scipy 的两个正态分布的重叠概率

Question

我有两条 scipy.stats.norm(mean, std).pdf(0) 正态分布曲线，我试图找出两条曲线的微分（重叠）。

如何用 Python 中的 scipy 计算它？谢谢

Answer 1

可以使用answer。 @duhalme 建议获取相交点，然后使用该点定义积分限制的范围，

这里的代码看起来像，

import numpy as np
import matplotlib.pyplot as plt
from scipy.stats import norm
norm.cdf(1.96)

def solve(m1,m2,std1,std2):
  a = 1/(2*std1**2) - 1/(2*std2**2)
  b = m2/(std2**2) - m1/(std1**2)
  c = m1**2 /(2*std1**2) - m2**2 / (2*std2**2) - np.log(std2/std1)
  return np.roots([a,b,c])

m1 = 2.5
std1 = 1.0
m2 = 5.0
std2 = 1.0

#Get point of intersect
result = solve(m1,m2,std1,std2)

#Get point on surface
x = np.linspace(-5,9,10000)
plot1=plt.plot(x,norm.pdf(x,m1,std1))
plot2=plt.plot(x,norm.pdf(x,m2,std2))
plot3=plt.plot(result,norm.pdf(result,m1,std1),'o')

#Plots integrated area
r = result[0]
olap = plt.fill_between(x[x>r], 0, norm.pdf(x[x>r],m1,std1),alpha=0.3)
olap = plt.fill_between(x[x<r], 0, norm.pdf(x[x<r],m2,std2),alpha=0.3)

# integrate
area = norm.cdf(r,m2,std2) + (1.-norm.cdf(r,m1,std1))
print("Area under curves ", area)

plt.show()

这里使用 cdf 来获得高斯的积分，尽管可以定义高斯的符号版本并 scipy.quad 使用（或其他）。或者，您可以使用像这样的 Monte Carlo 方法 link （即生成随机数并拒绝任何超出您想要的范围的数字）。

Answer 2

Ed 的回答很棒。但是，我注意到当有两个或无限（完全重叠）的接触点时它不起作用。这也是处理这两种情况的代码版本。

如果您还想继续查看分布图，可以使用 Ed 的代码。

import numpy as np
import matplotlib.pyplot as plt
from scipy.stats import norm

def solve(m1,m2,std1,std2):
    a = 1./(2.*std1**2) - 1./(2.*std2**2)
    b = m2/(std2**2) - m1/(std1**2)
    c = m1**2 /(2*std1**2) - m2**2 / (2*std2**2) - np.log(std2/std1)
    return np.roots([a,b,c])

m1 = 2.5
std1 = 1.0
m2 = 5.0
std2 = 1.0

result = solve(m1,m2,std1,std2)
# 'lower' and 'upper' represent the lower and upper bounds of the space within which we are computing the overlap
if(len(result)==0): # Completely non-overlapping 
    overlap = 0.0

elif(len(result)==1): # One point of contact
    r = result[0]
    if(m1>m2):
        tm,ts=m2,std2
        m2,std2=m1,std1
        m1,std1=tm,ts
    if(r<lower): # point of contact is less than the lower boundary. order: r-l-u
        overlap = (norm.cdf(upper,m1,std1)-norm.cdf(lower,m1,std1))
    elif(r<upper): # point of contact is more than the upper boundary. order: l-u-r
        overlap = (norm.cdf(r,m2,std2)-norm.cdf(lower,m2,std2))+(norm.cdf(upper,m1,std1)-norm.cdf(r,m1,std1))
    else: # point of contact is within the upper and lower boundaries. order: l-r-u
        overlap = (norm.cdf(upper,m2,std2)-norm.cdf(lower,m2,std2))

elif(len(result)==2): # Two points of contact
    r1 = result[0]
    r2 = result[1]
    if(r1>r2):
        temp=r2
        r2=r1
        r1=temp
    if(std1>std2):
        tm,ts=m2,std2
        m2,std2=m1,std1
        m1,std1=tm,ts
    if(r1<lower):
        if(r2<lower):           # order: r1-r2-l-u
            overlap = (norm.cdf(upper,m1,std1)-norm.cdf(lower,m1,std1))
        elif(r2<upper):         # order: r1-l-r2-u
            overlap = (norm.cdf(r2,m2,std2)-norm.cdf(lower,m2,std2))+(norm.cdf(upper,m1,std1)-norm.cdf(r2,m1,std1))
        else:                   # order: r1-l-u-r2
            overlap = (norm.cdf(upper,m2,std2)-norm.cdf(lower,m2,std2))
    elif(r1<upper): 
        if(r2<upper):         # order: l-r1-r2-u
            print norm.cdf(r1,m1,std1), "-", norm.cdf(lower,m1,std1), "+", norm.cdf(r2,m2,std2), "-", norm.cdf(r1,m2,std2), "+", norm.cdf(upper,m1,std1), "-", norm.cdf(r2,m1,std1)
            overlap = (norm.cdf(r1,m1,std1)-norm.cdf(lower,m1,std1))+(norm.cdf(r2,m2,std2)-norm.cdf(r1,m2,std2))+(norm.cdf(upper,m1,std1)-norm.cdf(r2,m1,std1))
        else:                   # order: l-r1-u-r2
            overlap = (norm.cdf(r1,m1,std1)-norm.cdf(lower,m1,std1))+(norm.cdf(upper,m2,std2)-norm.cdf(r1,m2,std2))
    else:                       # l-u-r1-r2
        overlap = (norm.cdf(upper,m1,std1)-norm.cdf(lower,m1,std1))

Answer 3

开始 Python 3.8，标准库提供 NormalDist object as part of the statistics 模块。

NormalDist 可用于计算两个正态分布之间的 重叠系数 (OVL) NormalDist.overlap(other) 方法 returns 一个介于 0.0 和 1.0 之间的值给出两个概率密度函数的重叠区域：

from statistics import NormalDist

NormalDist(mu=2.5, sigma=1).overlap(NormalDist(mu=5.0, sigma=1))
# 0.2112995473337106

scipy 的两个正态分布的重叠概率

Overlapping probability of two normal distribution with scipy

python

scipy