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use crate::prelude::*; use ndarray::Array2; use rand::Rng; use spaces::real::Interval; use std::{f64::INFINITY, fmt}; locscale_params! { Params { x_m<f64>, alpha<f64> } } new_dist!(Pareto<Params>); macro_rules! get_params { ($self:ident) => { ($self.0.x_m.0, $self.0.alpha.0) } } impl Pareto { pub fn new(x_m: f64, alpha: f64) -> Result<Pareto, failure::Error> { Params::new(x_m, alpha).map(|p| Pareto(p)) } pub fn new_unchecked(x_m: f64, alpha: f64) -> Pareto { Pareto(Params::new_unchecked(x_m, alpha)) } } impl Distribution for Pareto { type Support = Interval; type Params = Params; fn support(&self) -> Interval { Interval::left_bounded(self.0.x_m.0) } fn params(&self) -> Params { self.0 } fn cdf(&self, x: &f64) -> Probability { let (x_m, alpha) = get_params!(self); Probability::new_unchecked(1.0 - (x_m / x).powf(alpha)) } fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> f64 { use rand_distr::Distribution as _; let (x_m, alpha) = get_params!(self); rand_distr::Pareto::<f64>::new(x_m, alpha).unwrap().sample(rng) } } impl ContinuousDistribution for Pareto { fn pdf(&self, x: &f64) -> f64 { let x_m = self.0.x_m.0; if *x < x_m { 0.0 } else { let alpha = self.0.alpha.0; alpha * x_m.powf(alpha) / x.powf(alpha + 1.0) } } } impl UnivariateMoments for Pareto { fn mean(&self) -> f64 { match self.0.alpha.0 { alpha if alpha <= 1.0 => INFINITY, alpha => alpha * self.0.x_m.0 / (alpha - 1.0), } } fn variance(&self) -> f64 { match self.0.alpha.0 { alpha if alpha <= 2.0 => INFINITY, alpha => { let x_m = self.0.x_m.0; let am1 = alpha - 1.0; x_m * x_m * alpha / am1 / am1 / (alpha - 2.0) }, } } fn skewness(&self) -> f64 { match self.0.alpha.0 { alpha if alpha <= 3.0 => undefined!("Variance is undefined for alpha <= 3."), alpha => 2.0 * (1.0 + alpha) / (alpha - 3.0) * ((alpha - 2.0) / alpha).sqrt(), } } fn excess_kurtosis(&self) -> f64 { match self.0.alpha.0 { alpha if alpha <= 4.0 => undefined!("Kurtosis is undefined for alpha <= 4."), alpha => { let a2 = alpha * alpha; let a3 = a2 * alpha; 6.0 * (a3 + a2 - 6.0 * alpha - 2.0) / alpha / (alpha - 3.0) / (alpha - 4.0) }, } } } impl Quantiles for Pareto { fn quantile(&self, _: Probability) -> f64 { unimplemented!() } fn median(&self) -> f64 { let (x_m, alpha) = get_params!(self); x_m * 2.0f64.powf(1.0 / alpha) } } impl Modes for Pareto { fn modes(&self) -> Vec<f64> { vec![self.0.x_m.0] } } impl Entropy for Pareto { fn entropy(&self) -> f64 { let (x_m, alpha) = get_params!(self); (x_m / alpha * (1.0 + 1.0 / alpha).exp()).ln() } } impl FisherInformation for Pareto { fn fisher_information(&self) -> Array2<f64> { let (x_m, alpha) = get_params!(self); let off_diag = -1.0 / x_m; unsafe { Array2::from_shape_vec_unchecked( (2, 2), vec![ alpha / x_m / x_m, off_diag, off_diag, 1.0 / alpha / alpha, ], ) } } } impl fmt::Display for Pareto { fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result { let (x_m, alpha) = get_params!(self); write!(f, "Pareto({}, {})", x_m, alpha) } }