Python：Numpy Gamma 函数为比例参数生成错误的平均值

Question

我正在尝试从 numpy.random 的伽玛方法中抽取 1000 个样本（每个样本大小为 227），因此每个样本值应该是 i.i.d（独立同分布）。但是，比例参数的平均值是错误的。

我的形状参数 ( alpha ) 是 0.375，我的比例参数 ( lambda ) 是 1.674

根据我的课本，这两个参数的估计值公式如下：

alpha = ( xbar ^ 2 ) / ( sigma_hat ^ 2 )
lambda = ( xbar ) / ( sigma_hat ^ 2 )

我想我可能没有正确使用 Pandas .apply() 方法或者我的 get_lambda_hat 函数有误。

# In[11]:

# Import libraries:

import pandas as pd
import numpy as np
from numpy.random import gamma # gamma function
import seaborn as sns # plotting library

# plot histograms immediately:
get_ipython().run_line_magic('matplotlib', 'inline')


# In[12]:


# Define functions

def get_samples_from_gamma_dist( num_of_samples, size_of_samples, alpha, lamb ):
    '''
    Returns table with ( num_of_samples ) rows and ( size_of_samples ) columns.
    Cells in the table are i.i.d sample values from numpy's gamma function
    with shape parameter ( alpha ) and scale parameter ( lamb ).
    '''
    return pd.DataFrame( 
            data = gamma( 
                    shape = alpha, 
                    scale = lamb, 
                    size = 
                        ( 
                            num_of_samples, 
                            size_of_samples 
                        )
                )
            )

# Returns alpha_hat of a sample:
get_alpha_hat = lambda sample : ( sample.mean()**2 ) / sample.var()

# Returns lambda_hat of a sample:
get_lambda_hat = lambda sample : sample.mean() / sample.var()


# In[13]:


# Retrieve samples

# Declaring variables...
my_num_of_samples = 1000
my_size_of_samples = 227
my_alpha = 0.375
my_lambda = 1.674

# Initializing table...
data = get_samples_from_gamma_dist( 
    num_of_samples= my_num_of_samples, 
    size_of_samples= my_size_of_samples, 
    alpha= my_alpha, 
    lamb= my_lambda 
)

# Getting estimated parameter values from each sample...
alpha_hats = data.apply( get_alpha_hat, axis = 1 ) # apply function across the table's columns
lambda_hats = data.apply( get_lambda_hat, axis = 1 ) # apply function across the table's columns


# In[14]:


# Plot histograms:

# Setting background of histograms to 'whitegrid'...
sns.set_style( style = 'whitegrid' )

# Plotting the sample distribution of alpha_hat...
sns.distplot( alpha_hats, 
             hist = True, 
             kde = True, 
             bins = 50, 
             axlabel = 'Estimates of Alpha',
             hist_kws=dict(edgecolor="k", linewidth=2),
             color = 'red' )


# In[15]:


# Plotting the sample distribution of lambda_hat...
sns.distplot( lambda_hats, 
             hist = True, 
             kde = True, 
             bins = 50, 
             axlabel = 'Estimates of Lambda',
             hist_kws=dict(edgecolor="k", linewidth=2),
             color = 'purple' )


# In[16]:


# Print results:

print( "Mean of alpha_hats =", alpha_hats.mean(), '\n'  )

print( "Mean of lambda_hats =", lambda_hats.mean(), '\n' ) # about 0.62

print( "Standard Error of alpha_hats =", alpha_hats.std( ddof = 0 ), '\n'  )

print( "Standard Error of lambda_hats =", lambda_hats.std( ddof = 0 ), '\n'  )

在我分别绘制 alpha 和 lambda 估计值的直方图后，我注意到 alpha 样本分布几乎完美地集中在 0.375，但 lambda 的样本分布集中在 0.62 附近，与 1.674 相去甚远。我试过使用 lambda 的其他值，但它似乎从未正确居中。

我很想知道是否有人对解决此问题有任何建议。我已经包含了从我的 jupyter notebook 会话下载的 .py 文件中的所有代码。

Answer 1

已修复。 gamma 函数的概率质量函数在 numpy.random 中的实现方式与我的教科书不同。

我通过将 get_samples_from_gamma_dist() 主体中的 'scale' 参数设置为 1 / lamb:

得到了正确的平均值

def get_samples_from_gamma_dist( num_of_samples, size_of_samples, alpha, lamb ):
'''
Returns table with ( num_of_samples ) rows and ( size_of_samples ) columns.
Cells in the table are i.i.d sample values from numpy's gamma function
with shape parameter ( alpha ) and scale parameter ( 1 / lamb ).
'''
return pd.DataFrame( 
        data = gamma( 
                shape = alpha, 
                scale = 1 / lamb, 
                size = 
                    ( 
                        num_of_samples, 
                        size_of_samples 
                    )
            )
        )

Python：Numpy Gamma 函数为比例参数生成错误的平均值

Python: Numpy Gamma Function Produces Wrong Mean Value For Scale Parameter

python-3.x

pandas

numpy

statistics

gamma-distribution