add IterativeMoments + test #21
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added 4 commits
June 23, 2023 14:06
…s. Add test for openturns to show that kurtosis is not functional in either library
alejandro-ribes
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Jun 23, 2023
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I have verified the formulas proposed by Meng in his article, which are the ones implemented, and agree with the introduction of this method. It is strange that the tests for Kurtosis fails for our library but also for OpenTurns. We should check how kurtosis is implemented in Scipy. I also point out that the tests fails with less error when we augment the number of samples. It maybe indicates a problem of long time of convergence for the iterative algorithm.
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This PR adds an
IterativeMomentsclass for obtaining the iterative moments, including the mean, variance, skewness, and kurtosis (broken for now, see below).We need this in Melissa for full backwards compatibility to continue supporting reproducibility of the original 2017 paper.
The equation for Kurtosis appears to be incorrect, but we simply copy pasted it verbatim from the original Melissa implementation. After further investigation, I attempted to change the class to follow OpenTurns exactly, which references this article. The error remains identical, which suggests that the original Melissa implementation is in-fact the same as OpenTurns, and both are incapable of matching Scipy non-iterative Kurtosis.
I opened an issue over at OpenTurns to see if they can correct the issue.