>> C = cdf(X, meijerg=True)(z)
>>> pprint(C, use_unicode=False)
/ -2*I*pi*k -2*I*pi*k
| k*e *lowergamma(k, 0) k*e *lowergamma(k, l*z)
|- ----------------------------- + ------------------------------- for z >= 0
< gamma(k + 1) gamma(k + 1)
|
| 0 otherwise
\
>>> simplify(E(X))
k/l
>>> simplify(variance(X))
k/l**2
References
==========
.. [1] http://en.wikipedia.org/wiki/Erlang_distribution
.. [2] http://mathworld.wolfram.com/ErlangDistribution.html
"""
return rv(name, GammaDistribution, (k, 1/l))
#-------------------------------------------------------------------------------
# Exponential distribution -----------------------------------------------------
class ExponentialDistribution(SingleContinuousDistribution):
_argnames = ('rate',)
set = Interval(0, oo)
@staticmethod
def check(rate):
_value_check(rate > 0, "Rate must be positive.")
def pdf(self, x):
return self.rate * exp(-self.rate*x)
def sample(self):
return random.expovariate(self.rate)
[docs]def Exponential(name, rate):
r"""
Create a continuous random variable with an Exponential distribution.
The density of the exponential distribution is given by
.. math::
f(x) := \lambda \exp(-\lambda x)
with `x > 0`. Note that the expected value is `1/\lambda`.
Parameters
==========
rate : A positive Real number, `\lambda > 0`, the rate (or inverse scale/inverse mean)
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Exponential, density, cdf, E
>>> from sympy.stats import variance, std, skewness
>>> from sympy import Symbol
>>> l = Symbol("lambda", positive=True)
>>> z = Symbol("z")
>>> X = Exponential("x", l)
>>> density(X)(z)
lambda*exp(-lambda*z)
>>> cdf(X)(z)
Piecewise((1 - exp(-lambda*z), z >= 0), (0, True))
>>> E(X)
1/lambda
>>> variance(X)
lambda**(-2)
>>> skewness(X)
2
>>> X = Exponential('x', 10)
>>> density(X)(z)
10*exp(-10*z)
>>> E(X)
1/10
>>> std(X)
1/10
References
==========
.. [1] http://en.wikipedia.org/wiki/Exponential_distribution
.. [2] http://mathworld.wolfram.com/ExponentialDistribution.html
"""
return rv(name, ExponentialDistribution, (rate, ))
#-------------------------------------------------------------------------------
# F distribution ---------------------------------------------------------------
class FDistributionDistribution(SingleContinuousDistribution):
_argnames = ('d1', 'd2')
set = Interval(0, oo)
def pdf(self, x):
d1, d2 = self.d1, self.d2
return (sqrt((d1*x)**d1*d2**d2 / (d1*x+d2)**(d1+d2))
/ (x * beta_fn(d1/2, d2/2)))
[docs]def FDistribution(name, d1, d2):
r"""
Create a continuous random variable with a F distribution.
The density of the F distribution is given by
.. math::
f(x) := \frac{\sqrt{\frac{(d_1 x)^{d_1} d_2^{d_2}}
{(d_1 x + d_2)^{d_1 + d_2}}}}
{x \mathrm{B} \left(\frac{d_1}{2}, \frac{d_2}{2}\right)}
with :math:`x > 0`.
.. TODO - What do these parameters mean?
Parameters
==========
d1 : `d_1 > 0` a parameter
d2 : `d_2 > 0` a parameter
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import FDistribution, density
>>> from sympy import Symbol, simplify, pprint
>>> d1 = Symbol("d1", positive=True)
>>> d2 = Symbol("d2", positive=True)
>>> z = Symbol("z")
>>> X = FDistribution("x", d1, d2)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
d2
-- ______________________________
2 / d1 -d1 - d2
d2 *\/ (d1*z) *(d1*z + d2)
--------------------------------------
/d1 d2\
z*beta|--, --|
\2 2 /
References
==========
.. [1] http://en.wikipedia.org/wiki/F-distribution
.. [2] http://mathworld.wolfram.com/F-Distribution.html
"""
return rv(name, FDistributionDistribution, (d1, d2))
#-------------------------------------------------------------------------------
# Fisher Z distribution --------------------------------------------------------
class FisherZDistribution(SingleContinuousDistribution):
_argnames = ('d1', 'd2')
def pdf(self, x):
d1, d2 = self.d1, self.d2
return (2*d1**(d1/2)*d2**(d2/2) / beta_fn(d1/2, d2/2) *
exp(d1*x) / (d1*exp(2*x)+d2)**((d1+d2)/2))
[docs]def FisherZ(name, d1, d2):
r"""
Create a Continuous Random Variable with an Fisher's Z distribution.
The density of the Fisher's Z distribution is given by
.. math::
f(x) := \frac{2d_1^{d_1/2} d_2^{d_2/2}} {\mathrm{B}(d_1/2, d_2/2)}
\frac{e^{d_1z}}{\left(d_1e^{2z}+d_2\right)^{\left(d_1+d_2\right)/2}}
.. TODO - What is the difference between these degrees of freedom?
Parameters
==========
d1 : `d_1 > 0`, degree of freedom
d2 : `d_2 > 0`, degree of freedom
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import FisherZ, density
>>> from sympy import Symbol, simplify, pprint
>>> d1 = Symbol("d1", positive=True)
>>> d2 = Symbol("d2", positive=True)
>>> z = Symbol("z")
>>> X = FisherZ("x", d1, d2)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
d1 d2
d1 d2 - -- - --
-- -- 2 2
2 2 / 2*z \ d1*z
2*d1 *d2 *\d1*e + d2/ *e
-----------------------------------------
/d1 d2\
beta|--, --|
\2 2 /
References
==========
.. [1] http://en.wikipedia.org/wiki/Fisher%27s_z-distribution
.. [2] http://mathworld.wolfram.com/Fishersz-Distribution.html
"""
return rv(name, FisherZDistribution, (d1, d2))
#-------------------------------------------------------------------------------
# Frechet distribution ---------------------------------------------------------
class FrechetDistribution(SingleContinuousDistribution):
_argnames = ('a', 's', 'm')
set = Interval(0, oo)
def __new__(cls, a, s=1, m=0):
a, s, m = list(map(sympify, (a, s, m)))
return Basic.__new__(cls, a, s, m)
def pdf(self, x):
a, s, m = self.a, self.s, self.m
return a/s * ((x-m)/s)**(-1-a) * exp(-((x-m)/s)**(-a))
[docs]def Frechet(name, a, s=1, m=0):
r"""
Create a continuous random variable with a Frechet distribution.
The density of the Frechet distribution is given by
.. math::
f(x) := \frac{\alpha}{s} \left(\frac{x-m}{s}\right)^{-1-\alpha}
e^{-(\frac{x-m}{s})^{-\alpha}}
with :math:`x \geq m`.
Parameters
==========
a : Real number, :math:`a \in \left(0, \infty\right)` the shape
s : Real number, :math:`s \in \left(0, \infty\right)` the scale
m : Real number, :math:`m \in \left(-\infty, \infty\right)` the minimum
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Frechet, density, E, std
>>> from sympy import Symbol, simplify
>>> a = Symbol("a", positive=True)
>>> s = Symbol("s", positive=True)
>>> m = Symbol("m", real=True)
>>> z = Symbol("z")
>>> X = Frechet("x", a, s, m)
>>> density(X)(z)
a*((-m + z)/s)**(-a - 1)*exp(-((-m + z)/s)**(-a))/s
References
==========
.. [1] http://en.wikipedia.org/wiki/Fr%C3%A9chet_distribution
"""
return rv(name, FrechetDistribution, (a, s, m))
#-------------------------------------------------------------------------------
# Gamma distribution -----------------------------------------------------------
class GammaDistribution(SingleContinuousDistribution):
_argnames = ('k', 'theta')
set = Interval(0, oo)
@staticmethod
def check(k, theta):
_value_check(k > 0, "k must be positive")
_value_check(theta > 0, "Theta must be positive")
def pdf(self, x):
k, theta = self.k, self.theta
return x**(k - 1) * exp(-x/theta) / (gamma(k)*theta**k)
def sample(self):
return random.gammavariate(self.k, self.theta)
[docs]def Gamma(name, k, theta):
r"""
Create a continuous random variable with a Gamma distribution.
The density of the Gamma distribution is given by
.. math::
f(x) := \frac{1}{\Gamma(k) \theta^k} x^{k - 1} e^{-\frac{x}{\theta}}
with :math:`x \in [0,1]`.
Parameters
==========
k : Real number, `k > 0`, a shape
theta : Real number, `\theta > 0`, a scale
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Gamma, density, cdf, E, variance
>>> from sympy import Symbol, pprint, simplify
>>> k = Symbol("k", positive=True)
>>> theta = Symbol("theta", positive=True)
>>> z = Symbol("z")
>>> X = Gamma("x", k, theta)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
-z
-----
-k k - 1 theta
theta *z *e
---------------------
gamma(k)
>>> C = cdf(X, meijerg=True)(z)
>>> pprint(C, use_unicode=False)
/ / z \
| k*lowergamma|k, -----|
| k*lowergamma(k, 0) \ theta/
<- ------------------ + ---------------------- for z >= 0
| gamma(k + 1) gamma(k + 1)
|
\ 0 otherwise
>>> E(X)
theta*gamma(k + 1)/gamma(k)
>>> V = simplify(variance(X))
>>> pprint(V, use_unicode=False)
2
k*theta
References
==========
.. [1] http://en.wikipedia.org/wiki/Gamma_distribution
.. [2] http://mathworld.wolfram.com/GammaDistribution.html
"""
return rv(name, GammaDistribution, (k, theta))
#-------------------------------------------------------------------------------
# Inverse Gamma distribution ---------------------------------------------------
class GammaInverseDistribution(SingleContinuousDistribution):
_argnames = ('a', 'b')
set = Interval(0, oo)
@staticmethod
def check(a, b):
_value_check(a > 0, "alpha must be positive")
_value_check(b > 0, "beta must be positive")
def pdf(self, x):
a, b = self.a, self.b
return b**a/gamma(a) * x**(-a-1) * exp(-b/x)
[docs]def GammaInverse(name, a, b):
r"""
Create a continuous random variable with an inverse Gamma distribution.
The density of the inverse Gamma distribution is given by
.. math::
f(x) := \frac{\beta^\alpha}{\Gamma(\alpha)} x^{-\alpha - 1}
\exp\left(\frac{-\beta}{x}\right)
with :math:`x > 0`.
Parameters
==========
a : Real number, `a > 0` a shape
b : Real number, `b > 0` a scale
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import GammaInverse, density, cdf, E, variance
>>> from sympy import Symbol, pprint
>>> a = Symbol("a", positive=True)
>>> b = Symbol("b", positive=True)
>>> z = Symbol("z")
>>> X = GammaInverse("x", a, b)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
-b
---
a -a - 1 z
b *z *e
---------------
gamma(a)
References
==========
.. [1] http://en.wikipedia.org/wiki/Inverse-gamma_distribution
"""
return rv(name, GammaInverseDistribution, (a, b))
#-------------------------------------------------------------------------------
# Gompertz distribution --------------------------------------------------------
class GompertzDistribution(SingleContinuousDistribution):
_argnames = ('b', 'eta')
set = Interval(0, oo)
@staticmethod
def check(b, eta):
_value_check(b > 0, "b must be positive")
_value_check(eta > 0, "eta must be positive")
def pdf(self, x):
eta, b = self.eta, self.b
return b*eta*exp(b*x)*exp(eta)*exp(-eta*exp(b*x))
def Gompertz(name, b, eta):
r"""
Create a Continuous Random Variable with Gompertz distribution.
The density of the Gompertz distribution is given by
.. math::
f(x) := b \eta e^{b x} e^{\eta} \exp \left(-\eta e^{bx} \right)
with :math: 'x \in [0, \inf)'.
Parameters
==========
b: Real number, 'b > 0' a scale
eta: Real number, 'eta > 0' a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Gompertz, density, E, variance
>>> from sympy import Symbol, simplify, pprint
>>> b = Symbol("b", positive=True)
>>> eta = Symbol("eta", positive=True)
>>> z = Symbol("z")
>>> X = Gompertz("x", b, eta)
>>> density(X)(z)
b*eta*exp(eta)*exp(b*z)*exp(-eta*exp(b*z))
References
==========
.. [1] https://en.wikipedia.org/wiki/Gompertz_distribution
"""
return rv(name, GompertzDistribution, (b, eta))
#-------------------------------------------------------------------------------
# Kumaraswamy distribution -----------------------------------------------------
class KumaraswamyDistribution(SingleContinuousDistribution):
_argnames = ('a', 'b')
set = Interval(0, oo)
@staticmethod
def check(a, b):
_value_check(a > 0, "a must be positive")
_value_check(b > 0, "b must be positive")
def pdf(self, x):
a, b = self.a, self.b
return a * b * x**(a-1) * (1-x**a)**(b-1)
[docs]def Kumaraswamy(name, a, b):
r"""
Create a Continuous Random Variable with a Kumaraswamy distribution.
The density of the Kumaraswamy distribution is given by
.. math::
f(x) := a b x^{a-1} (1-x^a)^{b-1}
with :math:`x \in [0,1]`.
Parameters
==========
a : Real number, `a > 0` a shape
b : Real number, `b > 0` a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Kumaraswamy, density, E, variance
>>> from sympy import Symbol, simplify, pprint
>>> a = Symbol("a", positive=True)
>>> b = Symbol("b", positive=True)
>>> z = Symbol("z")
>>> X = Kumaraswamy("x", a, b)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
b - 1
a - 1 / a \
a*b*z *\- z + 1/
References
==========
.. [1] http://en.wikipedia.org/wiki/Kumaraswamy_distribution
"""
return rv(name, KumaraswamyDistribution, (a, b))
#-------------------------------------------------------------------------------
# Laplace distribution ---------------------------------------------------------
class LaplaceDistribution(SingleContinuousDistribution):
_argnames = ('mu', 'b')
def pdf(self, x):
mu, b = self.mu, self.b
return 1/(2*b)*exp(-Abs(x - mu)/b)
[docs]def Laplace(name, mu, b):
r"""
Create a continuous random variable with a Laplace distribution.
The density of the Laplace distribution is given by
.. math::
f(x) := \frac{1}{2 b} \exp \left(-\frac{|x-\mu|}b \right)
Parameters
==========
mu : Real number, the location (mean)
b : Real number, `b > 0`, a scale
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Laplace, density
>>> from sympy import Symbol
>>> mu = Symbol("mu")
>>> b = Symbol("b", positive=True)
>>> z = Symbol("z")
>>> X = Laplace("x", mu, b)
>>> density(X)(z)
exp(-Abs(mu - z)/b)/(2*b)
References
==========
.. [1] http://en.wikipedia.org/wiki/Laplace_distribution
.. [2] http://mathworld.wolfram.com/LaplaceDistribution.html
"""
return rv(name, LaplaceDistribution, (mu, b))
#-------------------------------------------------------------------------------
# Logistic distribution --------------------------------------------------------
class LogisticDistribution(SingleContinuousDistribution):
_argnames = ('mu', 's')
def pdf(self, x):
mu, s = self.mu, self.s
return exp(-(x - mu)/s)/(s*(1 + exp(-(x - mu)/s))**2)
[docs]def Logistic(name, mu, s):
r"""
Create a continuous random variable with a logistic distribution.
The density of the logistic distribution is given by
.. math::
f(x) := \frac{e^{-(x-\mu)/s}} {s\left(1+e^{-(x-\mu)/s}\right)^2}
Parameters
==========
mu : Real number, the location (mean)
s : Real number, `s > 0` a scale
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Logistic, density
>>> from sympy import Symbol
>>> mu = Symbol("mu", real=True)
>>> s = Symbol("s", positive=True)
>>> z = Symbol("z")
>>> X = Logistic("x", mu, s)
>>> density(X)(z)
exp((mu - z)/s)/(s*(exp((mu - z)/s) + 1)**2)
References
==========
.. [1] http://en.wikipedia.org/wiki/Logistic_distribution
.. [2] http://mathworld.wolfram.com/LogisticDistribution.html
"""
return rv(name, LogisticDistribution, (mu, s))
#-------------------------------------------------------------------------------
# Log Normal distribution ------------------------------------------------------
class LogNormalDistribution(SingleContinuousDistribution):
_argnames = ('mean', 'std')
set = Interval(0, oo)
def pdf(self, x):
mean, std = self.mean, self.std
return exp(-(log(x) - mean)**2 / (2*std**2)) / (x*sqrt(2*pi)*std)
def sample(self):
return random.lognormvariate(self.mean, self.std)
[docs]def LogNormal(name, mean, std):
r"""
Create a continuous random variable with a log-normal distribution.
The density of the log-normal distribution is given by
.. math::
f(x) := \frac{1}{x\sqrt{2\pi\sigma^2}}
e^{-\frac{\left(\ln x-\mu\right)^2}{2\sigma^2}}
with :math:`x \geq 0`.
Parameters
==========
mu : Real number, the log-scale
sigma : Real number, :math:`\sigma^2 > 0` a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import LogNormal, density
>>> from sympy import Symbol, simplify, pprint
>>> mu = Symbol("mu", real=True)
>>> sigma = Symbol("sigma", positive=True)
>>> z = Symbol("z")
>>> X = LogNormal("x", mu, sigma)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
2
-(-mu + log(z))
-----------------
2
___ 2*sigma
\/ 2 *e
------------------------
____
2*\/ pi *sigma*z
>>> X = LogNormal('x', 0, 1) # Mean 0, standard deviation 1
>>> density(X)(z)
sqrt(2)*exp(-log(z)**2/2)/(2*sqrt(pi)*z)
References
==========
.. [1] http://en.wikipedia.org/wiki/Lognormal
.. [2] http://mathworld.wolfram.com/LogNormalDistribution.html
"""
return rv(name, LogNormalDistribution, (mean, std))
#-------------------------------------------------------------------------------
# Maxwell distribution ---------------------------------------------------------
class MaxwellDistribution(SingleContinuousDistribution):
_argnames = ('a',)
set = Interval(0, oo)
def pdf(self, x):
a = self.a
return sqrt(2/pi)*x**2*exp(-x**2/(2*a**2))/a**3
[docs]def Maxwell(name, a):
r"""
Create a continuous random variable with a Maxwell distribution.
The density of the Maxwell distribution is given by
.. math::
f(x) := \sqrt{\frac{2}{\pi}} \frac{x^2 e^{-x^2/(2a^2)}}{a^3}
with :math:`x \geq 0`.
.. TODO - what does the parameter mean?
Parameters
==========
a : Real number, `a > 0`
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Maxwell, density, E, variance
>>> from sympy import Symbol, simplify
>>> a = Symbol("a", positive=True)
>>> z = Symbol("z")
>>> X = Maxwell("x", a)
>>> density(X)(z)
sqrt(2)*z**2*exp(-z**2/(2*a**2))/(sqrt(pi)*a**3)
>>> E(X)
2*sqrt(2)*a/sqrt(pi)
>>> simplify(variance(X))
a**2*(-8 + 3*pi)/pi
References
==========
.. [1] http://en.wikipedia.org/wiki/Maxwell_distribution
.. [2] http://mathworld.wolfram.com/MaxwellDistribution.html
"""
return rv(name, MaxwellDistribution, (a, ))
#-------------------------------------------------------------------------------
# Nakagami distribution --------------------------------------------------------
class NakagamiDistribution(SingleContinuousDistribution):
_argnames = ('mu', 'omega')
set = Interval(0, oo)
def pdf(self, x):
mu, omega = self.mu, self.omega
return 2*mu**mu/(gamma(mu)*omega**mu)*x**(2*mu - 1)*exp(-mu/omega*x**2)
[docs]def Nakagami(name, mu, omega):
r"""
Create a continuous random variable with a Nakagami distribution.
The density of the Nakagami distribution is given by
.. math::
f(x) := \frac{2\mu^\mu}{\Gamma(\mu)\omega^\mu} x^{2\mu-1}
\exp\left(-\frac{\mu}{\omega}x^2 \right)
with :math:`x > 0`.
Parameters
==========
mu : Real number, `\mu \geq \frac{1}{2}` a shape
omega : Real number, `\omega > 0`, the spread
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Nakagami, density, E, variance
>>> from sympy import Symbol, simplify, pprint
>>> mu = Symbol("mu", positive=True)
>>> omega = Symbol("omega", positive=True)
>>> z = Symbol("z")
>>> X = Nakagami("x", mu, omega)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
2
-mu*z
-------
mu -mu 2*mu - 1 omega
2*mu *omega *z *e
----------------------------------
gamma(mu)
>>> simplify(E(X, meijerg=True))
sqrt(mu)*sqrt(omega)*gamma(mu + 1/2)/gamma(mu + 1)
>>> V = simplify(variance(X, meijerg=True))
>>> pprint(V, use_unicode=False)
2
omega*gamma (mu + 1/2)
omega - -----------------------
gamma(mu)*gamma(mu + 1)
References
==========
.. [1] http://en.wikipedia.org/wiki/Nakagami_distribution
"""
return rv(name, NakagamiDistribution, (mu, omega))
#-------------------------------------------------------------------------------
# Normal distribution ----------------------------------------------------------
class NormalDistribution(SingleContinuousDistribution):
_argnames = ('mean', 'std')
@staticmethod
def check(mean, std):
_value_check(std > 0, "Standard deviation must be positive")
def pdf(self, x):
return exp(-(x - self.mean)**2 / (2*self.std**2)) / (sqrt(2*pi)*self.std)
def sample(self):
return random.normalvariate(self.mean, self.std)
[docs]def Normal(name, mean, std):
r"""
Create a continuous random variable with a Normal distribution.
The density of the Normal distribution is given by
.. math::
f(x) := \frac{1}{\sigma\sqrt{2\pi}} e^{ -\frac{(x-\mu)^2}{2\sigma^2} }
Parameters
==========
mu : Real number, the mean
sigma : Real number, :math:`\sigma^2 > 0` the variance
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Normal, density, E, std, cdf, skewness
>>> from sympy import Symbol, simplify, pprint, factor, together, factor_terms
>>> mu = Symbol("mu")
>>> sigma = Symbol("sigma", positive=True)
>>> z = Symbol("z")
>>> X = Normal("x", mu, sigma)
>>> density(X)(z)
sqrt(2)*exp(-(-mu + z)**2/(2*sigma**2))/(2*sqrt(pi)*sigma)
>>> C = simplify(cdf(X))(z) # it needs a little more help...
>>> pprint(C, use_unicode=False)
/ ___ \
|\/ 2 *(-mu + z)|
erf|---------------|
\ 2*sigma / 1
-------------------- + -
2 2
>>> simplify(skewness(X))
0
>>> X = Normal("x", 0, 1) # Mean 0, standard deviation 1
>>> density(X)(z)
sqrt(2)*exp(-z**2/2)/(2*sqrt(pi))
>>> E(2*X + 1)
1
>>> simplify(std(2*X + 1))
2
References
==========
.. [1] http://en.wikipedia.org/wiki/Normal_distribution
.. [2] http://mathworld.wolfram.com/NormalDistributionFunction.html
"""
return rv(name, NormalDistribution, (mean, std))
#-------------------------------------------------------------------------------
# Pareto distribution ----------------------------------------------------------
class ParetoDistribution(SingleContinuousDistribution):
_argnames = ('xm', 'alpha')
@property
def set(self):
return Interval(self.xm, oo)
@staticmethod
def check(xm, alpha):
_value_check(xm > 0, "Xm must be positive")
_value_check(alpha > 0, "Alpha must be positive")
def pdf(self, x):
xm, alpha = self.xm, self.alpha
return alpha * xm**alpha / x**(alpha + 1)
def sample(self):
return random.paretovariate(self.alpha)
[docs]def Pareto(name, xm, alpha):
r"""
Create a continuous random variable with the Pareto distribution.
The density of the Pareto distribution is given by
.. math::
f(x) := \frac{\alpha\,x_m^\alpha}{x^{\alpha+1}}
with :math:`x \in [x_m,\infty]`.
Parameters
==========
xm : Real number, `x_m > 0`, a scale
alpha : Real number, `\alpha > 0`, a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Pareto, density
>>> from sympy import Symbol
>>> xm = Symbol("xm", positive=True)
>>> beta = Symbol("beta", positive=True)
>>> z = Symbol("z")
>>> X = Pareto("x", xm, beta)
>>> density(X)(z)
beta*xm**beta*z**(-beta - 1)
References
==========
.. [1] http://en.wikipedia.org/wiki/Pareto_distribution
.. [2] http://mathworld.wolfram.com/ParetoDistribution.html
"""
return rv(name, ParetoDistribution, (xm, alpha))
#-------------------------------------------------------------------------------
# QuadraticU distribution ------------------------------------------------------
class QuadraticUDistribution(SingleContinuousDistribution):
_argnames = ('a', 'b')
@property
def set(self):
return Interval(self.a, self.b)
def pdf(self, x):
a, b = self.a, self.b
alpha = 12 / (b-a)**3
beta = (a+b) / 2
return Piecewise(
(alpha * (x-beta)**2, And(a<=x, x<=b)),
(S.Zero, True))
[docs]def QuadraticU(name, a, b):
r"""
Create a Continuous Random Variable with a U-quadratic distribution.
The density of the U-quadratic distribution is given by
.. math::
f(x) := \alpha (x-\beta)^2
with :math:`x \in [a,b]`.
Parameters
==========
a : Real number
b : Real number, :math:`a < b`
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import QuadraticU, density, E, variance
>>> from sympy import Symbol, simplify, factor, pprint
>>> a = Symbol("a", real=True)
>>> b = Symbol("b", real=True)
>>> z = Symbol("z")
>>> X = QuadraticU("x", a, b)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
/ 2
| / a b \
|12*|- - - - + z|
| \ 2 2 /
<----------------- for And(a <= z, z <= b)
| 3
| (-a + b)
|
\ 0 otherwise
References
==========
.. [1] http://en.wikipedia.org/wiki/U-quadratic_distribution
"""
return rv(name, QuadraticUDistribution, (a, b))
#-------------------------------------------------------------------------------
# RaisedCosine distribution ----------------------------------------------------
class RaisedCosineDistribution(SingleContinuousDistribution):
_argnames = ('mu', 's')
@property
def set(self):
return Interval(self.mu - self.s, self.mu + self.s)
@staticmethod
def check(mu, s):
_value_check(s > 0, "s must be positive")
def pdf(self, x):
mu, s = self.mu, self.s
return Piecewise(
((1+cos(pi*(x-mu)/s)) / (2*s), And(mu-s<=x, x<=mu+s)),
(S.Zero, True))
[docs]def RaisedCosine(name, mu, s):
r"""
Create a Continuous Random Variable with a raised cosine distribution.
The density of the raised cosine distribution is given by
.. math::
f(x) := \frac{1}{2s}\left(1+\cos\left(\frac{x-\mu}{s}\pi\right)\right)
with :math:`x \in [\mu-s,\mu+s]`.
Parameters
==========
mu : Real number
s : Real number, `s > 0`
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import RaisedCosine, density, E, variance
>>> from sympy import Symbol, simplify, pprint
>>> mu = Symbol("mu", real=True)
>>> s = Symbol("s", positive=True)
>>> z = Symbol("z")
>>> X = RaisedCosine("x", mu, s)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
/ /pi*(-mu + z)\
|cos|------------| + 1
| \ s /
<--------------------- for And(z <= mu + s, mu - s <= z)
| 2*s
|
\ 0 otherwise
References
==========
.. [1] http://en.wikipedia.org/wiki/Raised_cosine_distribution
"""
return rv(name, RaisedCosineDistribution, (mu, s))
#-------------------------------------------------------------------------------
# Rayleigh distribution --------------------------------------------------------
class RayleighDistribution(SingleContinuousDistribution):
_argnames = ('sigma',)
set = Interval(0, oo)
def pdf(self, x):
sigma = self.sigma
return x/sigma**2*exp(-x**2/(2*sigma**2))
[docs]def Rayleigh(name, sigma):
r"""
Create a continuous random variable with a Rayleigh distribution.
The density of the Rayleigh distribution is given by
.. math ::
f(x) := \frac{x}{\sigma^2} e^{-x^2/2\sigma^2}
with :math:`x > 0`.
Parameters
==========
sigma : Real number, `\sigma > 0`
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Rayleigh, density, E, variance
>>> from sympy import Symbol, simplify
>>> sigma = Symbol("sigma", positive=True)
>>> z = Symbol("z")
>>> X = Rayleigh("x", sigma)
>>> density(X)(z)
z*exp(-z**2/(2*sigma**2))/sigma**2
>>> E(X)
sqrt(2)*sqrt(pi)*sigma/2
>>> variance(X)
-pi*sigma**2/2 + 2*sigma**2
References
==========
.. [1] http://en.wikipedia.org/wiki/Rayleigh_distribution
.. [2] http://mathworld.wolfram.com/RayleighDistribution.html
"""
return rv(name, RayleighDistribution, (sigma, ))
#-------------------------------------------------------------------------------
# Shifted Gompertz distribution ------------------------------------------------
class ShiftedGompertzDistribution(SingleContinuousDistribution):
_argnames = ('b', 'eta')
set = Interval(0, oo)
@staticmethod
def check(b, eta):
_value_check(b > 0, "b must be positive")
_value_check(eta > 0, "eta must be positive")
def pdf(self, x):
b, eta = self.b, self.eta
return b*exp(-b*x)*exp(-eta*exp(-b*x))*(1+eta*(1-exp(-b*x)))
def ShiftedGompertz(name, b, eta):
r"""
Create a continuous random variable with a Shifted Gompertz distribution.
The density of the Shifted Gompertz distribution is given by
.. math::
f(x) := b e^{-b x} e^{-\eta \exp(-b x)} \left[1 + \eta(1 - e^(-bx)) \right]
with :math: 'x \in [0, \inf)'.
Parameters
==========
b: Real number, 'b > 0' a scale
eta: Real number, 'eta > 0' a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import ShiftedGompertz, density, E, variance
>>> from sympy import Symbol
>>> b = Symbol("b", positive=True)
>>> eta = Symbol("eta", positive=True)
>>> x = Symbol("x")
>>> X = ShiftedGompertz("x", b, eta)
>>> density(X)(x)
b*(eta*(1 - exp(-b*x)) + 1)*exp(-b*x)*exp(-eta*exp(-b*x))
References
==========
.. [1] https://en.wikipedia.org/wiki/Shifted_Gompertz_distribution
"""
return rv(name, ShiftedGompertzDistribution, (b, eta))
#-------------------------------------------------------------------------------
# StudentT distribution --------------------------------------------------------
class StudentTDistribution(SingleContinuousDistribution):
_argnames = ('nu',)
def pdf(self, x):
nu = self.nu
return 1/(sqrt(nu)*beta_fn(S(1)/2, nu/2))*(1 + x**2/nu)**(-(nu + 1)/2)
[docs]def StudentT(name, nu):
r"""
Create a continuous random variable with a student's t distribution.
The density of the student's t distribution is given by
.. math::
f(x) := \frac{\Gamma \left(\frac{\nu+1}{2} \right)}
{\sqrt{\nu\pi}\Gamma \left(\frac{\nu}{2} \right)}
\left(1+\frac{x^2}{\nu} \right)^{-\frac{\nu+1}{2}}
Parameters
==========
nu : Real number, `\nu > 0`, the degrees of freedom
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import StudentT, density, E, variance
>>> from sympy import Symbol, simplify, pprint
>>> nu = Symbol("nu", positive=True)
>>> z = Symbol("z")
>>> X = StudentT("x", nu)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
nu 1
- -- - -
2 2
/ 2\
| z |
|1 + --|
\ nu/
--------------------
____ / nu\
\/ nu *beta|1/2, --|
\ 2 /
References
==========
.. [1] http://en.wikipedia.org/wiki/Student_t-distribution
.. [2] http://mathworld.wolfram.com/Studentst-Distribution.html
"""
return rv(name, StudentTDistribution, (nu, ))
#-------------------------------------------------------------------------------
# Triangular distribution ------------------------------------------------------
class TriangularDistribution(SingleContinuousDistribution):
_argnames = ('a', 'b', 'c')
def pdf(self, x):
a, b, c = self.a, self.b, self.c
return Piecewise(
(2*(x - a)/((b - a)*(c - a)), And(a <= x, x < c)),
(2/(b - a), Eq(x, c)),
(2*(b - x)/((b - a)*(b - c)), And(c < x, x <= b)),
(S.Zero, True))
[docs]def Triangular(name, a, b, c):
r"""
Create a continuous random variable with a triangular distribution.
The density of the triangular distribution is given by
.. math::
f(x) := \begin{cases}
0 & \mathrm{for\ } x < a, \\
\frac{2(x-a)}{(b-a)(c-a)} & \mathrm{for\ } a \le x < c, \\
\frac{2}{b-a} & \mathrm{for\ } x = c, \\
\frac{2(b-x)}{(b-a)(b-c)} & \mathrm{for\ } c < x \le b, \\
0 & \mathrm{for\ } b < x.
\end{cases}
Parameters
==========
a : Real number, :math:`a \in \left(-\infty, \infty\right)`
b : Real number, :math:`a < b`
c : Real number, :math:`a \leq c \leq b`
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Triangular, density, E
>>> from sympy import Symbol, pprint
>>> a = Symbol("a")
>>> b = Symbol("b")
>>> c = Symbol("c")
>>> z = Symbol("z")
>>> X = Triangular("x", a,b,c)
>>> pprint(density(X)(z), use_unicode=False)
/ -2*a + 2*z
|----------------- for And(a <= z, z < c)
|(-a + b)*(-a + c)
|
| 2
| ------ for z = c
< -a + b
|
| 2*b - 2*z
|---------------- for And(z <= b, c < z)
|(-a + b)*(b - c)
|
\ 0 otherwise
References
==========
.. [1] http://en.wikipedia.org/wiki/Triangular_distribution
.. [2] http://mathworld.wolfram.com/TriangularDistribution.html
"""
return rv(name, TriangularDistribution, (a, b, c))
#-------------------------------------------------------------------------------
# Uniform distribution ---------------------------------------------------------
class UniformDistribution(SingleContinuousDistribution):
_argnames = ('left', 'right')
def pdf(self, x):
left, right = self.left, self.right
return Piecewise(
(S.One/(right - left), And(left <= x, x <= right)),
(S.Zero, True))
def compute_cdf(self, **kwargs):
from sympy import Lambda, Min
z = Dummy('z', real=True, finite=True)
result = SingleContinuousDistribution.compute_cdf(self, **kwargs)(z)
reps = {
Min(z, self.right): z,
Min(z, self.left, self.right): self.left,
Min(z, self.left): self.left}
result = result.subs(reps)
return Lambda(z, result)
def expectation(self, expr, var, **kwargs):
from sympy import Max, Min
kwargs['evaluate'] = True
result = SingleContinuousDistribution.expectation(self, expr, var, **kwargs)
result = result.subs({Max(self.left, self.right): self.right,
Min(self.left, self.right): self.left})
return result
def sample(self):
return random.uniform(self.left, self.right)
#-------------------------------------------------------------------------------
# UniformSum distribution ------------------------------------------------------
class UniformSumDistribution(SingleContinuousDistribution):
_argnames = ('n',)
@property
def set(self):
return Interval(0, self.n)
def pdf(self, x):
n = self.n
k = Dummy("k")
return 1/factorial(
n - 1)*Sum((-1)**k*binomial(n, k)*(x - k)**(n - 1), (k, 0, floor(x)))
#-------------------------------------------------------------------------------
# VonMises distribution --------------------------------------------------------
class VonMisesDistribution(SingleContinuousDistribution):
_argnames = ('mu', 'k')
set = Interval(0, 2*pi)
@staticmethod
def check(mu, k):
_value_check(k > 0, "k must be positive")
def pdf(self, x):
mu, k = self.mu, self.k
return exp(k*cos(x-mu)) / (2*pi*besseli(0, k))
[docs]def VonMises(name, mu, k):
r"""
Create a Continuous Random Variable with a von Mises distribution.
The density of the von Mises distribution is given by
.. math::
f(x) := \frac{e^{\kappa\cos(x-\mu)}}{2\pi I_0(\kappa)}
with :math:`x \in [0,2\pi]`.
Parameters
==========
mu : Real number, measure of location
k : Real number, measure of concentration
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import VonMises, density, E, variance
>>> from sympy import Symbol, simplify, pprint
>>> mu = Symbol("mu")
>>> k = Symbol("k", positive=True)
>>> z = Symbol("z")
>>> X = VonMises("x", mu, k)
>>> D = density(X)(z)
>>> pprint(D, use_unicode=False)
k*cos(mu - z)
e
------------------
2*pi*besseli(0, k)
References
==========
.. [1] http://en.wikipedia.org/wiki/Von_Mises_distribution
.. [2] http://mathworld.wolfram.com/vonMisesDistribution.html
"""
return rv(name, VonMisesDistribution, (mu, k))
#-------------------------------------------------------------------------------
# Weibull distribution ---------------------------------------------------------
class WeibullDistribution(SingleContinuousDistribution):
_argnames = ('alpha', 'beta')
set = Interval(0, oo)
@staticmethod
def check(alpha, beta):
_value_check(alpha > 0, "Alpha must be positive")
_value_check(beta > 0, "Beta must be positive")
def pdf(self, x):
alpha, beta = self.alpha, self.beta
return beta * (x/alpha)**(beta - 1) * exp(-(x/alpha)**beta) / alpha
def sample(self):
return random.weibullvariate(self.alpha, self.beta)
[docs]def Weibull(name, alpha, beta):
r"""
Create a continuous random variable with a Weibull distribution.
The density of the Weibull distribution is given by
.. math::
f(x) := \begin{cases}
\frac{k}{\lambda}\left(\frac{x}{\lambda}\right)^{k-1}
e^{-(x/\lambda)^{k}} & x\geq0\\
0 & x<0
\end{cases}
Parameters
==========
lambda : Real number, :math:`\lambda > 0` a scale
k : Real number, `k > 0` a shape
Returns
=======
A RandomSymbol.
Examples
========
>>> from sympy.stats import Weibull, density, E, variance
>>> from sympy import Symbol, simplify
>>> l = Symbol("lambda", positive=True)
>>> k = Symbol("k", positive=True)
>>> z = Symbol("z")
>>> X = Weibull("x", l, k)
>>> density(X)(z)
k*(z/lambda)**(k - 1)*exp(-(z/lambda)**k)/lambda
>>> simplify(E(X))
lambda*gamma(1 + 1/k)
>>> simplify(variance(X))
lambda**2*(-gamma(1 + 1/k)**2 + gamma(1 + 2/k))
References
==========
.. [1] http://en.wikipedia.org/wiki/Weibull_distribution
.. [2] http://mathworld.wolfram.com/WeibullDistribution.html
"""
return rv(name, WeibullDistribution, (alpha, beta))
#-------------------------------------------------------------------------------
# Wigner semicircle distribution -----------------------------------------------
class WignerSemicircleDistribution(SingleContinuousDistribution):
_argnames = ('R',)
@property
def set(self):
return Interval(-self.R, self.R)
def pdf(self, x):
R = self.R
return 2/(pi*R**2)*sqrt(R**2 - x**2)
[docs]def WignerSemicircle(name, R):
r"""
Create a continuous random variable with a Wigner semicircle distribution.
The density of the Wigner semicircle distribution is given by
.. math::
f(x) := \frac2{\pi R^2}\,\sqrt{R^2-x^2}
with :math:`x \in [-R,R]`.
Parameters
==========
R : Real number, `R > 0`, the radius
Returns
=======
A `RandomSymbol`.
Examples
========
>>> from sympy.stats import WignerSemicircle, density, E
>>> from sympy import Symbol, simplify
>>> R = Symbol("R", positive=True)
>>> z = Symbol("z")
>>> X = WignerSemicircle("x", R)
>>> density(X)(z)
2*sqrt(R**2 - z**2)/(pi*R**2)
>>> E(X)
0
References
==========
.. [1] http://en.wikipedia.org/wiki/Wigner_semicircle_distribution
.. [2] http://mathworld.wolfram.com/WignersSemicircleLaw.html
"""
return rv(name, WignerSemicircleDistribution, (R,))
