/longtail

Longtail transforms RV from the given empirical distribution to the standard normal distribution

Primary LanguagePythonMIT LicenseMIT

longtail

Longtail transforms RV from the given empirical distribution to the standard normal distribution.

Python 3x Python 3x Build Status

Installation

pip install -e git+https://github.com/Mottl/longtail.git#egg=longtail

Usage

import numpy as np
import longtail

x = np.random.laplace(size=100000)
longtail.plot(x)
Estimating distributions parameters...
norm (0.0018876631529621596, 1.4211949719613757)
laplace (0.0017959270327248976, 1.004473511770026)
cauchy (0.0008371221028761951, 0.6495115549176855)



scaler = longtail.GaussianScaler()
x_ = scaler.fit_transform(x)
longtail.plot(x_)
Estimating distributions parameters...
norm (5.4850160001935534e-05, 0.9999632908186453)
laplace (5.727594101276392e-05, 0.7978789360688088)
cauchy (-1.422402203800512e-06, 0.6119807936005598)



plt.plot(scaler.transform_table[:,0], scaler.transform_table[:,1],
    color="dodgerblue", label="Laplace to Gaussian transformation")
plt.title("Transformation function")
plt.xlabel(r"$x$")
plt.ylabel(r"$\hat{x}$", rotation=0)
plt.axis("equal")
plt.grid(True)
plt.show()

Requirements

  • Python 3
  • numpy
  • scipy
  • matplotlib