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python模擬概率論中偏度和峰度計算

在概率學中我們用偏度和峰度去刻畫分佈的情況:


        偏度描述的是分佈的對稱性程度,如上面,右偏表示在u值的右側分佈佔多數,左偏則反向,並且通過陰影的面積去刻畫概率。而峰度是描述分佈的最高值的情況,在常用情況下,減去3的原因在於正態分佈的超值峰度恰好為3。

下面使用python代入公式計算和呼叫函式庫計算進行比較:

#!/usr/bin/python
#coding:utf8
#coding=utf8
#encoding:utf8
#encoding=utf8
#_*_ coding:utf8 _*_
#  -*- coding:utf-8 -*-

import numpy as np
from scipy import stats
import math
import matplotlib as mpl
import matplotlib.pyplot as plt
from mpl_toolkits.mplot3d import Axes3D
from matplotlib import cm


def calc_statistics(x):
    n = x.shape[0]  # 樣本個數

    # 手動計算
    # 分別表示各個k階矩
    m = 0
    m2 = 0
    m3 = 0
    m4 = 0
    for t in x:
        m += t
        m2 += t*t
        m3 += t**3
        m4 += t**4
    m /= n
    m2 /= n
    m3 /= n
    m4 /= n
    # 代入公式求個值
    mu = m
    sigma = np.sqrt(m2 - mu*mu)
    skew = (m3 - 3*mu*m2 + 2*mu**3) / sigma**3
    kurtosis = (m4 - 4*mu*m3 + 6*mu*mu*m2 - 4*mu**3*mu + mu**4) / sigma**4 - 3
    print('手動計算均值、標準差、偏度、峰度:', mu, sigma, skew, kurtosis)

    # 使用系統函式驗證
    mu = np.mean(x, axis=0)
    sigma = np.std(x, axis=0)
    skew = stats.skew(x)
    kurtosis = stats.kurtosis(x)
    return mu, sigma, skew, kurtosis


if __name__ == '__main__':
    d = np.random.randn(100000)
    print(d)
    mu, sigma, skew, kurtosis = calc_statistics(d)
    print('函式庫計算均值、標準差、偏度、峰度:', mu, sigma, skew, kurtosis)
    # 一維直方圖
    mpl.rcParams[u'font.sans-serif'] = 'SimHei'
    mpl.rcParams[u'axes.unicode_minus'] = False
    y1, x1, dummy = plt.hist(d, bins=50, normed=True, color='g', alpha=0.75)
    t = np.arange(x1.min(), x1.max(), 0.05)
    y = np.exp(-t**2 / 2) / math.sqrt(2*math.pi)
    plt.plot(t, y, 'r-', lw=2)
    plt.title(u'高斯分佈,樣本個數:%d' % d.shape[0])
    plt.grid(True)
    plt.show()

    d = np.random.randn(100000, 2)
    mu, sigma, skew, kurtosis = calc_statistics(d)
    print('函式庫計算均值、標準差、偏度、峰度:', mu, sigma, skew, kurtosis)

    # 二維影象
    N = 30
    density, edges = np.histogramdd(d, bins=[N, N])
    print('樣本總數:', np.sum(density))
    density /= density.max()
    x = y = np.arange(N)
    # 高斯分佈
    t = np.meshgrid(x, y)
    fig = plt.figure(facecolor='w')
    ax = fig.add_subplot(111, projection='3d')
    ax.scatter(t[0], t[1], density, c='r', s=15*density, marker='o', depthshade=True)
    ax.plot_surface(t[0], t[1], density, cmap=cm.Accent, rstride=2, cstride=2, alpha=0.9, lw=0.75)
    ax.set_xlabel(u'X')
    ax.set_ylabel(u'Y')
    ax.set_zlabel(u'Z')
    plt.title(u'二元高斯分佈,樣本個數:%d' % d.shape[0], fontsize=20)
    plt.tight_layout(0.1)
    plt.show()