Lib/statistics.py

"""
Basic statistics module.

This module provides functions for calculating statistics of data, including
averages, variance, and standard deviation.

Calculating averages
--------------------

==================  ==================================================
Function            Description
==================  ==================================================
mean                Arithmetic mean (average) of data.
fmean               Fast, floating point arithmetic mean.
geometric_mean      Geometric mean of data.
harmonic_mean       Harmonic mean of data.
median              Median (middle value) of data.
median_low          Low median of data.
median_high         High median of data.
median_grouped      Median, or 50th percentile, of grouped data.
mode                Mode (most common value) of data.
multimode           List of modes (most common values of data).
quantiles           Divide data into intervals with equal probability.
==================  ==================================================

Calculate the arithmetic mean ("the average") of data:

>>> mean([-1.0, 2.5, 3.25, 5.75])
2.625


Calculate the standard median of discrete data:

>>> median([2, 3, 4, 5])
3.5


Calculate the median, or 50th percentile, of data grouped into class intervals
centred on the data values provided. E.g. if your data points are rounded to
the nearest whole number:

>>> median_grouped([2, 2, 3, 3, 3, 4])  #doctest: +ELLIPSIS
2.8333333333...

This should be interpreted in this way: you have two data points in the class
interval 1.5-2.5, three data points in the class interval 2.5-3.5, and one in
the class interval 3.5-4.5. The median of these data points is 2.8333...


Calculating variability or spread
---------------------------------

==================  =============================================
Function            Description
==================  =============================================
pvariance           Population variance of data.
variance            Sample variance of data.
pstdev              Population standard deviation of data.
stdev               Sample standard deviation of data.
==================  =============================================

Calculate the standard deviation of sample data:

>>> stdev([2.5, 3.25, 5.5, 11.25, 11.75])  #doctest: +ELLIPSIS
4.38961843444...

If you have previously calculated the mean, you can pass it as the optional
second argument to the four "spread" functions to avoid recalculating it:

>>> data = [1, 2, 2, 4, 4, 4, 5, 6]
>>> mu = mean(data)
>>> pvariance(data, mu)
2.5


Exceptions
----------

A single exception is defined: StatisticsError is a subclass of ValueError.

"""

__all__ = [ 'StatisticsError', 'NormalDist', 'quantiles',
            'pstdev', 'pvariance', 'stdev', 'variance',
            'median',  'median_low', 'median_high', 'median_grouped',
            'mean', 'mode', 'multimode', 'harmonic_mean', 'fmean',
            'geometric_mean',
          ]

import math
import numbers
import random

from fractions import Fraction
from decimal import Decimal
from itertools import groupby
from bisect import bisect_left, bisect_right
from math import hypot, sqrt, fabs, exp, erf, tau, log, fsum
from operator import itemgetter
from collections import Counter

# === Exceptions ===

class StatisticsError(ValueError):
    pass


# === Private utilities ===

def _sum(data, start=0):
    """_sum(data [, start]) -> (type, sum, count)

    Return a high-precision sum of the given numeric data as a fraction,
    together with the type to be converted to and the count of items.

    If optional argument ``start`` is given, it is added to the total.
    If ``data`` is empty, ``start`` (defaulting to 0) is returned.


    Examples
    --------

    >>> _sum([3, 2.25, 4.5, -0.5, 1.0], 0.75)
    (<class 'float'>, Fraction(11, 1), 5)

    Some sources of round-off error will be avoided:

    # Built-in sum returns zero.
    >>> _sum([1e50, 1, -1e50] * 1000)
    (<class 'float'>, Fraction(1000, 1), 3000)

    Fractions and Decimals are also supported:

    >>> from fractions import Fraction as F
    >>> _sum([F(2, 3), F(7, 5), F(1, 4), F(5, 6)])
    (<class 'fractions.Fraction'>, Fraction(63, 20), 4)

    >>> from decimal import Decimal as D
    >>> data = [D("0.1375"), D("0.2108"), D("0.3061"), D("0.0419")]
    >>> _sum(data)
    (<class 'decimal.Decimal'>, Fraction(6963, 10000), 4)

    Mixed types are currently treated as an error, except that int is
    allowed.
    """
    count = 0
    n, d = _exact_ratio(start)
    partials = {d: n}
    partials_get = partials.get
    T = _coerce(int, type(start))
    for typ, values in groupby(data, type):
        T = _coerce(T, typ)  # or raise TypeError
        for n,d in map(_exact_ratio, values):
            count += 1
            partials[d] = partials_get(d, 0) + n
    if None in partials:
        # The sum will be a NAN or INF. We can ignore all the finite
        # partials, and just look at this special one.
        total = partials[None]
        assert not _isfinite(total)
    else:
        # Sum all the partial sums using builtin sum.
        # FIXME is this faster if we sum them in order of the denominator?
        total = sum(Fraction(n, d) for d, n in sorted(partials.items()))
    return (T, total, count)


def _isfinite(x):
    try:
        return x.is_finite()  # Likely a Decimal.
    except AttributeError:
        return math.isfinite(x)  # Coerces to float first.


def _coerce(T, S):
    """Coerce types T and S to a common type, or raise TypeError.

    Coercion rules are currently an implementation detail. See the CoerceTest
    test class in test_statistics for details.
    """
    # See http://bugs.python.org/issue24068.
    assert T is not bool, "initial type T is bool"
    # If the types are the same, no need to coerce anything. Put this
    # first, so that the usual case (no coercion needed) happens as soon
    # as possible.
    if T is S:  return T
    # Mixed int & other coerce to the other type.
    if S is int or S is bool:  return T
    if T is int:  return S
    # If one is a (strict) subclass of the other, coerce to the subclass.
    if issubclass(S, T):  return S
    if issubclass(T, S):  return T
    # Ints coerce to the other type.
    if issubclass(T, int):  return S
    if issubclass(S, int):  return T
    # Mixed fraction & float coerces to float (or float subclass).
    if issubclass(T, Fraction) and issubclass(S, float):
        return S
    if issubclass(T, float) and issubclass(S, Fraction):
        return T
    # Any other combination is disallowed.
    msg = "don't know how to coerce %s and %s"
    raise TypeError(msg % (T.__name__, S.__name__))


def _exact_ratio(x):
    """Return Real number x to exact (numerator, denominator) pair.

    >>> _exact_ratio(0.25)
    (1, 4)

    x is expected to be an int, Fraction, Decimal or float.
    """
    try:
        # Optimise the common case of floats. We expect that the most often
        # used numeric type will be builtin floats, so try to make this as
        # fast as possible.
        if type(x) is float or type(x) is Decimal:
            return x.as_integer_ratio()
        try:
            # x may be an int, Fraction, or Integral ABC.
            return (x.numerator, x.denominator)
        except AttributeError:
            try:
                # x may be a float or Decimal subclass.
                return x.as_integer_ratio()
            except AttributeError:
                # Just give up?
                pass
    except (OverflowError, ValueError):
        # float NAN or INF.
        assert not _isfinite(x)
        return (x, None)
    msg = "can't convert type '{}' to numerator/denominator"
    raise TypeError(msg.format(type(x).__name__))


def _convert(value, T):
    """Convert value to given numeric type T."""
    if type(value) is T:
        # This covers the cases where T is Fraction, or where value is
        # a NAN or INF (Decimal or float).
        return value
    if issubclass(T, int) and value.denominator != 1:
        T = float
    try:
        # FIXME: what do we do if this overflows?
        return T(value)
    except TypeError:
        if issubclass(T, Decimal):
            return T(value.numerator)/T(value.denominator)
        else:
            raise


def _find_lteq(a, x):
    'Locate the leftmost value exactly equal to x'
    i = bisect_left(a, x)
    if i != len(a) and a[i] == x:
        return i
    raise ValueError


def _find_rteq(a, l, x):
    'Locate the rightmost value exactly equal to x'
    i = bisect_right(a, x, lo=l)
    if i != (len(a)+1) and a[i-1] == x:
        return i-1
    raise ValueError


def _fail_neg(values, errmsg='negative value'):
    """Iterate over values, failing if any are less than zero."""
    for x in values:
        if x < 0:
            raise StatisticsError(errmsg)
        yield x


# === Measures of central tendency (averages) ===

def mean(data):
    """Return the sample arithmetic mean of data.

    >>> mean([1, 2, 3, 4, 4])
    2.8

    >>> from fractions import Fraction as F
    >>> mean([F(3, 7), F(1, 21), F(5, 3), F(1, 3)])
    Fraction(13, 21)

    >>> from decimal import Decimal as D
    >>> mean([D("0.5"), D("0.75"), D("0.625"), D("0.375")])
    Decimal('0.5625')

    If ``data`` is empty, StatisticsError will be raised.
    """
    if iter(data) is data:
        data = list(data)
    n = len(data)
    if n < 1:
        raise StatisticsError('mean requires at least one data point')
    T, total, count = _sum(data)
    assert count == n
    return _convert(total/n, T)

def fmean(data):
    """ Convert data to floats and compute the arithmetic mean.

    This runs faster than the mean() function and it always returns a float.
    The result is highly accurate but not as perfect as mean().
    If the input dataset is empty, it raises a StatisticsError.

    >>> fmean([3.5, 4.0, 5.25])
    4.25

    """
    try:
        n = len(data)
    except TypeError:
        # Handle iterators that do not define __len__().
        n = 0
        def count(x):
            nonlocal n
            n += 1
            return x
        total = fsum(map(count, data))
    else:
        total = fsum(data)
    try:
        return total / n
    except ZeroDivisionError:
        raise StatisticsError('fmean requires at least one data point') from None

def geometric_mean(data):
    """Convert data to floats and compute the geometric mean.

    Raises a StatisticsError if the input dataset is empty,
    if it contains a zero, or if it contains a negative value.

    No special efforts are made to achieve exact results.
    (However, this may change in the future.)

    >>> round(geometric_mean([54, 24, 36]), 9)
    36.0
    """
    try:
        return exp(fmean(map(log, data)))
    except ValueError:
        raise StatisticsError('geometric mean requires a non-empty dataset '
                              ' containing positive numbers') from None

def harmonic_mean(data):
    """Return the harmonic mean of data.

    The harmonic mean, sometimes called the subcontrary mean, is the
    reciprocal of the arithmetic mean of the reciprocals of the data,
    and is often appropriate when averaging quantities which are rates
    or ratios, for example speeds. Example:

    Suppose an investor purchases an equal value of shares in each of
    three companies, with P/E (price/earning) ratios of 2.5, 3 and 10.
    What is the average P/E ratio for the investor's portfolio?

    >>> harmonic_mean([2.5, 3, 10])  # For an equal investment portfolio.
    3.6

    Using the arithmetic mean would give an average of about 5.167, which
    is too high.

    If ``data`` is empty, or any element is less than zero,
    ``harmonic_mean`` will raise ``StatisticsError``.
    """
    # For a justification for using harmonic mean for P/E ratios, see
    # http://fixthepitch.pellucid.com/comps-analysis-the-missing-harmony-of-summary-statistics/
    # http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2621087
    if iter(data) is data:
        data = list(data)
    errmsg = 'harmonic mean does not support negative values'
    n = len(data)
    if n < 1:
        raise StatisticsError('harmonic_mean requires at least one data point')
    elif n == 1:
        x = data[0]
        if isinstance(x, (numbers.Real, Decimal)):
            if x < 0:
                raise StatisticsError(errmsg)
            return x
        else:
            raise TypeError('unsupported type')
    try:
        T, total, count = _sum(1/x for x in _fail_neg(data, errmsg))
    except ZeroDivisionError:
        return 0
    assert count == n
    return _convert(n/total, T)


# FIXME: investigate ways to calculate medians without sorting? Quickselect?
def median(data):
    """Return the median (middle value) of numeric data.

    When the number of data points is odd, return the middle data point.
    When the number of data points is even, the median is interpolated by
    taking the average of the two middle values:

    >>> median([1, 3, 5])
    3
    >>> median([1, 3, 5, 7])
    4.0

    """
    data = sorted(data)
    n = len(data)
    if n == 0:
        raise StatisticsError("no median for empty data")
    if n%2 == 1:
        return data[n//2]
    else:
        i = n//2
        return (data[i - 1] + data[i])/2


def median_low(data):
    """Return the low median of numeric data.

    When the number of data points is odd, the middle value is returned.
    When it is even, the smaller of the two middle values is returned.

    >>> median_low([1, 3, 5])
    3
    >>> median_low([1, 3, 5, 7])
    3

    """
    data = sorted(data)
    n = len(data)
    if n == 0:
        raise StatisticsError("no median for empty data")
    if n%2 == 1:
        return data[n//2]
    else:
        return data[n//2 - 1]


def median_high(data):
    """Return the high median of data.

    When the number of data points is odd, the middle value is returned.
    When it is even, the larger of the two middle values is returned.

    >>> median_high([1, 3, 5])
    3
    >>> median_high([1, 3, 5, 7])
    5

    """
    data = sorted(data)
    n = len(data)
    if n == 0:
        raise StatisticsError("no median for empty data")
    return data[n//2]


def median_grouped(data, interval=1):
    """Return the 50th percentile (median) of grouped continuous data.

    >>> median_grouped([1, 2, 2, 3, 4, 4, 4, 4, 4, 5])
    3.7
    >>> median_grouped([52, 52, 53, 54])
    52.5

    This calculates the median as the 50th percentile, and should be
    used when your data is continuous and grouped. In the above example,
    the values 1, 2, 3, etc. actually represent the midpoint of classes
    0.5-1.5, 1.5-2.5, 2.5-3.5, etc. The middle value falls somewhere in
    class 3.5-4.5, and interpolation is used to estimate it.

    Optional argument ``interval`` represents the class interval, and
    defaults to 1. Changing the class interval naturally will change the
    interpolated 50th percentile value:

    >>> median_grouped([1, 3, 3, 5, 7], interval=1)
    3.25
    >>> median_grouped([1, 3, 3, 5, 7], interval=2)
    3.5

    This function does not check whether the data points are at least
    ``interval`` apart.
    """
    data = sorted(data)
    n = len(data)
    if n == 0:
        raise StatisticsError("no median for empty data")
    elif n == 1:
        return data[0]
    # Find the value at the midpoint. Remember this corresponds to the
    # centre of the class interval.
    x = data[n//2]
    for obj in (x, interval):
        if isinstance(obj, (str, bytes)):
            raise TypeError('expected number but got %r' % obj)
    try:
        L = x - interval/2  # The lower limit of the median interval.
    except TypeError:
        # Mixed type. For now we just coerce to float.
        L = float(x) - float(interval)/2

    # Uses bisection search to search for x in data with log(n) time complexity
    # Find the position of leftmost occurrence of x in data
    l1 = _find_lteq(data, x)
    # Find the position of rightmost occurrence of x in data[l1...len(data)]
    # Assuming always l1 <= l2
    l2 = _find_rteq(data, l1, x)
    cf = l1
    f = l2 - l1 + 1
    return L + interval*(n/2 - cf)/f


def mode(data):
    """Return the most common data point from discrete or nominal data.

    ``mode`` assumes discrete data, and returns a single value. This is the
    standard treatment of the mode as commonly taught in schools:

    >>> mode([1, 1, 2, 3, 3, 3, 3, 4])
    3

    This also works with nominal (non-numeric) data:

    >>> mode(["red", "blue", "blue", "red", "green", "red", "red"])
    'red'

    If there are multiple modes, return the first one encountered.

        >>> mode(['red', 'red', 'green', 'blue', 'blue'])
        'red'

    If *data* is empty, ``mode``, raises StatisticsError.

    """
    data = iter(data)
    try:
        return Counter(data).most_common(1)[0][0]
    except IndexError:
        raise StatisticsError('no mode for empty data') from None


def multimode(data):
    """ Return a list of the most frequently occurring values.

        Will return more than one result if there are multiple modes
        or an empty list if *data* is empty.

        >>> multimode('aabbbbbbbbcc')
        ['b']
        >>> multimode('aabbbbccddddeeffffgg')
        ['b', 'd', 'f']
        >>> multimode('')
        []

    """
    counts = Counter(iter(data)).most_common()
    maxcount, mode_items = next(groupby(counts, key=itemgetter(1)), (0, []))
    return list(map(itemgetter(0), mode_items))

def quantiles(dist, *, n=4, method='exclusive'):
    '''Divide *dist* into *n* continuous intervals with equal probability.

    Returns a list of (n - 1) cut points separating the intervals.

    Set *n* to 4 for quartiles (the default).  Set *n* to 10 for deciles.
    Set *n* to 100 for percentiles which gives the 99 cuts points that
    separate *dist* in to 100 equal sized groups.

    The *dist* can be any iterable containing sample data or it can be
    an instance of a class that defines an inv_cdf() method.  For sample
    data, the cut points are linearly interpolated between data points.

    If *method* is set to *inclusive*, *dist* is treated as population
    data.  The minimum value is treated as the 0th percentile and the
    maximum value is treated as the 100th percentile.
    '''
    # Possible future API extensions:
    #     quantiles(data, already_sorted=True)
    #     quantiles(data, cut_points=[0.02, 0.25, 0.50, 0.75, 0.98])
    if n < 1:
        raise StatisticsError('n must be at least 1')
    if hasattr(dist, 'inv_cdf'):
        return [dist.inv_cdf(i / n) for i in range(1, n)]
    data = sorted(dist)
    ld = len(data)
    if ld < 2:
        raise StatisticsError('must have at least two data points')
    if method == 'inclusive':
        m = ld - 1
        result = []
        for i in range(1, n):
            j = i * m // n
            delta = i*m - j*n
            interpolated = (data[j] * (n - delta) + data[j+1] * delta) / n
            result.append(interpolated)
        return result
    if method == 'exclusive':
        m = ld + 1
        result = []
        for i in range(1, n):
            j = i * m // n                               # rescale i to m/n
            j = 1 if j < 1 else ld-1 if j > ld-1 else j  # clamp to 1 .. ld-1
            delta = i*m - j*n                            # exact integer math
            interpolated = (data[j-1] * (n - delta) + data[j] * delta) / n
            result.append(interpolated)
        return result
    raise ValueError(f'Unknown method: {method!r}')

# === Measures of spread ===

# See http://mathworld.wolfram.com/Variance.html
#     http://mathworld.wolfram.com/SampleVariance.html
#     http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance
#
# Under no circumstances use the so-called "computational formula for
# variance", as that is only suitable for hand calculations with a small
# amount of low-precision data. It has terrible numeric properties.
#
# See a comparison of three computational methods here:
# http://www.johndcook.com/blog/2008/09/26/comparing-three-methods-of-computing-standard-deviation/

def _ss(data, c=None):
    """Return sum of square deviations of sequence data.

    If ``c`` is None, the mean is calculated in one pass, and the deviations
    from the mean are calculated in a second pass. Otherwise, deviations are
    calculated from ``c`` as given. Use the second case with care, as it can
    lead to garbage results.
    """
    if c is None:
        c = mean(data)
    T, total, count = _sum((x-c)**2 for x in data)
    # The following sum should mathematically equal zero, but due to rounding
    # error may not.
    U, total2, count2 = _sum((x-c) for x in data)
    assert T == U and count == count2
    total -=  total2**2/len(data)
    assert not total < 0, 'negative sum of square deviations: %f' % total
    return (T, total)


def variance(data, xbar=None):
    """Return the sample variance of data.

    data should be an iterable of Real-valued numbers, with at least two
    values. The optional argument xbar, if given, should be the mean of
    the data. If it is missing or None, the mean is automatically calculated.

    Use this function when your data is a sample from a population. To
    calculate the variance from the entire population, see ``pvariance``.

    Examples:

    >>> data = [2.75, 1.75, 1.25, 0.25, 0.5, 1.25, 3.5]
    >>> variance(data)
    1.3720238095238095

    If you have already calculated the mean of your data, you can pass it as
    the optional second argument ``xbar`` to avoid recalculating it:

    >>> m = mean(data)
    >>> variance(data, m)
    1.3720238095238095

    This function does not check that ``xbar`` is actually the mean of
    ``data``. Giving arbitrary values for ``xbar`` may lead to invalid or
    impossible results.

    Decimals and Fractions are supported:

    >>> from decimal import Decimal as D
    >>> variance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")])
    Decimal('31.01875')

    >>> from fractions import Fraction as F
    >>> variance([F(1, 6), F(1, 2), F(5, 3)])
    Fraction(67, 108)

    """
    if iter(data) is data:
        data = list(data)
    n = len(data)
    if n < 2:
        raise StatisticsError('variance requires at least two data points')
    T, ss = _ss(data, xbar)
    return _convert(ss/(n-1), T)


def pvariance(data, mu=None):
    """Return the population variance of ``data``.

    data should be an iterable of Real-valued numbers, with at least one
    value. The optional argument mu, if given, should be the mean of
    the data. If it is missing or None, the mean is automatically calculated.

    Use this function to calculate the variance from the entire population.
    To estimate the variance from a sample, the ``variance`` function is
    usually a better choice.

    Examples:

    >>> data = [0.0, 0.25, 0.25, 1.25, 1.5, 1.75, 2.75, 3.25]
    >>> pvariance(data)
    1.25

    If you have already calculated the mean of the data, you can pass it as
    the optional second argument to avoid recalculating it:

    >>> mu = mean(data)
    >>> pvariance(data, mu)
    1.25

    This function does not check that ``mu`` is actually the mean of ``data``.
    Giving arbitrary values for ``mu`` may lead to invalid or impossible
    results.

    Decimals and Fractions are supported:

    >>> from decimal import Decimal as D
    >>> pvariance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")])
    Decimal('24.815')

    >>> from fractions import Fraction as F
    >>> pvariance([F(1, 4), F(5, 4), F(1, 2)])
    Fraction(13, 72)

    """
    if iter(data) is data:
        data = list(data)
    n = len(data)
    if n < 1:
        raise StatisticsError('pvariance requires at least one data point')
    T, ss = _ss(data, mu)
    return _convert(ss/n, T)


def stdev(data, xbar=None):
    """Return the square root of the sample variance.

    See ``variance`` for arguments and other details.

    >>> stdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75])
    1.0810874155219827

    """
    var = variance(data, xbar)
    try:
        return var.sqrt()
    except AttributeError:
        return math.sqrt(var)


def pstdev(data, mu=None):
    """Return the square root of the population variance.

    See ``pvariance`` for arguments and other details.

    >>> pstdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75])
    0.986893273527251

    """
    var = pvariance(data, mu)
    try:
        return var.sqrt()
    except AttributeError:
        return math.sqrt(var)

## Normal Distribution #####################################################

class NormalDist:
    'Normal distribution of a random variable'
    # https://en.wikipedia.org/wiki/Normal_distribution
    # https://en.wikipedia.org/wiki/Variance#Properties

    __slots__ = {'mu': 'Arithmetic mean of a normal distribution',
                 'sigma': 'Standard deviation of a normal distribution'}

    def __init__(self, mu=0.0, sigma=1.0):
        'NormalDist where mu is the mean and sigma is the standard deviation.'
        if sigma < 0.0:
            raise StatisticsError('sigma must be non-negative')
        self.mu = mu
        self.sigma = sigma

    @classmethod
    def from_samples(cls, data):
        'Make a normal distribution instance from sample data.'
        if not isinstance(data, (list, tuple)):
            data = list(data)
        xbar = fmean(data)
        return cls(xbar, stdev(data, xbar))

    def samples(self, n, *, seed=None):
        'Generate *n* samples for a given mean and standard deviation.'
        gauss = random.gauss if seed is None else random.Random(seed).gauss
        mu, sigma = self.mu, self.sigma
        return [gauss(mu, sigma) for i in range(n)]

    def pdf(self, x):
        'Probability density function.  P(x <= X < x+dx) / dx'
        variance = self.sigma ** 2.0
        if not variance:
            raise StatisticsError('pdf() not defined when sigma is zero')
        return exp((x - self.mu)**2.0 / (-2.0*variance)) / sqrt(tau * variance)

    def cdf(self, x):
        'Cumulative distribution function.  P(X <= x)'
        if not self.sigma:
            raise StatisticsError('cdf() not defined when sigma is zero')
        return 0.5 * (1.0 + erf((x - self.mu) / (self.sigma * sqrt(2.0))))

    def inv_cdf(self, p):
        '''Inverse cumulative distribution function.  x : P(X <= x) = p

        Finds the value of the random variable such that the probability of the
        variable being less than or equal to that value equals the given probability.

        This function is also called the percent point function or quantile function.
        '''
        if (p <= 0.0 or p >= 1.0):
            raise StatisticsError('p must be in the range 0.0 < p < 1.0')
        if self.sigma <= 0.0:
            raise StatisticsError('cdf() not defined when sigma at or below zero')

        # There is no closed-form solution to the inverse CDF for the normal
        # distribution, so we use a rational approximation instead:
        # Wichura, M.J. (1988). "Algorithm AS241: The Percentage Points of the
        # Normal Distribution".  Applied Statistics. Blackwell Publishing. 37
        # (3): 477–484. doi:10.2307/2347330. JSTOR 2347330.

        q = p - 0.5
        if fabs(q) <= 0.425:
            r = 0.180625 - q * q
            num = (((((((2.50908_09287_30122_6727e+3 * r +
                         3.34305_75583_58812_8105e+4) * r +
                         6.72657_70927_00870_0853e+4) * r +
                         4.59219_53931_54987_1457e+4) * r +
                         1.37316_93765_50946_1125e+4) * r +
                         1.97159_09503_06551_4427e+3) * r +
                         1.33141_66789_17843_7745e+2) * r +
                         3.38713_28727_96366_6080e+0) * q
            den = (((((((5.22649_52788_52854_5610e+3 * r +
                         2.87290_85735_72194_2674e+4) * r +
                         3.93078_95800_09271_0610e+4) * r +
                         2.12137_94301_58659_5867e+4) * r +
                         5.39419_60214_24751_1077e+3) * r +
                         6.87187_00749_20579_0830e+2) * r +
                         4.23133_30701_60091_1252e+1) * r +
                         1.0)
            x = num / den
            return self.mu + (x * self.sigma)
        r = p if q <= 0.0 else 1.0 - p
        r = sqrt(-log(r))
        if r <= 5.0:
            r = r - 1.6
            num = (((((((7.74545_01427_83414_07640e-4 * r +
                         2.27238_44989_26918_45833e-2) * r +
                         2.41780_72517_74506_11770e-1) * r +
                         1.27045_82524_52368_38258e+0) * r +
                         3.64784_83247_63204_60504e+0) * r +
                         5.76949_72214_60691_40550e+0) * r +
                         4.63033_78461_56545_29590e+0) * r +
                         1.42343_71107_49683_57734e+0)
            den = (((((((1.05075_00716_44416_84324e-9 * r +
                         5.47593_80849_95344_94600e-4) * r +
                         1.51986_66563_61645_71966e-2) * r +
                         1.48103_97642_74800_74590e-1) * r +
                         6.89767_33498_51000_04550e-1) * r +
                         1.67638_48301_83803_84940e+0) * r +
                         2.05319_16266_37758_82187e+0) * r +
                         1.0)
        else:
            r = r - 5.0
            num = (((((((2.01033_43992_92288_13265e-7 * r +
                         2.71155_55687_43487_57815e-5) * r +
                         1.24266_09473_88078_43860e-3) * r +
                         2.65321_89526_57612_30930e-2) * r +
                         2.96560_57182_85048_91230e-1) * r +
                         1.78482_65399_17291_33580e+0) * r +
                         5.46378_49111_64114_36990e+0) * r +
                         6.65790_46435_01103_77720e+0)
            den = (((((((2.04426_31033_89939_78564e-15 * r +
                         1.42151_17583_16445_88870e-7) * r +
                         1.84631_83175_10054_68180e-5) * r +
                         7.86869_13114_56132_59100e-4) * r +
                         1.48753_61290_85061_48525e-2) * r +
                         1.36929_88092_27358_05310e-1) * r +
                         5.99832_20655_58879_37690e-1) * r +
                         1.0)
        x = num / den
        if q < 0.0:
            x = -x
        return self.mu + (x * self.sigma)

    def overlap(self, other):
        '''Compute the overlapping coefficient (OVL) between two normal distributions.

        Measures the agreement between two normal probability distributions.
        Returns a value between 0.0 and 1.0 giving the overlapping area in
        the two underlying probability density functions.

            >>> N1 = NormalDist(2.4, 1.6)
            >>> N2 = NormalDist(3.2, 2.0)
            >>> N1.overlap(N2)
            0.8035050657330205
        '''
        # See: "The overlapping coefficient as a measure of agreement between
        # probability distributions and point estimation of the overlap of two
        # normal densities" -- Henry F. Inman and Edwin L. Bradley Jr
        # http://dx.doi.org/10.1080/03610928908830127
        if not isinstance(other, NormalDist):
            raise TypeError('Expected another NormalDist instance')
        X, Y = self, other
        if (Y.sigma, Y.mu) < (X.sigma, X.mu):   # sort to assure commutativity
            X, Y = Y, X
        X_var, Y_var = X.variance, Y.variance
        if not X_var or not Y_var:
            raise StatisticsError('overlap() not defined when sigma is zero')
        dv = Y_var - X_var
        dm = fabs(Y.mu - X.mu)
        if not dv:
            return 1.0 - erf(dm / (2.0 * X.sigma * sqrt(2.0)))
        a = X.mu * Y_var - Y.mu * X_var
        b = X.sigma * Y.sigma * sqrt(dm**2.0 + dv * log(Y_var / X_var))
        x1 = (a + b) / dv
        x2 = (a - b) / dv
        return 1.0 - (fabs(Y.cdf(x1) - X.cdf(x1)) + fabs(Y.cdf(x2) - X.cdf(x2)))

    @property
    def mean(self):
        'Arithmetic mean of the normal distribution.'
        return self.mu

    @property
    def stdev(self):
        'Standard deviation of the normal distribution.'
        return self.sigma

    @property
    def variance(self):
        'Square of the standard deviation.'
        return self.sigma ** 2.0

    def __add__(x1, x2):
        '''Add a constant or another NormalDist instance.

        If *other* is a constant, translate mu by the constant,
        leaving sigma unchanged.

        If *other* is a NormalDist, add both the means and the variances.
        Mathematically, this works only if the two distributions are
        independent or if they are jointly normally distributed.
        '''
        if isinstance(x2, NormalDist):
            return NormalDist(x1.mu + x2.mu, hypot(x1.sigma, x2.sigma))
        return NormalDist(x1.mu + x2, x1.sigma)

    def __sub__(x1, x2):
        '''Subtract a constant or another NormalDist instance.

        If *other* is a constant, translate by the constant mu,
        leaving sigma unchanged.

        If *other* is a NormalDist, subtract the means and add the variances.
        Mathematically, this works only if the two distributions are
        independent or if they are jointly normally distributed.
        '''
        if isinstance(x2, NormalDist):
            return NormalDist(x1.mu - x2.mu, hypot(x1.sigma, x2.sigma))
        return NormalDist(x1.mu - x2, x1.sigma)

    def __mul__(x1, x2):
        '''Multiply both mu and sigma by a constant.

        Used for rescaling, perhaps to change measurement units.
        Sigma is scaled with the absolute value of the constant.
        '''
        return NormalDist(x1.mu * x2, x1.sigma * fabs(x2))

    def __truediv__(x1, x2):
        '''Divide both mu and sigma by a constant.

        Used for rescaling, perhaps to change measurement units.
        Sigma is scaled with the absolute value of the constant.
        '''
        return NormalDist(x1.mu / x2, x1.sigma / fabs(x2))

    def __pos__(x1):
        'Return a copy of the instance.'
        return NormalDist(x1.mu, x1.sigma)

    def __neg__(x1):
        'Negates mu while keeping sigma the same.'
        return NormalDist(-x1.mu, x1.sigma)

    __radd__ = __add__

    def __rsub__(x1, x2):
        'Subtract a NormalDist from a constant or another NormalDist.'
        return -(x1 - x2)

    __rmul__ = __mul__

    def __eq__(x1, x2):
        'Two NormalDist objects are equal if their mu and sigma are both equal.'
        if not isinstance(x2, NormalDist):
            return NotImplemented
        return (x1.mu, x2.sigma) == (x2.mu, x2.sigma)

    def __repr__(self):
        return f'{type(self).__name__}(mu={self.mu!r}, sigma={self.sigma!r})'


if __name__ == '__main__':

    # Show math operations computed analytically in comparsion
    # to a monte carlo simulation of the same operations

    from math import isclose
    from operator import add, sub, mul, truediv
    from itertools import repeat
    import doctest

    g1 = NormalDist(10, 20)
    g2 = NormalDist(-5, 25)

    # Test scaling by a constant
    assert (g1 * 5 / 5).mu == g1.mu
    assert (g1 * 5 / 5).sigma == g1.sigma

    n = 100_000
    G1 = g1.samples(n)
    G2 = g2.samples(n)

    for func in (add, sub):
        print(f'\nTest {func.__name__} with another NormalDist:')
        print(func(g1, g2))
        print(NormalDist.from_samples(map(func, G1, G2)))

    const = 11
    for func in (add, sub, mul, truediv):
        print(f'\nTest {func.__name__} with a constant:')
        print(func(g1, const))
        print(NormalDist.from_samples(map(func, G1, repeat(const))))

    const = 19
    for func in (add, sub, mul):
        print(f'\nTest constant with {func.__name__}:')
        print(func(const, g1))
        print(NormalDist.from_samples(map(func, repeat(const), G1)))

    def assert_close(G1, G2):
        assert isclose(G1.mu, G1.mu, rel_tol=0.01), (G1, G2)
        assert isclose(G1.sigma, G2.sigma, rel_tol=0.01), (G1, G2)

    X = NormalDist(-105, 73)
    Y = NormalDist(31, 47)
    s = 32.75
    n = 100_000

    S = NormalDist.from_samples([x + s for x in X.samples(n)])
    assert_close(X + s, S)

    S = NormalDist.from_samples([x - s for x in X.samples(n)])
    assert_close(X - s, S)

    S = NormalDist.from_samples([x * s for x in X.samples(n)])
    assert_close(X * s, S)

    S = NormalDist.from_samples([x / s for x in X.samples(n)])
    assert_close(X / s, S)

    S = NormalDist.from_samples([x + y for x, y in zip(X.samples(n),
                                                       Y.samples(n))])
    assert_close(X + Y, S)

    S = NormalDist.from_samples([x - y for x, y in zip(X.samples(n),
                                                       Y.samples(n))])
    assert_close(X - Y, S)

    print(doctest.testmod())