gluonts.mx.distribution.transformed_distribution module

class gluonts.mx.distribution.transformed_distribution.AffineTransformedDistribution(base_distribution: gluonts.mx.distribution.distribution.Distribution, loc: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol, None] = None, scale: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol, None] = None)

Bases: gluonts.mx.distribution.transformed_distribution.TransformedDistribution

arg_names = None

property mean

Tensor containing the mean of the distribution.

property stddev

Tensor containing the standard deviation of the distribution.

property variance

Tensor containing the variance of the distribution.

class gluonts.mx.distribution.transformed_distribution.TransformedDistribution(base_distribution: gluonts.mx.distribution.distribution.Distribution, transforms: List[gluonts.mx.distribution.bijection.Bijection])

Bases: gluonts.mx.distribution.distribution.Distribution

A distribution obtained by applying a sequence of transformations on top of a base distribution.

property F

arg_names = None

property batch_shape

Layout of the set of events contemplated by the distribution.

Invoking sample() from a distribution yields a tensor of shape batch_shape + event_shape, and computing log_prob (or loss more in general) on such sample will yield a tensor of shape batch_shape.

This property is available in general only in mx.ndarray mode, when the shape of the distribution arguments can be accessed.

cdf(y: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) → Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]

Returns the value of the cumulative distribution function evaluated at x

property event_dim

Number of event dimensions, i.e., length of the event_shape tuple.

This is 0 for distributions over scalars, 1 over vectors, 2 over matrices, and so on.

property event_shape

Shape of each individual event contemplated by the distribution.

For example, distributions over scalars have event_shape = (), over vectors have event_shape = (d, ) where d is the length of the vectors, over matrices have event_shape = (d1, d2), and so on.

Invoking sample() from a distribution yields a tensor of shape batch_shape + event_shape.

This property is available in general only in mx.ndarray mode, when the shape of the distribution arguments can be accessed.

log_prob(y: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) → Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]

Compute the log-density of the distribution at x.

Parameters

x – Tensor of shape (*batch_shape, *event_shape).

Returns

Tensor of shape batch_shape containing the log-density of the distribution for each event in x.

Return type

Tensor

quantile(level: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) → Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]

Calculates quantiles for the given levels.

Parameters

level – Level values to use for computing the quantiles. level should be a 1d tensor of level values between 0 and 1.

Returns

Quantile values corresponding to the levels passed. The return shape is

(num_levels, …DISTRIBUTION_SHAPE…),

where DISTRIBUTION_SHAPE is the shape of the underlying distribution.

Return type

quantiles

sample(num_samples: Optional[int] = None, dtype=<class 'numpy.float32'>) → Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]

Draw samples from the distribution.

If num_samples is given the first dimension of the output will be num_samples.

Parameters

• num_samples – Number of samples to to be drawn.

• dtype – Data-type of the samples.

Returns

A tensor containing samples. This has shape (*batch_shape, *eval_shape) if num_samples = None and (num_samples, *batch_shape, *eval_shape) otherwise.

Return type

Tensor

sample_rep(num_samples: Optional[int] = None, dtype=<class 'float'>) → Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]

property support_min_max

gluonts.mx.distribution.transformed_distribution.sum_trailing_axes(F, x: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], k: int) → Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]