feat(distributions): add lograyleigh and logrice distributions

Add Log-Rayleigh and Log-Rice continuous distributions as
scipy rv_continuous subclasses with PDF, CDF, SF, PPF, ISF,
moments, entropy, and RVS methods.

Log-Rice reduces to Log-Rayleigh when nu=0. Both are derived
via the change-of-variable Y = ln X on their respective parent
distributions. Includes unit tests verifying numerical
correctness and the change-of-variable identity.
This commit is contained in:
2026-04-27 11:11:32 -03:00
parent 9a3f5959cd
commit e780bb956e
2 changed files with 347 additions and 57 deletions

View File

@@ -7,7 +7,7 @@ import os
sys.path.insert(0, os.path.join(os.path.dirname(__file__), "..")) sys.path.insert(0, os.path.join(os.path.dirname(__file__), ".."))
from tools.distributions import k_dist, lognakagami, loggamma_dist from tools.distributions import k_dist, lognakagami, loggamma_dist, lograyleigh, logrice
X = np.linspace(0.01, 10.0, 500) X = np.linspace(0.01, 10.0, 500)
@@ -340,6 +340,180 @@ class TestLogGamma:
assert pytest.approx(samples.mean(), rel=5e-2) == expected_mean assert pytest.approx(samples.mean(), rel=5e-2) == expected_mean
# ── lograyleigh unit tests ────────────────────────────────────────────────────
class TestLogRayleigh:
def test_logpdf_is_finite_on_real_line(self):
"""logpdf must be finite for all real y — tests positivity without float64 underflow."""
log_vals = lograyleigh.logpdf(Y, sigma=2.0)
assert np.all(np.isfinite(log_vals))
def test_pdf_integrates_to_one(self):
"""Numerical integral of PDF over the real line should be ≈ 1."""
y_fine = np.linspace(-20, 10, 200_000)
integral = np.trapezoid(lograyleigh.pdf(y_fine, sigma=2.0), y_fine)
assert pytest.approx(integral, abs=1e-3) == 1.0
def test_logpdf_equals_log_pdf(self):
"""logpdf must equal log(pdf) at points where pdf does not underflow."""
y_bulk = np.linspace(-5.0, 2.0, 50)
log_via_pdf = np.log(lograyleigh.pdf(y_bulk, sigma=2.0))
log_direct = lograyleigh.logpdf(y_bulk, sigma=2.0)
np.testing.assert_allclose(log_direct, log_via_pdf, rtol=1e-6)
def test_cdf_is_monotone_increasing(self):
"""CDF must be strictly non-decreasing."""
cdf_vals = lograyleigh.cdf(Y, sigma=2.0)
assert np.all(np.diff(cdf_vals) >= 0)
def test_cdf_and_sf_sum_to_one(self):
"""CDF + SF must equal 1 at every point."""
cdf_vals = lograyleigh.cdf(Y, sigma=2.0)
sf_vals = lograyleigh.sf(Y, sigma=2.0)
np.testing.assert_allclose(cdf_vals + sf_vals, 1.0, atol=1e-12)
def test_ppf_inverts_cdf(self):
"""ppf(cdf(y)) must recover y."""
y_test = np.array([-2.0, 0.0, 1.0])
cdf_vals = lograyleigh.cdf(y_test, sigma=2.0)
np.testing.assert_allclose(lograyleigh.ppf(cdf_vals, sigma=2.0), y_test, atol=1e-8)
def test_isf_inverts_sf(self):
"""isf(sf(y)) must recover y."""
y_test = np.array([-1.0, 0.5, 1.5])
sf_vals = lograyleigh.sf(y_test, sigma=2.0)
np.testing.assert_allclose(lograyleigh.isf(sf_vals, sigma=2.0), y_test, atol=1e-8)
def test_argcheck_rejects_non_positive_sigma(self):
"""sigma <= 0 must not produce a valid (positive-finite) PDF value."""
val = lograyleigh.pdf(0.0, sigma=-1.0)
assert not (np.isfinite(val) and val > 0)
def test_stats_mean(self):
"""Analytical mean must equal 0.5 * (log(2*sigma^2) + digamma(1))."""
sigma = 2.0
expected_mean = 0.5 * (np.log(2.0 * sigma**2) + sc.digamma(1))
dist_mean = float(lograyleigh.stats(sigma=sigma, moments="m"))
assert pytest.approx(dist_mean, rel=1e-10) == expected_mean
def test_stats_mean_shifts_with_sigma(self):
"""Changing sigma shifts the mean by log(sigma2/sigma1) and leaves variance unchanged."""
mean1 = float(lograyleigh.stats(sigma=1.0, moments="m"))
mean4 = float(lograyleigh.stats(sigma=4.0, moments="m"))
assert pytest.approx(mean4 - mean1, rel=1e-10) == np.log(4.0)
def test_stats_variance_equals_pi_squared_over_24(self):
"""Variance must equal pi^2/24 and be independent of sigma."""
expected_var = np.pi**2 / 24.0
for sigma in [0.5, 1.0, 3.0]:
_, dist_var, *_ = lograyleigh.stats(sigma=sigma, moments="mv")
assert pytest.approx(float(dist_var), rel=1e-10) == expected_var
def test_log_transform_relation_to_rayleigh(self):
"""lograyleigh.pdf(y) must equal rayleigh.pdf(exp(y)) * exp(y) (change-of-variable)."""
from scipy.stats import rayleigh
y_test = np.linspace(-3.0, 3.0, 20)
sigma = 2.0
direct = lograyleigh.pdf(y_test, sigma=sigma)
via_rayleigh = rayleigh.pdf(np.exp(y_test), scale=sigma) * np.exp(y_test)
np.testing.assert_allclose(direct, via_rayleigh, rtol=1e-6)
def test_rvs_samples_are_finite(self):
"""Random samples must be finite real numbers."""
rng = np.random.default_rng(42)
samples = lograyleigh.rvs(sigma=2.0, size=200, random_state=rng)
assert samples.shape == (200,)
assert np.all(np.isfinite(samples))
def test_rvs_sample_mean_near_expected(self):
"""Sample mean of many RVS should be close to the distribution mean."""
sigma = 2.0
rng = np.random.default_rng(0)
samples = lograyleigh.rvs(sigma=sigma, size=50_000, random_state=rng)
expected_mean = float(lograyleigh.stats(sigma=sigma, moments="m"))
assert pytest.approx(samples.mean(), rel=5e-2) == expected_mean
# ── logrice unit tests ────────────────────────────────────────────────────────
class TestLogRice:
def test_logpdf_is_finite_on_real_line(self):
"""logpdf must be finite for all real y — tests positivity without float64 underflow."""
log_vals = logrice.logpdf(Y, nu=1.0, sigma=2.0)
assert np.all(np.isfinite(log_vals))
def test_pdf_integrates_to_one(self):
"""Numerical integral of PDF over the real line should be ≈ 1."""
y_fine = np.linspace(-20, 10, 200_000)
integral = np.trapezoid(logrice.pdf(y_fine, nu=1.0, sigma=2.0), y_fine)
assert pytest.approx(integral, abs=1e-3) == 1.0
def test_logpdf_equals_log_pdf(self):
"""logpdf must equal log(pdf) at points where pdf does not underflow."""
y_bulk = np.linspace(-5.0, 2.0, 50)
log_via_pdf = np.log(logrice.pdf(y_bulk, nu=1.0, sigma=2.0))
log_direct = logrice.logpdf(y_bulk, nu=1.0, sigma=2.0)
np.testing.assert_allclose(log_direct, log_via_pdf, rtol=1e-6)
def test_cdf_is_monotone_increasing(self):
"""CDF must be strictly non-decreasing."""
cdf_vals = logrice.cdf(Y, nu=1.0, sigma=2.0)
assert np.all(np.diff(cdf_vals) >= 0)
def test_cdf_and_sf_sum_to_one(self):
"""CDF + SF must equal 1 at every point."""
cdf_vals = logrice.cdf(Y, nu=1.0, sigma=2.0)
sf_vals = logrice.sf(Y, nu=1.0, sigma=2.0)
np.testing.assert_allclose(cdf_vals + sf_vals, 1.0, atol=1e-12)
def test_argcheck_rejects_negative_nu(self):
"""nu < 0 must not produce a valid (positive-finite) PDF value."""
val = logrice.pdf(0.0, nu=-1.0, sigma=2.0)
assert not (np.isfinite(val) and val > 0)
def test_argcheck_rejects_non_positive_sigma(self):
"""sigma <= 0 must not produce a valid (positive-finite) PDF value."""
val = logrice.pdf(0.0, nu=1.0, sigma=-1.0)
assert not (np.isfinite(val) and val > 0)
def test_nu_zero_matches_lograyleigh(self):
"""logrice with nu=0 must match lograyleigh exactly."""
sigma = 2.0
pdf_rice = logrice.pdf(Y, nu=0.0, sigma=sigma)
pdf_rayleigh = lograyleigh.pdf(Y, sigma=sigma)
np.testing.assert_allclose(pdf_rice, pdf_rayleigh, rtol=1e-6)
def test_log_transform_relation_to_rice(self):
"""logrice.pdf(y) must equal rice.pdf(exp(y)) * exp(y) (change-of-variable)."""
from scipy.stats import rice
y_test = np.linspace(-2.0, 3.0, 20)
nu, sigma = 1.0, 2.0
direct = logrice.pdf(y_test, nu=nu, sigma=sigma)
via_rice = rice.pdf(np.exp(y_test), b=nu / sigma, scale=sigma) * np.exp(y_test)
np.testing.assert_allclose(direct, via_rice, rtol=1e-6)
def test_rvs_samples_are_finite(self):
"""Random samples must be finite real numbers."""
rng = np.random.default_rng(42)
samples = logrice.rvs(nu=1.0, sigma=2.0, size=200, random_state=rng)
assert samples.shape == (200,)
assert np.all(np.isfinite(samples))
def test_rvs_sample_mean_near_numerical_mean(self):
"""Sample mean of many RVS should be close to the numerically integrated mean."""
nu, sigma = 1.0, 2.0
rng = np.random.default_rng(0)
samples = logrice.rvs(nu=nu, sigma=sigma, size=50_000, random_state=rng)
y_fine = np.linspace(-20, 10, 200_000)
pdf_vals = logrice.pdf(y_fine, nu=nu, sigma=sigma)
numerical_mean = np.trapezoid(y_fine * pdf_vals, y_fine)
assert pytest.approx(samples.mean(), rel=5e-2) == numerical_mean
if __name__ == "__main__": if __name__ == "__main__":
plot_k_dist_varying_alpha() plot_k_dist_varying_alpha()
plot_k_dist_varying_mu() plot_k_dist_varying_mu()

View File

@@ -1,4 +1,4 @@
from scipy.stats import rv_continuous from scipy.stats import rv_continuous, ncx2
from scipy.special import kve, gammaln from scipy.special import kve, gammaln
from scipy.integrate import quad from scipy.integrate import quad
import scipy.special as sc import scipy.special as sc
@@ -9,7 +9,7 @@ import numpy as np
class k_gen(rv_continuous): class k_gen(rv_continuous):
"""Generalized K distribution for radar clutter modeling. """Generalized K distribution for radar clutter modeling.
The probability density function is:: The probability density function is:
f(x; mu, alpha, beta) = 2 / (Gamma(alpha) * Gamma(beta)) f(x; mu, alpha, beta) = 2 / (Gamma(alpha) * Gamma(beta))
* (alpha*beta/mu)^((alpha+beta)/2) * (alpha*beta/mu)^((alpha+beta)/2)
@@ -103,22 +103,16 @@ k_dist = k_gen(a=0.0, name="k_distribution", shapes="mu, alpha, beta")
class lognakagami_gen(rv_continuous): class lognakagami_gen(rv_continuous):
r"""A Log-Nakagami continuous random variable. """Log-Nakagami continuous random variable.
If X follows a Nakagami distribution with shape parameter m >= 0.5 The probability density function is:
and spread Omega > 0, then Y = ln(X) follows the Log-Nakagami distribution.
%(before_notes)s
Notes
-----
The probability density function for `lognakagami` is:
f(y; m, Omega) = 2*m^m / (Gamma(m)*Omega^m) f(y; m, Omega) = 2*m^m / (Gamma(m)*Omega^m)
* exp(2*m*y) * exp(-(m/Omega)*exp(2*y)) * exp(2*m*y) * exp(-(m/Omega)*exp(2*y))
for y in (-inf, +inf). Derived via the change of variable Y = ln X, for y in (-inf, +inf), m >= 0.5, Omega > 0. Derived via the change of
whose Jacobian e^y combines with x^{2m-1} to give the e^{2my} term. variable Y = ln X on a Nakagami(m, Omega) variate; the Jacobian e^y
combines with x^(2m-1) to give the exp(2*m*y) term.
The mean and variance are: The mean and variance are:
@@ -130,10 +124,6 @@ class lognakagami_gen(rv_continuous):
unchanged; entropy is also Omega-independent. unchanged; entropy is also Omega-independent.
`lognakagami` takes ``m`` and ``Omega`` as shape parameters. `lognakagami` takes ``m`` and ``Omega`` as shape parameters.
See Also
--------
nakagami : The Nakagami distribution (before the log transform).
""" """
def _shape_info(self): def _shape_info(self):
@@ -145,7 +135,6 @@ class lognakagami_gen(rv_continuous):
def _argcheck(self, m, Omega): def _argcheck(self, m, Omega):
return (m >= 0.5) & (Omega > 0) return (m >= 0.5) & (Omega > 0)
# ---------- PDF / log-PDF ----------
def _pdf(self, y, m, Omega): def _pdf(self, y, m, Omega):
return np.exp(self._logpdf(y, m, Omega)) return np.exp(self._logpdf(y, m, Omega))
@@ -159,7 +148,6 @@ class lognakagami_gen(rv_continuous):
+ 2.0 * m * y + 2.0 * m * y
- (m / Omega) * np.exp(2.0 * y)) - (m / Omega) * np.exp(2.0 * y))
# ---------- CDF / SF / log-CDF / log-SF ----------
def _cdf(self, y, m, Omega): def _cdf(self, y, m, Omega):
# P(Y <= y) = P(X <= e^y) = gammainc(m, (m/Omega) * e^{2y}) # P(Y <= y) = P(X <= e^y) = gammainc(m, (m/Omega) * e^{2y})
@@ -174,7 +162,6 @@ class lognakagami_gen(rv_continuous):
def _logsf(self, y, m, Omega): def _logsf(self, y, m, Omega):
return np.log(sc.gammaincc(m, (m / Omega) * np.exp(2.0 * y))) return np.log(sc.gammaincc(m, (m / Omega) * np.exp(2.0 * y)))
# ---------- PPF / ISF ----------
def _ppf(self, q, m, Omega): def _ppf(self, q, m, Omega):
# q = gammainc(m, (m/Omega)*e^{2y}) # q = gammainc(m, (m/Omega)*e^{2y})
@@ -185,8 +172,6 @@ class lognakagami_gen(rv_continuous):
def _isf(self, q, m, Omega): def _isf(self, q, m, Omega):
return 0.5 * np.log(Omega * sc.gammainccinv(m, q) / m) return 0.5 * np.log(Omega * sc.gammainccinv(m, q) / m)
# ---------- Moments & statistics ----------
def _stats(self, m, Omega): def _stats(self, m, Omega):
# E[Y] = 0.5*(psi(m) - ln(m) + ln(Omega)) # E[Y] = 0.5*(psi(m) - ln(m) + ln(Omega))
mu = 0.5 * (sc.digamma(m) - np.log(m) + np.log(Omega)) mu = 0.5 * (sc.digamma(m) - np.log(m) + np.log(Omega))
@@ -201,8 +186,6 @@ class lognakagami_gen(rv_continuous):
# Omega cancels exactly (translation invariance of differential entropy) # Omega cancels exactly (translation invariance of differential entropy)
return -np.log(2.0) + sc.gammaln(m) - m * sc.digamma(m) + m return -np.log(2.0) + sc.gammaln(m) - m * sc.digamma(m) + m
# ---------- Random variate generation ----------
def _rvs(self, m, Omega, size=None, random_state=None): def _rvs(self, m, Omega, size=None, random_state=None):
# X ~ Nakagami(m, Omega) => X^2 ~ Gamma(m, Omega/m) # X ~ Nakagami(m, Omega) => X^2 ~ Gamma(m, Omega/m)
g = random_state.gamma(m, Omega / m, size=size) g = random_state.gamma(m, Omega / m, size=size)
@@ -212,34 +195,27 @@ class lognakagami_gen(rv_continuous):
lognakagami = lognakagami_gen(name='lognakagami', shapes="m, Omega") lognakagami = lognakagami_gen(name='lognakagami', shapes="m, Omega")
class loggamma_gen(rv_continuous): class loggamma_gen(rv_continuous):
r"""A Log-Gamma continuous random variable. """Log-Gamma continuous random variable.
If X follows a Gamma distribution with shape a The probability density function is:
and unit scale (beta = 1), then Y = ln X follows
the Log-Gamma distribution.
%(before_notes)s f(y; a) = 1 / Gamma(a) * exp(a*y - exp(y))
Notes for y in (-inf, +inf), a > 0. Derived via the change of variable
----- Y = ln X on a Gamma(a, 1) variate; the Jacobian e^y combines with
The probability density function for `loggamma_dist` is: x^(a-1) to give the exp(a*y) term.
f(y, a) = 1 / Gamma(a) * exp(a*y - exp(y)) The mean and variance are:
for y in (-inf, +inf), a > 0. E[Y] = psi(a)
Var[Y] = psi_1(a)
This is the standardised form (scale beta = 1). where psi and psi_1 are the digamma and trigamma functions.
The non-unit scale beta is recovered through scipy's ``loc`` parameter:
loc = ln(beta), since ln(beta * X) = ln(beta) + ln(X).
`loggamma_dist` takes ``a`` as a shape parameter. `loggamma_dist` takes ``a`` as a shape parameter.
The non-unit scale beta is recovered through scipy's
``loc`` parameter: loc = ln(beta), since
ln(beta * X) = ln(beta) + ln(X).
See Also
--------
gamma : The Gamma distribution (before the log transform).
""" """
def _shape_info(self): def _shape_info(self):
@@ -248,8 +224,6 @@ class loggamma_gen(rv_continuous):
def _argcheck(self, a): def _argcheck(self, a):
return a > 0 return a > 0
# ---------- PDF / log-PDF ----------
def _pdf(self, y, a): def _pdf(self, y, a):
return np.exp(self._logpdf(y, a)) return np.exp(self._logpdf(y, a))
@@ -257,8 +231,6 @@ class loggamma_gen(rv_continuous):
# ln f = a*y - e^y - ln Γ(a) # ln f = a*y - e^y - ln Γ(a)
return a * y - np.exp(y) - sc.gammaln(a) return a * y - np.exp(y) - sc.gammaln(a)
# ---------- CDF / SF / log-CDF / log-SF ----------
def _cdf(self, y, a): def _cdf(self, y, a):
# P(Y <= y) = P(X <= e^y) = gammainc(a, e^y) # P(Y <= y) = P(X <= e^y) = gammainc(a, e^y)
return sc.gammainc(a, np.exp(y)) return sc.gammainc(a, np.exp(y))
@@ -272,8 +244,6 @@ class loggamma_gen(rv_continuous):
def _logsf(self, y, a): def _logsf(self, y, a):
return np.log(sc.gammaincc(a, np.exp(y))) return np.log(sc.gammaincc(a, np.exp(y)))
# ---------- PPF / ISF ----------
def _ppf(self, q, a): def _ppf(self, q, a):
# Invert CDF: q = gammainc(a, e^y) # Invert CDF: q = gammainc(a, e^y)
# => e^y = gammaincinv(a, q) # => e^y = gammaincinv(a, q)
@@ -283,8 +253,6 @@ class loggamma_gen(rv_continuous):
def _isf(self, q, a): def _isf(self, q, a):
return np.log(sc.gammainccinv(a, q)) return np.log(sc.gammainccinv(a, q))
# ---------- Moments & statistics ----------
def _stats(self, a): def _stats(self, a):
# Y = ln(X), X ~ Gamma(a, 1) # Y = ln(X), X ~ Gamma(a, 1)
# E[Y] = psi(a) (digamma) # E[Y] = psi(a) (digamma)
@@ -303,8 +271,6 @@ class loggamma_gen(rv_continuous):
# E[e^Y] = E[X] = a (for Gamma(a, 1)) # E[e^Y] = E[X] = a (for Gamma(a, 1))
return sc.gammaln(a) - a * sc.digamma(a) + a return sc.gammaln(a) - a * sc.digamma(a) + a
# ---------- Random variate generation ----------
def _rvs(self, a, size=None, random_state=None): def _rvs(self, a, size=None, random_state=None):
# Generate Gamma(a, 1) variates, then take log. # Generate Gamma(a, 1) variates, then take log.
# For small a, use Gamma(a) ~ Gamma(a+1) * U^(1/a) # For small a, use Gamma(a) ~ Gamma(a+1) * U^(1/a)
@@ -315,3 +281,153 @@ class loggamma_gen(rv_continuous):
loggamma_dist = loggamma_gen(name='loggamma_dist') loggamma_dist = loggamma_gen(name='loggamma_dist')
class lograyleigh_gen(rv_continuous):
"""Log-Rayleigh continuous random variable.
The probability density function is:
f(y; sigma) = (e^{2y} / sigma^2) * exp(-e^{2y} / (2*sigma^2))
for y in (-inf, +inf), sigma > 0. Derived via the change of variable
Y = ln X on a Rayleigh(sigma) variate; the Jacobian e^y combines with
x to give the e^{2y} term.
The mean and variance are:
E[Y] = 0.5 * (ln(2*sigma^2) + psi(1))
Var[Y] = pi^2 / 24
where psi is the digamma function. The scale sigma shifts the mean by
ln(sigma) but leaves all higher central moments unchanged; entropy is
also sigma-independent.
`lograyleigh` takes ``sigma`` as a shape parameter.
"""
def _shape_info(self):
return [_ShapeInfo("sigma", False, (0, np.inf), (False, False))]
def _argcheck(self, sigma):
return sigma > 0
def _pdf(self, y, sigma):
return np.exp(self._logpdf(y, sigma))
def _logpdf(self, y, sigma):
# ln f = 2y - 2*ln(sigma) - e^{2y} / (2*sigma^2)
return 2.0 * y - 2.0 * np.log(sigma) - np.exp(2.0 * y) / (2.0 * sigma**2)
def _cdf(self, y, sigma):
return 1.0 - np.exp(-np.exp(2.0 * y) / (2.0 * sigma**2))
def _sf(self, y, sigma):
return np.exp(-np.exp(2.0 * y) / (2.0 * sigma**2))
def _logcdf(self, y, sigma):
return np.log1p(-np.exp(-np.exp(2.0 * y) / (2.0 * sigma**2)))
def _logsf(self, y, sigma):
return -np.exp(2.0 * y) / (2.0 * sigma**2)
def _ppf(self, q, sigma):
# q = 1 - exp(-e^{2y}/(2*sigma^2))
# => e^{2y} = -2*sigma^2 * ln(1-q)
# => y = 0.5 * ln(-2*sigma^2 * ln(1-q))
return 0.5 * np.log(-2.0 * sigma**2 * np.log1p(-q))
def _isf(self, q, sigma):
# q = exp(-e^{2y}/(2*sigma^2))
# => y = 0.5 * ln(-2*sigma^2 * ln(q))
return 0.5 * np.log(-2.0 * sigma**2 * np.log(q))
def _stats(self, sigma):
# Y = 0.5*ln(2) + 0.5*ln(W) + ln(sigma), W ~ Exp(1) = Gamma(1, 1)
# E[Y] = 0.5*(ln(2*sigma^2) + psi(1))
# Var[Y] = 0.25*psi_1(1) = pi^2/24
# Standardised skewness/kurtosis are sigma-independent (pure shift)
mu = 0.5 * (np.log(2.0 * sigma**2) + sc.digamma(1))
mu2 = 0.25 * sc.polygamma(1, 1)
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, sigma):
# H(Y) = 1 - ln(2) - psi(1) (sigma-independent; derived via H(X) - E[ln X])
return 1.0 - np.log(2.0) - sc.digamma(1)
def _rvs(self, sigma, size=None, random_state=None):
# X ~ Rayleigh(sigma) = sigma*sqrt(-2*ln(U)), U ~ Uniform(0,1)
u = random_state.uniform(size=size)
return np.log(sigma) + 0.5 * np.log(-2.0 * np.log(u))
lograyleigh = lograyleigh_gen(name='lograyleigh', shapes="sigma")
class logrice_gen(rv_continuous):
"""Log-Rice continuous random variable.
The probability density function is:
f(y; nu, sigma) = (e^{2y} / sigma^2)
* exp(-(e^{2y} + nu^2) / (2*sigma^2))
* I_0(e^y * nu / sigma^2)
for y in (-inf, +inf), nu >= 0, sigma > 0. Derived via the change of
variable Y = ln X on a Rice(nu, sigma) variate; the Jacobian e^y
combines with x to give the e^{2y} factor. I_0 is the modified Bessel
function of the first kind of order zero.
The CDF involves the Marcum Q-function of order 1:
F(y; nu, sigma) = 1 - Q_1(nu/sigma, e^y/sigma)
When nu = 0, the distribution reduces to Log-Rayleigh.
`logrice` takes ``nu`` and ``sigma`` as shape parameters.
"""
def _shape_info(self):
return [
_ShapeInfo("nu", False, (0, np.inf), (True, False)),
_ShapeInfo("sigma", False, (0, np.inf), (False, False)),
]
def _argcheck(self, nu, sigma):
return (nu >= 0) & (sigma > 0)
def _pdf(self, y, nu, sigma):
return np.exp(self._logpdf(y, nu, sigma))
def _logpdf(self, y, nu, sigma):
# ln f = 2y - 2*ln(sigma) - (e^{2y} + nu^2)/(2*sigma^2) + ln(I_0(z))
# Use ive(0, z)*exp(z) = I_0(z) for stability: ln(I_0(z)) = ln(ive(0,z)) + z
z = np.exp(y) * nu / sigma**2
return (2.0 * y
- 2.0 * np.log(sigma)
- (np.exp(2.0 * y) + nu**2) / (2.0 * sigma**2)
+ np.log(sc.ive(0, z)) + z)
def _cdf(self, y, nu, sigma):
# P(Y <= y) = 1 - Q_1(nu/sigma, e^y/sigma) = ncx2.cdf(e^{2y}/sigma^2, 2, nu^2/sigma^2)
return ncx2.cdf(np.exp(2.0 * y) / sigma**2, 2, (nu / sigma)**2)
def _sf(self, y, nu, sigma):
return ncx2.sf(np.exp(2.0 * y) / sigma**2, 2, (nu / sigma)**2)
def _logcdf(self, y, nu, sigma):
return ncx2.logcdf(np.exp(2.0 * y) / sigma**2, 2, (nu / sigma)**2)
def _logsf(self, y, nu, sigma):
return ncx2.logsf(np.exp(2.0 * y) / sigma**2, 2, (nu / sigma)**2)
def _rvs(self, nu, sigma, size=None, random_state=None):
# X ~ Rice(nu, sigma): norm of 2D Gaussian with mean (nu, 0) and std sigma
z1 = random_state.normal(nu, sigma, size=size)
z2 = random_state.normal(0.0, sigma, size=size)
return np.log(np.hypot(z1, z2))
logrice = logrice_gen(name='logrice', shapes="nu, sigma")