As part of a mini-project where I am numerically solving a linear differential equation, I have to subtract a probability distribution from another distribution. Is there a way to do this in Julia? When I try: a = Chi(3) - Uniform(0,1) There is no method set up for this: MethodError: no method ma…

Using my first method above (I went back and edited it to fix the off-by-one error), you get this: [probs] Does that look close enough to what you were envisioning? It’s hard to see because it moves so quickly, but the initial distribution is the same uniform one you plotted above.

You can take a look at the compositional data analysis literature. A PDF is an example of compositional data, and there is a space called the Aitchison space with well-defined vector addition, scalar multiplication and inner product: https://github.com/JuliaEarth/CoDa.jl The subtraction u - v is d…

What does the result mean? I had implicitly assumed that OP is talking about a convolution of probability distributions , although that of course only works in closed form for a few specific examples. I guess the distribution of z = x - y with x \sim \chi(3) and y \sim U(0, 1) is this: julia> usin…

Would this repo https://github.com/cscherrer/Measures.jl be of help?

If your plan is to eventually draw some fixed number of samples from the resulting distribution, you might want to check out MonteCarloMeasurements.jl . Doing it this way allows you to deal with complicated things like dependent random variables and operations that don’t have closed-form solutions. T…

If this is convolution OP is after, then the right way to do it is probably via moment generating functions. Of course it depends on what OP wants to do with the resulting distribution : sampling is easy. Computing the mgf is easy. Getting the PDF and/or CDF might pass through the Gaver-Stehfest al…

@jonniedie @lrnv @juliohm @nilshg Sure, I’ll happily share more details about the nature of my task and hopefully it will provide sufficient information for someone to prescribe a solution. I want to numerically solve the following linear differential equation in plasma physics that calculates the…

Either you are not precise enough either I do not know your field enough to help. What is the sum of distributions ? I do not know how to sum two distributions (and Julia neither, as your errors shows). Are F and f random variables, which distributions are supposed to be chi2 and uniform ? In whic…

I don’t think there are any distributions besides gaussian that will remain closed under repeated addition/subtraction like this. You can use MonteCarloMeasurements, but I don’t know enough about your problem to know if F_s needs to be drawn once at the beginning or at each time step. You can use M…

How to add/subtract probability distributions?

New to Julia

rafael.guerra February 2, 2022, 7:52pm 9

@jonniedie, your example is splendid.
Please consider adding it to the Seven Lines of Julia collection.

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How to add/subtract probability distributions?

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