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Ways to calc CDF of truncated Pareto [inverting-Levy-data project] #18

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mars0i opened this issue Mar 9, 2022 · 0 comments
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mars0i commented Mar 9, 2022

When normalizing for a truncated Levy, you're dividing by a constant. So maybe memoize it.

I think this is a strategy: use ParetoDistribution's probability(double, double) method (or its deprecated name cumulativeProbability(double double)) to calculate the normalizing constant, i.e. (.probability dist k l) where k is the minimum (probably 1), and l is the max value where the truncation takes place.

Then I think I can just use cumulativeProbability(x), and divide that by the normalizing constant. Since the data will never go above whatever is (treated as) the truncation value, it doesn't matter that the code thinks that a single double passed to cumulativeProbability is from a broader distribution. Or does it?

@mars0i mars0i added enhancement New feature or request question Further information is requested labels Mar 9, 2022
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