[ENH] add explicit energy computations to 10 distributions#803
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sakun15 wants to merge 1 commit intosktime:mainfrom
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[ENH] add explicit energy computations to 10 distributions#803sakun15 wants to merge 1 commit intosktime:mainfrom
sakun15 wants to merge 1 commit intosktime:mainfrom
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- HalfNormal: numerical CDF integration via 2∫F(1-F)dt - HalfLogistic: numerical CDF integration via 2∫F(1-F)dt - Erlang: numerical CDF integration, promotes energy to capabilities:exact - Fisk (log-logistic): numerical CDF integration, promotes energy to exact - LogLaplace: numerical CDF integration - SkewNormal: numerical CDF integration, promotes energy to exact - BurrXII: numerical CDF integration - BurrIII: numerical CDF integration (uses BurrXII with d=1) - FatigueLife: numerical CDF integration - GeneralizedPareto: numerical CDF integration with adaptive bounds All implementations use scipy.integrate.quad with 2∫F(1-F)dt for _energy_self and ∫|t-x|f(t)dt for _energy_x, replacing the default Monte Carlo approximation with deterministic numerical integration. Verified against Monte Carlo simulation (n=200k-500k): all within 2%. All 320 pytest energy tests pass. Closes sktime#267
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@fkiraly @felipeangelimvieira Sir can you please review my PR. Thank you. |
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What this PR does
Closes #267 (partial — adds energy for 10 distributions that previously used Monte Carlo approximation).
Adds
_energy_selfand_energy_xmethods to:HalfNormal— numerical CDF integration (2∫F(1-F)dt)HalfLogistic— numerical CDF integrationErlang— numerical CDF integration (promoted from approx to exact)Fisk(log-logistic) — numerical CDF integration (promoted from approx to exact)LogLaplace— numerical CDF integrationSkewNormal— numerical CDF integration (promoted from approx to exact)BurrXII— numerical CDF integrationBurrIII— numerical CDF integrationFatigueLife— numerical CDF integrationGeneralizedPareto— numerical CDF integration with adaptive boundsAll use
scipy.integrate.quadwith deterministic quadrature, so all distributions are now listed undercapabilities:exact.Verification
Checked against Monte Carlo (n=200k-500k): all implementations within 2% of MC estimate.
All 320
test_methods_scalar[*-energy-*]pytest tests pass.