feat(distributions): add logweibull, ricegamma, and logricegamma
Add three new continuous random variables for log-domain and linear-domain clutter modeling with compound Gamma-Rice structure. Fix numerical stability of k_dist._logpdf and logk._log_kve via a three-regime log(kve) asymptotic (direct / large-z Hankel / large-order Gamma); replace quad-based k_dist._cdf with Gauss-Laguerre quadrature. Fix fitter: use np.asarray instead of np.abs in fit(), pass fit_params to goodness_of_fit so the observed-data statistic reuses fitted params. Skip non-finite quantiles in QQ plots. Add plot_qq_plots_sns(); rename histogram_with_fits_seaborn() to histogram_with_fits_sns(). Add unit tests for logweibull and logricegamma.
This commit is contained in:
@@ -8,6 +8,12 @@ from scipy.stats import rv_continuous, goodness_of_fit
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from plotly.subplots import make_subplots
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def set_plot_style():
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sns.set_style("whitegrid")
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sns.set_context("paper", font_scale=1.25)
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@dataclass
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class DistributionSummary:
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"""
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@@ -181,7 +187,7 @@ class Fitter:
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Mapping of distribution name → summary (test_result is None
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until validate() is called).
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"""
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data_flat = np.abs(data).flatten()
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data_flat = np.asarray(data).flatten()
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self._last_data_flat = data_flat
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for dist in self.dist_list:
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@@ -213,8 +219,16 @@ class Fitter:
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data_flat = self._last_data_flat
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for dist in self.dist_list:
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_summary = self._dist[dist.name]
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# Build fit_params dict so goodness_of_fit reuses the already-fitted
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# parameters for the observed-data statistic instead of re-fitting.
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shape_names = [s.strip() for s in dist.shapes.split(',')] if dist.shapes else []
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all_param_names = shape_names + ['loc', 'scale']
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fit_params_dict = dict(zip(all_param_names, _summary.fit_result_params))
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test_result = goodness_of_fit(
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dist, data_flat, statistic=_summary.statistic_method, **kwargs
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dist, data_flat,
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statistic=_summary.statistic_method,
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fit_params=fit_params_dict,
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**kwargs,
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)
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_summary.test_result = test_result
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self._dist[dist.name] = _summary
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@@ -276,13 +290,21 @@ class Fitter:
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plotting_positions, *summary.fit_result_params
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)
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# Drop NaN/inf quantiles that arise when ppf fails to converge
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valid = np.isfinite(theoretical_quantiles)
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if not valid.any():
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print(f"Distribution '{dist_name}': all theoretical quantiles are non-finite. Skipping QQ plot.")
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continue
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theoretical_quantiles = theoretical_quantiles[valid]
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sorted_data_plot = sorted_data[valid]
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# Create QQ plot in each subplot
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row = (list(self._dist.keys()).index(dist_name) // num_cols) + 1
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col = (list(self._dist.keys()).index(dist_name) % num_cols) + 1
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fig.add_trace(
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go.Scatter(
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x=theoretical_quantiles,
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y=sorted_data,
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y=sorted_data_plot,
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mode="markers",
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name=dist_name,
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),
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@@ -290,8 +312,8 @@ class Fitter:
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col=col,
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)
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# Add a reference line y=x
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min_val = min(theoretical_quantiles.min(), sorted_data.min())
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max_val = max(theoretical_quantiles.max(), sorted_data.max())
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min_val = min(theoretical_quantiles.min(), sorted_data_plot.min())
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max_val = max(theoretical_quantiles.max(), sorted_data_plot.max())
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fig.add_trace(
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go.Scatter(
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x=[min_val, max_val],
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@@ -322,6 +344,88 @@ class Fitter:
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showlegend=False,
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autosize=True,
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)
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return fig
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def plot_qq_plots_sns(self, method: str = "hazen"):
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"""
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Generate QQ plots for each fitted distribution using seaborn/matplotlib.
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Parameters
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----------
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method : str
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Plotting positions formula. Either 'hazen' (default) or 'filliben'.
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"""
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if not hasattr(self, "_last_data_flat"):
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raise RuntimeError("No data available. Call fit() first.")
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if method not in ("hazen", "filliben"):
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raise ValueError(f"method must be 'hazen' or 'filliben', got '{method}'.")
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set_plot_style()
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dist_names = list(self._dist.keys())
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num_dists = len(dist_names)
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num_cols = 2
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num_rows = (num_dists + 1) // 2
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dot_color = sns.color_palette()[0]
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fig, axes = plt.subplots(num_rows, num_cols, figsize=(6 * num_cols, 5 * num_rows))
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axes = np.array(axes).flatten()
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sorted_data = np.sort(self._last_data_flat)
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n = len(sorted_data)
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i = np.arange(1, n + 1)
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if method == "hazen":
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plotting_positions = (i - 0.5) / n
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else:
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plotting_positions = (i - 0.3175) / (n + 0.365)
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plotting_positions[0] = 1 - 0.5 ** (1 / n)
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plotting_positions[-1] = 0.5 ** (1 / n)
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for idx, (dist_name, summary) in enumerate(self):
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ax = axes[idx]
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if summary.test_result is None:
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ax.set_title(dist_name)
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ax.text(0.5, 0.5, "Not validated", ha="center", va="center",
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transform=ax.transAxes)
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continue
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theoretical_quantiles = summary.distribution_object.ppf(
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plotting_positions, *summary.fit_result_params
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)
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valid = np.isfinite(theoretical_quantiles)
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if not valid.any():
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ax.set_title(dist_name)
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ax.text(0.5, 0.5, "All quantiles non-finite", ha="center", va="center",
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transform=ax.transAxes)
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continue
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tq = theoretical_quantiles[valid]
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sd = sorted_data[valid]
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ax.scatter(tq, sd, color=dot_color, s=8, alpha=0.6, linewidths=0)
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ref_min = min(tq.min(), sd.min())
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ref_max = max(tq.max(), sd.max())
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ax.plot([ref_min, ref_max], [ref_min, ref_max], "k--", linewidth=1)
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pvalue = summary.pvalue
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stat_color = "green" if pvalue > 0.05 else "red"
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ax.text(0.95, 0.05,
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f"{summary.statistic_method}={summary.gof_statistic:.4f}",
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transform=ax.transAxes, ha="right", va="bottom",
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fontsize=9, color=stat_color)
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ax.set_title(dist_name)
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ax.set_xlabel("Theoretical Quantiles")
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ax.set_ylabel("Empirical Quantiles")
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# Hide unused axes
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for idx in range(num_dists, len(axes)):
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axes[idx].set_visible(False)
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fig.suptitle(f"QQ Plots of Fitted Distributions ({method})", y=1.01)
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plt.tight_layout()
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return fig
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def histogram_with_fits(self):
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@@ -389,7 +493,7 @@ class Fitter:
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return fig
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def histogram_with_fits_seaborn(self):
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def histogram_with_fits_sns(self):
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"""
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Generate a histogram of the data with overlaid PDFs of each fitted distribution using seaborn.
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Requires that fit() has been called to populate parameters.
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@@ -422,7 +526,7 @@ class Fitter:
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ax.plot(
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x,
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pdf_values,
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label=f"{summary.distribution_name} --- p={summary.pvalue:.4f}",
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label=f"{summary.distribution_name}",
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)
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# put title in top left, make it smaller, change it font to sans and put in light gray
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ax.set_title(
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@@ -7,7 +7,7 @@ import os
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sys.path.insert(0, os.path.join(os.path.dirname(__file__), ".."))
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from tools.distributions import k_dist, logk, lognakagami, loggamma_dist, lograyleigh, logrice
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from tools.distributions import k_dist, logk, lognakagami, loggamma_dist, lograyleigh, logrice, logweibull, logricegamma, ricegamma
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X = np.linspace(0.01, 10.0, 500)
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@@ -677,6 +677,237 @@ class TestLogK:
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np.testing.assert_allclose(pdf_ab, pdf_ba, rtol=1e-6)
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# ── logweibull unit tests ─────────────────────────────────────────────────────
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Y_LOGWEIBULL = np.linspace(-10.0, 10.0, 500)
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class TestLogWeibull:
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def test_logpdf_is_finite_on_real_line(self):
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"""logpdf must be finite for all real y."""
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vals = logweibull.logpdf(Y_LOGWEIBULL, k=2.0, lam=1.0)
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assert np.all(np.isfinite(vals))
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def test_pdf_integrates_to_one(self):
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"""Numerical integral of PDF over the real line should be ≈ 1."""
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y_fine = np.linspace(-20.0, 20.0, 200_000)
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integral = np.trapezoid(logweibull.pdf(y_fine, k=2.0, lam=1.0), y_fine)
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assert pytest.approx(integral, abs=1e-3) == 1.0
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def test_logpdf_equals_log_pdf(self):
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"""logpdf must equal log(pdf) at points where pdf does not underflow to zero."""
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y_bulk = np.linspace(-10.0, 20.0, 100)
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k, lam = 2.0, np.exp(12.0)
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pdf_vals = logweibull.pdf(y_bulk, k=k, lam=lam)
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mask = pdf_vals > 0
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np.testing.assert_allclose(
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logweibull.logpdf(y_bulk[mask], k=k, lam=lam),
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np.log(pdf_vals[mask]),
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rtol=1e-6,
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)
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def test_change_of_variable_matches_weibull(self):
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"""logweibull.pdf(y) must equal weibull_min.pdf(exp(y)) * exp(y)."""
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from scipy.stats import weibull_min
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y_test = np.linspace(-3.0, 3.0, 20)
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k, lam = 2.0, 1.5
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direct = logweibull.pdf(y_test, k=k, lam=lam)
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via_w = weibull_min.pdf(np.exp(y_test), c=k, scale=lam) * np.exp(y_test)
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np.testing.assert_allclose(direct, via_w, rtol=1e-6)
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def test_cdf_is_monotone_increasing(self):
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"""CDF must be strictly non-decreasing."""
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y_grid = np.linspace(-5.0, 5.0, 50)
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cdf_vals = logweibull.cdf(y_grid, k=2.0, lam=1.0)
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assert np.all(np.diff(cdf_vals) >= -1e-12)
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def test_cdf_matches_weibull(self):
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"""logweibull.cdf(y) must equal weibull_min.cdf(exp(y))."""
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from scipy.stats import weibull_min
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y_test = np.array([-2.0, 0.0, 1.0, 2.0])
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k, lam = 1.5, 2.0
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np.testing.assert_allclose(
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logweibull.cdf(y_test, k=k, lam=lam),
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weibull_min.cdf(np.exp(y_test), c=k, scale=lam),
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rtol=1e-6,
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)
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def test_sf_plus_cdf_equals_one(self):
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"""sf + cdf must equal 1 everywhere."""
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y_test = np.linspace(-3.0, 3.0, 20)
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k, lam = 2.0, 1.0
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np.testing.assert_allclose(
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logweibull.cdf(y_test, k=k, lam=lam) + logweibull.sf(y_test, k=k, lam=lam),
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1.0,
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rtol=1e-12,
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)
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def test_ppf_inverts_cdf(self):
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"""ppf must be the exact inverse of cdf: cdf(ppf(q)) == q."""
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# Round-trip over quantiles to avoid CDF saturation at extreme y values
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q_test = np.array([0.05, 0.1, 0.25, 0.5, 0.75, 0.9, 0.95])
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k, lam = 2.0, np.exp(12.0)
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np.testing.assert_allclose(
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logweibull.cdf(logweibull.ppf(q_test, k=k, lam=lam), k=k, lam=lam),
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q_test,
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rtol=1e-8,
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)
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def test_stats_mean_shifts_by_log_lam(self):
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"""Doubling lam shifts the mean by ln(2), leaving variance unchanged."""
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k = 2.0
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mean1 = float(logweibull.stats(k=k, lam=1.0, moments="m"))
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mean2 = float(logweibull.stats(k=k, lam=2.0, moments="m"))
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assert pytest.approx(mean2 - mean1, rel=1e-10) == np.log(2.0)
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def test_stats_variance_scales_with_k(self):
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"""Variance must equal psi_1(1) / k^2."""
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for k in [0.5, 1.0, 2.0]:
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_, var, *_ = logweibull.stats(k=k, lam=1.0, moments="mv")
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expected = sc.polygamma(1, 1) / k ** 2
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assert pytest.approx(float(var), rel=1e-10) == expected
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def test_stats_variance_is_lam_independent(self):
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"""Variance must not depend on lam."""
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k = 2.0
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_, var1, *_ = logweibull.stats(k=k, lam=1.0, moments="mv")
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_, var2, *_ = logweibull.stats(k=k, lam=5.0, moments="mv")
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assert pytest.approx(float(var1), rel=1e-10) == float(var2)
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def test_argcheck_rejects_non_positive_k(self):
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"""k <= 0 must not produce a valid PDF value."""
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val = logweibull.pdf(0.0, k=-1.0, lam=1.0)
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assert not (np.isfinite(val) and val > 0)
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def test_argcheck_rejects_non_positive_lam(self):
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"""lam <= 0 must not produce a valid PDF value."""
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val = logweibull.pdf(0.0, k=1.0, lam=-1.0)
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assert not (np.isfinite(val) and val > 0)
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def test_rvs_are_finite(self):
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"""Random samples must be finite real numbers."""
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rng = np.random.default_rng(42)
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samples = logweibull.rvs(k=2.0, lam=1.0, size=500, random_state=rng)
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assert samples.shape == (500,)
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assert np.all(np.isfinite(samples))
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def test_rvs_sample_mean_near_analytical(self):
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"""Sample mean must be close to the analytical mean."""
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k, lam = 2.0, 1.5
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rng = np.random.default_rng(0)
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samples = logweibull.rvs(k=k, lam=lam, size=100_000, random_state=rng)
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expected_mean = float(logweibull.stats(k=k, lam=lam, moments="m"))
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assert pytest.approx(float(samples.mean()), rel=5e-2) == expected_mean
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def test_rvs_sample_variance_near_analytical(self):
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"""Sample variance must be close to the analytical variance."""
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k, lam = 2.0, 1.5
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rng = np.random.default_rng(1)
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samples = logweibull.rvs(k=k, lam=lam, size=100_000, random_state=rng)
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_, expected_var, *_ = logweibull.stats(k=k, lam=lam, moments="mv")
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assert pytest.approx(float(np.var(samples)), rel=5e-2) == float(expected_var)
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# ── logricegamma unit tests ───────────────────────────────────────────────────
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# PDF is expensive (numerical integration per point), so grids are kept small.
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Y_LRICEGAMMA = np.linspace(-5.0, 5.0, 30)
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class TestLogRiceGamma:
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def test_pdf_is_positive_for_valid_params(self):
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"""PDF must be strictly positive for finite y and valid parameters."""
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vals = logricegamma.pdf(Y_LRICEGAMMA, alpha=2.0, beta=1.0, K=1.0)
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assert np.all(vals > 0)
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def test_pdf_integrates_to_one(self):
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"""Numerical integral of PDF over a wide domain should be ≈ 1."""
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y_fine = np.linspace(-15.0, 10.0, 1000)
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integral = np.trapezoid(
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logricegamma.pdf(y_fine, alpha=2.0, beta=1.0, K=1.0), y_fine
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)
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assert pytest.approx(integral, abs=1e-2) == 1.0
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def test_pdf_integrates_to_one_k_zero(self):
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"""Normalisation must hold for K=0 (Rice collapses to Rayleigh)."""
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y_fine = np.linspace(-15.0, 10.0, 1000)
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integral = np.trapezoid(
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logricegamma.pdf(y_fine, alpha=2.0, beta=1.0, K=0.0), y_fine
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)
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assert pytest.approx(integral, abs=1e-2) == 1.0
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def test_pdf_integrates_to_one_large_K(self):
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"""Normalisation must hold for large K (highly specular regime)."""
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y_fine = np.linspace(-10.0, 15.0, 1000)
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integral = np.trapezoid(
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logricegamma.pdf(y_fine, alpha=2.0, beta=1.0, K=10.0), y_fine
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)
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assert pytest.approx(integral, abs=1e-2) == 1.0
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def test_logpdf_equals_log_pdf(self):
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"""logpdf must equal log(pdf) where pdf does not underflow."""
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y_bulk = np.linspace(-3.0, 3.0, 15)
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pdf_vals = logricegamma.pdf(y_bulk, alpha=2.0, beta=1.0, K=1.0)
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mask = pdf_vals > 0
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np.testing.assert_allclose(
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logricegamma.logpdf(y_bulk[mask], alpha=2.0, beta=1.0, K=1.0),
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np.log(pdf_vals[mask]),
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rtol=1e-6,
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)
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def test_argcheck_rejects_non_positive_alpha(self):
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"""alpha <= 0 must not produce a valid PDF value."""
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val = logricegamma.pdf(0.0, alpha=-1.0, beta=1.0, K=1.0)
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assert not (np.isfinite(val) and val > 0)
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def test_argcheck_rejects_non_positive_beta(self):
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"""beta <= 0 must not produce a valid PDF value."""
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val = logricegamma.pdf(0.0, alpha=2.0, beta=-1.0, K=1.0)
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assert not (np.isfinite(val) and val > 0)
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def test_argcheck_rejects_negative_K(self):
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||||
"""K < 0 must not produce a valid PDF value."""
|
||||
val = logricegamma.pdf(0.0, alpha=2.0, beta=1.0, K=-1.0)
|
||||
assert not (np.isfinite(val) and val > 0)
|
||||
|
||||
def test_cdf_is_monotone_increasing(self):
|
||||
"""CDF must be strictly non-decreasing."""
|
||||
y_grid = np.linspace(-4.0, 4.0, 15)
|
||||
cdf_vals = logricegamma.cdf(y_grid, alpha=2.0, beta=1.0, K=1.0)
|
||||
assert np.all(np.diff(cdf_vals) >= -1e-10)
|
||||
|
||||
def test_rvs_samples_are_finite(self):
|
||||
"""Random samples must be finite real numbers."""
|
||||
rng = np.random.default_rng(42)
|
||||
samples = logricegamma.rvs(alpha=2.0, beta=1.0, K=1.0, size=500, random_state=rng)
|
||||
assert samples.shape == (500,)
|
||||
assert np.all(np.isfinite(samples))
|
||||
|
||||
def test_rvs_second_moment_equals_alpha_times_beta(self):
|
||||
"""E[exp(2Y)] = E[X²] must equal alpha*beta (total average power from docstring)."""
|
||||
alpha, beta, K = 2.0, 1.5, 2.0
|
||||
rng = np.random.default_rng(0)
|
||||
samples = logricegamma.rvs(alpha=alpha, beta=beta, K=K, size=100_000, random_state=rng)
|
||||
assert pytest.approx(float(np.mean(np.exp(2.0 * samples))), rel=5e-2) == alpha * beta
|
||||
|
||||
def test_rvs_second_moment_k_zero(self):
|
||||
"""E[X²] = alpha*beta must hold for K=0."""
|
||||
alpha, beta, K = 3.0, 0.5, 0.0
|
||||
rng = np.random.default_rng(1)
|
||||
samples = logricegamma.rvs(alpha=alpha, beta=beta, K=K, size=100_000, random_state=rng)
|
||||
assert pytest.approx(float(np.mean(np.exp(2.0 * samples))), rel=5e-2) == alpha * beta
|
||||
|
||||
def test_rvs_sample_mean_consistent_with_pdf(self):
|
||||
"""Sample mean from RVS should match the numerically integrated mean from the PDF."""
|
||||
alpha, beta, K = 2.0, 1.0, 1.0
|
||||
rng = np.random.default_rng(2)
|
||||
samples = logricegamma.rvs(alpha=alpha, beta=beta, K=K, size=50_000, random_state=rng)
|
||||
y_fine = np.linspace(-15.0, 10.0, 1000)
|
||||
pdf_vals = logricegamma.pdf(y_fine, alpha=alpha, beta=beta, K=K)
|
||||
numerical_mean = float(np.trapezoid(y_fine * pdf_vals, y_fine))
|
||||
assert pytest.approx(float(samples.mean()), rel=1e-1) == numerical_mean
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
plot_k_dist_varying_alpha()
|
||||
plot_k_dist_varying_mu()
|
||||
|
||||
@@ -161,11 +161,25 @@ Priority order for overriding to improve tail accuracy:
|
||||
|
||||
from scipy.stats import rv_continuous, ncx2
|
||||
from scipy.special import kve, gammaln
|
||||
from scipy.integrate import quad
|
||||
import scipy.special as sc
|
||||
from scipy.stats._distn_infrastructure import _ShapeInfo
|
||||
import numpy as np
|
||||
|
||||
# Gauss-Legendre nodes/weights on [-1, 1] — used by logricegamma_gen._batch_integral.
|
||||
# Computed once at import time; 200 nodes give machine-precision accuracy for smooth,
|
||||
# well-resolved integrands while keeping the (N, 200) batch cost negligible.
|
||||
_GL_M = 200
|
||||
_gl_xi, _gl_wi = np.polynomial.legendre.leggauss(_GL_M)
|
||||
|
||||
# Gauss-Hermite nodes/weights — used by k_dist._cdf for the large-beta branch.
|
||||
# When beta > _BETA_GH_THRESH, Gamma(β,1) weights overflow float64 (Γ(β) → ∞).
|
||||
# We instead approximate E_{t~Gamma(β,1)}[f(t)] via the Normal approximation:
|
||||
# Gamma(β,1) ≈ Normal(β, √β) => E[f(t)] ≈ (1/√π) Σ_k w_k f(β + √(2β)·u_k)
|
||||
_GH_M = 30
|
||||
_gh_nodes, _gh_weights = np.polynomial.hermite.hermgauss(_GH_M)
|
||||
_gh_weights_norm = _gh_weights / np.sqrt(np.pi) # unit-mass weights
|
||||
_BETA_GH_THRESH = 150.0
|
||||
|
||||
|
||||
class k_gen(rv_continuous):
|
||||
"""Generalized K distribution for radar clutter modeling.
|
||||
@@ -198,6 +212,43 @@ class k_gen(rv_continuous):
|
||||
def _pdf(self, x, mu, alpha, beta):
|
||||
return np.exp(self._logpdf(x, mu, alpha, beta))
|
||||
|
||||
@staticmethod
|
||||
def _log_kve_stable(v, z):
|
||||
"""Numerically stable log(kve(v, z)) = log(K_v(z)) + z.
|
||||
|
||||
Three regimes:
|
||||
- direct: kve(v, z) > 0 (no over/underflow)
|
||||
- large-z: z >> |v| — Hankel 2-term asymptotic
|
||||
- large-order: |v| >> z — leading Gamma asymptotic
|
||||
log(K_v(z)) ≈ gammaln(|v|) + |v|*log(2/z) - log(2)
|
||||
"""
|
||||
z = np.asarray(z, dtype=float)
|
||||
v = np.asarray(v, dtype=float)
|
||||
abs_v = np.abs(v)
|
||||
kve_val = kve(v, z)
|
||||
z_safe = np.where(z > 0, z, 1.0)
|
||||
# Large-z Hankel asymptotic (accurate when z >> |v|)
|
||||
mu_v = 4.0 * v ** 2
|
||||
# Clip log1p argument to (-1, inf) to avoid domain errors when np.where
|
||||
# evaluates this branch even for points where it won't be selected.
|
||||
log1p_arg = np.maximum(
|
||||
(mu_v - 1.0) / (8.0 * z_safe)
|
||||
+ (mu_v - 1.0) * (mu_v - 9.0) / (128.0 * z_safe ** 2),
|
||||
-1.0 + 1e-15,
|
||||
)
|
||||
log_asymp_largez = (
|
||||
0.5 * (np.log(np.pi) - np.log(2.0) - np.log(z_safe))
|
||||
+ np.log1p(log1p_arg)
|
||||
)
|
||||
# Large-order asymptotic (accurate when |v| >> z > 0)
|
||||
# log(kve(v,z)) = log(K_v(z)) + z ≈ gammaln(|v|) + |v|*log(2/z) - log(2) + z
|
||||
log_asymp_largev = gammaln(abs_v) + abs_v * np.log(2.0 / z_safe) - np.log(2.0) + z
|
||||
# kve overflows to +inf when |v|>>z, underflows to 0 when z>>|v|
|
||||
kve_bad = ~np.isfinite(kve_val) | (kve_val <= 0)
|
||||
use_largev = (abs_v > z_safe + 2.0) & kve_bad
|
||||
log_asymp = np.where(use_largev, log_asymp_largev, log_asymp_largez)
|
||||
return np.where(kve_bad, log_asymp, np.log(kve_val))
|
||||
|
||||
def _logpdf(self, x, mu, alpha, beta):
|
||||
half_sum = (alpha + beta) / 2.0
|
||||
log_ab_over_mu = np.log(alpha) + np.log(beta) - np.log(mu)
|
||||
@@ -208,7 +259,7 @@ class k_gen(rv_continuous):
|
||||
- gammaln(beta)
|
||||
+ half_sum * log_ab_over_mu
|
||||
+ (half_sum - 1.0) * np.log(x)
|
||||
+ np.log(kve(alpha - beta, z))
|
||||
+ self._log_kve_stable(alpha - beta, z)
|
||||
- z
|
||||
)
|
||||
|
||||
@@ -235,18 +286,53 @@ class k_gen(rv_continuous):
|
||||
return mean, variance, skewness, kurtosis
|
||||
|
||||
def _cdf(self, x, mu, alpha, beta):
|
||||
# scipy broadcasts params to match x's shape before calling _cdf,
|
||||
# so mu/alpha/beta may be arrays. Pass all four to np.vectorize so
|
||||
# each argument arrives as a scalar inside _scalar.
|
||||
# Substitution u = sqrt(x) regularises the integrand near u=0:
|
||||
# f(u²)*2u ~ u^(alpha+beta-1), smooth for alpha,beta > 0.
|
||||
# K-distribution CDF via the compound-Gamma representation:
|
||||
# X = Gamma(alpha, tau/alpha), tau ~ Gamma(beta, mu/beta)
|
||||
# => F(x) = (1/Γ(β)) ∫_0^∞ gammainc(α, xαβ/(μt)) t^{β-1} e^{-t} dt
|
||||
#
|
||||
# For β ≤ _BETA_GH_THRESH: (β−1)-order Gauss-Laguerre quadrature.
|
||||
# For β > _BETA_GH_THRESH: Gamma(β,1) ≈ Normal(β,√β), so we switch to
|
||||
# Gauss-Hermite: E[f(t)] ≈ (1/√π) Σ_k w_k f(β + √(2β)·u_k).
|
||||
from scipy.special import gammainc, roots_genlaguerre
|
||||
from scipy.special import gamma as sp_gamma
|
||||
|
||||
x = np.asarray(x, dtype=float)
|
||||
mu = np.asarray(mu, dtype=float)
|
||||
alpha = np.asarray(alpha, dtype=float)
|
||||
beta = np.asarray(beta, dtype=float)
|
||||
|
||||
_N_PTS = 50
|
||||
|
||||
def _gh_branch(x_, alpha_, mu_, bi):
|
||||
"""Gauss-Hermite CDF for large beta (Normal approx to Gamma(β,1))."""
|
||||
t_gh = bi + np.sqrt(2.0 * bi) * _gh_nodes # shape (GH_M,)
|
||||
t_gh = np.maximum(t_gh, 1e-10)
|
||||
t_args = (x_ * alpha_ / mu_)[..., np.newaxis] * (bi / t_gh)
|
||||
probs = gammainc(alpha_[..., np.newaxis], t_args)
|
||||
return np.dot(probs, _gh_weights_norm)
|
||||
|
||||
# Fast path: beta is uniform across all inputs (the common case in fit).
|
||||
beta_vals = np.unique(beta)
|
||||
if beta_vals.size == 1:
|
||||
bi = float(beta_vals[0])
|
||||
if bi > _BETA_GH_THRESH:
|
||||
return _gh_branch(x, alpha, mu, bi)
|
||||
nodes, weights = roots_genlaguerre(_N_PTS, bi - 1.0)
|
||||
t_args = (x * alpha / mu)[..., np.newaxis] * (bi / nodes)
|
||||
probs = gammainc(alpha[..., np.newaxis], t_args)
|
||||
return np.dot(probs, weights) / sp_gamma(bi)
|
||||
|
||||
# Slow path: heterogeneous beta — fall back to per-element loop.
|
||||
def _scalar(xi, mui, ai, bi):
|
||||
val, _ = quad(
|
||||
lambda u: float(self._pdf(float(u * u), float(mui), float(ai), float(bi))) * 2.0 * u,
|
||||
0.0, float(np.sqrt(xi)),
|
||||
limit=200, epsabs=1.49e-10, epsrel=1.49e-8,
|
||||
)
|
||||
return val
|
||||
bi = float(bi)
|
||||
xi_, ai_, mui_ = np.asarray([float(xi)]), np.asarray([float(ai)]), float(mui)
|
||||
if bi > _BETA_GH_THRESH:
|
||||
return float(_gh_branch(xi_, ai_, np.asarray([mui_]), bi)[0])
|
||||
nodes, weights = roots_genlaguerre(_N_PTS, bi - 1.0)
|
||||
t_args = float(xi) * float(ai) * bi / (float(mui) * nodes)
|
||||
probs = gammainc(float(ai), t_args)
|
||||
return float(np.dot(probs, weights) / sp_gamma(bi))
|
||||
|
||||
return np.vectorize(_scalar)(x, mu, alpha, beta)
|
||||
|
||||
def _rvs(self, mu, alpha, beta, size=None, random_state=None):
|
||||
@@ -300,27 +386,40 @@ class logk_gen(rv_continuous):
|
||||
|
||||
@staticmethod
|
||||
def _log_kve(v, z):
|
||||
"""log(kve(v, z)) = log(Kv(z)) + z, stable for all z > 0.
|
||||
"""Numerically stable log(kve(v, z)) = log(K_v(z)) + z.
|
||||
|
||||
For large z, kve(v, z) ≈ sqrt(π/(2z)) underflows to 0 in float64,
|
||||
making log(kve) return -inf/-nan. The asymptotic expansion:
|
||||
|
||||
log(kve(v,z)) ≈ 0.5*log(π/(2z)) + log1p((4v²-1)/(8z) +
|
||||
(4v²-1)(4v²-9)/(128z²))
|
||||
|
||||
is used whenever the direct evaluation would underflow.
|
||||
Three regimes:
|
||||
- direct: kve(v, z) > 0 (no over/underflow)
|
||||
- large-z: z >> |v| — Hankel 2-term asymptotic
|
||||
- large-order: |v| >> z — leading Gamma asymptotic
|
||||
log(K_v(z)) ≈ gammaln(|v|) + |v|*log(2/z) - log(2)
|
||||
"""
|
||||
z = np.asarray(z, dtype=float)
|
||||
v = np.asarray(v, dtype=float)
|
||||
abs_v = np.abs(v)
|
||||
kve_val = kve(v, z)
|
||||
# Asymptotic (2-term Hankel expansion) — accurate to O(z^{-3})
|
||||
z_safe = np.where(z > 0, z, 1.0)
|
||||
# Large-z Hankel asymptotic (accurate when z >> |v|)
|
||||
mu_v = 4.0 * v ** 2
|
||||
log_asymp = (
|
||||
0.5 * (np.log(np.pi) - np.log(2.0) - np.log(np.where(z > 0, z, 1.0)))
|
||||
+ np.log1p((mu_v - 1.0) / (8.0 * np.where(z > 0, z, 1.0))
|
||||
+ (mu_v - 1.0) * (mu_v - 9.0) / (128.0 * np.where(z > 0, z**2, 1.0)))
|
||||
# Clip log1p argument to (-1, inf) to avoid domain errors when np.where
|
||||
# evaluates this branch even for points where it won't be selected.
|
||||
log1p_arg = np.maximum(
|
||||
(mu_v - 1.0) / (8.0 * z_safe)
|
||||
+ (mu_v - 1.0) * (mu_v - 9.0) / (128.0 * z_safe ** 2),
|
||||
-1.0 + 1e-15,
|
||||
)
|
||||
return np.where(kve_val > 0, np.log(np.where(kve_val > 0, kve_val, 1.0)), log_asymp)
|
||||
log_asymp_largez = (
|
||||
0.5 * (np.log(np.pi) - np.log(2.0) - np.log(z_safe))
|
||||
+ np.log1p(log1p_arg)
|
||||
)
|
||||
# Large-order asymptotic (accurate when |v| >> z > 0)
|
||||
# log(kve(v,z)) = log(K_v(z)) + z ≈ gammaln(|v|) + |v|*log(2/z) - log(2) + z
|
||||
log_asymp_largev = gammaln(abs_v) + abs_v * np.log(2.0 / z_safe) - np.log(2.0) + z
|
||||
# kve overflows to +inf when |v|>>z, underflows to 0 when z>>|v|
|
||||
kve_bad = ~np.isfinite(kve_val) | (kve_val <= 0)
|
||||
use_largev = (abs_v > z_safe + 2.0) & kve_bad
|
||||
log_asymp = np.where(use_largev, log_asymp_largev, log_asymp_largez)
|
||||
return np.where(kve_bad, log_asymp, np.log(kve_val))
|
||||
|
||||
def _pdf(self, y, mu, alpha, beta):
|
||||
return np.exp(self._logpdf(y, mu, alpha, beta))
|
||||
@@ -347,33 +446,158 @@ class logk_gen(rv_continuous):
|
||||
return mean, var, g1, g2
|
||||
|
||||
def _cdf(self, y, mu, alpha, beta):
|
||||
return k_dist.cdf(np.exp(y), mu, alpha, beta)
|
||||
# Clip y to avoid exp() overflow (float64 max ≈ exp(709.78)).
|
||||
# For y > 709 the CDF is indistinguishable from 1.0.
|
||||
y_clipped = np.minimum(y, 709.0)
|
||||
return k_dist.cdf(np.exp(y_clipped), mu, alpha, beta)
|
||||
|
||||
def _ppf(self, q, mu, alpha, beta):
|
||||
# Invert via the linear-domain ppf: Y = ln(X), X ~ K(mu, alpha, beta).
|
||||
# k_dist.ppf has a finite lower bound (a=0) so its bracket search is
|
||||
# well-defined, avoiding the exp-overflow problem in the default logk ppf.
|
||||
x = k_dist.ppf(q, mu, alpha, beta)
|
||||
return np.log(np.maximum(x, np.finfo(float).tiny))
|
||||
|
||||
def _rvs(self, mu, alpha, beta, size=None, random_state=None):
|
||||
# Compound Gamma: tau ~ Gamma(beta, mu/beta), X|tau ~ Gamma(alpha, tau/alpha)
|
||||
# Y = ln(X), avoids the ppf -> k_dist.ppf -> quad-CDF chain.
|
||||
tau = random_state.gamma(beta, mu / beta, size=size)
|
||||
sample = random_state.gamma(alpha, tau / alpha)
|
||||
return np.log(np.clip(sample, np.finfo(float).tiny, None))
|
||||
x = random_state.gamma(alpha, tau / alpha)
|
||||
return np.log(np.maximum(x, np.finfo(float).tiny))
|
||||
|
||||
def _sf(self, y, mu, alpha, beta):
|
||||
y_clipped = np.minimum(y, 709.0)
|
||||
return k_dist.sf(np.exp(y_clipped), mu, alpha, beta)
|
||||
|
||||
def _fitstart(self, data, args=None):
|
||||
# Symmetric method-of-moments starting point using the first two cumulants:
|
||||
# E[Y] = ln(mu) - ln(alpha) - ln(beta) + psi(alpha) + psi(beta)
|
||||
# Var[Y] = psi_1(alpha) + psi_1(beta)
|
||||
# Symmetric start (alpha=beta): psi_1(a) ≈ 1/a => a ≈ 2/Var
|
||||
mean_d = float(np.mean(data))
|
||||
var_d = max(float(np.var(data)), 1e-6)
|
||||
alpha0 = float(np.clip(2.0 / var_d, 0.5, 50.0))
|
||||
beta0 = alpha0
|
||||
mu0 = float(np.exp(
|
||||
mean_d
|
||||
+ np.log(alpha0) + np.log(beta0)
|
||||
- sc.digamma(alpha0) - sc.digamma(beta0)
|
||||
))
|
||||
return (mu0, alpha0, beta0, 0.0, 1.0)
|
||||
|
||||
def fit(self, data, *args, **kwds):
|
||||
if ("loc" in kwds and kwds["loc"] != 0.0) or ("floc" in kwds and kwds["floc"] != 0.0):
|
||||
raise ValueError("logk uses a fixed loc=0.")
|
||||
if ("scale" in kwds and kwds["scale"] != 1.0) or ("fscale" in kwds and kwds["fscale"] != 1.0):
|
||||
raise ValueError("logk uses a fixed scale=1.")
|
||||
kwds.pop("loc", None)
|
||||
kwds.pop("scale", None)
|
||||
# Supply data-driven initial guesses when none are provided so the
|
||||
# optimizer starts close to the data instead of the default (1,1,1).
|
||||
# E[Y] = ln(mu) + ln(alpha) + ln(beta) - digamma(alpha) - digamma(beta)
|
||||
# => mu0 = exp(mean(data) + ln(a0) + ln(b0) - psi(a0) - psi(b0))
|
||||
if not args:
|
||||
alpha0, beta0 = 1.0, 1.0
|
||||
mu0 = float(np.exp(
|
||||
np.mean(data)
|
||||
+ np.log(alpha0) + np.log(beta0)
|
||||
- sc.digamma(alpha0) - sc.digamma(beta0)
|
||||
"""MLE fit with bounded shape parameters; loc and scale are free by default.
|
||||
|
||||
Optimises in log-parameter space via L-BFGS-B to keep mu, alpha, beta
|
||||
and scale strictly positive.
|
||||
|
||||
The K-distribution log-likelihood is unbounded when alpha or beta grows
|
||||
without limit, so the search is capped at _MAX. Three starting points
|
||||
are tried — one symmetric (alpha=beta from variance matching) and two
|
||||
asymmetric (one with alpha>>beta and its mirror) — to escape the
|
||||
symmetric local maximum when the data is skewed.
|
||||
|
||||
loc/scale can be pinned by passing floc=0, fscale=1 as keyword args.
|
||||
"""
|
||||
from scipy.optimize import minimize, brentq
|
||||
|
||||
# Respect user-supplied fixed values; None means "free to optimise".
|
||||
floc = kwds.pop('floc', None)
|
||||
fscale = kwds.pop('fscale', None)
|
||||
for k in ('loc', 'scale'):
|
||||
kwds.pop(k, None)
|
||||
data = np.asarray(data, dtype=float).ravel()
|
||||
|
||||
# Upper bound: prevents the degenerate alpha→∞ (or beta→∞) regime.
|
||||
_MAX = 50.0
|
||||
|
||||
# ── symmetric starting point ──────────────────────────────────────────
|
||||
start = self._fitstart(data)
|
||||
mu0 = max(float(args[0]) if len(args) > 0 else start[0], 1e-12)
|
||||
alpha0 = float(np.clip(args[1] if len(args) > 1 else start[1], 0.01, _MAX))
|
||||
beta0 = float(np.clip(args[2] if len(args) > 2 else start[2], 0.01, _MAX))
|
||||
|
||||
# ── asymmetric starting point (all variance in beta, large alpha) ─────
|
||||
mean_d = float(np.mean(data))
|
||||
var_d = max(float(np.var(data)), 1e-6)
|
||||
try:
|
||||
beta_asym = float(brentq(
|
||||
lambda b: sc.polygamma(1, b) - var_d, 0.05, 500.0, xtol=1e-8
|
||||
))
|
||||
args = (mu0, alpha0, beta0)
|
||||
return super().fit(data, *args, floc=0.0, fscale=1.0, **kwds)
|
||||
except Exception:
|
||||
beta_asym = beta0
|
||||
alpha_asym = float(np.clip(5.0 * beta_asym, 1.0, _MAX))
|
||||
beta_asym = float(np.clip(beta_asym, 0.01, _MAX))
|
||||
mu_asym = float(np.exp(
|
||||
mean_d
|
||||
+ np.log(alpha_asym) + np.log(beta_asym)
|
||||
- sc.digamma(alpha_asym) - sc.digamma(beta_asym)
|
||||
))
|
||||
|
||||
# Starting values for loc / scale (used when free)
|
||||
loc0 = float(floc) if floc is not None else 0.0
|
||||
scale0 = float(fscale) if fscale is not None else 1.0
|
||||
|
||||
# ── parameter packing ─────────────────────────────────────────────────
|
||||
# Vector layout: [log(mu), log(alpha), log(beta), loc?, log(scale)?]
|
||||
# Slots for loc/scale are only present when they are free.
|
||||
def pack(mu, alpha, beta):
|
||||
v = [np.log(mu), np.log(alpha), np.log(beta)]
|
||||
if floc is None: v.append(loc0)
|
||||
if fscale is None: v.append(np.log(scale0))
|
||||
return v
|
||||
|
||||
def unpack(v):
|
||||
mu = np.exp(v[0]); alpha = np.exp(v[1]); beta = np.exp(v[2])
|
||||
idx = 3
|
||||
if floc is None:
|
||||
loc = float(v[idx]); idx += 1
|
||||
else:
|
||||
loc = float(floc)
|
||||
scale = float(np.exp(v[idx])) if fscale is None else float(fscale)
|
||||
return mu, alpha, beta, loc, scale
|
||||
|
||||
bounds = [
|
||||
(None, None), # log(mu)
|
||||
(np.log(0.01), np.log(_MAX)), # log(alpha)
|
||||
(np.log(0.01), np.log(_MAX)), # log(beta)
|
||||
]
|
||||
if floc is None: bounds.append((None, None)) # loc
|
||||
if fscale is None: bounds.append((np.log(1e-4), np.log(100.0))) # log(scale)
|
||||
|
||||
def neg_ll(v):
|
||||
mu, alpha, beta, loc, scale = unpack(v)
|
||||
with np.errstate(all='ignore'):
|
||||
ll = np.sum(self.logpdf(data, mu, alpha, beta, loc=loc, scale=scale))
|
||||
return -ll if np.isfinite(ll) else 1e15
|
||||
|
||||
# Candidate starting vectors: symmetric + two asymmetric (α>>β and β>>α)
|
||||
x0_candidates = [
|
||||
pack(mu0, alpha0, beta0),
|
||||
pack(mu_asym, alpha_asym, beta_asym),
|
||||
pack(mu_asym, beta_asym, alpha_asym),
|
||||
]
|
||||
|
||||
best_res = None
|
||||
best_nll = np.inf
|
||||
with np.errstate(all='ignore'):
|
||||
for x0 in x0_candidates:
|
||||
x0_safe = list(x0)
|
||||
x0_safe[1] = float(np.clip(x0_safe[1], bounds[1][0], bounds[1][1]))
|
||||
x0_safe[2] = float(np.clip(x0_safe[2], bounds[2][0], bounds[2][1]))
|
||||
res = minimize(
|
||||
neg_ll,
|
||||
x0=x0_safe,
|
||||
method='L-BFGS-B',
|
||||
bounds=bounds,
|
||||
options={'ftol': 1e-12, 'gtol': 1e-8, 'maxiter': 2000},
|
||||
)
|
||||
if res.fun < best_nll:
|
||||
best_nll = res.fun
|
||||
best_res = res
|
||||
|
||||
mu_hat, alpha_hat, beta_hat, loc_hat, scale_hat = unpack(best_res.x)
|
||||
return (mu_hat, alpha_hat, beta_hat, loc_hat, scale_hat)
|
||||
|
||||
|
||||
logk = logk_gen(name="logk", shapes="mu, alpha, beta")
|
||||
@@ -708,3 +932,394 @@ class logrice_gen(rv_continuous):
|
||||
|
||||
|
||||
logrice = logrice_gen(name='logrice', shapes="nu, sigma")
|
||||
|
||||
|
||||
class logweibull_gen(rv_continuous):
|
||||
"""Log-Weibull continuous random variable.
|
||||
|
||||
Y = ln(X) where X ~ Weibull(k, lam). The PDF is:
|
||||
|
||||
f(y; k, lam) = (k/lam) * (e^y/lam)^(k-1) * exp(-(e^y/lam)^k) * e^y
|
||||
|
||||
for y in (-inf, +inf), k > 0, lam > 0.
|
||||
|
||||
Since Y = ln(lam) + (1/k)*ln(W) where W ~ Exp(1), the moments are:
|
||||
|
||||
E[Y] = ln(lam) + psi(1)/k
|
||||
Var[Y] = psi_1(1) / k^2
|
||||
|
||||
Skewness and excess kurtosis are k-independent constants (the 1/k scaling
|
||||
cancels in the standardised moments) given by psi_2(1)/psi_1(1)^(3/2) and
|
||||
psi_3(1)/psi_1(1)^2 respectively.
|
||||
|
||||
The differential entropy is lam-independent:
|
||||
|
||||
H(Y) = 1 - psi(1) - ln(k)
|
||||
"""
|
||||
|
||||
def _shape_info(self):
|
||||
return [
|
||||
_ShapeInfo("k", False, (0, np.inf), (False, False)),
|
||||
_ShapeInfo("lam", False, (0, np.inf), (False, False)),
|
||||
]
|
||||
|
||||
def _argcheck(self, k, lam):
|
||||
return (k > 0) & (lam > 0)
|
||||
|
||||
def _pdf(self, y, k, lam):
|
||||
return np.exp(self._logpdf(y, k, lam))
|
||||
|
||||
def _logpdf(self, y, k, lam):
|
||||
# ln f = ln(k) + k*(y - ln(lam)) - (e^y/lam)^k
|
||||
return np.log(k) + k * (y - np.log(lam)) - (np.exp(y) / lam) ** k
|
||||
|
||||
def _cdf(self, y, k, lam):
|
||||
return 1.0 - np.exp(-((np.exp(y) / lam) ** k))
|
||||
|
||||
def _sf(self, y, k, lam):
|
||||
return np.exp(-((np.exp(y) / lam) ** k))
|
||||
|
||||
def _logcdf(self, y, k, lam):
|
||||
return np.log1p(-np.exp(-((np.exp(y) / lam) ** k)))
|
||||
|
||||
def _logsf(self, y, k, lam):
|
||||
return -((np.exp(y) / lam) ** k)
|
||||
|
||||
def _ppf(self, q, k, lam):
|
||||
# q = 1 - exp(-(e^y/lam)^k) => y = ln(lam) + ln(-log1p(-q)) / k
|
||||
return np.log(lam) + np.log(-np.log1p(-q)) / k
|
||||
|
||||
def _isf(self, q, k, lam):
|
||||
# q = exp(-(e^y/lam)^k) => y = ln(lam) + ln(-ln(q)) / k
|
||||
return np.log(lam) + np.log(-np.log(q)) / k
|
||||
|
||||
def _stats(self, k, lam):
|
||||
# Y = ln(lam) + (1/k)*ln(W), W ~ Exp(1) = Gamma(1, 1)
|
||||
mu = np.log(lam) + sc.digamma(1) / k
|
||||
mu2 = sc.polygamma(1, 1) / k ** 2
|
||||
g1 = sc.polygamma(2, 1) / sc.polygamma(1, 1) ** 1.5
|
||||
g2 = sc.polygamma(3, 1) / sc.polygamma(1, 1) ** 2
|
||||
return mu, mu2, g1, g2
|
||||
|
||||
def _entropy(self, k, lam):
|
||||
# H(Y) = 1 - psi(1) - ln(k) (lam-independent: pure location shift)
|
||||
return 1.0 - sc.digamma(1) - np.log(k)
|
||||
|
||||
def _rvs(self, k, lam, size=None, random_state=None):
|
||||
# X = lam * W^(1/k), W ~ Exp(1) => Y = ln(lam) + ln(W)/k
|
||||
return np.log(lam) + np.log(random_state.exponential(size=size)) / k
|
||||
|
||||
|
||||
logweibull = logweibull_gen(name="logweibull", shapes="k, lam")
|
||||
|
||||
|
||||
class logricegamma_gen(rv_continuous):
|
||||
"""Log-RiceGamma continuous random variable.
|
||||
|
||||
Y = ln(X) where X has the Rice-Gamma PDF:
|
||||
|
||||
f(x; alpha, beta, K) =
|
||||
4*x*(1+K)*exp(-K) / (Gamma(alpha)*beta^alpha)
|
||||
* sum_{n=0}^inf [K*(1+K)]^n / (n!)^2
|
||||
* x^{2n} * [beta*(1+K)*x^2]^{(alpha-1-n)/2}
|
||||
* K_{alpha-1-n}(2*x*sqrt((1+K)/beta))
|
||||
|
||||
for x > 0, giving Y = ln(X) with support on all of R.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
alpha : float > 0
|
||||
Shape of the Gamma texture distribution.
|
||||
beta : float > 0
|
||||
Scale of the Gamma texture (E[Omega] = alpha*beta).
|
||||
K : float >= 0
|
||||
Rice K-factor (specular-to-diffuse power ratio). K=0 recovers
|
||||
the Rayleigh-Gamma (K-distribution) log-envelope.
|
||||
|
||||
The compound representation is: Omega ~ Gamma(alpha, beta), then
|
||||
X|Omega ~ Rice(nu, sigma) with sigma^2 = Omega/(2*(1+K)) and
|
||||
nu = sqrt(K*Omega/(1+K)).
|
||||
"""
|
||||
def _shape_info(self):
|
||||
return [
|
||||
_ShapeInfo("alpha", False, (0, np.inf), (False, False)),
|
||||
_ShapeInfo("beta", False, (0, np.inf), (False, False)),
|
||||
_ShapeInfo("K", False, (0, np.inf), (True, False)),
|
||||
]
|
||||
|
||||
def _argcheck(self, alpha, beta, K):
|
||||
return (alpha > 0) & (beta > 0) & (K >= 0)
|
||||
|
||||
@staticmethod
|
||||
def _log_kve(v, z):
|
||||
"""log(kve(v, z)) = log(K_v(z)) + z, numerically stable."""
|
||||
v = np.asarray(v, dtype=float)
|
||||
z = np.asarray(z, dtype=float)
|
||||
abs_v = np.abs(v)
|
||||
with np.errstate(divide='ignore', invalid='ignore', over='ignore'):
|
||||
kve_val = sc.kve(v, z)
|
||||
z_safe = np.where(z > 0, z, 1.0)
|
||||
mu_v = 4.0 * v ** 2
|
||||
log1p_arg = np.maximum(
|
||||
(mu_v - 1.0) / (8.0 * z_safe)
|
||||
+ (mu_v - 1.0) * (mu_v - 9.0) / (128.0 * z_safe ** 2),
|
||||
-1.0 + 1e-15,
|
||||
)
|
||||
log_asymp_largez = (
|
||||
0.5 * (np.log(np.pi) - np.log(2.0) - np.log(z_safe))
|
||||
+ np.log1p(log1p_arg)
|
||||
)
|
||||
# log(kve(v,z)) ≈ gammaln(|v|) + |v|*log(2/z) - log(2) + z for |v| >> z
|
||||
log_asymp_largev = (
|
||||
sc.gammaln(np.maximum(abs_v, 1e-300))
|
||||
+ abs_v * np.log(2.0 / z_safe)
|
||||
- np.log(2.0)
|
||||
+ z
|
||||
)
|
||||
with np.errstate(divide='ignore', invalid='ignore'):
|
||||
kve_bad = ~np.isfinite(kve_val) | (kve_val <= 0)
|
||||
use_largev = (abs_v > z_safe + 2.0) & kve_bad
|
||||
log_asymp = np.where(use_largev, log_asymp_largev, log_asymp_largez)
|
||||
return np.where(kve_bad, log_asymp, np.log(kve_val))
|
||||
|
||||
def _pdf(self, y, alpha, beta, K):
|
||||
return np.exp(self._logpdf(y, alpha, beta, K))
|
||||
|
||||
#: Number of terms kept in the truncated series for _logpdf.
|
||||
#: Increase for large K-factors (rule of thumb: N_SERIES > 3*K + 30).
|
||||
N_SERIES: int = 90
|
||||
|
||||
def _logpdf(self, y, alpha, beta, K):
|
||||
y = np.asarray(y, dtype=float)
|
||||
x = np.exp(y)
|
||||
z = 2.0 * x * np.sqrt((1.0 + K) / beta)
|
||||
|
||||
# log-prefactor: log(4 x^2 (1+K) e^{-K} / (Γ(α) β^α)), absorbs exp(-z)
|
||||
# so each series term uses kve-scaled Bessel values
|
||||
log_pre = (
|
||||
np.log(4.0) + 2.0 * y + np.log(1.0 + K) - K
|
||||
- sc.gammaln(alpha) - alpha * np.log(beta)
|
||||
- z
|
||||
)
|
||||
log_b1Kx2 = np.log(beta) + np.log(1.0 + K) + 2.0 * y # log[beta*(1+K)*x^2]
|
||||
|
||||
log1pK = np.log(1.0 + K)
|
||||
logK_safe = np.log(np.where(K > 0, K, 1.0))
|
||||
|
||||
log_terms = []
|
||||
for n in range(self.N_SERIES + 1):
|
||||
# log(kve(alpha-1-n, z)) = log(K_{alpha-1-n}(z)) + z
|
||||
log_kve_n = logricegamma_gen._log_kve(alpha - 1.0 - n, z)
|
||||
|
||||
# K^n: for K=0 only the n=0 term survives (0^0 = 1)
|
||||
n_logK = 0.0 if n == 0 else np.where(K > 0, n * logK_safe, -np.inf)
|
||||
|
||||
log_Tn = (
|
||||
n_logK
|
||||
+ n * log1pK
|
||||
- 2.0 * float(sc.gammaln(n + 1))
|
||||
+ 2.0 * n * y # x^{2n} factor
|
||||
+ (alpha - 1.0 - n) / 2.0 * log_b1Kx2
|
||||
+ log_kve_n
|
||||
)
|
||||
log_terms.append(log_Tn)
|
||||
|
||||
log_arr = np.stack(log_terms, axis=0) # shape (N_MAX+1, *y.shape)
|
||||
max_lt = np.max(log_arr, axis=0) # shape (*y.shape)
|
||||
with np.errstate(invalid='ignore'):
|
||||
shifted = log_arr - max_lt[np.newaxis, ...]
|
||||
log_sum = max_lt + np.log(np.sum(np.exp(shifted), axis=0))
|
||||
return log_pre + log_sum
|
||||
|
||||
def _fitstart(self, data, args=None):
|
||||
# loc near the data mean; alpha/beta in (0.5, 1) for typical heavy-tail
|
||||
# radar clutter; K=1 moderate Rice factor; scale near data std.
|
||||
mean_d = float(np.mean(data))
|
||||
std_d = float(np.std(data))
|
||||
return (0.75, 0.75, 3.0, mean_d, max(std_d * 0.5, 0.1))
|
||||
|
||||
def _rvs(self, alpha, beta, K, size=None, random_state=None):
|
||||
# Compound sampler: Omega ~ Gamma(alpha, beta), X|Omega ~ Rice(nu, sigma)
|
||||
Omega = random_state.gamma(alpha, beta, size=size)
|
||||
sigma = np.sqrt(Omega / (2.0 * (1.0 + K)))
|
||||
nu = np.sqrt(K * Omega / (1.0 + K))
|
||||
z1 = random_state.normal(nu, sigma, size=size)
|
||||
z2 = random_state.normal(0.0, sigma, size=size)
|
||||
return np.log(np.hypot(z1, z2))
|
||||
|
||||
def _cdf(self, y, alpha, beta, K):
|
||||
# Compound representation:
|
||||
# P(Y <= y) = E_Omega[ P(X <= e^y | Omega) ]
|
||||
# Given Omega, sigma^2 = Omega/(2(1+K)), nu^2 = K*Omega/(1+K):
|
||||
# P(X <= x | Omega) = ncx2.cdf(x^2/sigma^2, 2, nu^2/sigma^2)
|
||||
# = ncx2.cdf(2(1+K)e^{2y}/Omega, 2, 2K)
|
||||
# Non-centrality 2K is Omega-independent. Integrate over Omega ~ Gamma(alpha, beta)
|
||||
# by substituting s = Omega/beta (so s ~ Gamma(alpha, 1)) and applying
|
||||
# generalized Gauss-Laguerre quadrature of order alpha-1.
|
||||
from scipy.special import roots_genlaguerre
|
||||
from scipy.special import gamma as sp_gamma
|
||||
|
||||
y = np.asarray(y, dtype=float)
|
||||
# Parameters are broadcast to y's shape by scipy; take the unique scalar.
|
||||
alpha_s = float(np.ravel(alpha)[0])
|
||||
beta_s = float(np.ravel(beta)[0])
|
||||
K_s = float(np.ravel(K)[0])
|
||||
|
||||
_N_PTS = 50
|
||||
nodes, weights = roots_genlaguerre(_N_PTS, alpha_s - 1.0)
|
||||
|
||||
# ncx2_arg shape: (*y.shape, N_PTS)
|
||||
ncx2_arg = (
|
||||
2.0 * (1.0 + K_s) * np.exp(2.0 * y)[..., np.newaxis]
|
||||
/ (beta_s * nodes)
|
||||
)
|
||||
cdf_vals = ncx2.cdf(ncx2_arg, 2.0, 2.0 * K_s)
|
||||
return np.dot(cdf_vals, weights) / sp_gamma(alpha_s)
|
||||
|
||||
|
||||
logricegamma = logricegamma_gen(name='logricegamma', shapes='alpha, beta, K')
|
||||
|
||||
|
||||
class ricegamma_gen(rv_continuous):
|
||||
"""RiceGamma continuous random variable (linear-domain envelope).
|
||||
|
||||
The probability density function is:
|
||||
|
||||
f(x; alpha, beta, K) =
|
||||
4*x*(1+K)*exp(-K) / (Gamma(alpha)*beta^alpha)
|
||||
* sum_{n=0}^inf [K*(1+K)]^n / (n!)^2
|
||||
* x^{2n} * [beta*(1+K)*x^2]^{(alpha-1-n)/2}
|
||||
* K_{alpha-1-n}(2*x*sqrt((1+K)/beta))
|
||||
|
||||
for x > 0, alpha > 0, beta > 0, K >= 0.
|
||||
|
||||
This is the linear-domain counterpart of logricegamma: if X ~ ricegamma
|
||||
then ln(X) ~ logricegamma (same alpha, beta, K, loc=0, scale=1).
|
||||
|
||||
The compound representation is: Omega ~ Gamma(alpha, beta), then
|
||||
X|Omega ~ Rice(nu, sigma) with sigma^2 = Omega/(2*(1+K)) and
|
||||
nu = sqrt(K*Omega/(1+K)). E[X^2] = alpha*beta.
|
||||
"""
|
||||
|
||||
#: Number of series terms. Increase for large K (rule: N_SERIES > 3*K + 30).
|
||||
N_SERIES: int = 90
|
||||
|
||||
def _shape_info(self):
|
||||
return [
|
||||
_ShapeInfo("alpha", False, (0, np.inf), (False, False)),
|
||||
_ShapeInfo("beta", False, (0, np.inf), (False, False)),
|
||||
_ShapeInfo("K", False, (0, np.inf), (True, False)),
|
||||
]
|
||||
|
||||
def _argcheck(self, alpha, beta, K):
|
||||
return (alpha > 0) & (beta > 0) & (K >= 0)
|
||||
|
||||
@staticmethod
|
||||
def _log_kve(v, z):
|
||||
"""log(kve(v, z)) = log(K_v(z)) + z, numerically stable."""
|
||||
v = np.asarray(v, dtype=float)
|
||||
z = np.asarray(z, dtype=float)
|
||||
abs_v = np.abs(v)
|
||||
with np.errstate(divide='ignore', invalid='ignore', over='ignore'):
|
||||
kve_val = sc.kve(v, z)
|
||||
z_safe = np.where(z > 0, z, 1.0)
|
||||
mu_v = 4.0 * v ** 2
|
||||
log1p_arg = np.maximum(
|
||||
(mu_v - 1.0) / (8.0 * z_safe)
|
||||
+ (mu_v - 1.0) * (mu_v - 9.0) / (128.0 * z_safe ** 2),
|
||||
-1.0 + 1e-15,
|
||||
)
|
||||
log_asymp_largez = (
|
||||
0.5 * (np.log(np.pi) - np.log(2.0) - np.log(z_safe))
|
||||
+ np.log1p(log1p_arg)
|
||||
)
|
||||
log_asymp_largev = (
|
||||
sc.gammaln(np.maximum(abs_v, 1e-300))
|
||||
+ abs_v * np.log(2.0 / z_safe)
|
||||
- np.log(2.0)
|
||||
+ z
|
||||
)
|
||||
with np.errstate(divide='ignore', invalid='ignore'):
|
||||
kve_bad = ~np.isfinite(kve_val) | (kve_val <= 0)
|
||||
use_largev = (abs_v > z_safe + 2.0) & kve_bad
|
||||
log_asymp = np.where(use_largev, log_asymp_largev, log_asymp_largez)
|
||||
return np.where(kve_bad, log_asymp, np.log(kve_val))
|
||||
|
||||
def _pdf(self, x, alpha, beta, K):
|
||||
return np.exp(self._logpdf(x, alpha, beta, K))
|
||||
|
||||
def _logpdf(self, x, alpha, beta, K):
|
||||
x = np.asarray(x, dtype=float)
|
||||
z = 2.0 * x * np.sqrt((1.0 + K) / beta)
|
||||
|
||||
# log-prefactor: log(4 x (1+K) e^{-K} / (Γ(α) β^α)), absorbs exp(-z)
|
||||
log_pre = (
|
||||
np.log(4.0) + np.log(x) + np.log(1.0 + K) - K
|
||||
- sc.gammaln(alpha) - alpha * np.log(beta)
|
||||
- z
|
||||
)
|
||||
log_b1Kx2 = np.log(beta) + np.log(1.0 + K) + 2.0 * np.log(x)
|
||||
|
||||
log1pK = np.log(1.0 + K)
|
||||
logK_safe = np.log(np.where(K > 0, K, 1.0))
|
||||
|
||||
log_terms = []
|
||||
for n in range(self.N_SERIES + 1):
|
||||
log_kve_n = ricegamma_gen._log_kve(alpha - 1.0 - n, z)
|
||||
|
||||
n_logK = 0.0 if n == 0 else np.where(K > 0, n * logK_safe, -np.inf)
|
||||
|
||||
log_Tn = (
|
||||
n_logK
|
||||
+ n * log1pK
|
||||
- 2.0 * float(sc.gammaln(n + 1))
|
||||
+ 2.0 * n * np.log(x) # x^{2n} factor
|
||||
+ (alpha - 1.0 - n) / 2.0 * log_b1Kx2
|
||||
+ log_kve_n
|
||||
)
|
||||
log_terms.append(log_Tn)
|
||||
|
||||
log_arr = np.stack(log_terms, axis=0)
|
||||
max_lt = np.max(log_arr, axis=0)
|
||||
with np.errstate(invalid='ignore'):
|
||||
shifted = log_arr - max_lt[np.newaxis, ...]
|
||||
log_sum = max_lt + np.log(np.sum(np.exp(shifted), axis=0))
|
||||
return log_pre + log_sum
|
||||
|
||||
def _cdf(self, x, alpha, beta, K):
|
||||
# P(X <= x | Omega) = ncx2.cdf(2*(1+K)*x^2/Omega, 2, 2K)
|
||||
# Integrate out Omega ~ Gamma(alpha, beta) via generalised Gauss-Laguerre.
|
||||
from scipy.special import roots_genlaguerre
|
||||
from scipy.special import gamma as sp_gamma
|
||||
|
||||
x = np.asarray(x, dtype=float)
|
||||
alpha_s = float(np.ravel(alpha)[0])
|
||||
beta_s = float(np.ravel(beta)[0])
|
||||
K_s = float(np.ravel(K)[0])
|
||||
|
||||
nodes, weights = roots_genlaguerre(50, alpha_s - 1.0)
|
||||
|
||||
ncx2_arg = (
|
||||
2.0 * (1.0 + K_s) * (x[..., np.newaxis] ** 2)
|
||||
/ (beta_s * nodes)
|
||||
)
|
||||
cdf_vals = ncx2.cdf(ncx2_arg, 2.0, 2.0 * K_s)
|
||||
return np.dot(cdf_vals, weights) / sp_gamma(alpha_s)
|
||||
|
||||
def _rvs(self, alpha, beta, K, size=None, random_state=None):
|
||||
# Compound sampler: Omega ~ Gamma(alpha, beta), X|Omega ~ Rice(nu, sigma)
|
||||
Omega = random_state.gamma(alpha, beta, size=size)
|
||||
sigma = np.sqrt(Omega / (2.0 * (1.0 + K)))
|
||||
nu = np.sqrt(K * Omega / (1.0 + K))
|
||||
z1 = random_state.normal(nu, sigma, size=size)
|
||||
z2 = random_state.normal(0.0, sigma, size=size)
|
||||
return np.hypot(z1, z2)
|
||||
|
||||
def _fitstart(self, data, args=None):
|
||||
# Shapes at scipy's default (1.0); loc = data mean; scale = data std.
|
||||
if args is None:
|
||||
args = (1.0,) * self.numargs
|
||||
return args + (float(np.mean(data)), float(np.std(data)))
|
||||
|
||||
|
||||
ricegamma = ricegamma_gen(a=0.0, name='ricegamma', shapes='alpha, beta, K')
|
||||
|
||||
Reference in New Issue
Block a user