I'm trying to create a subclass of rv_continuous with a custom distribution for which I can calculate the pdf through a number of functions.
Here's what I've done so far
import numpy as np
from scipy.stats import rv_continuous
ancillary functions
def func1(xx, a_, b_, rho, m, sigma):
return a_ + b_*(rho*(xx-m) + np.sqrt((xx-m)*(xx-m) + sigma*sigma))
def func2(xx, a_, b_, rho, m, sigma):
sig2 = sigma*sigma
return b_*(rho*np.sqrt((xx-m)*(xx-m)+sig2)+xx-m)/(np.sqrt((xx-m)*(xx-m)+sig2))
def func3(xx, a_, b_, rho, m, sigma):
sig2 = sigma*sigma
return b_*sig2/(np.sqrt((xx-m)*(xx-m)+sig2)*((xx-m)*(xx-m)+sig2))
def func4(xx, a_, b_, rho, m, sigma):
w = func1(xx, a_, b_, rho, m, sigma)
w1 = func2(xx, a_, b_, rho, m, sigma)
w2 = func3(xx, a_, b_, rho, m, sigma)
return (1.-0.5*xx*w1/w)*(1.0-0.5*xx*w1/w) - 0.25*w1*w1*(0.25 + 1./w) + 0.5*w2
def func5(xx, a_, b_, rho, m, sigma):
vsqrt = np.sqrt(func1(xx, a_, b_, rho, m, sigma))
return -xx/vsqrt - 0.5*vsqrt
density function eventually
def density(xx, a_, b_, rho, m, sigma):
dm = func5(xx, a_, b_, rho, m, sigma)
return func4(xx, a_, b_, rho, m, sigma)*np.exp(-0.5*dm*dm)/np.sqrt(2.*np.pi*func1(xx, a_, b_, rho, m, sigma))
a set of parameters
Params = 1.0073, 0.3401026, -0.8, 0.000830, 0.5109564
check the pdf from function
xmin, xmax, nbPoints = -10., 10., 2000
x_real = np.linspace(xmin, xmax, nbPoints)
den_from_func = density(x_real, *Params)
now construct my distribution class
class density_gen(rv_continuous):
def _pdf(self, x, a_hat, b_hat, rho, m, sigma):
return density(x, a_hat, b_hat, rho, m, sigma)
instantiation
my_density = density_gen(name='density_gen')
my_density.a, my_density.b, my_density.numargs
As I've specified _pdf I should have a working distribution instance
this works
pdf = my_density._pdf(x_real, *Params)
cdf works too albeit it's extremely slow
cdf = my_density._cdf(x_real, *Params)
my_density._cdf(0.1, *Params)
but for all the other methods I get nans, for instance
my_density.mean(*Params)
my_density.ppf(0.01, *Params)
What I'm doing wrong here?
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