[BUG] Beta distribution PDF returns nan unexpectedly about fsharp.stats

[bvenn]

This happens because of floating point errors. The PDF is defined as:

PDF(x) =
(x ** (alpha - 1.0)) * ((1.0 - x) ** (beta - 1.0)) / (SpecialFunctions.Beta._beta alpha beta)

The first factor: 0.5⁵⁹⁹ already returns 0.0. The maximal exponent to get a valid result is 0.5²⁴⁸ resulting in 1.976262583e-323.

Either the variables must be converted from float to decimal to facilitate the calculation with such extreme values, or there is an alternative algorithm to determine the PDF without the need for these extreme values.

(Wikipedia PDF)

https://github.com/mathnet/mathnet-numerics/blob/bc0bd6e4b33b8f58e99ff854755b4a3220881a84/src/Numerics/Distributions/Beta.cs#L559

https://www.itl.nist.gov/div898/handbook/eda/section3/eda366h.htm

[bvenn]

I've transformed the PDF to its corresponding PDFLn and updated the density estimation with a switch for high alpha/beta parameters.
The function is tested for alpha/beta <= 2000 but should handle values way above this.

(beta 600. 600.).PDF 0.5     // F#Stats   27.63377432