termines the random sample. Note that if `ppf` was exact, the u-error would be zero. The x-error measures the direct distance between the exact PPF and `ppf`. If ``x_error`` is set to ``True`, it is computed as the maximum of the minimum of the relative and absolute x-error: ``max(min(x_error_abs[i], x_error_rel[i]))`` where ``x_error_abs[i] = |PPF(u[i]) - PPF_fast(u[i])|``, ``x_error_rel[i] = max |(PPF(u[i]) - PPF_fast(u[i])) / PPF(u[i])|``. Note that it is important to consider the relative x-error in the case that ``PPF(u)`` is close to zero or very large. By default, only the u-error is evaluated and the x-error is set to ``np.nan``. Note that the evaluation of the x-error will be very slow if the implementation of the PPF is slow. Further information about these error measures can be found in [1]_. References ---------- .. [1] Derflinger, Gerhard, Wolfgang Hörmann, and Josef Leydold. "Random variate generation by numerical inversion when only the density is known." ACM Transactions on Modeling and Computer Simulation (TOMACS) 20.4 (2010): 1-25. Examples -------- >>> import numpy as np >>> from scipy import stats >>> from scipy.stats.sampling import FastGeneratorInversion Create an object for the normal distribution: >>> d_norm_frozen = stats.norm() >>> d_norm = FastGeneratorInversion(d_norm_frozen) To confirm that the numerical inversion is accurate, we evaluate the approximation error (u-error and x-error). >>> u_error, x_error = d_norm.evaluate_error(x_error=True) The u-error should be below 1e-10: >>> u_error 8.785783212061915e-11 # may vary Compare the PPF against approximation `ppf`: >>> q = [0.001, 0.2, 0.4, 0.6, 0.8, 0.999] >>> diff = np.abs(d_norm_frozen.ppf(q) - d_norm.ppf(q)) >>> x_error_abs = np.max(diff) >>> x_error_abs 1.2937954707581412e-08 This is the absolute x-error evaluated at the points q. The relative error is given by >>> x_error_rel = np.max(diff / np.abs(d_norm_frozen.ppf(q))) >>> x_error_rel 4.186725600453555e-09 The x_error computed above is derived in a very similar way over a much larger set of random values q. At each value q[i], the minimum of the relative and absolute error is taken. The final value is then derived as the maximum of these values. In our example, we get the following value: >>> x_error 4.507068014335139e-07 # may vary z