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  1. Commons Statistics
  2. STATISTICS-39

Correct the switch of function evaluation in the GammaDistribution

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Details

    • Improvement
    • Status: Closed
    • Major
    • Resolution: Fixed
    • 1.0
    • 1.0
    • distribution
    • None

    Description

      The Gamma distribution density is not accurate when shape < 1. There are extensive tests related to MATH-753 [7] for accuracy of the Gamma distribution. These test shape >= 1. The work requires extension to smaller shapes where the density -> infinite as X -> 0. When shape >= 1 then density -> 0 as X -> 0 (see https://en.wikipedia.org/wiki/Gamma_distribution).

      This results in inaccuracy of the Chi-squared distribution which uses Gamma(df/2, 2) when the degrees of freedom (df) are < 2. I've read the code and the documentation for the Boost functions which the code is based on and I think the switch to the alternative computation to avoid overflow is currently not working for all cases.

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          Alex Herbert

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              Unassigned Unassigned
              aherbert Alex Herbert
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