stochastic-rs-stats 2.0.0-rc.1

Statistical estimators for stochastic processes.
Documentation 
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//! # Double Exp
//!
//! $$
//! f(x)=\frac{\lambda}{2}e^{-\lambda|x-\mu|}
//! $$
//!
use rand::Rng;
use rand_distr::Distribution;

pub struct DoubleExp {
  /// Mixing probability parameter.
  pub p: Option<f64>,
  /// Positive-tail exponential rate parameter.
  pub lambda_plus: f64,
  /// Negative-tail exponential rate parameter.
  pub lambda_minus: f64,
}

impl DoubleExp {
  pub fn new(p: Option<f64>, lambda_plus: f64, lambda_minus: f64) -> Self {
    Self {
      p,
      lambda_plus,
      lambda_minus,
    }
  }
}

impl Distribution<f64> for DoubleExp {
  fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> f64 {
    let u = rng.random::<f64>();

    if u < self.p.unwrap_or(0.5) {
      -rng.random::<f64>().ln() / self.lambda_plus
    } else {
      rng.random::<f64>().ln() / self.lambda_minus
    }
  }
}