A practical, effective calculation of gamma difference distributions with open data science tools

TL;DR

This paper presents a high-performance, open-source Python tool for accurately computing gamma difference distributions with unequal shape parameters, outperforming existing software in speed and precision, with broad applications in statistics and risk analysis.

Contribution

The authors develop and validate a novel, open data science tool using Python and Numba that significantly improves speed and accuracy in calculating gamma difference distributions.

Findings

The tool is exponentially faster than analytical methods in CAS software.

It achieves 5-10 times higher accuracy than SciPy, NumPy, and MATLAB at scientific precision.

It enables new applications in multidimensional statistics and risk analysis.

Abstract

At present, there is still no officially accepted and extensively verified implementation of computing the gamma difference distribution allowing unequal shape parameters. We explore four computational ways of the gamma difference distribution with the different shape parameters resulting from time series kriging, a forecasting approach based on the best linear unbiased prediction, and linear mixed models. The results of our numerical study, with emphasis on using open data science tools, demonstrate that our open tool implemented in high-performance Python(with Numba) is exponentially fast, highly accurate, and very reliable. It combines numerical inversion of the characteristic function and the trapezoidal rule with the double exponential oscillatory transformation (DE quadrature). At the double 53-bit precision, our tool outperformed the speed of the analytical computation based on Tricomi's $U(a, b, z)$ function in CAS software (commercial Mathematica, open SageMath) by 1.5-2 orders. At the precision of scientific numerical computational tools, it exceeded open SciPy, NumPy, and commercial MATLAB 5-10 times. The potential future application of our tool for a mixture of characteristic functions could open new possibilities for fast data analysis based on exact probability distributions in areas like multidimensional statistics, measurement uncertainty analysis in metrology as well as in financial mathematics and risk analysis.