def test_Compound_Distribution():
X = Normal('X', 2, 4)
N = NormalDistribution(X, 4)
C = CompoundDistribution(N)
assert C.is_Continuous
assert C.set == Interval(-oo, oo)
assert C.pdf(x, evaluate=True).simplify() == exp(-x**2/64 + x/16 - S(1)/16)/(8*sqrt(pi))
assert not isinstance(CompoundDistribution(NormalDistribution(2, 3)),
CompoundDistribution)
M = MultivariateNormalDistribution([1, 2], [[2, 1], [1, 2]])
raises(NotImplementedError, lambda: CompoundDistribution(M))
X = Beta('X', 2, 4)
B = BernoulliDistribution(X, 1, 0)
C = CompoundDistribution(B)
assert C.is_Finite
assert C.set == {0, 1}
y = symbols('y', negative=False, integer=True)
assert C.pdf(y, evaluate=True) == Piecewise((S(1)/(30*beta(2, 4)), Eq(y, 0)),
(S(1)/(60*beta(2, 4)), Eq(y, 1)), (0, True))
k, t, z = symbols('k t z', positive=True, real=True)
G = Gamma('G', k, t)
X = PoissonDistribution(G)
C = CompoundDistribution(X)
assert C.is_Discrete
assert C.set == S.Naturals0
assert C.pdf(z, evaluate=True).simplify() == t**z*(t + 1)**(-k - z)*gamma(k \
+ z)/(gamma(k)*gamma(z + 1))
def test_long_precomputed_cdf():
x = symbols("x", real=True, finite=True)
distribs = [
Arcsin("A", -5, 9),
Dagum("D", 4, 10, 3),
Erlang("E", 14, 5),
Frechet("F", 2, 6, -3),
Gamma("G", 2, 7),
GammaInverse("GI", 3, 5),
Kumaraswamy("K", 6, 8),
Laplace("LA", -5, 4),
Logistic("L", -6, 7),
Nakagami("N", 2, 7),
StudentT("S", 4)
]
for distr in distribs:
for _ in range(5):
assert tn(diff(cdf(distr)(x), x),
density(distr)(x),
x,
a=0,
b=0,
c=1,
d=0)
US = UniformSum("US", 5)
pdf01 = density(US)(x).subs(floor(x), 0).doit() # pdf on (0, 1)
cdf01 = cdf(US, evaluate=False)(x).subs(floor(x),
0).doit() # cdf on (0, 1)
assert tn(diff(cdf01, x), pdf01, x, a=0, b=0, c=1, d=0)
def test_sample_pymc3():
distribs_pymc3 = [
Beta("B", 1, 1),
Cauchy("C", 1, 1),
Normal("N", 0, 1),
Gamma("G", 2, 7),
GaussianInverse("GI", 1, 1),
Exponential("E", 2),
LogNormal("LN", 0, 1),
Pareto("P", 1, 1),
ChiSquared("CS", 2),
Uniform("U", 0, 1)
]
size = 3
pymc3 = import_module('pymc3')
if not pymc3:
skip('PyMC3 is not installed. Abort tests for _sample_pymc3.')
else:
with ignore_warnings(
UserWarning
): ### TODO: Restore tests once warnings are removed
for X in distribs_pymc3:
samps = next(sample(X, size=size, library='pymc3'))
for sam in samps:
assert sam in X.pspace.domain.set
raises(NotImplementedError,
lambda: next(sample(Chi("C", 1), library='pymc3')))
def test_sample_scipy():
distribs_scipy = [
Beta("B", 1, 1),
BetaPrime("BP", 1, 1),
Cauchy("C", 1, 1),
Chi("C", 1),
Normal("N", 0, 1),
Gamma("G", 2, 7),
GammaInverse("GI", 1, 1),
GaussianInverse("GUI", 1, 1),
Exponential("E", 2),
LogNormal("LN", 0, 1),
Pareto("P", 1, 1),
StudentT("S", 2),
ChiSquared("CS", 2),
Uniform("U", 0, 1)
]
size = 3
scipy = import_module('scipy')
if not scipy:
skip('Scipy is not installed. Abort tests for _sample_scipy.')
else:
for X in distribs_scipy:
samps = sample(X, size=size, library='scipy')
samps2 = sample(X, size=(2, 2), library='scipy')
for sam in samps:
assert sam in X.pspace.domain.set
for i in range(2):
for j in range(2):
assert samps2[i][j] in X.pspace.domain.set
def test_gamma():
k, theta = symbols('k theta', real=True, bounded=True, positive=True)
X = Gamma(k, theta)
assert simplify(E(X)) == k*theta
# can't get things to simplify on this one so we use subs
assert Var(X).subs(k,5) == (k*theta**2).subs(k, 5)
def test_sample_numpy():
distribs_numpy = [
Beta("B", 1, 1),
Normal("N", 0, 1),
Gamma("G", 2, 7),
Exponential("E", 2),
LogNormal("LN", 0, 1),
Pareto("P", 1, 1),
ChiSquared("CS", 2),
Uniform("U", 0, 1)
]
size = 3
numpy = import_module('numpy')
if not numpy:
skip('Numpy is not installed. Abort tests for _sample_numpy.')
else:
for X in distribs_numpy:
samps = sample(X, size=size, library='numpy')
for sam in samps:
assert sam in X.pspace.domain.set
raises(NotImplementedError,
lambda: sample(Chi("C", 1), library='numpy'))
raises(
NotImplementedError,
lambda: Chi("C", 1).pspace.distribution.sample(library='tensorflow'))
def test_poisson_CompoundDist():
k, t, y = symbols('k t y', positive=True, real=True)
G = Gamma('G', k, t)
D = Poisson('P', G)
assert density(D)(y).simplify() == t**y*(t + 1)**(-k - y)*gamma(k + y)/(gamma(k)*gamma(y + 1))
# https://en.wikipedia.org/wiki/Negative_binomial_distribution#Gamma%E2%80%93Poisson_mixture
assert E(D).simplify() == k*t # mean of NegativeBinomialDistribution
def test_gamma():
k = Symbol("k", positive=True)
theta = Symbol("theta", positive=True)
X = Gamma('x', k, theta)
assert density(X) == Lambda(_x,
_x**(k - 1)*theta**(-k)*exp(-_x/theta)/gamma(k))
assert cdf(X, meijerg=True) == Lambda(_z, Piecewise(
(-k*lowergamma(k, 0)/gamma(k + 1) + k*lowergamma(k, _z/theta)/gamma(k + 1), _z >= 0), (0, True)))
assert variance(X) == (-theta**2*gamma(k + 1)**2/gamma(k)**2 +
theta*theta**(-k)*theta**(k + 1)*gamma(k + 2)/gamma(k))
k, theta = symbols('k theta', real=True, bounded=True, positive=True)
X = Gamma('x', k, theta)
assert simplify(E(X)) == k*theta
# can't get things to simplify on this one so we use subs
assert variance(X).subs(k,5) == (k*theta**2).subs(k, 5)
def test_gamma():
k = Symbol("k", positive=True)
theta = Symbol("theta", positive=True)
X = Gamma('x', k, theta)
assert density(X)(x) == x**(k - 1)*theta**(-k)*exp(-x/theta)/gamma(k)
assert cdf(X, meijerg=True)(z) == Piecewise(
(-k*lowergamma(k, 0)/gamma(k + 1) +
k*lowergamma(k, z/theta)/gamma(k + 1), z >= 0),
(0, True))
# assert simplify(variance(X)) == k*theta**2 # handled numerically below
assert E(X) == moment(X, 1)
k, theta = symbols('k theta', real=True, finite=True, positive=True)
X = Gamma('x', k, theta)
assert simplify(E(X)) == k*theta
# can't get things to simplify on this one so we use subs
assert variance(X).subs(k, 5) == (k*theta**2).subs(k, 5)
def test_gamma():
k = Symbol("k", positive=True)
theta = Symbol("theta", positive=True)
X = Gamma('x', k, theta)
assert density(X)(x) == x**(k - 1) * theta**(-k) * exp(
-x / theta) / gamma(k)
assert cdf(X, meijerg=True)(z) == Piecewise(
(-k * lowergamma(k, 0) / gamma(k + 1) +
k * lowergamma(k, z / theta) / gamma(k + 1), z >= 0), (0, True))
# assert simplify(variance(X)) == k*theta**2 # handled numerically below
assert E(X) == moment(X, 1)
k, theta = symbols('k theta', real=True, finite=True, positive=True)
X = Gamma('x', k, theta)
assert E(X) == k * theta
assert variance(X) == k * theta**2
assert simplify(skewness(X)) == 2 / sqrt(k)
def test_sample_scipy():
distribs_scipy = [
Beta("B", 1, 1),
BetaPrime("BP", 1, 1),
Cauchy("C", 1, 1),
Chi("C", 1),
Normal("N", 0, 1),
Gamma("G", 2, 7),
GammaInverse("GI", 1, 1),
GaussianInverse("GUI", 1, 1),
Exponential("E", 2),
LogNormal("LN", 0, 1),
Pareto("P", 1, 1),
StudentT("S", 2),
ChiSquared("CS", 2),
Uniform("U", 0, 1)
]
size = 3
numsamples = 5
scipy = import_module('scipy')
if not scipy:
skip('Scipy is not installed. Abort tests for _sample_scipy.')
else:
with ignore_warnings(
UserWarning
): ### TODO: Restore tests once warnings are removed
g_sample = list(
sample(Gamma("G", 2, 7), size=size, numsamples=numsamples))
assert len(g_sample) == numsamples
for X in distribs_scipy:
samps = next(sample(X, size=size, library='scipy'))
samps2 = next(sample(X, size=(2, 2), library='scipy'))
for sam in samps:
assert sam in X.pspace.domain.set
for i in range(2):
for j in range(2):
assert samps2[i][j] in X.pspace.domain.set
def test_prefab_sampling():
N = Normal('X', 0, 1)
L = LogNormal('L', 0, 1)
E = Exponential('Ex', 1)
P = Pareto('P', 1, 3)
W = Weibull('W', 1, 1)
U = Uniform('U', 0, 1)
B = Beta('B', 2, 5)
G = Gamma('G', 1, 3)
variables = [N, L, E, P, W, U, B, G]
niter = 10
for var in variables:
for i in range(niter):
assert sample(var) in var.pspace.domain.set
def test_prefab_sampling():
N = Normal(0, 1)
L = LogNormal(0, 1)
E = Exponential(1)
P = Pareto(1, 3)
W = Weibull(1, 1)
U = Uniform(0, 1)
B = Beta(2,5)
G = Gamma(1,3)
variables = [N,L,E,P,W,U,B,G]
niter = 10
for var in variables:
for i in xrange(niter):
assert Sample(var) in var.pspace.domain.set
def test_gamma():
k = Symbol("k", positive=True)
theta = Symbol("theta", positive=True)
X = Gamma('x', k, theta)
# Tests characteristic function
assert characteristic_function(X)(x) == ((-I * theta * x + 1)**(-k))
assert density(X)(x) == x**(k - 1) * theta**(-k) * exp(
-x / theta) / gamma(k)
assert cdf(X, meijerg=True)(z) == Piecewise(
(-k * lowergamma(k, 0) / gamma(k + 1) +
k * lowergamma(k, z / theta) / gamma(k + 1), z >= 0), (0, True))
# assert simplify(variance(X)) == k*theta**2 # handled numerically below
assert E(X) == moment(X, 1)
k, theta = symbols('k theta', positive=True)
X = Gamma('x', k, theta)
assert E(X) == k * theta
assert variance(X) == k * theta**2
assert skewness(X).expand() == 2 / sqrt(k)
assert kurtosis(X).expand() == 3 + 6 / k
def test_prefab_sampling():
scipy = import_module('scipy')
if not scipy:
skip('Scipy is not installed. Abort tests')
N = Normal('X', 0, 1)
L = LogNormal('L', 0, 1)
E = Exponential('Ex', 1)
P = Pareto('P', 1, 3)
W = Weibull('W', 1, 1)
U = Uniform('U', 0, 1)
B = Beta('B', 2, 5)
G = Gamma('G', 1, 3)
variables = [N, L, E, P, W, U, B, G]
niter = 10
size = 5
for var in variables:
for _ in range(niter):
assert sample(var) in var.pspace.domain.set
samps = sample(var, size=size)
for samp in samps:
assert samp in var.pspace.domain.set
def test_issue_10003():
X = Exponential('x', 3)
G = Gamma('g', 1, 2)
assert P(X < -1) == S.Zero
assert P(G < -1) == S.Zero
def test_moment_generating_function():
t = symbols('t', positive=True)
# Symbolic tests
a, b, c = symbols('a b c')
mgf = moment_generating_function(Beta('x', a, b))(t)
assert mgf == hyper((a, ), (a + b, ), t)
mgf = moment_generating_function(Chi('x', a))(t)
assert mgf == sqrt(2)*t*gamma(a/2 + S.Half)*\
hyper((a/2 + S.Half,), (Rational(3, 2),), t**2/2)/gamma(a/2) +\
hyper((a/2,), (S.Half,), t**2/2)
mgf = moment_generating_function(ChiSquared('x', a))(t)
assert mgf == (1 - 2 * t)**(-a / 2)
mgf = moment_generating_function(Erlang('x', a, b))(t)
assert mgf == (1 - t / b)**(-a)
mgf = moment_generating_function(ExGaussian("x", a, b, c))(t)
assert mgf == exp(a * t + b**2 * t**2 / 2) / (1 - t / c)
mgf = moment_generating_function(Exponential('x', a))(t)
assert mgf == a / (a - t)
mgf = moment_generating_function(Gamma('x', a, b))(t)
assert mgf == (-b * t + 1)**(-a)
mgf = moment_generating_function(Gumbel('x', a, b))(t)
assert mgf == exp(b * t) * gamma(-a * t + 1)
mgf = moment_generating_function(Gompertz('x', a, b))(t)
assert mgf == b * exp(b) * expint(t / a, b)
mgf = moment_generating_function(Laplace('x', a, b))(t)
assert mgf == exp(a * t) / (-b**2 * t**2 + 1)
mgf = moment_generating_function(Logistic('x', a, b))(t)
assert mgf == exp(a * t) * beta(-b * t + 1, b * t + 1)
mgf = moment_generating_function(Normal('x', a, b))(t)
assert mgf == exp(a * t + b**2 * t**2 / 2)
mgf = moment_generating_function(Pareto('x', a, b))(t)
assert mgf == b * (-a * t)**b * uppergamma(-b, -a * t)
mgf = moment_generating_function(QuadraticU('x', a, b))(t)
assert str(mgf) == (
"(3*(t*(-4*b + (a + b)**2) + 4)*exp(b*t) - "
"3*(t*(a**2 + 2*a*(b - 2) + b**2) + 4)*exp(a*t))/(t**2*(a - b)**3)")
mgf = moment_generating_function(RaisedCosine('x', a, b))(t)
assert mgf == pi**2 * exp(a * t) * sinh(b * t) / (b * t *
(b**2 * t**2 + pi**2))
mgf = moment_generating_function(Rayleigh('x', a))(t)
assert mgf == sqrt(2)*sqrt(pi)*a*t*(erf(sqrt(2)*a*t/2) + 1)\
*exp(a**2*t**2/2)/2 + 1
mgf = moment_generating_function(Triangular('x', a, b, c))(t)
assert str(mgf) == ("(-2*(-a + b)*exp(c*t) + 2*(-a + c)*exp(b*t) + "
"2*(b - c)*exp(a*t))/(t**2*(-a + b)*(-a + c)*(b - c))")
mgf = moment_generating_function(Uniform('x', a, b))(t)
assert mgf == (-exp(a * t) + exp(b * t)) / (t * (-a + b))
mgf = moment_generating_function(UniformSum('x', a))(t)
assert mgf == ((exp(t) - 1) / t)**a
mgf = moment_generating_function(WignerSemicircle('x', a))(t)
assert mgf == 2 * besseli(1, a * t) / (a * t)
# Numeric tests
mgf = moment_generating_function(Beta('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 1) == hyper((2, ), (3, ), 1) / 2
mgf = moment_generating_function(Chi('x', 1))(t)
assert mgf.diff(t).subs(t, 1) == sqrt(2) * hyper(
(1, ), (Rational(3, 2), ), S.Half) / sqrt(pi) + hyper(
(Rational(3, 2), ),
(Rational(3, 2), ), S.Half) + 2 * sqrt(2) * hyper(
(2, ), (Rational(5, 2), ), S.Half) / (3 * sqrt(pi))
mgf = moment_generating_function(ChiSquared('x', 1))(t)
assert mgf.diff(t).subs(t, 1) == I
mgf = moment_generating_function(Erlang('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 0) == 1
mgf = moment_generating_function(ExGaussian("x", 0, 1, 1))(t)
assert mgf.diff(t).subs(t, 2) == -exp(2)
mgf = moment_generating_function(Exponential('x', 1))(t)
assert mgf.diff(t).subs(t, 0) == 1
mgf = moment_generating_function(Gamma('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 0) == 1
mgf = moment_generating_function(Gumbel('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 0) == EulerGamma + 1
mgf = moment_generating_function(Gompertz('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 1) == -e * meijerg(((), (1, 1)),
((0, 0, 0), ()), 1)
mgf = moment_generating_function(Laplace('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 0) == 1
mgf = moment_generating_function(Logistic('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 0) == beta(1, 1)
mgf = moment_generating_function(Normal('x', 0, 1))(t)
assert mgf.diff(t).subs(t, 1) == exp(S.Half)
mgf = moment_generating_function(Pareto('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 0) == expint(1, 0)
mgf = moment_generating_function(QuadraticU('x', 1, 2))(t)
assert mgf.diff(t).subs(t, 1) == -12 * e - 3 * exp(2)
mgf = moment_generating_function(RaisedCosine('x', 1, 1))(t)
assert mgf.diff(t).subs(t, 1) == -2*e*pi**2*sinh(1)/\
(1 + pi**2)**2 + e*pi**2*cosh(1)/(1 + pi**2)
mgf = moment_generating_function(Rayleigh('x', 1))(t)
assert mgf.diff(t).subs(t, 0) == sqrt(2) * sqrt(pi) / 2
mgf = moment_generating_function(Triangular('x', 1, 3, 2))(t)
assert mgf.diff(t).subs(t, 1) == -e + exp(3)
mgf = moment_generating_function(Uniform('x', 0, 1))(t)
assert mgf.diff(t).subs(t, 1) == 1
mgf = moment_generating_function(UniformSum('x', 1))(t)
assert mgf.diff(t).subs(t, 1) == 1
mgf = moment_generating_function(WignerSemicircle('x', 1))(t)
assert mgf.diff(t).subs(t, 1) == -2*besseli(1, 1) + besseli(2, 1) +\
besseli(0, 1)
