[Numpy-discussion] Multivariate hypergeometric distribution?
Mon Jul 2 21:31:43 CDT 2012
On Mon, Jul 2, 2012 at 9:35 PM, <email@example.com> wrote:
> On Mon, Jul 2, 2012 at 8:08 PM, <firstname.lastname@example.org> wrote:
> > On Mon, Jul 2, 2012 at 4:16 PM, Fernando Perez <email@example.com>
> >> Hi all,
> >> in recent work with a colleague, the need came up for a multivariate
> >> hypergeometric sampler; I had a look in the numpy code and saw we have
> >> the bivariate version, but not the multivariate one.
> >> I had a look at the code in scipy.stats.distributions, and it doesn't
> >> look too difficult to add a proper multivariate hypergeometric by
> >> extending the bivariate code, with one important caveat: the hard part
> >> is the implementation of the actual discrete hypergeometric sampler,
> >> which lives inside of numpy/random/mtrand/distributions.c:
> >> That code is hand-written C, and it only works for the bivariate case
> >> right now. It doesn't look terribly difficult to extend, but it will
> >> certainly take a bit of care and testing to ensure all edge cases are
> >> handled correctly.
> > My only foray into this
> > http://projects.scipy.org/numpy/ticket/921
> > http://projects.scipy.org/numpy/ticket/923
> > This looks difficult to add without a good reference and clear
> > description of the algorithm.
> >> Does anyone happen to have that implemented lying around, in a form
> >> that would be easy to merge to add this capability to numpy?
> > not me, I have never even heard of multivariate hypergeometric
> > maybe http://hal.inria.fr/docs/00/11/00/56/PDF/perm.pdf p.11
> > with some properties
> > I've seen one other algorithm, that seems to need N (number of draws
> > in hypergeom) random variables for one multivariate hypergeometric
> > random draw, which seems slow to me.
> > But maybe someone has it lying around.
> Now I have a pure num/sci/python version around.
> A bit more than an hour, so no guarantees, but freq and pmf look close
I could be wrong, but I think PyMC has sampling and likelihood.
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