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statsmodels.sandbox.distributions.transformed.TransfTwo_gen.expect

TransfTwo_gen.expect(func=None, args=(), loc=0, scale=1, lb=None, ub=None, conditional=False, **kwds)

Calculate expected value of a function with respect to the distribution.

The expected value of a function f(x) with respect to a distribution dist is defined as:

        ubound
E[x] = Integral(f(x) * dist.pdf(x))
        lbound
Parameters:
  • func (callable, optional) – Function for which integral is calculated. Takes only one argument. The default is the identity mapping f(x) = x.
  • args (tuple, optional) – Shape parameters of the distribution.
  • loc (float, optional) – Location parameter (default=0).
  • scale (float, optional) – Scale parameter (default=1).
  • ub (lb,) – Lower and upper bound for integration. Default is set to the support of the distribution.
  • conditional (bool, optional) – If True, the integral is corrected by the conditional probability of the integration interval. The return value is the expectation of the function, conditional on being in the given interval. Default is False.
  • keyword arguments are passed to the integration routine. (Additional) –
Returns:

expect – The calculated expected value.

Return type:

float

Notes

The integration behavior of this function is inherited from integrate.quad.

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.sandbox.distributions.transformed.TransfTwo_gen.expect.html