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Distribution distance metrics #71

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merged 8 commits into from
May 14, 2020
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@HLWeil HLWeil commented May 8, 2020

Adding

  • cdf distance
  • wasserstein distance
  • energy distance

for computing distances between distributions and affiliated documentation.

Resolving #70

@HLWeil HLWeil requested a review from bvenn May 8, 2020 17:38
src/FSharp.Stats/Distributions/Distance.fs Outdated Show resolved Hide resolved
src/FSharp.Stats/Distributions/Distance.fs Outdated Show resolved Hide resolved
Comment on lines 91 to 93
xCDF - yCDF
|> abs
|> (*) delta
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Please consider to preserve formula notation. For users looking for the math behind the implementation it is easier to search for formulas seen in e.g. publications.

The same applies to lines 99 and 111

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Tried to adress this in ccbc8bf. What do you think?

HLWeil and others added 4 commits May 11, 2020 17:07
Small performance and readability increase

Co-authored-by: Benedikt Venn <venn@rhrk.uni-kl.de>
increase readability of getCDFIndices function

Co-authored-by: Benedikt Venn <venn@rhrk.uni-kl.de>
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bvenn commented May 12, 2020

Consider adding unit tests for the new functions.

@bvenn bvenn merged commit 5c0863c into developer May 14, 2020
@bvenn bvenn deleted the DistributionDistanceMetrics branch December 9, 2020 15:13
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2 participants