Alex Herbert created RNG-183:
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Summary: Pareto distribution sampler to concentrate samples at the
lower/upper bounds for extreme shape parameters
Key: RNG-183
URL: https://issues.apache.org/jira/browse/RNG-183
Project: Commons RNG
Issue Type: Improvement
Components: sampling
Affects Versions: 1.5
Reporter: Alex Herbert
The Pareto distribution for scale and shape is bounded by [scale, infinity).
When shape -> infinity the distribution concentrates values close to scale.
When 1 / shape -> infinity the distribution concentrates values close to
infinity.
The sampler uses inverse transform sampling. This can introduce artefacts in
the samples when p=0 or p=1 depending on the shape. This has been corrected in
STATISTICS-59 to sample from p in [0, 1) for large shape and p in (0, 1] for
small shape. The same correction should be applied within the sampler.
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