[Scipy-tickets] [SciPy] #806: More accurate upper tail quantiles for small survival probabilities of the normal distribution

SciPy scipy-tickets@scipy....
Mon Dec 1 06:11:51 CST 2008


#806: More accurate upper tail quantiles for small survival probabilities of the
normal distribution
-------------------------+--------------------------------------------------
 Reporter:  pbrod        |       Owner:  somebody
     Type:  enhancement  |      Status:  new     
 Priority:  normal       |   Milestone:  0.8     
Component:  Other        |     Version:  devel   
 Severity:  normal       |    Keywords:          
-------------------------+--------------------------------------------------
 For small lower tail probabilities the ppf function of the normal
 distribution gives
 {{{
 In [83]: import scipy.stats.distributions as dst
 In [84]: dst.norm.ppf(1e-40)
 Out[84]: -13.31092137142517
 }}}

 But for small upper tail probabilites the isf function gives infinite
 quantile:
 {{{
 In [85]: dst.norm.isf(1e-40)
 Out[85]: 1.#INF
 }}}
 where the true value is 13.31092137142517.
 A solution that fix this so that small upper tail probabilities have the
 same accuracy for the quantile as the lower tail probabilites, is to add
 the following _isf method to norm_gen class:

 {{{
     def _isf(self,q):
         return -_norm_ppf(q)
 }}}

-- 
Ticket URL: <http://scipy.org/scipy/scipy/ticket/806>
SciPy <http://www.scipy.org/>
SciPy is open-source software for mathematics, science, and engineering.


More information about the Scipy-tickets mailing list