[Numpy-discussion] Question about optimizing random_standard_normal

[Robert Kern]

On Mon, Feb 8, 2021 at 11:38 AM Kevin Sheppard <kevin.k.sheppard at gmail.com>
wrote:

> That is good news indeed.  Seems like a good upgrade, especially given the
> breadth of application of normals and the multiple appearances within
> distributions.c (e.g., Cauchy). Is there a deprecation for a change like
> this? Or is it just a note and new random numbers in the next major?  I
> think this is the first time a substantially new algo has replaced an
> existing one.
>

Per NEP 19, a change like this is a new feature that can be included in a
feature release, like any other feature.

I would like to see some more testing on the quality of the sequences more
than the ones already quoted. Using Kolmogorov-Smirnov and/or
Anderson-Darling tests as well, which should be more thorough.


https://github.com/scipy/scipy/blob/master/scipy/stats/tests/test_continuous_basic.py#L604-L620

There are also some subtle issues involved in ziggurat method
implementations that go beyond just the marginal distributions. I'm not
sure, even, that our current implementation deals with the issues raised in
the following paper, but I'd like to do no worse.

  https://www.doornik.com/research/ziggurat.pdf

-- 
Robert Kern
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