Description
The Pareto distribution for scale and shape is bounded by [scale, infinity).
When shape -> infinity the distribution concentrates values close to scale.
When 1 / shape -> infinity the distribution concentrates values close to infinity.
The sampler uses inverse transform sampling. This can introduce artefacts in the samples when p=0 or p=1 depending on the shape. This has been corrected in STATISTICS-59 to sample from p in [0, 1) for large shape and p in (0, 1] for small shape. The same correction should be applied within the sampler.
Attachments
Issue Links
- is related to
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STATISTICS-59 Correct Pareto distribution sampling with extreme shape parameter
- Closed
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STATISTICS-60 Update Pareto distribution sampler to use Commons RNG 1.6
- Open