twopiece 1.0.0

Two-Piece Distributions Implementation

twopiece: Two Piece Distributions

• Homepage: https://github.com/quantgirluk/tpdist/tree/master/twopiece
• Free software: MIT license

Overview

The twopiece library provides a Python implementation of the family of Two Piece distributions.

The family of univariate two–piece distributions is a family of univariate three-parameter location-scale models, where skewness is introduced by differing scale parameters either side of the location. For details on this family of distributions we refer to Inference in Two-Piece Location-Scale Models with Jeffreys Priors published in Bayesian Anal. Volume 9, Number 1 (2014), 1-22 and the references therein.

Supported Distributions

Implementation is provided for the following distributions

Three Parameters

• two-piece normal [+ info]
• two-piece Laplace
• two-piece Cauchy
• two-piece logistic

Four Parameters

• two-piece t
• two-piece exponential power

Main Features

We provide the following functionality:

• probability density function pdf
• cumulative distribution function cdf
• quantile function ppf
• random generation random_sample

for all the supported distributions.

Quick Start

To illustrate usage of the features for the 3 and 4 parameters distributions we will use the two-piece normal, and two-piece t, respectively. The behaviour is analogous for the rest of the supported distributions.

1. Create a twopiece instance

To create an instance we need to specify either 3 or 4 parameters:

For the two-piece normal we require:

• loc: which is the location parameter
• sigma1, sigma2 : which are both scale parameters

loc=0.0
sigma1=1.0
sigma2=1.0
dist = tpnorm(loc=loc, sigma1=sigma1, sigma2=sigma2)

For the two-piece t we require:

• loc: which is the location parameter
• sigma1, sigma2 : which are both scale parameters
• shape : which defines the degrees of freedom for the t-Student distribution

loc=0.0
sigma1=1.0
sigma2=1.0
shape=3.0
dist = tpstudent(loc=loc, sigma1=sigma1, sigma2=sigma2, shape=shape)

Hereafter we assume that there is a twopiece instance called dist.

2. Evaluate and visualise the probability density function (pdf)

We can evaluate the pdf on a single point or an array type object

dist.pdf(0)

dist.pdf([0.0,0.25,0.5])

To visualise the pdf use

x = arange(-12, 12, 0.1)
y = dist.pdf(x)
plt.plot(x, y)

3. Evaluate the cumulative distribution function (cdf)

We can evaluate the cdf on a single point or an array type object

dist.cdf(0)

dist.cdf([0.0,0.25,0.5])

To visualise the cdf use

x = arange(-12, 12, 0.1)
y = dist.cdf(x)
plt.plot(x, y)

4. Evaluate the quantile function (ppf)

We can evaluate the ppf on a single point or an array type object. Note that the ppf has support on [0,1].

dist.ppf(0.95)

dist.ppf([0.5, 0.9, 0.95])

To visualise the ppf use

x = arange(0.001, 0.999, 0.01)
y = dist.ppf(x)
plt.plot(x, y)

5. Generate a random sample

To generate a random sample we require:

• size: which is simply the size of the sample

sample = dist.random_sample(size = 100)

Install

Requirements

twopiece has been developed and tested on Python 3.6, and 3.7