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Support multivariate scipy.stats continuous random vectors #144

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jorenham opened this issue Jan 14, 2024 · 0 comments
Open
3 tasks

Support multivariate scipy.stats continuous random vectors #144

jorenham opened this issue Jan 14, 2024 · 0 comments
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contrib Integration with 3rd party packages enhancement New feature or request
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@jorenham
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Extend the scipy.stats joint/multivariate distributions with L-comoment (ratio) methods, using lmo.theoretical.l_comoment_from_pdf and lmo.theoretical.l_coratio_from_pdf.

This requires the joint PDF, and the marginal CDF's.
Unfortunately, the marginals are nowhere to be found in scipy.stats._multivariate.multi_rv_generic or its subtypes.

So the only way to implement this feature, is by figuring out the marginals of each joint-distribution, and manually add the l_co(moment|ratio|stats|loc|scale|rr|skew|kurtosis) methods to their respective scipy.stats._multivariate.{}_(gen|frozen)
types.

  • multivariate_normal (norm marginals)
  • dirichlet (beta marginals)
  • multivariate_t (t marginals)

The 13 other ones are either discrete, matrix-valued, directional, or have no .pdf() method, and therefore out-of-scope.

@jorenham jorenham added enhancement New feature or request contrib Integration with 3rd party packages labels Jan 14, 2024
@jorenham jorenham changed the title Add L-comoment methods to multivariate scipy.stats (continuous vector) distributions Support multivariate scipy.stats continuous random vectors Mar 29, 2024
@jorenham jorenham added this to the v1.0.0 milestone Mar 29, 2024
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