Custom distribution in scipy with pdf given
<p>I try to define a custom distribution with pdf given via scipy.stats</p>

<pre><code>import numpy as np
from scipy.stats import rv_continuous

class CustomDistribution(rv_continuous):
    def __init__(self, pdf=None):
        super(CustomDistribution, self).__init__()
        self.custom_pdf = pdf
        print "Initialized!"

    def _pdf(self, x, *args):
        if self.custom_pdf is None:
            # print 'PDF is not overridden'
            return super(CustomDistribution, self)._pdf(x, *args)
        else:
            # print 'PDF is overridden'
            return self.custom_pdf(x)

def g(x, mu):
    if x &lt; 0:
        return 0
    else:
        return mu * np.exp(- mu * x)

my_exp_dist = CustomDistribution(pdf=lambda x: g(x, .5))
print my_exp_dist.mean()
</code></pre>

<p>As you see I try to define exponential distribution wuth parameter mu=0.5, but the output is as follows.</p>

<blockquote>
  <p>Initialized!</p>
  
  <p>D:\Anaconda2\lib\site-packages\scipy\integrate\quadpack.py:357: </p>
  
  <p>IntegrationWarning: The algorithm does not converge.  Roundoff error
  is detected   in the extrapolation table.  It is assumed that the
  requested tolerance   cannot be achieved, and that the returned result
  (if full_output = 1) is    the best which can be obtained.<br>
  warnings.warn(msg, IntegrationWarning)</p>
  
  <p>D:\Anaconda2\lib\site-packages\scipy\integrate\quadpack.py:357: </p>
  
  <p>IntegrationWarning: The maximum number of subdivisions (50) has been
  achieved.</p>
  
  <p>2.0576933609</p>
  
  <p>If increasing the limit yields no improvement it is advised to
  analyze    the integrand in order to determine the difficulties.  If
  the position of a    local difficulty can be determined (singularity,
  discontinuity) one will    probably gain from splitting up the
  interval and calling the integrator    on the subranges.  Perhaps a
  special-purpose integrator should be used.   warnings.warn(msg,
  IntegrationWarning)</p>
</blockquote>

<p>What should I do to improve this?</p>

<p><strong>NOTE:</strong> The problem of computational accuracy is discussed in <a href="https://github.com/scipy/scipy/issues/6579" rel="nofollow">this GitHub issue</a>.</p>