scipy/scipy — pull request #3225 by ev-br (2014-01-19 01:58:00+00:00)
Title: Add the limiting exponential distribution to generalized Pareto distribution with shape c=0

closes gh-1295

The implementation here is similar to the original one by @pbrod, as listed in gh-1295.

Several points I'd like to flag for a review:
* The exact properties of the c\to 0 limit. For example, I'm currently skipping the (otherwise failing) test for continuity of the `ppf` at small `c` --- I first wrote the test without much thinking, but in fact I'm not sure if the requirement of the test is not too stringent. The specific question here, I guess, is whether the Box-Cox transform is uniformly convergent at `lambda\to 0`.
* We might want to add a new ufunc for computing `log(1 + a*x)/x` with the correct behavior at `x=0`, instead of a private helper in `genpareto`.
* `_munp` and `entropy` are not properly vectorized at the moment (neither in master, not in this PR).