Speed up pdf, cdf, mean, and var for FisherNoncentralHypergeometric #1277
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…y implementing method of Liao and Rosen.
pdeffebach
reviewed
Feb 12, 2021
| fᵢ /= rᵢ₊ | ||
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| # break if terms no longer contribute to s | ||
| sfᵢ = s + fᵢ |
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Should we be explicit about the tolerance here? Is there some assumption here about how small f_i gets?
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The idea here is to go as far as the precision allows, i.e. until f_i is so small that it can't change s. In that way, it shouldn't be necessary to introduce an explicit tolerance.
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If anybody has further comments please share them soon. Otherwise, I'll go ahead a merge in a couple of days. |
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by implementing the method of Liao and Rosen. For the case in JuliaStats/HypothesisTests.jl#224, I saw a 200k times speed up for
cdfwith this change.