Current File : //usr/lib/python3/dist-packages/sympy/stats/rv_interface.py
from sympy.sets import FiniteSet
from sympy import (sqrt, log, exp, FallingFactorial, Rational, Eq, Dummy,
piecewise_fold, solveset, Integral)
from .rv import (probability, expectation, density, where, given, pspace, cdf, PSpace,
characteristic_function, sample, sample_iter, random_symbols, independent, dependent,
sampling_density, moment_generating_function, quantile, is_random,
sample_stochastic_process)
__all__ = ['P', 'E', 'H', 'density', 'where', 'given', 'sample', 'cdf',
'characteristic_function', 'pspace', 'sample_iter', 'variance', 'std',
'skewness', 'kurtosis', 'covariance', 'dependent', 'entropy', 'median',
'independent', 'random_symbols', 'correlation', 'factorial_moment',
'moment', 'cmoment', 'sampling_density', 'moment_generating_function',
'smoment', 'quantile', 'sample_stochastic_process']
def moment(X, n, c=0, condition=None, *, evaluate=True, **kwargs):
"""
Return the nth moment of a random expression about c.
.. math::
moment(X, c, n) = E((X-c)^{n})
Default value of c is 0.
Examples
========
>>> from sympy.stats import Die, moment, E
>>> X = Die('X', 6)
>>> moment(X, 1, 6)
-5/2
>>> moment(X, 2)
91/6
>>> moment(X, 1) == E(X)
True
"""
from sympy.stats.symbolic_probability import Moment
if evaluate:
return Moment(X, n, c, condition).doit()
return Moment(X, n, c, condition).rewrite(Integral)
def variance(X, condition=None, **kwargs):
"""
Variance of a random expression.
.. math::
variance(X) = E((X-E(X))^{2})
Examples
========
>>> from sympy.stats import Die, Bernoulli, variance
>>> from sympy import simplify, Symbol
>>> X = Die('X', 6)
>>> p = Symbol('p')
>>> B = Bernoulli('B', p, 1, 0)
>>> variance(2*X)
35/3
>>> simplify(variance(B))
p*(1 - p)
"""
if is_random(X) and pspace(X) == PSpace():
from sympy.stats.symbolic_probability import Variance
return Variance(X, condition)
return cmoment(X, 2, condition, **kwargs)
def standard_deviation(X, condition=None, **kwargs):
r"""
Standard Deviation of a random expression
.. math::
std(X) = \sqrt(E((X-E(X))^{2}))
Examples
========
>>> from sympy.stats import Bernoulli, std
>>> from sympy import Symbol, simplify
>>> p = Symbol('p')
>>> B = Bernoulli('B', p, 1, 0)
>>> simplify(std(B))
sqrt(p*(1 - p))
"""
return sqrt(variance(X, condition, **kwargs))
std = standard_deviation
def entropy(expr, condition=None, **kwargs):
"""
Calculuates entropy of a probability distribution.
Parameters
==========
expression : the random expression whose entropy is to be calculated
condition : optional, to specify conditions on random expression
b: base of the logarithm, optional
By default, it is taken as Euler's number
Returns
=======
result : Entropy of the expression, a constant
Examples
========
>>> from sympy.stats import Normal, Die, entropy
>>> X = Normal('X', 0, 1)
>>> entropy(X)
log(2)/2 + 1/2 + log(pi)/2
>>> D = Die('D', 4)
>>> entropy(D)
log(4)
References
==========
.. [1] https://en.wikipedia.org/wiki/Entropy_(information_theory)
.. [2] https://www.crmarsh.com/static/pdf/Charles_Marsh_Continuous_Entropy.pdf
.. [3] http://www.math.uconn.edu/~kconrad/blurbs/analysis/entropypost.pdf
"""
pdf = density(expr, condition, **kwargs)
base = kwargs.get('b', exp(1))
if isinstance(pdf, dict):
return sum([-prob*log(prob, base) for prob in pdf.values()])
return expectation(-log(pdf(expr), base))
def covariance(X, Y, condition=None, **kwargs):
"""
Covariance of two random expressions.
Explanation
===========
The expectation that the two variables will rise and fall together
.. math::
covariance(X,Y) = E((X-E(X)) (Y-E(Y)))
Examples
========
>>> from sympy.stats import Exponential, covariance
>>> from sympy import Symbol
>>> rate = Symbol('lambda', positive=True, real=True, finite=True)
>>> X = Exponential('X', rate)
>>> Y = Exponential('Y', rate)
>>> covariance(X, X)
lambda**(-2)
>>> covariance(X, Y)
0
>>> covariance(X, Y + rate*X)
1/lambda
"""
if (is_random(X) and pspace(X) == PSpace()) or (is_random(Y) and pspace(Y) == PSpace()):
from sympy.stats.symbolic_probability import Covariance
return Covariance(X, Y, condition)
return expectation(
(X - expectation(X, condition, **kwargs)) *
(Y - expectation(Y, condition, **kwargs)),
condition, **kwargs)
def correlation(X, Y, condition=None, **kwargs):
r"""
Correlation of two random expressions, also known as correlation
coefficient or Pearson's correlation.
Explanation
===========
The normalized expectation that the two variables will rise
and fall together
.. math::
correlation(X,Y) = E((X-E(X))(Y-E(Y)) / (\sigma_x \sigma_y))
Examples
========
>>> from sympy.stats import Exponential, correlation
>>> from sympy import Symbol
>>> rate = Symbol('lambda', positive=True, real=True, finite=True)
>>> X = Exponential('X', rate)
>>> Y = Exponential('Y', rate)
>>> correlation(X, X)
1
>>> correlation(X, Y)
0
>>> correlation(X, Y + rate*X)
1/sqrt(1 + lambda**(-2))
"""
return covariance(X, Y, condition, **kwargs)/(std(X, condition, **kwargs)
* std(Y, condition, **kwargs))
def cmoment(X, n, condition=None, *, evaluate=True, **kwargs):
"""
Return the nth central moment of a random expression about its mean.
.. math::
cmoment(X, n) = E((X - E(X))^{n})
Examples
========
>>> from sympy.stats import Die, cmoment, variance
>>> X = Die('X', 6)
>>> cmoment(X, 3)
0
>>> cmoment(X, 2)
35/12
>>> cmoment(X, 2) == variance(X)
True
"""
from sympy.stats.symbolic_probability import CentralMoment
if evaluate:
return CentralMoment(X, n, condition).doit()
return CentralMoment(X, n, condition).rewrite(Integral)
def smoment(X, n, condition=None, **kwargs):
r"""
Return the nth Standardized moment of a random expression.
.. math::
smoment(X, n) = E(((X - \mu)/\sigma_X)^{n})
Examples
========
>>> from sympy.stats import skewness, Exponential, smoment
>>> from sympy import Symbol
>>> rate = Symbol('lambda', positive=True, real=True, finite=True)
>>> Y = Exponential('Y', rate)
>>> smoment(Y, 4)
9
>>> smoment(Y, 4) == smoment(3*Y, 4)
True
>>> smoment(Y, 3) == skewness(Y)
True
"""
sigma = std(X, condition, **kwargs)
return (1/sigma)**n*cmoment(X, n, condition, **kwargs)
def skewness(X, condition=None, **kwargs):
r"""
Measure of the asymmetry of the probability distribution.
Explanation
===========
Positive skew indicates that most of the values lie to the right of
the mean.
.. math::
skewness(X) = E(((X - E(X))/\sigma_X)^{3})
Parameters
==========
condition : Expr containing RandomSymbols
A conditional expression. skewness(X, X>0) is skewness of X given X > 0
Examples
========
>>> from sympy.stats import skewness, Exponential, Normal
>>> from sympy import Symbol
>>> X = Normal('X', 0, 1)
>>> skewness(X)
0
>>> skewness(X, X > 0) # find skewness given X > 0
(-sqrt(2)/sqrt(pi) + 4*sqrt(2)/pi**(3/2))/(1 - 2/pi)**(3/2)
>>> rate = Symbol('lambda', positive=True, real=True, finite=True)
>>> Y = Exponential('Y', rate)
>>> skewness(Y)
2
"""
return smoment(X, 3, condition=condition, **kwargs)
def kurtosis(X, condition=None, **kwargs):
r"""
Characterizes the tails/outliers of a probability distribution.
Explanation
===========
Kurtosis of any univariate normal distribution is 3. Kurtosis less than
3 means that the distribution produces fewer and less extreme outliers
than the normal distribution.
.. math::
kurtosis(X) = E(((X - E(X))/\sigma_X)^{4})
Parameters
==========
condition : Expr containing RandomSymbols
A conditional expression. kurtosis(X, X>0) is kurtosis of X given X > 0
Examples
========
>>> from sympy.stats import kurtosis, Exponential, Normal
>>> from sympy import Symbol
>>> X = Normal('X', 0, 1)
>>> kurtosis(X)
3
>>> kurtosis(X, X > 0) # find kurtosis given X > 0
(-4/pi - 12/pi**2 + 3)/(1 - 2/pi)**2
>>> rate = Symbol('lamda', positive=True, real=True, finite=True)
>>> Y = Exponential('Y', rate)
>>> kurtosis(Y)
9
References
==========
.. [1] https://en.wikipedia.org/wiki/Kurtosis
.. [2] http://mathworld.wolfram.com/Kurtosis.html
"""
return smoment(X, 4, condition=condition, **kwargs)
def factorial_moment(X, n, condition=None, **kwargs):
"""
The factorial moment is a mathematical quantity defined as the expectation
or average of the falling factorial of a random variable.
.. math::
factorial-moment(X, n) = E(X(X - 1)(X - 2)...(X - n + 1))
Parameters
==========
n: A natural number, n-th factorial moment.
condition : Expr containing RandomSymbols
A conditional expression.
Examples
========
>>> from sympy.stats import factorial_moment, Poisson, Binomial
>>> from sympy import Symbol, S
>>> lamda = Symbol('lamda')
>>> X = Poisson('X', lamda)
>>> factorial_moment(X, 2)
lamda**2
>>> Y = Binomial('Y', 2, S.Half)
>>> factorial_moment(Y, 2)
1/2
>>> factorial_moment(Y, 2, Y > 1) # find factorial moment for Y > 1
2
References
==========
.. [1] https://en.wikipedia.org/wiki/Factorial_moment
.. [2] http://mathworld.wolfram.com/FactorialMoment.html
"""
return expectation(FallingFactorial(X, n), condition=condition, **kwargs)
def median(X, evaluate=True, **kwargs):
r"""
Calculuates the median of the probability distribution.
Explanation
===========
Mathematically, median of Probability distribution is defined as all those
values of `m` for which the following condition is satisfied
.. math::
P(X\leq m) \geq \frac{1}{2} \text{ and} \text{ } P(X\geq m)\geq \frac{1}{2}
Parameters
==========
X: The random expression whose median is to be calculated.
Returns
=======
The FiniteSet or an Interval which contains the median of the
random expression.
Examples
========
>>> from sympy.stats import Normal, Die, median
>>> N = Normal('N', 3, 1)
>>> median(N)
{3}
>>> D = Die('D')
>>> median(D)
{3, 4}
References
==========
.. [1] https://en.wikipedia.org/wiki/Median#Probability_distributions
"""
if not is_random(X):
return X
from sympy.stats.crv import ContinuousPSpace
from sympy.stats.drv import DiscretePSpace
from sympy.stats.frv import FinitePSpace
if isinstance(pspace(X), FinitePSpace):
cdf = pspace(X).compute_cdf(X)
result = []
for key, value in cdf.items():
if value>= Rational(1, 2) and (1 - value) + \
pspace(X).probability(Eq(X, key)) >= Rational(1, 2):
result.append(key)
return FiniteSet(*result)
if isinstance(pspace(X), ContinuousPSpace) or isinstance(pspace(X), DiscretePSpace):
cdf = pspace(X).compute_cdf(X)
x = Dummy('x')
result = solveset(piecewise_fold(cdf(x) - Rational(1, 2)), x, pspace(X).set)
return result
raise NotImplementedError("The median of %s is not implemeted."%str(pspace(X)))
def coskewness(X, Y, Z, condition=None, **kwargs):
r"""
Calculates the co-skewness of three random variables.
Explanation
===========
Mathematically Coskewness is defined as
.. math::
coskewness(X,Y,Z)=\frac{E[(X-E[X]) * (Y-E[Y]) * (Z-E[Z])]} {\sigma_{X}\sigma_{Y}\sigma_{Z}}
Parameters
==========
X : RandomSymbol
Random Variable used to calculate coskewness
Y : RandomSymbol
Random Variable used to calculate coskewness
Z : RandomSymbol
Random Variable used to calculate coskewness
condition : Expr containing RandomSymbols
A conditional expression
Examples
========
>>> from sympy.stats import coskewness, Exponential, skewness
>>> from sympy import symbols
>>> p = symbols('p', positive=True)
>>> X = Exponential('X', p)
>>> Y = Exponential('Y', 2*p)
>>> coskewness(X, Y, Y)
0
>>> coskewness(X, Y + X, Y + 2*X)
16*sqrt(85)/85
>>> coskewness(X + 2*Y, Y + X, Y + 2*X, X > 3)
9*sqrt(170)/85
>>> coskewness(Y, Y, Y) == skewness(Y)
True
>>> coskewness(X, Y + p*X, Y + 2*p*X)
4/(sqrt(1 + 1/(4*p**2))*sqrt(4 + 1/(4*p**2)))
Returns
=======
coskewness : The coskewness of the three random variables
References
==========
.. [1] https://en.wikipedia.org/wiki/Coskewness
"""
num = expectation((X - expectation(X, condition, **kwargs)) \
* (Y - expectation(Y, condition, **kwargs)) \
* (Z - expectation(Z, condition, **kwargs)), condition, **kwargs)
den = std(X, condition, **kwargs) * std(Y, condition, **kwargs) \
* std(Z, condition, **kwargs)
return num/den
P = probability
E = expectation
H = entropy
Mini Shell