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From "Christian Winter (Commented) (JIRA)" <>
Subject [jira] [Commented] (MATH-692) Cumulative probability and inverse cumulative probability inconsistencies
Date Fri, 28 Oct 2011 21:38:32 GMT


Christian Winter commented on MATH-692:

Hi S├ębastien,

the problem with the plateau is indeed one issue which needs to be solved.

Additionally, AbstractDistribution will need an implementation of inverseCumulativeProbability.
In fact both implementations should be the same except for the solver to be used. Thus inverseCumulativeProbability
should be implemented just once in AbstractDistribution, and invoking the solver should be
put to a separate procedure so that it can be overridden in AbstractContinuousDistribution.

A third point is the choice of the solvers. For AbstractDistribution we need a solver which
works even for discontinuous cdfs (BisectionSolver can do the job, but maybe the implementations
of the faster IllinoisSolver, PegasusSolver, BrentSolver, or another solver can cope with
discontinuities, too). For AbstractContinuousDistribution it would be beneficial to use a
DifferentiableUnivariateRealSolver. However, the NewtonSolver cannot be used due to uncertainty
of convergence and an alternative doesn't seem to exist by now. So we have to choose one of
the other solvers for now.

As all these points are interdependent, I guess it's best to solve them as a whole. If you
like, you can do this.

Best Regards,
> Cumulative probability and inverse cumulative probability inconsistencies
> -------------------------------------------------------------------------
>                 Key: MATH-692
>                 URL:
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 1.0, 1.1, 1.2, 1.3, 2.0, 2.1, 2.2, 2.2.1, 3.0
>            Reporter: Christian Winter
>            Priority: Minor
>             Fix For: 3.0
> There are some inconsistencies in the documentation and implementation of functions regarding
cumulative probabilities and inverse cumulative probabilities. More precisely, '<' and
'<=' are not used in a consistent way.
> Besides I would move the function inverseCumulativeProbability(double) to the interface
Distribution. A true inverse of the distribution function does neither exist for Distribution
nor for ContinuosDistribution. Thus we need to define the inverse in terms of quantiles anyway,
and this can already be done for Distribution.
> On the whole I would declare the (inverse) cumulative probability functions in the basic
distribution interfaces as follows:
> Distribution:
> - cumulativeProbability(double x): returns P(X <= x)
> - cumulativeProbability(double x0, double x1): returns P(x0 < X <= x1) [see also
> - inverseCumulativeProbability(double p):
>   returns the quantile function inf{x in R | P(X<=x) >= p} [see also 2), 3), and
> 1) An aternative definition could be P(x0 <= X <= x1). But this requires to put
the function probability(double x) or another cumulative probability function into the interface
Distribution in order be able to calculate P(x0 <= X <= x1) in AbstractDistribution.
> 2) This definition is stricter than the definition in ContinuousDistribution, because
the definition there does not specify what to do if there are multiple x satisfying P(X<=x)
= p.
> 3) A modification could be defined for p=0: Returning sup{x in R | P(X<=x) = 0} would
yield the infimum of the distribution's support instead of a mandatory -infinity.
> 4) This affects issue MATH-540. I'd prefere the definition from above for the following
> - This definition simplifies inverse transform sampling (as mentioned in the other issue).
> - It is the standard textbook definition for the quantile function.
> - For integer distributions it has the advantage that the result doesn't change when
switching to "x in Z", i.e. the result is independent of considering the intergers as sole
set or as part of the reals.
> ContinuousDistribution:
> nothing to be added regarding (inverse) cumulative probability functions
> IntegerDistribution:
> - cumulativeProbability(int x): returns P(X <= x)
> - cumulativeProbability(int x0, int x1): returns P(x0 < X <= x1) [see also 1) above]

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