diff --git a/pywafo/src/wafo/objects.py b/pywafo/src/wafo/objects.py index db9c912..67d0f54 100644 --- a/pywafo/src/wafo/objects.py +++ b/pywafo/src/wafo/objects.py @@ -183,9 +183,9 @@ class LevelCrossings(WafoData): u_min = self.args[i.min()] if u_max is None: u_max = self.args[i.max()] - -# # Extrapolate LC for high levels -# [lcEst.High,Est.High] = self._extrapolate(lc,u_max,u_max-lc_max,method, dist); + lcf, lcx = self.data, self.args + # Extrapolate LC for high levels + [lcEst.High,Est.High] = self._extrapolate(lcx,lcf,u_max,u_max-lc_max,method, dist); # # # Extrapolate LC for low levels # @@ -199,137 +199,120 @@ class LevelCrossings(WafoData): # semilogx(lc(:,2),lc(:,1),lcEst.High(:,2),lcEst.High(:,1),lcEst.Low(:,2),lcEst.Low(:,1)) # end # - ### -# def _extrapolate(self, lcx,lcf,u,offset,method,dist) -# # Extrapolate the level crossing spectra for high levels -# -# method = method.lower() -# dist = dist.lower() -# -# # Excedences over level u -# Iu = lcx>u; -# lcx1, lcf1 = lcx[Iu], lcf[Iu] -# lcf3,lcx3 = _make_increasing(lcf1[::-1],lcx1[::-1]) -# -# # Corrected by PJ 17-Feb-2004 -# lc3=[0 0; lc3]; -# x=[]; -# for k=2:length(lc3(:,1)) -# nk = lc3(k,2)-lc3(k-1,2); -# x = [x; ones(nk,1)*lc3(k,1)]; -# #end -# x = x-u; -# -# # Estimate tail -# -# if dist=='genpareto': -# genpareto = distributions.genpareto -# phat = genpareto.fit2(x, floc=0, method=method) -# -## Est.k = phat.params(1); -## Est.s = phat.params(2); -## if isnan(phat.fixpar(3)) -## Est.cov = phat.covariance; -## else -## Est.cov = phat.covariance(1:2,1:2); -## end -## if Est.k>0, -## Est.UpperLimit = u+Est.s/Est.k; -## end -# df = 0.01 -# xF = np.arange(0.0,4+df/2,df) -# F = phat.cdf(xF) -# Est.lcu = interp1(lcx,lcf,u)+1 -# -# # Calculate 90 # confidence region, an ellipse, for (k,s) -# [B,D] = eig(Est.cov); -# b = [Est.k; Est.s]; -# -# r = sqrt(-2*log(1-90/100)); # 90 # confidence sphere -# Nc = 16+1; -# ang = linspace(0,2*pi,Nc); -# c0 = [r*sqrt(D(1,1))*sin(ang); r*sqrt(D(2,2))*cos(ang)]; # 90# Circle -# # plot(c0(1,:),c0(2,:)) -# -# c1 = B*c0+b*ones(1,length(c0)); # Transform to ellipse for (k,s) -# # plot(c1(1,:),c1(2,:)), hold on -# -# # Calculate conf.int for lcu -# # Assumtion: lcu is Poisson distributed -# # Poissin distr. approximated by normal when calculating conf. int. -# dXX = 1.64*sqrt(Est.lcu); # 90 # quantile for lcu -# -# lcEstCu = zeros(length(xF),Nc); -# lcEstCl = lcEstCu; -# for i=1:Nc -# k=c1(1,i); -# s=c1(2,i); -# F2 = cdfgenpar(xF,k,s); -# lcEstCu(:,i) = (Est.lcu+dXX)*(1-F2); -# lcEstCl(:,i) = (Est.lcu-dXX)*(1-F2); -# end -# -# lcEstCI = [min(lcEstCl')' max(lcEstCu')']; -# -# lcEst = [xF+u Est.lcu*(1-F) lcEstCI]; -# -# case 'exp' -# -# n = length(x); -# s = mean(x); -# cov = s/n; -# Est.s = s; -# Est.cov = cov; -# -# xF = (0.0:0.01:4)'; -# F = 1-exp(-xF/s); -# Est.lcu = interp1(lc(:,1),lc(:,2),u)+1; -# -# lcEst = [xF+u Est.lcu*(1-F)]; -# -# case 'ray' -# -# n = length(x); -# Sx = sum((x+offset).^2-offset^2); -# s=sqrt(Sx/n); # Shape parameter -# -# Est.s = s; -# Est.cov = NaN; -# -# xF = (0.0:0.01:4)'; -# F = 1 - exp(-((xF+offset).^2-offset^2)/s^2); -# Est.lcu = interp1(lc(:,1),lc(:,2),u)+1; -# -# lcEst = [xF+u Est.lcu*(1-F)]; -# -# otherwise -# -# error(['Unknown method: ' method]); -# -# end -# -# -# ## End extrapolate -# -# def _make_increasing(f, t=None): -# # Makes the signal x strictly increasing. -# # -# # x = two column matrix with times in first column and values in the second. -# -# n = len(f) -# if t is None: -# t = np.arange(n) -# ff = [] -# tt = [] -# ff.append(f[0]) -# tt.append(t[0]) -# -# for i in xrange(1,n): -# if f[i]>ff[-1] -# ff.append(f[i]) -# tt.append(t[i]) -# -# return np.asarray(ff), np.asarray(tt) + ## + def _extrapolate(self, lcx,lcf,u,offset,method,dist): + # Extrapolate the level crossing spectra for high levels + + method = method.lower() + dist = dist.lower() + + # Excedences over level u + Iu = lcx>u; + lcx1, lcf1 = lcx[Iu], lcf[Iu] + lcf2,lcx2 = _make_increasing(lcf1[::-1],lcx1[::-1]) + + nim1 = 0 + x=[] + for k, ni in enumerate(lcf2.tolist()): + nk = ni - nim1 + x.append(ones(nk)*lcx2[k]) + #end + + x = np.hstack(x)-u + + # Estimate tail + + if dist=='genpareto': + genpareto = distributions.genpareto + phat = genpareto.fit2(x, floc=0, method=method) + + df = 0.01 + xF = np.arange(0.0,4+df/2,df) + F = phat.cdf(xF) + lcu = np.interp(u,lcx,lcf)+1 + covar = phat.par_cov[::2,::2] + # Calculate 90 # confidence region, an ellipse, for (k,s) + B, D = np.linalg.eig(covar); + b = phat.par[::2] + if b[0]>0: + upperlimit = u + b[1]/b[0] + + r = sqrt(-2*log(1-90/100)); # 90 # confidence sphere + Nc = 16+1; + ang = linspace(0,2*pi,Nc); + c0 = np.vstack((r*sqrt(D[0,0])*sin(ang), r*sqrt(D[1,1])*cos(ang))) # 90# Circle + # plot(c0(1,:),c0(2,:)) + + c1 = B*c0+b*ones((1,len(c0))); # Transform to ellipse for (k,s) + # plot(c1(1,:),c1(2,:)), hold on + + # Calculate conf.int for lcu + # Assumtion: lcu is Poisson distributed + # Poissin distr. approximated by normal when calculating conf. int. + dXX = 1.64*sqrt(lcu); # 90 # quantile for lcu + + lcEstCu = zeros((len(xF),Nc)); + lcEstCl = lcEstCu; + for i in range(Nc): + k=c1[0,i] + s=c1[2,i] + F2 = genpareto.cdf(xF,k,scale=s) + lcEstCu[:,i] = (lcu+dXX)*(1-F2); + lcEstCl[:,i] = (lcu-dXX)*(1-F2); + #end + + lcEstCI = [min(lcEstCl), max(lcEstCu)] + + lcEst = [xF+u, lcu*(1-F), lcEstCI]; + + elif dist=='expon': + n = len(x) + s = mean(x); + cov = s/n; + Est.s = s; + Est.cov = cov; + + xF = np.arange(0.0,4+df/2,df) #xF = (0.0:0.01:4)'; + F = -expm1(-xF/s) + lcu = np.interp(u,lcx,lcf)+1 + + lcEst = [xF+u, Est.lcu*(1-F)] + + elif dist== 'ray': + + n = len(x) + Sx = sum((x+offset)**2-offset**2) + s = sqrt(Sx/n); # Shape parameter + + cov = NaN; + + xF = np.arange(0.0,4+df/2,df) #xF = (0.0:0.01:4)'; + F = -expm1(-((xF+offset)**2-offset**2)/s**2); + lcu = np.interp(u,lcx,lcf,u)+1 + + lcEst = [xF+u, Est.lcu*(1-F)]; + + else: + raise ValueError() + + + ## End extrapolate + + def _make_increasing(f, t=None): + # Makes the signal f strictly increasing. + + n = len(f) + if t is None: + t = np.arange(n) + ff = [f[0],] + tt = [t[0],] + + for i in xrange(1,n): + if f[i]>ff[-1]: + ff.append(f[i]) + tt.append(t[i]) + + return np.asarray(ff), np.asarray(tt) def sim(self, ns, alpha): """ diff --git a/pywafo/src/wafo/stats/estimation.py b/pywafo/src/wafo/stats/estimation.py index 55faf42..b3f593b 100644 --- a/pywafo/src/wafo/stats/estimation.py +++ b/pywafo/src/wafo/stats/estimation.py @@ -872,7 +872,6 @@ class FitDistribution(rv_frozen): SF = (arange(n, 0, -1)) / n plotbackend.semilogy(self.data, SF, 'b.', self.data, self.sf(self.data), 'r-') #plotbackend.plot(self.data,SF,'b.',self.data,self.sf(self.data),'r-') - plotbackend.xlabel('x'); plotbackend.ylabel('F(x) (%s)' % self.dist.name) plotbackend.title('Empirical SF plot') @@ -888,8 +887,6 @@ class FitDistribution(rv_frozen): n = len(self.data) F = (arange(1, n + 1)) / n plotbackend.plot(self.data, F, 'b.', self.data, self.cdf(self.data), 'r-') - - plotbackend.xlabel('x'); plotbackend.ylabel('F(x) (%s)' % self.dist.name) plotbackend.title('Empirical CDF plot') @@ -934,7 +931,6 @@ class FitDistribution(rv_frozen): #plotbackend.hist(self.data,normed=True,fill=False) plotbackend.plot(self.data, self.pdf(self.data), 'r-', xx, yy, 'b-') - plotbackend.xlabel('x'); plotbackend.ylabel('f(x) (%s)' % self.dist.name) plotbackend.title('Density plot') @@ -953,7 +949,6 @@ class FitDistribution(rv_frozen): y = self.ppf(eprob) y1 = self.data[[0, -1]] plotbackend.plot(self.data, y, 'b.', y1, y1, 'r-') - plotbackend.xlabel('Empirical') plotbackend.ylabel('Model (%s)' % self.dist.name) plotbackend.title('Residual Quantile Plot'); @@ -974,15 +969,12 @@ class FitDistribution(rv_frozen): mcdf = self.cdf(self.data) p1 = [0, 1] plotbackend.plot(ecdf, mcdf, 'b.', p1, p1, 'r-') - - plotbackend.xlabel('Empirical') plotbackend.ylabel('Model (%s)' % self.dist.name) plotbackend.title('Residual Probability Plot'); - plotbackend.axis([0, 1, 0, 1]) plotbackend.axis('equal') - - + plotbackend.axis([0, 1, 0, 1]) + def _pvalue(self, theta, x, unknown_numpar=None): ''' Return the P-value for the fit using Moran's negative log Product Spacings statistic