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From "Phil Steitz (Commented) (JIRA)" <>
Subject [jira] [Commented] (MATH-699) inverseCumulativeDistribution fails with cumulative distribution having a plateau
Date Mon, 07 Nov 2011 15:12:51 GMT


Phil Steitz commented on MATH-699:

My inclination would be to keep the implementation in the base class as simple as possible,
documenting what it does and pushing the responsibility for dealing with plateaus in the distribution
to the implementations that have these.  I don't think any of the currently implemented real
distributions have this problem.  Correct?  

The invariant you are proposing for when to return infinities for domain lower and upper bounds
would make sense if these were intended to be the bounds of support for the distribution,
but this is not what these properties represent.  They are initial guesses for where to start
when trying to bracket a root.  That means they have to be values that can be fed into the
cumulative probability function. Have you convinced yourself that we do not need to bracket
a root at the beginning?  What bounds would we then provide to the solver?  The code you reference
is trying to do the bracketing, starting with the domain upper and lower bounds as initial

Remember to consider convergence problems when the actual parameter to inverse cum is close
to or exactly equal to 0 or 1.  Per the comment in the code above the test that uses (or should
use) the function value absolute accuracy, if the distribution has bounded support and the
argument is 0 or 1, bracketing will fail.

> inverseCumulativeDistribution fails with cumulative distribution having a plateau
> ---------------------------------------------------------------------------------
>                 Key: MATH-699
>                 URL:
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.0
>            Reporter: S├ębastien Brisard
>            Assignee: S├ębastien Brisard
>            Priority: Minor
>         Attachments:
> This bug report follows MATH-692. The attached unit test fails. As required by the definition
in MATH-692, the lower-bound of the interval on which the cdf is constant should be returned.
This is not so at the moment.

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