Struct Sampled 

pub struct Sampled { /* private fields */ }

A distribution represented by n equally weighted draws.

Every Distribution method describes the empirical distribution of the draws: variance divides by n, not n - 1, and quantile is the inverse of the empirical distribution function (R type = 1). sample resamples the draws with replacement.

Example

use prospicio_core::StreamRng;
use prospicio_prob::{Distribution, Empirical, Lognormal, Sampled};

let d = Lognormal::from_mean_cv(1000.0, 0.5).unwrap();
let s = Sampled::new(d.sample(&mut StreamRng::new(42, 0), 10_000)).unwrap();
assert!((s.mean() - 1000.0).abs() < 20.0);
assert!(s.tvar(0.99).unwrap() > s.var(0.99).unwrap());

Implementations

impl Sampled

pub fn new(draws: Vec<f64>) -> Result<Self>

The empirical distribution of draws.

Fails if draws is empty or holds a value that is not finite.

pub fn len(&self) -> usize

Number of draws.

pub fn is_empty(&self) -> bool

Always false: a Sampled holds at least one draw.

pub fn into_draws(self) -> Vec<f64>

The draws, giving up ownership.

Trait Implementations

impl Clone for Sampled

fn clone(&self) -> Sampled

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for Sampled

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Distribution for Sampled

fn mean(&self) -> f64

Expected value.

fn variance(&self) -> f64

Variance.

fn cdf(&self, x: f64) -> f64

P(X <= x).

fn quantile(&self, p: f64) -> Result<f64>

Smallest x with cdf(x) >= p.

fn std_dev(&self) -> f64

Standard deviation.

fn survival(&self, x: f64) -> f64

P(X > x). Representations with a direct form override the default 1 - cdf(x), which loses all precision far in the tail.

fn sample(&self, rng: &mut StreamRng, n: usize) -> Vec<f64>

n draws from stream rng, by inverse transform unless the family overrides it (crate::Gamma draws by Marsaglia and Tsang).

fn is_parallel_safe(&self) -> bool

Whether the distribution may be evaluated on several threads at once. True for every native family; false for a crate::Custom whose callbacks must stay on the calling thread (an R function), so the parallel simulations run single-threaded when they meet one.

impl Empirical for Sampled

fn draws(&self) -> &[f64]

The draws, in the order they were simulated. Draw i came from simulation i, so two distributions from the same simulations can be paired draw by draw.

fn sorted(&self) -> &[f64]

The draws sorted ascending.

fn mean_of(&self, f: impl Fn(f64) -> f64) -> f64

Mean of f(x) over the draws.

fn var(&self, p: f64) -> Result<f64>

Value at risk at level p; see var_sorted.

fn tvar(&self, p: f64) -> Result<f64>

Tail value at risk at level p; see tvar_sorted.

fn distortion(&self, d: &Distortion) -> f64

Distortion risk measure of the draws; see Distortion::apply_sorted.

impl From<Sampled> for Dist

fn from(d: Sampled) -> Self

Converts to this type from the input type.

impl PartialEq for Sampled

fn eq(&self, other: &Sampled) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for Sampled