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Posted to issues@commons.apache.org by "Pavel Ryzhov (JIRA)" <ji...@apache.org> on 2010/12/25 14:10:45 UTC
[jira] Created: (MATH-462) Random Generator from Stable
Distribution
Random Generator from Stable Distribution
-----------------------------------------
Key: MATH-462
URL: https://issues.apache.org/jira/browse/MATH-462
Project: Commons Math
Issue Type: New Feature
Reporter: Pavel Ryzhov
Priority: Minor
Fix For: 3.0
Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] Commented: (MATH-462) Random Generator from Stable
Distribution
Posted by "Pavel Ryzhov (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12975166#action_12975166 ]
Pavel Ryzhov commented on MATH-462:
-----------------------------------
1. I'm still novice in Java and Eclipse as the last experience with Java is from year 2003. So i'm still in progress of customizing Eclipse to Apache standards. I hope it become compliant with the standard in few iterations.
2. Normal distribution case had a bug. I'll fix it. But generic case definitely needs some aggressive testing as mean estimation is often violated. I hope it happens due to "heavy tails" of stable distribution. But i'm going to re-verify if the implementation exactly matches the algo. As soon as I do it, I'll repost the patch.
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Priority: Minor
> Fix For: 3.0
>
> Attachments: stable_rnd.patch
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] Commented: (MATH-462) Random Generator from Stable
Distribution
Posted by "Phil Steitz (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12975137#action_12975137 ]
Phil Steitz commented on MATH-462:
----------------------------------
+1 for including this.
It may take me a little while to fully review the implementation. I am a little backed at the moment up due to 2.1 release and other stuff. Comments / review by other [math] community members welcome.
Two things based on quick review:
1) This is s nit, but will make applying the patches a little easier: run checkstyle (mvn site will do that) and fix the errors that it flags. Missing braces after if, for example and looks like there are tabs in the source. These are small issues. By and large, the code fits nicely into Commons Math. THANKS!
2) Why are the the error tolerances in the tests against the normal and Cauchy distributions so high? I would expect that with 10000 draws you would get closer. Unless I misunderstand the parameter setup here, this should work. I was even going to suggest getting more aggressive and testing some more quantiles of the empirical distribution of generated values against normal / Cauchy.
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Priority: Minor
> Fix For: 3.0
>
> Attachments: stable_rnd.patch
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] Updated: (MATH-462) Random Generator from Stable
Distribution
Posted by "Pavel Ryzhov (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Pavel Ryzhov updated MATH-462:
------------------------------
Attachment: (was: stable_rnd.patch)
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Priority: Minor
> Fix For: 3.0
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] Commented: (MATH-462) Random Generator from Stable
Distribution
Posted by "Luc Maisonobe (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12975167#action_12975167 ]
Luc Maisonobe commented on MATH-462:
------------------------------------
If you want to customize your eclipse settings with the code style we use in Apache commons-math, you can download the file [http://people.apache.org/~luc/Apache-commons.xml]. Once you have downloaded the file, open the Eclipse preferences window (using Window->Preferences) and in the left menu of the preferences window, select Java->Code Style->Formatter. In the configuration pane on the right, press the "Import ..." button to import the downloaded file. The file contains an Apache-commons profile you can use.
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Priority: Minor
> Fix For: 3.0
>
> Attachments: stable_rnd.patch
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] [Resolved] (MATH-462) Random Generator from Stable
Distribution
Posted by "Phil Steitz (Resolved) (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Phil Steitz resolved MATH-462.
------------------------------
Resolution: Fixed
Patch with trivial formatting / doc changes committed in r1198165. Many thanks.
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Assignee: Phil Steitz
> Priority: Minor
> Fix For: 3.0
>
> Attachments: stable_rnd.patch
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] Updated: (MATH-462) Random Generator from Stable
Distribution
Posted by "Pavel Ryzhov (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Pavel Ryzhov updated MATH-462:
------------------------------
Attachment: stable_rnd.patch
The Normal distribution case has been fixed.
Applied apache profile. Added few LocalizedFormats for the generator.
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Priority: Minor
> Fix For: 3.0
>
> Attachments: stable_rnd.patch
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] Commented: (MATH-462) Random Generator from Stable
Distribution
Posted by "Pavel Ryzhov (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12976098#action_12976098 ]
Pavel Ryzhov commented on MATH-462:
-----------------------------------
Thanks a lot for the profile. Going to fix bugs and re-attach the patch
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Priority: Minor
> Fix For: 3.0
>
> Attachments: stable_rnd.patch
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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[jira] Updated: (MATH-462) Random Generator from Stable
Distribution
Posted by "Pavel Ryzhov (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-462?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Pavel Ryzhov updated MATH-462:
------------------------------
Attachment: stable_rnd.patch
There is an implementation of random generator for Stable distribution.
> Random Generator from Stable Distribution
> -----------------------------------------
>
> Key: MATH-462
> URL: https://issues.apache.org/jira/browse/MATH-462
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Priority: Minor
> Fix For: 3.0
>
> Attachments: stable_rnd.patch
>
>
> Stable random generator based on Chambers-Mallows-Stuck method as it is described in "Handbook of computational statistics: concepts and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
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