raddy
/ sample_higher_moments.py
Created
September 12, 2018 02:09
Sample from a distribution with known skew and kurtosis
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| import statsmodels.sandbox.distributions.extras as extras | |
| import scipy.interpolate as interpolate | |
| import numpy as np | |
| def generate_normal_four_moments(mu, sigma, skew, kurt, size=1000, sd_wide = 10): | |
| f = extras.pdf_mvsk([mu, sigma, skew, kurt]) | |
| x = np.linspace(mu - sd_wide * sigma, mu + sd_wide * sigma, num=500) | |
| y = [f(i) for i in x] | |
| yy = np.cumsum(y) / np.sum(y) | |
| inv_cdf = interpolate.interp1d(yy, x, fill_value="extrapolate") |