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1
+ #
2
+
3
+ import warnings
4
+ from functools import partial
5
+
6
+ import numpy as np
7
+
8
+ from scipy import optimize
9
+ from scipy import integrate
10
+ from scipy.integrate._quadrature import _builtincoeffs
11
+ from scipy import interpolate
12
+ from scipy.interpolate import RectBivariateSpline
13
+ import scipy.special as sc
14
+ from scipy._lib._util import _lazywhere
15
+ from .._distn_infrastructure import rv_continuous, _ShapeInfo, rv_continuous_frozen
16
+ from .._continuous_distns import uniform, expon, _norm_pdf, _norm_cdf
17
+ from .levyst import Nolan
18
+ from scipy._lib.doccer import inherit_docstring_from
19
+
20
+
21
+ __all__ = ["levy_stable", "levy_stable_gen", "pdf_from_cf_with_fft"]
22
+
23
+ # Stable distributions are known for various parameterisations
24
+ # some being advantageous for numerical considerations and others
25
+ # useful due to their location/scale awareness.
26
+ #
27
+ # Here we follow [NO] convention (see the references in the docstring
28
+ # for levy_stable_gen below).
29
+ #
30
+ # S0 / Z0 / x0 (aka Zoleterav's M)
31
+ # S1 / Z1 / x1
32
+ #
33
+ # Where S* denotes parameterisation, Z* denotes standardized
34
+ # version where gamma = 1, delta = 0 and x* denotes variable.
35
+ #
36
+ # Scipy's original Stable was a random variate generator. It
37
+ # uses S1 and unfortunately is not a location/scale aware.
38
+
39
+
40
+ # default numerical integration tolerance
41
+ # used for epsrel in piecewise and both epsrel and epsabs in dni
42
+ # (epsabs needed in dni since weighted quad requires epsabs > 0)
43
+ _QUAD_EPS = 1.2e-14
44
+
45
+
46
+ def _Phi_Z0(alpha, t):
47
+ return (
48
+ -np.tan(np.pi * alpha / 2) * (np.abs(t) ** (1 - alpha) - 1)
49
+ if alpha != 1
50
+ else -2.0 * np.log(np.abs(t)) / np.pi
51
+ )
52
+
53
+
54
+ def _Phi_Z1(alpha, t):
55
+ return (
56
+ np.tan(np.pi * alpha / 2)
57
+ if alpha != 1
58
+ else -2.0 * np.log(np.abs(t)) / np.pi
59
+ )
60
+
61
+
62
+ def _cf(Phi, t, alpha, beta):
63
+ """Characteristic function."""
64
+ return np.exp(
65
+ -(np.abs(t) ** alpha) * (1 - 1j * beta * np.sign(t) * Phi(alpha, t))
66
+ )
67
+
68
+
69
+ _cf_Z0 = partial(_cf, _Phi_Z0)
70
+ _cf_Z1 = partial(_cf, _Phi_Z1)
71
+
72
+
73
+ def _pdf_single_value_cf_integrate(Phi, x, alpha, beta, **kwds):
74
+ """To improve DNI accuracy convert characteristic function in to real
75
+ valued integral using Euler's formula, then exploit cosine symmetry to
76
+ change limits to [0, inf). Finally use cosine addition formula to split
77
+ into two parts that can be handled by weighted quad pack.
78
+ """
79
+ quad_eps = kwds.get("quad_eps", _QUAD_EPS)
80
+
81
+ def integrand1(t):
82
+ if t == 0:
83
+ return 0
84
+ return np.exp(-(t ** alpha)) * (
85
+ np.cos(beta * (t ** alpha) * Phi(alpha, t))
86
+ )
87
+
88
+ def integrand2(t):
89
+ if t == 0:
90
+ return 0
91
+ return np.exp(-(t ** alpha)) * (
92
+ np.sin(beta * (t ** alpha) * Phi(alpha, t))
93
+ )
94
+
95
+ with np.errstate(invalid="ignore"):
96
+ int1, *ret1 = integrate.quad(
97
+ integrand1,
98
+ 0,
99
+ np.inf,
100
+ weight="cos",
101
+ wvar=x,
102
+ limit=1000,
103
+ epsabs=quad_eps,
104
+ epsrel=quad_eps,
105
+ full_output=1,
106
+ )
107
+
108
+ int2, *ret2 = integrate.quad(
109
+ integrand2,
110
+ 0,
111
+ np.inf,
112
+ weight="sin",
113
+ wvar=x,
114
+ limit=1000,
115
+ epsabs=quad_eps,
116
+ epsrel=quad_eps,
117
+ full_output=1,
118
+ )
119
+
120
+ return (int1 + int2) / np.pi
121
+
122
+
123
+ _pdf_single_value_cf_integrate_Z0 = partial(
124
+ _pdf_single_value_cf_integrate, _Phi_Z0
125
+ )
126
+ _pdf_single_value_cf_integrate_Z1 = partial(
127
+ _pdf_single_value_cf_integrate, _Phi_Z1
128
+ )
129
+
130
+
131
+ def _nolan_round_x_near_zeta(x0, alpha, zeta, x_tol_near_zeta):
132
+ """Round x close to zeta for Nolan's method in [NO]."""
133
+ # "8. When |x0-beta*tan(pi*alpha/2)| is small, the
134
+ # computations of the density and cumulative have numerical problems.
135
+ # The program works around this by setting
136
+ # z = beta*tan(pi*alpha/2) when
137
+ # |z-beta*tan(pi*alpha/2)| < tol(5)*alpha**(1/alpha).
138
+ # (The bound on the right is ad hoc, to get reasonable behavior
139
+ # when alpha is small)."
140
+ # where tol(5) = 0.5e-2 by default.
141
+ #
142
+ # We seem to have partially addressed this through re-expression of
143
+ # g(theta) here, but it still needs to be used in some extreme cases.
144
+ # Perhaps tol(5) = 0.5e-2 could be reduced for our implementation.
145
+ if np.abs(x0 - zeta) < x_tol_near_zeta * alpha ** (1 / alpha):
146
+ x0 = zeta
147
+ return x0
148
+
149
+
150
+ def _nolan_round_difficult_input(
151
+ x0, alpha, beta, zeta, x_tol_near_zeta, alpha_tol_near_one
152
+ ):
153
+ """Round difficult input values for Nolan's method in [NO]."""
154
+
155
+ # following Nolan's STABLE,
156
+ # "1. When 0 < |alpha-1| < 0.005, the program has numerical problems
157
+ # evaluating the pdf and cdf. The current version of the program sets
158
+ # alpha=1 in these cases. This approximation is not bad in the S0
159
+ # parameterization."
160
+ if np.abs(alpha - 1) < alpha_tol_near_one:
161
+ alpha = 1.0
162
+
163
+ # "2. When alpha=1 and |beta| < 0.005, the program has numerical
164
+ # problems. The current version sets beta=0."
165
+ # We seem to have addressed this through re-expression of g(theta) here
166
+
167
+ x0 = _nolan_round_x_near_zeta(x0, alpha, zeta, x_tol_near_zeta)
168
+ return x0, alpha, beta
169
+
170
+
171
+ def _pdf_single_value_piecewise_Z1(x, alpha, beta, **kwds):
172
+ # convert from Nolan's S_1 (aka S) to S_0 (aka Zolaterev M)
173
+ # parameterization
174
+
175
+ zeta = -beta * np.tan(np.pi * alpha / 2.0)
176
+ x0 = x + zeta if alpha != 1 else x
177
+
178
+ return _pdf_single_value_piecewise_Z0(x0, alpha, beta, **kwds)
179
+
180
+
181
+ def _pdf_single_value_piecewise_Z0(x0, alpha, beta, **kwds):
182
+
183
+ quad_eps = kwds.get("quad_eps", _QUAD_EPS)
184
+ x_tol_near_zeta = kwds.get("piecewise_x_tol_near_zeta", 0.005)
185
+ alpha_tol_near_one = kwds.get("piecewise_alpha_tol_near_one", 0.005)
186
+
187
+ zeta = -beta * np.tan(np.pi * alpha / 2.0)
188
+ x0, alpha, beta = _nolan_round_difficult_input(
189
+ x0, alpha, beta, zeta, x_tol_near_zeta, alpha_tol_near_one
190
+ )
191
+
192
+ # some other known distribution pdfs / analytical cases
193
+ # TODO: add more where possible with test coverage,
194
+ # eg https://en.wikipedia.org/wiki/Stable_distribution#Other_analytic_cases
195
+ if alpha == 2.0:
196
+ # normal
197
+ return _norm_pdf(x0 / np.sqrt(2)) / np.sqrt(2)
198
+ elif alpha == 0.5 and beta == 1.0:
199
+ # levy
200
+ # since S(1/2, 1, gamma, delta; <x>) ==
201
+ # S(1/2, 1, gamma, gamma + delta; <x0>).
202
+ _x = x0 + 1
203
+ if _x <= 0:
204
+ return 0
205
+
206
+ return 1 / np.sqrt(2 * np.pi * _x) / _x * np.exp(-1 / (2 * _x))
207
+ elif alpha == 0.5 and beta == 0.0 and x0 != 0:
208
+ # analytical solution [HO]
209
+ S, C = sc.fresnel([1 / np.sqrt(2 * np.pi * np.abs(x0))])
210
+ arg = 1 / (4 * np.abs(x0))
211
+ return (
212
+ np.sin(arg) * (0.5 - S[0]) + np.cos(arg) * (0.5 - C[0])
213
+ ) / np.sqrt(2 * np.pi * np.abs(x0) ** 3)
214
+ elif alpha == 1.0 and beta == 0.0:
215
+ # cauchy
216
+ return 1 / (1 + x0 ** 2) / np.pi
217
+
218
+ return _pdf_single_value_piecewise_post_rounding_Z0(
219
+ x0, alpha, beta, quad_eps, x_tol_near_zeta
220
+ )
221
+
222
+
223
+ def _pdf_single_value_piecewise_post_rounding_Z0(x0, alpha, beta, quad_eps,
224
+ x_tol_near_zeta):
225
+ """Calculate pdf using Nolan's methods as detailed in [NO]."""
226
+
227
+ _nolan = Nolan(alpha, beta, x0)
228
+ zeta = _nolan.zeta
229
+ xi = _nolan.xi
230
+ c2 = _nolan.c2
231
+ g = _nolan.g
232
+
233
+ # round x0 to zeta again if needed. zeta was recomputed and may have
234
+ # changed due to floating point differences.
235
+ # See https://github.com/scipy/scipy/pull/18133
236
+ x0 = _nolan_round_x_near_zeta(x0, alpha, zeta, x_tol_near_zeta)
237
+ # handle Nolan's initial case logic
238
+ if x0 == zeta:
239
+ return (
240
+ sc.gamma(1 + 1 / alpha)
241
+ * np.cos(xi)
242
+ / np.pi
243
+ / ((1 + zeta ** 2) ** (1 / alpha / 2))
244
+ )
245
+ elif x0 < zeta:
246
+ return _pdf_single_value_piecewise_post_rounding_Z0(
247
+ -x0, alpha, -beta, quad_eps, x_tol_near_zeta
248
+ )
249
+
250
+ # following Nolan, we may now assume
251
+ # x0 > zeta when alpha != 1
252
+ # beta != 0 when alpha == 1
253
+
254
+ # spare calculating integral on null set
255
+ # use isclose as macos has fp differences
256
+ if np.isclose(-xi, np.pi / 2, rtol=1e-014, atol=1e-014):
257
+ return 0.0
258
+
259
+ def integrand(theta):
260
+ # limit any numerical issues leading to g_1 < 0 near theta limits
261
+ g_1 = g(theta)
262
+ if not np.isfinite(g_1) or g_1 < 0:
263
+ g_1 = 0
264
+ return g_1 * np.exp(-g_1)
265
+
266
+ with np.errstate(all="ignore"):
267
+ peak = optimize.bisect(
268
+ lambda t: g(t) - 1, -xi, np.pi / 2, xtol=quad_eps
269
+ )
270
+
271
+ # this integrand can be very peaked, so we need to force
272
+ # QUADPACK to evaluate the function inside its support
273
+ #
274
+
275
+ # lastly, we add additional samples at
276
+ # ~exp(-100), ~exp(-10), ~exp(-5), ~exp(-1)
277
+ # to improve QUADPACK's detection of rapidly descending tail behavior
278
+ # (this choice is fairly ad hoc)
279
+ tail_points = [
280
+ optimize.bisect(lambda t: g(t) - exp_height, -xi, np.pi / 2)
281
+ for exp_height in [100, 10, 5]
282
+ # exp_height = 1 is handled by peak
283
+ ]
284
+ intg_points = [0, peak] + tail_points
285
+ intg, *ret = integrate.quad(
286
+ integrand,
287
+ -xi,
288
+ np.pi / 2,
289
+ points=intg_points,
290
+ limit=100,
291
+ epsrel=quad_eps,
292
+ epsabs=0,
293
+ full_output=1,
294
+ )
295
+
296
+ return c2 * intg
297
+
298
+
299
+ def _cdf_single_value_piecewise_Z1(x, alpha, beta, **kwds):
300
+ # convert from Nolan's S_1 (aka S) to S_0 (aka Zolaterev M)
301
+ # parameterization
302
+
303
+ zeta = -beta * np.tan(np.pi * alpha / 2.0)
304
+ x0 = x + zeta if alpha != 1 else x
305
+
306
+ return _cdf_single_value_piecewise_Z0(x0, alpha, beta, **kwds)
307
+
308
+
309
+ def _cdf_single_value_piecewise_Z0(x0, alpha, beta, **kwds):
310
+
311
+ quad_eps = kwds.get("quad_eps", _QUAD_EPS)
312
+ x_tol_near_zeta = kwds.get("piecewise_x_tol_near_zeta", 0.005)
313
+ alpha_tol_near_one = kwds.get("piecewise_alpha_tol_near_one", 0.005)
314
+
315
+ zeta = -beta * np.tan(np.pi * alpha / 2.0)
316
+ x0, alpha, beta = _nolan_round_difficult_input(
317
+ x0, alpha, beta, zeta, x_tol_near_zeta, alpha_tol_near_one
318
+ )
319
+
320
+ # some other known distribution cdfs / analytical cases
321
+ # TODO: add more where possible with test coverage,
322
+ # eg https://en.wikipedia.org/wiki/Stable_distribution#Other_analytic_cases
323
+ if alpha == 2.0:
324
+ # normal
325
+ return _norm_cdf(x0 / np.sqrt(2))
326
+ elif alpha == 0.5 and beta == 1.0:
327
+ # levy
328
+ # since S(1/2, 1, gamma, delta; <x>) ==
329
+ # S(1/2, 1, gamma, gamma + delta; <x0>).
330
+ _x = x0 + 1
331
+ if _x <= 0:
332
+ return 0
333
+
334
+ return sc.erfc(np.sqrt(0.5 / _x))
335
+ elif alpha == 1.0 and beta == 0.0:
336
+ # cauchy
337
+ return 0.5 + np.arctan(x0) / np.pi
338
+
339
+ return _cdf_single_value_piecewise_post_rounding_Z0(
340
+ x0, alpha, beta, quad_eps, x_tol_near_zeta
341
+ )
342
+
343
+
344
+ def _cdf_single_value_piecewise_post_rounding_Z0(x0, alpha, beta, quad_eps,
345
+ x_tol_near_zeta):
346
+ """Calculate cdf using Nolan's methods as detailed in [NO]."""
347
+ _nolan = Nolan(alpha, beta, x0)
348
+ zeta = _nolan.zeta
349
+ xi = _nolan.xi
350
+ c1 = _nolan.c1
351
+ # c2 = _nolan.c2
352
+ c3 = _nolan.c3
353
+ g = _nolan.g
354
+ # round x0 to zeta again if needed. zeta was recomputed and may have
355
+ # changed due to floating point differences.
356
+ # See https://github.com/scipy/scipy/pull/18133
357
+ x0 = _nolan_round_x_near_zeta(x0, alpha, zeta, x_tol_near_zeta)
358
+ # handle Nolan's initial case logic
359
+ if (alpha == 1 and beta < 0) or x0 < zeta:
360
+ # NOTE: Nolan's paper has a typo here!
361
+ # He states F(x) = 1 - F(x, alpha, -beta), but this is clearly
362
+ # incorrect since F(-infty) would be 1.0 in this case
363
+ # Indeed, the alpha != 1, x0 < zeta case is correct here.
364
+ return 1 - _cdf_single_value_piecewise_post_rounding_Z0(
365
+ -x0, alpha, -beta, quad_eps, x_tol_near_zeta
366
+ )
367
+ elif x0 == zeta:
368
+ return 0.5 - xi / np.pi
369
+
370
+ # following Nolan, we may now assume
371
+ # x0 > zeta when alpha != 1
372
+ # beta > 0 when alpha == 1
373
+
374
+ # spare calculating integral on null set
375
+ # use isclose as macos has fp differences
376
+ if np.isclose(-xi, np.pi / 2, rtol=1e-014, atol=1e-014):
377
+ return c1
378
+
379
+ def integrand(theta):
380
+ g_1 = g(theta)
381
+ return np.exp(-g_1)
382
+
383
+ with np.errstate(all="ignore"):
384
+ # shrink supports where required
385
+ left_support = -xi
386
+ right_support = np.pi / 2
387
+ if alpha > 1:
388
+ # integrand(t) monotonic 0 to 1
389
+ if integrand(-xi) != 0.0:
390
+ res = optimize.minimize(
391
+ integrand,
392
+ (-xi,),
393
+ method="L-BFGS-B",
394
+ bounds=[(-xi, np.pi / 2)],
395
+ )
396
+ left_support = res.x[0]
397
+ else:
398
+ # integrand(t) monotonic 1 to 0
399
+ if integrand(np.pi / 2) != 0.0:
400
+ res = optimize.minimize(
401
+ integrand,
402
+ (np.pi / 2,),
403
+ method="L-BFGS-B",
404
+ bounds=[(-xi, np.pi / 2)],
405
+ )
406
+ right_support = res.x[0]
407
+
408
+ intg, *ret = integrate.quad(
409
+ integrand,
410
+ left_support,
411
+ right_support,
412
+ points=[left_support, right_support],
413
+ limit=100,
414
+ epsrel=quad_eps,
415
+ epsabs=0,
416
+ full_output=1,
417
+ )
418
+
419
+ return c1 + c3 * intg
420
+
421
+
422
+ def _rvs_Z1(alpha, beta, size=None, random_state=None):
423
+ """Simulate random variables using Nolan's methods as detailed in [NO].
424
+ """
425
+
426
+ def alpha1func(alpha, beta, TH, aTH, bTH, cosTH, tanTH, W):
427
+ return (
428
+ 2
429
+ / np.pi
430
+ * (
431
+ (np.pi / 2 + bTH) * tanTH
432
+ - beta * np.log((np.pi / 2 * W * cosTH) / (np.pi / 2 + bTH))
433
+ )
434
+ )
435
+
436
+ def beta0func(alpha, beta, TH, aTH, bTH, cosTH, tanTH, W):
437
+ return (
438
+ W
439
+ / (cosTH / np.tan(aTH) + np.sin(TH))
440
+ * ((np.cos(aTH) + np.sin(aTH) * tanTH) / W) ** (1.0 / alpha)
441
+ )
442
+
443
+ def otherwise(alpha, beta, TH, aTH, bTH, cosTH, tanTH, W):
444
+ # alpha is not 1 and beta is not 0
445
+ val0 = beta * np.tan(np.pi * alpha / 2)
446
+ th0 = np.arctan(val0) / alpha
447
+ val3 = W / (cosTH / np.tan(alpha * (th0 + TH)) + np.sin(TH))
448
+ res3 = val3 * (
449
+ (
450
+ np.cos(aTH)
451
+ + np.sin(aTH) * tanTH
452
+ - val0 * (np.sin(aTH) - np.cos(aTH) * tanTH)
453
+ )
454
+ / W
455
+ ) ** (1.0 / alpha)
456
+ return res3
457
+
458
+ def alphanot1func(alpha, beta, TH, aTH, bTH, cosTH, tanTH, W):
459
+ res = _lazywhere(
460
+ beta == 0,
461
+ (alpha, beta, TH, aTH, bTH, cosTH, tanTH, W),
462
+ beta0func,
463
+ f2=otherwise,
464
+ )
465
+ return res
466
+
467
+ alpha = np.broadcast_to(alpha, size)
468
+ beta = np.broadcast_to(beta, size)
469
+ TH = uniform.rvs(
470
+ loc=-np.pi / 2.0, scale=np.pi, size=size, random_state=random_state
471
+ )
472
+ W = expon.rvs(size=size, random_state=random_state)
473
+ aTH = alpha * TH
474
+ bTH = beta * TH
475
+ cosTH = np.cos(TH)
476
+ tanTH = np.tan(TH)
477
+ res = _lazywhere(
478
+ alpha == 1,
479
+ (alpha, beta, TH, aTH, bTH, cosTH, tanTH, W),
480
+ alpha1func,
481
+ f2=alphanot1func,
482
+ )
483
+ return res
484
+
485
+
486
+ def _fitstart_S0(data):
487
+ alpha, beta, delta1, gamma = _fitstart_S1(data)
488
+
489
+ # Formulas for mapping parameters in S1 parameterization to
490
+ # those in S0 parameterization can be found in [NO]. Note that
491
+ # only delta changes.
492
+ if alpha != 1:
493
+ delta0 = delta1 + beta * gamma * np.tan(np.pi * alpha / 2.0)
494
+ else:
495
+ delta0 = delta1 + 2 * beta * gamma * np.log(gamma) / np.pi
496
+
497
+ return alpha, beta, delta0, gamma
498
+
499
+
500
+ def _fitstart_S1(data):
501
+ # We follow McCullock 1986 method - Simple Consistent Estimators
502
+ # of Stable Distribution Parameters
503
+
504
+ # fmt: off
505
+ # Table III and IV
506
+ nu_alpha_range = [2.439, 2.5, 2.6, 2.7, 2.8, 3, 3.2, 3.5, 4,
507
+ 5, 6, 8, 10, 15, 25]
508
+ nu_beta_range = [0, 0.1, 0.2, 0.3, 0.5, 0.7, 1]
509
+
510
+ # table III - alpha = psi_1(nu_alpha, nu_beta)
511
+ alpha_table = np.array([
512
+ [2.000, 2.000, 2.000, 2.000, 2.000, 2.000, 2.000],
513
+ [1.916, 1.924, 1.924, 1.924, 1.924, 1.924, 1.924],
514
+ [1.808, 1.813, 1.829, 1.829, 1.829, 1.829, 1.829],
515
+ [1.729, 1.730, 1.737, 1.745, 1.745, 1.745, 1.745],
516
+ [1.664, 1.663, 1.663, 1.668, 1.676, 1.676, 1.676],
517
+ [1.563, 1.560, 1.553, 1.548, 1.547, 1.547, 1.547],
518
+ [1.484, 1.480, 1.471, 1.460, 1.448, 1.438, 1.438],
519
+ [1.391, 1.386, 1.378, 1.364, 1.337, 1.318, 1.318],
520
+ [1.279, 1.273, 1.266, 1.250, 1.210, 1.184, 1.150],
521
+ [1.128, 1.121, 1.114, 1.101, 1.067, 1.027, 0.973],
522
+ [1.029, 1.021, 1.014, 1.004, 0.974, 0.935, 0.874],
523
+ [0.896, 0.892, 0.884, 0.883, 0.855, 0.823, 0.769],
524
+ [0.818, 0.812, 0.806, 0.801, 0.780, 0.756, 0.691],
525
+ [0.698, 0.695, 0.692, 0.689, 0.676, 0.656, 0.597],
526
+ [0.593, 0.590, 0.588, 0.586, 0.579, 0.563, 0.513]]).T
527
+ # transpose because interpolation with `RectBivariateSpline` is with
528
+ # `nu_beta` as `x` and `nu_alpha` as `y`
529
+
530
+ # table IV - beta = psi_2(nu_alpha, nu_beta)
531
+ beta_table = np.array([
532
+ [0, 2.160, 1.000, 1.000, 1.000, 1.000, 1.000],
533
+ [0, 1.592, 3.390, 1.000, 1.000, 1.000, 1.000],
534
+ [0, 0.759, 1.800, 1.000, 1.000, 1.000, 1.000],
535
+ [0, 0.482, 1.048, 1.694, 1.000, 1.000, 1.000],
536
+ [0, 0.360, 0.760, 1.232, 2.229, 1.000, 1.000],
537
+ [0, 0.253, 0.518, 0.823, 1.575, 1.000, 1.000],
538
+ [0, 0.203, 0.410, 0.632, 1.244, 1.906, 1.000],
539
+ [0, 0.165, 0.332, 0.499, 0.943, 1.560, 1.000],
540
+ [0, 0.136, 0.271, 0.404, 0.689, 1.230, 2.195],
541
+ [0, 0.109, 0.216, 0.323, 0.539, 0.827, 1.917],
542
+ [0, 0.096, 0.190, 0.284, 0.472, 0.693, 1.759],
543
+ [0, 0.082, 0.163, 0.243, 0.412, 0.601, 1.596],
544
+ [0, 0.074, 0.147, 0.220, 0.377, 0.546, 1.482],
545
+ [0, 0.064, 0.128, 0.191, 0.330, 0.478, 1.362],
546
+ [0, 0.056, 0.112, 0.167, 0.285, 0.428, 1.274]]).T
547
+
548
+ # Table V and VII
549
+ # These are ordered with decreasing `alpha_range`; so we will need to
550
+ # reverse them as required by RectBivariateSpline.
551
+ alpha_range = [2, 1.9, 1.8, 1.7, 1.6, 1.5, 1.4, 1.3, 1.2, 1.1,
552
+ 1, 0.9, 0.8, 0.7, 0.6, 0.5][::-1]
553
+ beta_range = [0, 0.25, 0.5, 0.75, 1]
554
+
555
+ # Table V - nu_c = psi_3(alpha, beta)
556
+ nu_c_table = np.array([
557
+ [1.908, 1.908, 1.908, 1.908, 1.908],
558
+ [1.914, 1.915, 1.916, 1.918, 1.921],
559
+ [1.921, 1.922, 1.927, 1.936, 1.947],
560
+ [1.927, 1.930, 1.943, 1.961, 1.987],
561
+ [1.933, 1.940, 1.962, 1.997, 2.043],
562
+ [1.939, 1.952, 1.988, 2.045, 2.116],
563
+ [1.946, 1.967, 2.022, 2.106, 2.211],
564
+ [1.955, 1.984, 2.067, 2.188, 2.333],
565
+ [1.965, 2.007, 2.125, 2.294, 2.491],
566
+ [1.980, 2.040, 2.205, 2.435, 2.696],
567
+ [2.000, 2.085, 2.311, 2.624, 2.973],
568
+ [2.040, 2.149, 2.461, 2.886, 3.356],
569
+ [2.098, 2.244, 2.676, 3.265, 3.912],
570
+ [2.189, 2.392, 3.004, 3.844, 4.775],
571
+ [2.337, 2.634, 3.542, 4.808, 6.247],
572
+ [2.588, 3.073, 4.534, 6.636, 9.144]])[::-1].T
573
+ # transpose because interpolation with `RectBivariateSpline` is with
574
+ # `beta` as `x` and `alpha` as `y`
575
+
576
+ # Table VII - nu_zeta = psi_5(alpha, beta)
577
+ nu_zeta_table = np.array([
578
+ [0, 0.000, 0.000, 0.000, 0.000],
579
+ [0, -0.017, -0.032, -0.049, -0.064],
580
+ [0, -0.030, -0.061, -0.092, -0.123],
581
+ [0, -0.043, -0.088, -0.132, -0.179],
582
+ [0, -0.056, -0.111, -0.170, -0.232],
583
+ [0, -0.066, -0.134, -0.206, -0.283],
584
+ [0, -0.075, -0.154, -0.241, -0.335],
585
+ [0, -0.084, -0.173, -0.276, -0.390],
586
+ [0, -0.090, -0.192, -0.310, -0.447],
587
+ [0, -0.095, -0.208, -0.346, -0.508],
588
+ [0, -0.098, -0.223, -0.380, -0.576],
589
+ [0, -0.099, -0.237, -0.424, -0.652],
590
+ [0, -0.096, -0.250, -0.469, -0.742],
591
+ [0, -0.089, -0.262, -0.520, -0.853],
592
+ [0, -0.078, -0.272, -0.581, -0.997],
593
+ [0, -0.061, -0.279, -0.659, -1.198]])[::-1].T
594
+ # fmt: on
595
+
596
+ psi_1 = RectBivariateSpline(nu_beta_range, nu_alpha_range,
597
+ alpha_table, kx=1, ky=1, s=0)
598
+
599
+ def psi_1_1(nu_beta, nu_alpha):
600
+ return psi_1(nu_beta, nu_alpha) \
601
+ if nu_beta > 0 else psi_1(-nu_beta, nu_alpha)
602
+
603
+ psi_2 = RectBivariateSpline(nu_beta_range, nu_alpha_range,
604
+ beta_table, kx=1, ky=1, s=0)
605
+
606
+ def psi_2_1(nu_beta, nu_alpha):
607
+ return psi_2(nu_beta, nu_alpha) \
608
+ if nu_beta > 0 else -psi_2(-nu_beta, nu_alpha)
609
+
610
+ phi_3 = RectBivariateSpline(beta_range, alpha_range, nu_c_table,
611
+ kx=1, ky=1, s=0)
612
+
613
+ def phi_3_1(beta, alpha):
614
+ return phi_3(beta, alpha) if beta > 0 else phi_3(-beta, alpha)
615
+
616
+ phi_5 = RectBivariateSpline(beta_range, alpha_range, nu_zeta_table,
617
+ kx=1, ky=1, s=0)
618
+
619
+ def phi_5_1(beta, alpha):
620
+ return phi_5(beta, alpha) if beta > 0 else -phi_5(-beta, alpha)
621
+
622
+ # quantiles
623
+ p05 = np.percentile(data, 5)
624
+ p50 = np.percentile(data, 50)
625
+ p95 = np.percentile(data, 95)
626
+ p25 = np.percentile(data, 25)
627
+ p75 = np.percentile(data, 75)
628
+
629
+ nu_alpha = (p95 - p05) / (p75 - p25)
630
+ nu_beta = (p95 + p05 - 2 * p50) / (p95 - p05)
631
+
632
+ if nu_alpha >= 2.439:
633
+ eps = np.finfo(float).eps
634
+ alpha = np.clip(psi_1_1(nu_beta, nu_alpha)[0, 0], eps, 2.)
635
+ beta = np.clip(psi_2_1(nu_beta, nu_alpha)[0, 0], -1.0, 1.0)
636
+ else:
637
+ alpha = 2.0
638
+ beta = np.sign(nu_beta)
639
+ c = (p75 - p25) / phi_3_1(beta, alpha)[0, 0]
640
+ zeta = p50 + c * phi_5_1(beta, alpha)[0, 0]
641
+ delta = zeta-beta*c*np.tan(np.pi*alpha/2.) if alpha != 1. else zeta
642
+
643
+ return (alpha, beta, delta, c)
644
+
645
+
646
+ class levy_stable_gen(rv_continuous):
647
+ r"""A Levy-stable continuous random variable.
648
+
649
+ %(before_notes)s
650
+
651
+ See Also
652
+ --------
653
+ levy, levy_l, cauchy, norm
654
+
655
+ Notes
656
+ -----
657
+ The distribution for `levy_stable` has characteristic function:
658
+
659
+ .. math::
660
+
661
+ \varphi(t, \alpha, \beta, c, \mu) =
662
+ e^{it\mu -|ct|^{\alpha}(1-i\beta\operatorname{sign}(t)\Phi(\alpha, t))}
663
+
664
+ where two different parameterizations are supported. The first :math:`S_1`:
665
+
666
+ .. math::
667
+
668
+ \Phi = \begin{cases}
669
+ \tan \left({\frac {\pi \alpha }{2}}\right)&\alpha \neq 1\\
670
+ -{\frac {2}{\pi }}\log |t|&\alpha =1
671
+ \end{cases}
672
+
673
+ The second :math:`S_0`:
674
+
675
+ .. math::
676
+
677
+ \Phi = \begin{cases}
678
+ -\tan \left({\frac {\pi \alpha }{2}}\right)(|ct|^{1-\alpha}-1)
679
+ &\alpha \neq 1\\
680
+ -{\frac {2}{\pi }}\log |ct|&\alpha =1
681
+ \end{cases}
682
+
683
+
684
+ The probability density function for `levy_stable` is:
685
+
686
+ .. math::
687
+
688
+ f(x) = \frac{1}{2\pi}\int_{-\infty}^\infty \varphi(t)e^{-ixt}\,dt
689
+
690
+ where :math:`-\infty < t < \infty`. This integral does not have a known
691
+ closed form.
692
+
693
+ `levy_stable` generalizes several distributions. Where possible, they
694
+ should be used instead. Specifically, when the shape parameters
695
+ assume the values in the table below, the corresponding equivalent
696
+ distribution should be used.
697
+
698
+ ========= ======== ===========
699
+ ``alpha`` ``beta`` Equivalent
700
+ ========= ======== ===========
701
+ 1/2 -1 `levy_l`
702
+ 1/2 1 `levy`
703
+ 1 0 `cauchy`
704
+ 2 any `norm` (with ``scale=sqrt(2)``)
705
+ ========= ======== ===========
706
+
707
+ Evaluation of the pdf uses Nolan's piecewise integration approach with the
708
+ Zolotarev :math:`M` parameterization by default. There is also the option
709
+ to use direct numerical integration of the standard parameterization of the
710
+ characteristic function or to evaluate by taking the FFT of the
711
+ characteristic function.
712
+
713
+ The default method can changed by setting the class variable
714
+ ``levy_stable.pdf_default_method`` to one of 'piecewise' for Nolan's
715
+ approach, 'dni' for direct numerical integration, or 'fft-simpson' for the
716
+ FFT based approach. For the sake of backwards compatibility, the methods
717
+ 'best' and 'zolotarev' are equivalent to 'piecewise' and the method
718
+ 'quadrature' is equivalent to 'dni'.
719
+
720
+ The parameterization can be changed by setting the class variable
721
+ ``levy_stable.parameterization`` to either 'S0' or 'S1'.
722
+ The default is 'S1'.
723
+
724
+ To improve performance of piecewise and direct numerical integration one
725
+ can specify ``levy_stable.quad_eps`` (defaults to 1.2e-14). This is used
726
+ as both the absolute and relative quadrature tolerance for direct numerical
727
+ integration and as the relative quadrature tolerance for the piecewise
728
+ method. One can also specify ``levy_stable.piecewise_x_tol_near_zeta``
729
+ (defaults to 0.005) for how close x is to zeta before it is considered the
730
+ same as x [NO]. The exact check is
731
+ ``abs(x0 - zeta) < piecewise_x_tol_near_zeta*alpha**(1/alpha)``. One can
732
+ also specify ``levy_stable.piecewise_alpha_tol_near_one`` (defaults to
733
+ 0.005) for how close alpha is to 1 before being considered equal to 1.
734
+
735
+ To increase accuracy of FFT calculation one can specify
736
+ ``levy_stable.pdf_fft_grid_spacing`` (defaults to 0.001) and
737
+ ``pdf_fft_n_points_two_power`` (defaults to None which means a value is
738
+ calculated that sufficiently covers the input range).
739
+
740
+ Further control over FFT calculation is available by setting
741
+ ``pdf_fft_interpolation_degree`` (defaults to 3) for spline order and
742
+ ``pdf_fft_interpolation_level`` for determining the number of points to use
743
+ in the Newton-Cotes formula when approximating the characteristic function
744
+ (considered experimental).
745
+
746
+ Evaluation of the cdf uses Nolan's piecewise integration approach with the
747
+ Zolatarev :math:`S_0` parameterization by default. There is also the option
748
+ to evaluate through integration of an interpolated spline of the pdf
749
+ calculated by means of the FFT method. The settings affecting FFT
750
+ calculation are the same as for pdf calculation. The default cdf method can
751
+ be changed by setting ``levy_stable.cdf_default_method`` to either
752
+ 'piecewise' or 'fft-simpson'. For cdf calculations the Zolatarev method is
753
+ superior in accuracy, so FFT is disabled by default.
754
+
755
+ Fitting estimate uses quantile estimation method in [MC]. MLE estimation of
756
+ parameters in fit method uses this quantile estimate initially. Note that
757
+ MLE doesn't always converge if using FFT for pdf calculations; this will be
758
+ the case if alpha <= 1 where the FFT approach doesn't give good
759
+ approximations.
760
+
761
+ Any non-missing value for the attribute
762
+ ``levy_stable.pdf_fft_min_points_threshold`` will set
763
+ ``levy_stable.pdf_default_method`` to 'fft-simpson' if a valid
764
+ default method is not otherwise set.
765
+
766
+
767
+
768
+ .. warning::
769
+
770
+ For pdf calculations FFT calculation is considered experimental.
771
+
772
+ For cdf calculations FFT calculation is considered experimental. Use
773
+ Zolatarev's method instead (default).
774
+
775
+ The probability density above is defined in the "standardized" form. To
776
+ shift and/or scale the distribution use the ``loc`` and ``scale``
777
+ parameters.
778
+ Generally ``%(name)s.pdf(x, %(shapes)s, loc, scale)`` is identically
779
+ equivalent to ``%(name)s.pdf(y, %(shapes)s) / scale`` with
780
+ ``y = (x - loc) / scale``, except in the ``S1`` parameterization if
781
+ ``alpha == 1``. In that case ``%(name)s.pdf(x, %(shapes)s, loc, scale)``
782
+ is identically equivalent to ``%(name)s.pdf(y, %(shapes)s) / scale`` with
783
+ ``y = (x - loc - 2 * beta * scale * np.log(scale) / np.pi) / scale``.
784
+ See [NO2]_ Definition 1.8 for more information.
785
+ Note that shifting the location of a distribution
786
+ does not make it a "noncentral" distribution.
787
+
788
+ References
789
+ ----------
790
+ .. [MC] McCulloch, J., 1986. Simple consistent estimators of stable
791
+ distribution parameters. Communications in Statistics - Simulation and
792
+ Computation 15, 11091136.
793
+ .. [WZ] Wang, Li and Zhang, Ji-Hong, 2008. Simpson's rule based FFT method
794
+ to compute densities of stable distribution.
795
+ .. [NO] Nolan, J., 1997. Numerical Calculation of Stable Densities and
796
+ distributions Functions.
797
+ .. [NO2] Nolan, J., 2018. Stable Distributions: Models for Heavy Tailed
798
+ Data.
799
+ .. [HO] Hopcraft, K. I., Jakeman, E., Tanner, R. M. J., 1999. Lévy random
800
+ walks with fluctuating step number and multiscale behavior.
801
+
802
+ %(example)s
803
+
804
+ """
805
+ # Configurable options as class variables
806
+ # (accessible from self by attribute lookup).
807
+ parameterization = "S1"
808
+ pdf_default_method = "piecewise"
809
+ cdf_default_method = "piecewise"
810
+ quad_eps = _QUAD_EPS
811
+ piecewise_x_tol_near_zeta = 0.005
812
+ piecewise_alpha_tol_near_one = 0.005
813
+ pdf_fft_min_points_threshold = None
814
+ pdf_fft_grid_spacing = 0.001
815
+ pdf_fft_n_points_two_power = None
816
+ pdf_fft_interpolation_level = 3
817
+ pdf_fft_interpolation_degree = 3
818
+
819
+ def __call__(self, *args, **params):
820
+ dist = levy_stable_frozen(self, *args, **params)
821
+ dist.parameterization = self.parameterization
822
+ return dist
823
+
824
+ def _argcheck(self, alpha, beta):
825
+ return (alpha > 0) & (alpha <= 2) & (beta <= 1) & (beta >= -1)
826
+
827
+ def _shape_info(self):
828
+ ialpha = _ShapeInfo("alpha", False, (0, 2), (False, True))
829
+ ibeta = _ShapeInfo("beta", False, (-1, 1), (True, True))
830
+ return [ialpha, ibeta]
831
+
832
+ def _parameterization(self):
833
+ allowed = ("S0", "S1")
834
+ pz = self.parameterization
835
+ if pz not in allowed:
836
+ raise RuntimeError(
837
+ f"Parameterization '{pz}' in supported list: {allowed}"
838
+ )
839
+ return pz
840
+
841
+ @inherit_docstring_from(rv_continuous)
842
+ def rvs(self, *args, **kwds):
843
+ X1 = super().rvs(*args, **kwds)
844
+
845
+ kwds.pop("discrete", None)
846
+ kwds.pop("random_state", None)
847
+ (alpha, beta), delta, gamma, size = self._parse_args_rvs(*args, **kwds)
848
+
849
+ # shift location for this parameterisation (S1)
850
+ X1 = np.where(
851
+ alpha == 1.0, X1 + 2 * beta * gamma * np.log(gamma) / np.pi, X1
852
+ )
853
+
854
+ if self._parameterization() == "S0":
855
+ return np.where(
856
+ alpha == 1.0,
857
+ X1 - (beta * 2 * gamma * np.log(gamma) / np.pi),
858
+ X1 - gamma * beta * np.tan(np.pi * alpha / 2.0),
859
+ )
860
+ elif self._parameterization() == "S1":
861
+ return X1
862
+
863
+ def _rvs(self, alpha, beta, size=None, random_state=None):
864
+ return _rvs_Z1(alpha, beta, size, random_state)
865
+
866
+ @inherit_docstring_from(rv_continuous)
867
+ def pdf(self, x, *args, **kwds):
868
+ # override base class version to correct
869
+ # location for S1 parameterization
870
+ if self._parameterization() == "S0":
871
+ return super().pdf(x, *args, **kwds)
872
+ elif self._parameterization() == "S1":
873
+ (alpha, beta), delta, gamma = self._parse_args(*args, **kwds)
874
+ if np.all(np.reshape(alpha, (1, -1))[0, :] != 1):
875
+ return super().pdf(x, *args, **kwds)
876
+ else:
877
+ # correct location for this parameterisation
878
+ x = np.reshape(x, (1, -1))[0, :]
879
+ x, alpha, beta = np.broadcast_arrays(x, alpha, beta)
880
+
881
+ data_in = np.dstack((x, alpha, beta))[0]
882
+ data_out = np.empty(shape=(len(data_in), 1))
883
+ # group data in unique arrays of alpha, beta pairs
884
+ uniq_param_pairs = np.unique(data_in[:, 1:], axis=0)
885
+ for pair in uniq_param_pairs:
886
+ _alpha, _beta = pair
887
+ _delta = (
888
+ delta + 2 * _beta * gamma * np.log(gamma) / np.pi
889
+ if _alpha == 1.0
890
+ else delta
891
+ )
892
+ data_mask = np.all(data_in[:, 1:] == pair, axis=-1)
893
+ _x = data_in[data_mask, 0]
894
+ data_out[data_mask] = (
895
+ super()
896
+ .pdf(_x, _alpha, _beta, loc=_delta, scale=gamma)
897
+ .reshape(len(_x), 1)
898
+ )
899
+ output = data_out.T[0]
900
+ if output.shape == (1,):
901
+ return output[0]
902
+ return output
903
+
904
+ def _pdf(self, x, alpha, beta):
905
+ if self._parameterization() == "S0":
906
+ _pdf_single_value_piecewise = _pdf_single_value_piecewise_Z0
907
+ _pdf_single_value_cf_integrate = _pdf_single_value_cf_integrate_Z0
908
+ _cf = _cf_Z0
909
+ elif self._parameterization() == "S1":
910
+ _pdf_single_value_piecewise = _pdf_single_value_piecewise_Z1
911
+ _pdf_single_value_cf_integrate = _pdf_single_value_cf_integrate_Z1
912
+ _cf = _cf_Z1
913
+
914
+ x = np.asarray(x).reshape(1, -1)[0, :]
915
+
916
+ x, alpha, beta = np.broadcast_arrays(x, alpha, beta)
917
+
918
+ data_in = np.dstack((x, alpha, beta))[0]
919
+ data_out = np.empty(shape=(len(data_in), 1))
920
+
921
+ pdf_default_method_name = self.pdf_default_method
922
+ if pdf_default_method_name in ("piecewise", "best", "zolotarev"):
923
+ pdf_single_value_method = _pdf_single_value_piecewise
924
+ elif pdf_default_method_name in ("dni", "quadrature"):
925
+ pdf_single_value_method = _pdf_single_value_cf_integrate
926
+ elif (
927
+ pdf_default_method_name == "fft-simpson"
928
+ or self.pdf_fft_min_points_threshold is not None
929
+ ):
930
+ pdf_single_value_method = None
931
+
932
+ pdf_single_value_kwds = {
933
+ "quad_eps": self.quad_eps,
934
+ "piecewise_x_tol_near_zeta": self.piecewise_x_tol_near_zeta,
935
+ "piecewise_alpha_tol_near_one": self.piecewise_alpha_tol_near_one,
936
+ }
937
+
938
+ fft_grid_spacing = self.pdf_fft_grid_spacing
939
+ fft_n_points_two_power = self.pdf_fft_n_points_two_power
940
+ fft_interpolation_level = self.pdf_fft_interpolation_level
941
+ fft_interpolation_degree = self.pdf_fft_interpolation_degree
942
+
943
+ # group data in unique arrays of alpha, beta pairs
944
+ uniq_param_pairs = np.unique(data_in[:, 1:], axis=0)
945
+ for pair in uniq_param_pairs:
946
+ data_mask = np.all(data_in[:, 1:] == pair, axis=-1)
947
+ data_subset = data_in[data_mask]
948
+ if pdf_single_value_method is not None:
949
+ data_out[data_mask] = np.array(
950
+ [
951
+ pdf_single_value_method(
952
+ _x, _alpha, _beta, **pdf_single_value_kwds
953
+ )
954
+ for _x, _alpha, _beta in data_subset
955
+ ]
956
+ ).reshape(len(data_subset), 1)
957
+ else:
958
+ warnings.warn(
959
+ "Density calculations experimental for FFT method."
960
+ + " Use combination of piecewise and dni methods instead.",
961
+ RuntimeWarning, stacklevel=3,
962
+ )
963
+ _alpha, _beta = pair
964
+ _x = data_subset[:, (0,)]
965
+
966
+ if _alpha < 1.0:
967
+ raise RuntimeError(
968
+ "FFT method does not work well for alpha less than 1."
969
+ )
970
+
971
+ # need enough points to "cover" _x for interpolation
972
+ if fft_grid_spacing is None and fft_n_points_two_power is None:
973
+ raise ValueError(
974
+ "One of fft_grid_spacing or fft_n_points_two_power "
975
+ + "needs to be set."
976
+ )
977
+ max_abs_x = np.max(np.abs(_x))
978
+ h = (
979
+ 2 ** (3 - fft_n_points_two_power) * max_abs_x
980
+ if fft_grid_spacing is None
981
+ else fft_grid_spacing
982
+ )
983
+ q = (
984
+ np.ceil(np.log(2 * max_abs_x / h) / np.log(2)) + 2
985
+ if fft_n_points_two_power is None
986
+ else int(fft_n_points_two_power)
987
+ )
988
+
989
+ # for some parameters, the range of x can be quite
990
+ # large, let's choose an arbitrary cut off (8GB) to save on
991
+ # computer memory.
992
+ MAX_Q = 30
993
+ if q > MAX_Q:
994
+ raise RuntimeError(
995
+ "fft_n_points_two_power has a maximum "
996
+ + f"value of {MAX_Q}"
997
+ )
998
+
999
+ density_x, density = pdf_from_cf_with_fft(
1000
+ lambda t: _cf(t, _alpha, _beta),
1001
+ h=h,
1002
+ q=q,
1003
+ level=fft_interpolation_level,
1004
+ )
1005
+ f = interpolate.InterpolatedUnivariateSpline(
1006
+ density_x, np.real(density), k=fft_interpolation_degree
1007
+ ) # patch FFT to use cubic
1008
+ data_out[data_mask] = f(_x)
1009
+
1010
+ return data_out.T[0]
1011
+
1012
+ @inherit_docstring_from(rv_continuous)
1013
+ def cdf(self, x, *args, **kwds):
1014
+ # override base class version to correct
1015
+ # location for S1 parameterization
1016
+ # NOTE: this is near identical to pdf() above
1017
+ if self._parameterization() == "S0":
1018
+ return super().cdf(x, *args, **kwds)
1019
+ elif self._parameterization() == "S1":
1020
+ (alpha, beta), delta, gamma = self._parse_args(*args, **kwds)
1021
+ if np.all(np.reshape(alpha, (1, -1))[0, :] != 1):
1022
+ return super().cdf(x, *args, **kwds)
1023
+ else:
1024
+ # correct location for this parameterisation
1025
+ x = np.reshape(x, (1, -1))[0, :]
1026
+ x, alpha, beta = np.broadcast_arrays(x, alpha, beta)
1027
+
1028
+ data_in = np.dstack((x, alpha, beta))[0]
1029
+ data_out = np.empty(shape=(len(data_in), 1))
1030
+ # group data in unique arrays of alpha, beta pairs
1031
+ uniq_param_pairs = np.unique(data_in[:, 1:], axis=0)
1032
+ for pair in uniq_param_pairs:
1033
+ _alpha, _beta = pair
1034
+ _delta = (
1035
+ delta + 2 * _beta * gamma * np.log(gamma) / np.pi
1036
+ if _alpha == 1.0
1037
+ else delta
1038
+ )
1039
+ data_mask = np.all(data_in[:, 1:] == pair, axis=-1)
1040
+ _x = data_in[data_mask, 0]
1041
+ data_out[data_mask] = (
1042
+ super()
1043
+ .cdf(_x, _alpha, _beta, loc=_delta, scale=gamma)
1044
+ .reshape(len(_x), 1)
1045
+ )
1046
+ output = data_out.T[0]
1047
+ if output.shape == (1,):
1048
+ return output[0]
1049
+ return output
1050
+
1051
+ def _cdf(self, x, alpha, beta):
1052
+ if self._parameterization() == "S0":
1053
+ _cdf_single_value_piecewise = _cdf_single_value_piecewise_Z0
1054
+ _cf = _cf_Z0
1055
+ elif self._parameterization() == "S1":
1056
+ _cdf_single_value_piecewise = _cdf_single_value_piecewise_Z1
1057
+ _cf = _cf_Z1
1058
+
1059
+ x = np.asarray(x).reshape(1, -1)[0, :]
1060
+
1061
+ x, alpha, beta = np.broadcast_arrays(x, alpha, beta)
1062
+
1063
+ data_in = np.dstack((x, alpha, beta))[0]
1064
+ data_out = np.empty(shape=(len(data_in), 1))
1065
+
1066
+ cdf_default_method_name = self.cdf_default_method
1067
+ if cdf_default_method_name == "piecewise":
1068
+ cdf_single_value_method = _cdf_single_value_piecewise
1069
+ elif cdf_default_method_name == "fft-simpson":
1070
+ cdf_single_value_method = None
1071
+
1072
+ cdf_single_value_kwds = {
1073
+ "quad_eps": self.quad_eps,
1074
+ "piecewise_x_tol_near_zeta": self.piecewise_x_tol_near_zeta,
1075
+ "piecewise_alpha_tol_near_one": self.piecewise_alpha_tol_near_one,
1076
+ }
1077
+
1078
+ fft_grid_spacing = self.pdf_fft_grid_spacing
1079
+ fft_n_points_two_power = self.pdf_fft_n_points_two_power
1080
+ fft_interpolation_level = self.pdf_fft_interpolation_level
1081
+ fft_interpolation_degree = self.pdf_fft_interpolation_degree
1082
+
1083
+ # group data in unique arrays of alpha, beta pairs
1084
+ uniq_param_pairs = np.unique(data_in[:, 1:], axis=0)
1085
+ for pair in uniq_param_pairs:
1086
+ data_mask = np.all(data_in[:, 1:] == pair, axis=-1)
1087
+ data_subset = data_in[data_mask]
1088
+ if cdf_single_value_method is not None:
1089
+ data_out[data_mask] = np.array(
1090
+ [
1091
+ cdf_single_value_method(
1092
+ _x, _alpha, _beta, **cdf_single_value_kwds
1093
+ )
1094
+ for _x, _alpha, _beta in data_subset
1095
+ ]
1096
+ ).reshape(len(data_subset), 1)
1097
+ else:
1098
+ warnings.warn(
1099
+ "Cumulative density calculations experimental for FFT"
1100
+ + " method. Use piecewise method instead.",
1101
+ RuntimeWarning, stacklevel=3,
1102
+ )
1103
+ _alpha, _beta = pair
1104
+ _x = data_subset[:, (0,)]
1105
+
1106
+ # need enough points to "cover" _x for interpolation
1107
+ if fft_grid_spacing is None and fft_n_points_two_power is None:
1108
+ raise ValueError(
1109
+ "One of fft_grid_spacing or fft_n_points_two_power "
1110
+ + "needs to be set."
1111
+ )
1112
+ max_abs_x = np.max(np.abs(_x))
1113
+ h = (
1114
+ 2 ** (3 - fft_n_points_two_power) * max_abs_x
1115
+ if fft_grid_spacing is None
1116
+ else fft_grid_spacing
1117
+ )
1118
+ q = (
1119
+ np.ceil(np.log(2 * max_abs_x / h) / np.log(2)) + 2
1120
+ if fft_n_points_two_power is None
1121
+ else int(fft_n_points_two_power)
1122
+ )
1123
+
1124
+ density_x, density = pdf_from_cf_with_fft(
1125
+ lambda t: _cf(t, _alpha, _beta),
1126
+ h=h,
1127
+ q=q,
1128
+ level=fft_interpolation_level,
1129
+ )
1130
+ f = interpolate.InterpolatedUnivariateSpline(
1131
+ density_x, np.real(density), k=fft_interpolation_degree
1132
+ )
1133
+ data_out[data_mask] = np.array(
1134
+ [f.integral(self.a, float(x_1.squeeze())) for x_1 in _x]
1135
+ ).reshape(data_out[data_mask].shape)
1136
+
1137
+ return data_out.T[0]
1138
+
1139
+ def _fitstart(self, data):
1140
+ if self._parameterization() == "S0":
1141
+ _fitstart = _fitstart_S0
1142
+ elif self._parameterization() == "S1":
1143
+ _fitstart = _fitstart_S1
1144
+ return _fitstart(data)
1145
+
1146
+ def _stats(self, alpha, beta):
1147
+ mu = 0 if alpha > 1 else np.nan
1148
+ mu2 = 2 if alpha == 2 else np.inf
1149
+ g1 = 0.0 if alpha == 2.0 else np.nan
1150
+ g2 = 0.0 if alpha == 2.0 else np.nan
1151
+ return mu, mu2, g1, g2
1152
+
1153
+
1154
+ # cotes numbers - see sequence from http://oeis.org/A100642
1155
+ Cotes_table = np.array(
1156
+ [[], [1]] + [v[2] for v in _builtincoeffs.values()], dtype=object
1157
+ )
1158
+ Cotes = np.array(
1159
+ [
1160
+ np.pad(r, (0, len(Cotes_table) - 1 - len(r)), mode='constant')
1161
+ for r in Cotes_table
1162
+ ]
1163
+ )
1164
+
1165
+
1166
+ def pdf_from_cf_with_fft(cf, h=0.01, q=9, level=3):
1167
+ """Calculates pdf from characteristic function.
1168
+
1169
+ Uses fast Fourier transform with Newton-Cotes integration following [WZ].
1170
+ Defaults to using Simpson's method (3-point Newton-Cotes integration).
1171
+
1172
+ Parameters
1173
+ ----------
1174
+ cf : callable
1175
+ Single argument function from float -> complex expressing a
1176
+ characteristic function for some distribution.
1177
+ h : Optional[float]
1178
+ Step size for Newton-Cotes integration. Default: 0.01
1179
+ q : Optional[int]
1180
+ Use 2**q steps when performing Newton-Cotes integration.
1181
+ The infinite integral in the inverse Fourier transform will then
1182
+ be restricted to the interval [-2**q * h / 2, 2**q * h / 2]. Setting
1183
+ the number of steps equal to a power of 2 allows the fft to be
1184
+ calculated in O(n*log(n)) time rather than O(n**2).
1185
+ Default: 9
1186
+ level : Optional[int]
1187
+ Calculate integral using n-point Newton-Cotes integration for
1188
+ n = level. The 3-point Newton-Cotes formula corresponds to Simpson's
1189
+ rule. Default: 3
1190
+
1191
+ Returns
1192
+ -------
1193
+ x_l : ndarray
1194
+ Array of points x at which pdf is estimated. 2**q equally spaced
1195
+ points from -pi/h up to but not including pi/h.
1196
+ density : ndarray
1197
+ Estimated values of pdf corresponding to cf at points in x_l.
1198
+
1199
+ References
1200
+ ----------
1201
+ .. [WZ] Wang, Li and Zhang, Ji-Hong, 2008. Simpson's rule based FFT method
1202
+ to compute densities of stable distribution.
1203
+ """
1204
+ n = level
1205
+ N = 2**q
1206
+ steps = np.arange(0, N)
1207
+ L = N * h / 2
1208
+ x_l = np.pi * (steps - N / 2) / L
1209
+ if level > 1:
1210
+ indices = np.arange(n).reshape(n, 1)
1211
+ s1 = np.sum(
1212
+ (-1) ** steps * Cotes[n, indices] * np.fft.fft(
1213
+ (-1)**steps * cf(-L + h * steps + h * indices / (n - 1))
1214
+ ) * np.exp(
1215
+ 1j * np.pi * indices / (n - 1)
1216
+ - 2 * 1j * np.pi * indices * steps /
1217
+ (N * (n - 1))
1218
+ ),
1219
+ axis=0
1220
+ )
1221
+ else:
1222
+ s1 = (-1) ** steps * Cotes[n, 0] * np.fft.fft(
1223
+ (-1) ** steps * cf(-L + h * steps)
1224
+ )
1225
+ density = h * s1 / (2 * np.pi * np.sum(Cotes[n]))
1226
+ return (x_l, density)
1227
+
1228
+
1229
+ levy_stable = levy_stable_gen(name="levy_stable")
1230
+
1231
+
1232
+ class levy_stable_frozen(rv_continuous_frozen):
1233
+ @property
1234
+ def parameterization(self):
1235
+ return self.dist.parameterization
1236
+
1237
+ @parameterization.setter
1238
+ def parameterization(self, value):
1239
+ self.dist.parameterization = value
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