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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-984) Incorrect (bugged) generating function getNextValue() in .random.EmpiricalDistribution
Date Fri, 31 May 2013 19:45:20 GMT

    [ https://issues.apache.org/jira/browse/MATH-984?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13671773#comment-13671773
] 

Phil Steitz commented on MATH-984:
----------------------------------

That should work.  Looks like you have hit a new bug, which should be opened as a separate
issue if you don't mind doing that.  What I suspect is going on is that your data has singleton
bins, which results in zero variance within bin.  The getKernel method tries to create a NormalDistribution
instance using the bin stats.  This throws NotStrictlyPositiveException if the standard deviation
parameter is not strictly positive.  This is part of the reason that the singleton check is
there in getNextValue.  I forgot to account for this case in inverseCumulativeProbability
(added in 3.2).  A unit test demonstrating the bug would be most appreciated.

I think it would probably be a little more efficient though to keep the direct implementation
of getNextValue as it is now, but just fix the bug.  Arguably, the bug is in getKernel, which
should return a distribution object with support equal to the bin.  On the other hand, that
makes it a little harder for those wanting to supply a custom kernel.
                
> Incorrect (bugged) generating function getNextValue() in .random.EmpiricalDistribution
> --------------------------------------------------------------------------------------
>
>                 Key: MATH-984
>                 URL: https://issues.apache.org/jira/browse/MATH-984
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.2, 3.1.1
>         Environment: all
>            Reporter: Radoslav Tsvetkov
>
> The generating function getNextValue() in org.apache.commons.math3.random.EmpiricalDistribution
> will generate wrong values for all Distributions that are single tailed or limited. For
example Data which are resembling Exponential or Lognormal distributions.
> The problem could be easily seen in code and tested.
> In last version code
> ...
> 490               return getKernel(stats).sample();
> ...
> it samples from Gaussian distribution to "smooth" in_the_bin. Obviously Gaussian Distribution
is not limited and sometimes it does generates numbers outside the bin. In the case when it
is the last bin it will generate wrong numbers. 
> For example for empirical non-negative data it will generate negative rubbish.
>   Additionally the proposed algorithm boldly returns only the mean value of the bin in
case of one value! This last makes the generating function unusable for heavy tailed distributions
with small number of values. (for example computer network traffic)
> On the last place usage of Gaussian soothing in the bin will change greatly some empirical
distribution properties.
> The proposed method should be reworked to be applicable for real data which have often
limited ranges. (either non-negative or both sides limited)

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