[Octave-bug-tracker] [bug #54009] [octave forge] (statistics) incorrect result for gppdf

[Muhali]

Follow-up Comment #1, bug #54009 (project octave):

here is more evidence, if needed:

octave> Q = integral(@normpdf, -Inf, Inf)
Q =  1.000
octave> Q = integral(@(x) gampdf(x, 1, 1), -Inf, Inf)
Q =  1.00
octave> Q = integral(@(x) gevpdf(x, 1, 2, 0), -Inf, Inf)
Q =  1.000
octave> Q = integral(@(x) gppdf(x, 0, 2, 1), -Inf, Inf)
Q =  2.00
octave> Q = integral(@(x) gppdf(x, 0, 3, 1), -Inf, Inf)
Q =  3.00
octave> Q = integral(@(x) gppdf(x, 0, 3, 2), -Inf, Inf)
Q =  3.00


Please note also that the order of arguments (LOCATION, SCALE, SHAPE) is
reversed relative to Matlab.

I attach a patch that fixes the scale issue.


--- /usr/local/src/octave-statistics/inst/gppdf.m
+++ /tmp/gppdf.m
@@ -69,13 +69,13 @@
 
     j = k & (shape > 0) & (z >= 0);
     if (any (j))
-      pdf(j) = (shape * z(j) + 1).^(-(shape + 1) / shape);
+      pdf(j) = (shape * z(j) + 1).^(-(shape + 1) / shape) ./ scale;
     endif
 
     if (shape < 0)
       j = k & (shape < 0) & (0 <= z) & (z <= -1. / shape);
       if (any (j))
-        pdf(j) = (shape * z(j) + 1).^(-(shape + 1) / shape);
+        pdf(j) = (shape * z(j) + 1).^(-(shape + 1) / shape) ./ scale;
       endif
     endif
   else
@@ -88,13 +88,13 @@
 
     j = k & (shape > 0) & (z >= 0);
     if (any (j))
-      pdf(j) = (shape(j) .* z(j) + 1).^(-(shape(j) + 1) ./ shape(j));
+      pdf(j) = (shape(j) .* z(j) + 1).^(-(shape(j) + 1) ./ shape(j)) ./
scale;
     endif
 
     if (any (shape < 0))
       j = k & (shape < 0) & (0 <= z) & (z <= -1 ./ shape);
       if (any (j))
-        pdf(j) = (shape(j) .* z(j) + 1).^(-(shape(j) + 1) ./ shape(j));
+        pdf(j) = (shape(j) .* z(j) + 1).^(-(shape(j) + 1) ./ shape(j)) ./
scale;
       endif
     endif
   endif



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