[jira] [Resolved] (MATH-460) Levy Distribution

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[jira] [Resolved] (MATH-460) Levy Distribution

Baljit Singh (Jira)

     [ https://issues.apache.org/jira/browse/MATH-460?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Luc Maisonobe resolved MATH-460.
--------------------------------

    Resolution: Fixed

Fixed in subversion repository as of r1456907.

The patch from Andrew github has been applied, with several fixes and enhancements. The (x-mu) factor was used as a multiplicating factor instead of as a divisor (both in density and cumulative probability) and the (x-mu)^3/2 was missing.

As the default inverse cumulative computation from the base class relied on numerical solving and used mean and standard deviation, it failed for this distribution as both values are infinite.

So a direct computation was used using the new erfcinv function introduced with MATH-948.

Thanks for the report and for the initial code!
               

> Levy Distribution
> -----------------
>
>                 Key: MATH-460
>                 URL: https://issues.apache.org/jira/browse/MATH-460
>             Project: Commons Math
>          Issue Type: New Feature
>            Reporter: Pavel Ryzhov
>            Priority: Minor
>             Fix For: 3.2
>
>         Attachments: levy_math_460.patch
>
>
> Pretty straightforward implementation of Levy Distribution (not Levy alpha-stable) according to http://en.wikipedia.org/wiki/Lévy_distribution.

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