Radoslav Tsvetkov created MATH-984:
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Summary: Incorrect (bugged) generating function getNextValue() in
.random.EmpiricalDistribution
Key: MATH-984
URL: https://issues.apache.org/jira/browse/MATH-984
Project: Commons Math
Issue Type: Bug
Affects Versions: 3.1.1
Environment: all
Reporter: Radoslav Tsvetkov
The generating function getNextValue() in
org.apache.commons.math3.random.EmpiricalDistribution
will generate wrong values for all Distributions that are single tailed or
limited. For example Data which are resembling Exponential or Lognormal
distributions.
The problem could be easily seen in code and tested.
In last version code
...
490 return getKernel(stats).sample();
...
it samples from Gaussian distribution to "smooth" in_the_bin. Obviously
Gaussian Distribution is not limited and sometimes it does generates numbers
outside the bin. In the case when it is the last bin it will generate wrong
numbers.
For example for empirical non-negative data it will generate negative rubbish.
Additionally the proposed algorithm boldly returns only the mean value of the
bin in case of one value! This last makes the generating function unusable for
heavy tailed distributions with small number of values. (for example computer
network traffic)
On the last place usage of Gaussian soothing in the bin will change greatly
some empirical distribution properties.
The proposed method should be reworked to be applicable for real data which
have often limited ranges. (either non-negative or both sides limited)
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