Better implementation for the gamma distribution implementation
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Key: MATH-753
URL: https://issues.apache.org/jira/browse/MATH-753
Project: Commons Math
Issue Type: Improvement
Affects Versions: 2.2
Reporter: Francesco Strino
Priority: Minor
Fix For: 2.2
The way the density of the gamma distribution function is estimated can be
improved.
It's much more stable to calculate first the log of the density and then
exponentiate, otherwise the function returns NaN for high values of the
parameters alpha and beta.
It would be sufficient to change line 204 in the file
org.apache.commons.math.distribution.GammaDistributionImpl as follows (I write
it down here because I don't know how to submit a patch with JIRA):
@Override
public double density(double x) {
if (x < 0) return 0;
//return Math.pow(x / beta, alpha - 1) / beta * Math.exp(-x / beta) /
Math.exp(Gamma.logGamma(alpha)); //unstable for large values
return Math.exp(Math.log(x)*(alpha-1) - Math.log(beta)*alpha - x/beta -
Gamma.logGamma(alpha));
}
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