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Per.Andreas.Brodtkorb 15 years ago
parent 4d338e15ce
commit 652bf4981d
5 changed files with 1721 additions and 1727 deletions
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69
pywafo/src/wafo/SpecData1D.mm
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@ -0,0 +1,69 @@
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1
pywafo/src/wafo/plotbackend.py
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@ -12,6 +12,7 @@ if False:
else: else:
try: try:
from matplotlib import pyplot as plotbackend from matplotlib import pyplot as plotbackend
plotbackend.interactive(True)
print('wafo.wafodata: plotbackend is set to matplotlib.pyplot') print('wafo.wafodata: plotbackend is set to matplotlib.pyplot')
except: except:
print('wafo: Unable to load matplotlib.pyplot as plotbackend') print('wafo: Unable to load matplotlib.pyplot as plotbackend')

2865
pywafo/src/wafo/stats/distributions.py
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482
pywafo/src/wafo/stats/estimation.py
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@ -8,6 +8,8 @@ from __future__ import division
from wafo.plotbackend import plotbackend from wafo.plotbackend import plotbackend
from wafo.misc import ecross, findcross, JITImport from wafo.misc import ecross, findcross, JITImport
from scipy.misc.ppimport import ppimport
import numdifftools import numdifftools
from scipy.linalg import pinv2 from scipy.linalg import pinv2
@ -16,12 +18,13 @@ from scipy.linalg import pinv2
from scipy import optimize from scipy import optimize
# Trick to avoid error due to circular import # Trick to avoid error due to circular import
#_WAFOCOV = ppimport('wafo.covariance') #_WAFOCOV = ppimport('wafo.covariance')
_WAFODIST = JITImport('wafo.stats.distributions') _WAFODIST = ppimport('wafo.stats.distributions')
#_WAFODIST = JITImport('wafo.stats.distributions')
from numpy import alltrue, arange, \ from numpy import alltrue, arange, \
ravel, ones, sum, \ ravel, ones, sum, \
zeros, log, sqrt, exp zeros, log, sqrt, exp
from numpy import atleast_1d, any, vectorize, asarray, nan, inf, pi from numpy import atleast_1d, any, asarray, nan, inf, pi, reshape, repeat, product, ndarray
import numpy import numpy
import numpy as np import numpy as np
@ -38,13 +41,17 @@ floatinfo = np.finfo(float)
#arr = atleast_1d #arr = atleast_1d
arr = asarray arr = asarray
all = alltrue all = alltrue
def valarray(shape, value=nan, typecode=None):
"""Return an array of all value.
"""
out = reshape(repeat([value], product(shape, axis=0), axis=0), shape)
if typecode is not None:
out = out.astype(typecode)
if not isinstance(out, ndarray):
out = asarray(out)
return out
# Frozen RV class # Frozen RV class
class rv_frozen(object): class rv_frozen(object):
@ -80,7 +87,7 @@ class rv_frozen(object):
def __init__(self, dist, *args, **kwds): def __init__(self, dist, *args, **kwds):
self.dist = dist self.dist = dist
loc0, scale0 = map(kwds.get, ['loc', 'scale']) loc0, scale0 = map(kwds.get, ['loc', 'scale'])
if isinstance(dist,_WAFODIST.rv_continuous): if isinstance(dist, _WAFODIST.rv_continuous):
args, loc0, scale0 = dist.fix_loc_scale(args, loc0, scale0) args, loc0, scale0 = dist.fix_loc_scale(args, loc0, scale0)
self.par = args + (loc0, scale0) self.par = args + (loc0, scale0)
else: # rv_discrete else: # rv_discrete
@ -88,37 +95,37 @@ class rv_frozen(object):
self.par = args + (loc0,) self.par = args + (loc0,)
def pdf(self,x): def pdf(self, x):
''' Probability density function at x of the given RV.''' ''' Probability density function at x of the given RV.'''
return self.dist.pdf(x,*self.par) return self.dist.pdf(x, *self.par)
def cdf(self,x): def cdf(self, x):
'''Cumulative distribution function at x of the given RV.''' '''Cumulative distribution function at x of the given RV.'''
return self.dist.cdf(x,*self.par) return self.dist.cdf(x, *self.par)
def ppf(self,q): def ppf(self, q):
'''Percent point function (inverse of cdf) at q of the given RV.''' '''Percent point function (inverse of cdf) at q of the given RV.'''
return self.dist.ppf(q,*self.par) return self.dist.ppf(q, *self.par)
def isf(self,q): def isf(self, q):
'''Inverse survival function at q of the given RV.''' '''Inverse survival function at q of the given RV.'''
return self.dist.isf(q,*self.par) return self.dist.isf(q, *self.par)
def rvs(self, size=None): def rvs(self, size=None):
'''Random variates of given type.''' '''Random variates of given type.'''
kwds = dict(size=size) kwds = dict(size=size)
return self.dist.rvs(*self.par,**kwds) return self.dist.rvs(*self.par, **kwds)
def sf(self,x): def sf(self, x):
'''Survival function (1-cdf) at x of the given RV.''' '''Survival function (1-cdf) at x of the given RV.'''
return self.dist.sf(x,*self.par) return self.dist.sf(x, *self.par)
def stats(self,moments='mv'): def stats(self, moments='mv'):
''' Some statistics of the given RV''' ''' Some statistics of the given RV'''
kwds = dict(moments=moments) kwds = dict(moments=moments)
return self.dist.stats(*self.par,**kwds) return self.dist.stats(*self.par, **kwds)
def moment(self,n): def moment(self, n):
par1 = self.par[:self.dist.numargs] par1 = self.par[:self.dist.numargs]
return self.dist.moment(n,*par1) return self.dist.moment(n, *par1)
def entropy(self): def entropy(self):
return self.dist.entropy(*self.par) return self.dist.entropy(*self.par)
def pmf(self,k): def pmf(self, k):
'''Probability mass function at k of the given RV''' '''Probability mass function at k of the given RV'''
return self.dist.pmf(k,*self.par) return self.dist.pmf(k, *self.par)
@ -210,11 +217,11 @@ class Profile(object):
self.title = 'Profile log' self.title = 'Profile log'
self.xlabel = '' self.xlabel = ''
self.ylabel = '' self.ylabel = ''
self.i_fixed, self.N, self.alpha, self.pmin,self.pmax,self.x,self.logSF,self.link = map(kwds.get, self.i_fixed, self.N, self.alpha, self.pmin, self.pmax, self.x, self.logSF, self.link = map(kwds.get,
['i','N','alpha','pmin','pmax','x','logSF','link'], ['i', 'N', 'alpha', 'pmin', 'pmax', 'x', 'logSF', 'link'],
[0,100,0.05,None,None,None,None,None]) [0, 100, 0.05, None, None, None, None, None])
self.ylabel = '%g%s CI' % (100*(1.0-self.alpha), '%') self.ylabel = '%g%s CI' % (100 * (1.0 - self.alpha), '%')
if fit_dist.method.startswith('ml'): if fit_dist.method.startswith('ml'):
self.title = self.title + 'likelihood' self.title = self.title + 'likelihood'
Lmax = fit_dist.LLmax Lmax = fit_dist.LLmax
@ -223,16 +230,16 @@ class Profile(object):
Lmax = fit_dist.LPSmax Lmax = fit_dist.LPSmax
else: else:
raise ValueError("PROFILE is only valid for ML- or MPS- estimators") raise ValueError("PROFILE is only valid for ML- or MPS- estimators")
if fit_dist.par_fix==None: if fit_dist.par_fix == None:
isnotfixed = valarray(fit_dist.par.shape,True) isnotfixed = valarray(fit_dist.par.shape, True)
else: else:
isnotfixed = 1-numpy.isfinite(fit_dist.par_fix) isnotfixed = 1 - numpy.isfinite(fit_dist.par_fix)
self.i_notfixed = nonzero(isnotfixed) self.i_notfixed = nonzero(isnotfixed)
self.i_fixed = atleast_1d(self.i_fixed) self.i_fixed = atleast_1d(self.i_fixed)
if 1-isnotfixed[self.i_fixed]: if 1 - isnotfixed[self.i_fixed]:
raise ValueError("Index i must be equal to an index to one of the free parameters.") raise ValueError("Index i must be equal to an index to one of the free parameters.")
isfree = isnotfixed isfree = isnotfixed
@ -240,9 +247,9 @@ class Profile(object):
self.i_free = nonzero(isfree) self.i_free = nonzero(isfree)
self.Lmax = Lmax self.Lmax = Lmax
self.alpha_Lrange = 0.5*chi2.isf(self.alpha,1) self.alpha_Lrange = 0.5 * _WAFODIST.chi2.isf(self.alpha, 1)
self.alpha_cross_level = Lmax - self.alpha_Lrange self.alpha_cross_level = Lmax - self.alpha_Lrange
lowLevel = self.alpha_cross_level-self.alpha_Lrange/7.0 lowLevel = self.alpha_cross_level - self.alpha_Lrange / 7.0
## Check that par are actually at the optimum ## Check that par are actually at the optimum
phatv = fit_dist.par.copy() phatv = fit_dist.par.copy()
@ -252,26 +259,26 @@ class Profile(object):
## Set up variable to profile and _local_link function ## Set up variable to profile and _local_link function
self.profile_x = not self.x==None self.profile_x = not self.x == None
self.profile_logSF = not (self.logSF==None or self.profile_x) self.profile_logSF = not (self.logSF == None or self.profile_x)
self.profile_par = not (self.profile_x or self.profile_logSF) self.profile_par = not (self.profile_x or self.profile_logSF)
if self.link==None: if self.link == None:
self.link = self.fit_dist.dist.link self.link = self.fit_dist.dist.link
if self.profile_par: if self.profile_par:
self._local_link = lambda fix_par, par : fix_par self._local_link = lambda fix_par, par : fix_par
self.xlabel = 'phat(%d)'% self.i_fixed self.xlabel = 'phat(%d)' % self.i_fixed
p_opt = self._par[self.i_fixed] p_opt = self._par[self.i_fixed]
elif self.profile_x: elif self.profile_x:
self.logSF = log(fit_dist.sf(self.x)) self.logSF = log(fit_dist.sf(self.x))
self._local_link = lambda fix_par, par : self.link(fix_par,self.logSF,par,self.i_fixed) self._local_link = lambda fix_par, par : self.link(fix_par, self.logSF, par, self.i_fixed)
self.xlabel = 'x' self.xlabel = 'x'
p_opt = self.x p_opt = self.x
elif self.profile_logSF: elif self.profile_logSF:
p_opt = self.logSF p_opt = self.logSF
self.x = fit_dist.isf(exp(p_opt)) self.x = fit_dist.isf(exp(p_opt))
self._local_link = lambda fix_par, par : self.link(self.x,fix_par,par,self.i_fixed) self._local_link = lambda fix_par, par : self.link(self.x, fix_par, par, self.i_fixed)
self.xlabel= 'log(R)' self.xlabel = 'log(R)'
else: else:
raise ValueError("You must supply a non-empty quantile (x) or probability (logSF) in order to profile it!") raise ValueError("You must supply a non-empty quantile (x) or probability (logSF) in order to profile it!")
@ -283,47 +290,47 @@ class Profile(object):
mylogfun = self._nlogfun mylogfun = self._nlogfun
self.data = numpy.empty_like(pvec) self.data = numpy.empty_like(pvec)
self.data[:] = nan self.data[:] = nan
k1 = (pvec>=p_opt).argmax() k1 = (pvec >= p_opt).argmax()
for ix in xrange(k1,-1,-1): for ix in xrange(k1, -1, -1):
phatfree = optimize.fmin(mylogfun,phatfree,args =(pvec[ix],) ,disp=0) phatfree = optimize.fmin(mylogfun, phatfree, args=(pvec[ix],) , disp=0)
self.data[ix] = -mylogfun(phatfree,pvec[ix]) self.data[ix] = -mylogfun(phatfree, pvec[ix])
if self.data[ix]<self.alpha_cross_level: if self.data[ix] < self.alpha_cross_level:
pvec[:ix] = nan pvec[:ix] = nan
break break
phatfree = phatv[self.i_free].copy() phatfree = phatv[self.i_free].copy()
for ix in xrange(k1+1,pvec.size): for ix in xrange(k1 + 1, pvec.size):
phatfree = optimize.fmin(mylogfun,phatfree,args =(pvec[ix],) ,disp=0) phatfree = optimize.fmin(mylogfun, phatfree, args=(pvec[ix],) , disp=0)
self.data[ix] = -mylogfun(phatfree,pvec[ix]) self.data[ix] = -mylogfun(phatfree, pvec[ix])
if self.data[ix]<self.alpha_cross_level: if self.data[ix] < self.alpha_cross_level:
pvec[ix+1:] = nan pvec[ix + 1:] = nan
break break
# prettify result # prettify result
ix = nonzero(numpy.isfinite(pvec)) ix = nonzero(numpy.isfinite(pvec))
self.data = self.data[ix] self.data = self.data[ix]
self.args = pvec[ix] self.args = pvec[ix]
cond =self.data==-numpy.inf cond = self.data == -numpy.inf
if any(cond): if any(cond):
ind, = cond.nonzero() ind, = cond.nonzero()
self.data.put(ind, numpy.finfo(float).min/2.0) self.data.put(ind, numpy.finfo(float).min / 2.0)
ind1 = numpy.where(ind==0,ind,ind-1) ind1 = numpy.where(ind == 0, ind, ind - 1)
cl = self.alpha_cross_level-self.alpha_Lrange/2.0 cl = self.alpha_cross_level - self.alpha_Lrange / 2.0
t0 = ecross(self.args,self.data,ind1,cl) t0 = ecross(self.args, self.data, ind1, cl)
self.data.put(ind,cl) self.data.put(ind, cl)
self.args.put(ind,t0) self.args.put(ind, t0)
def _get_pvec(self,p_opt): def _get_pvec(self, p_opt):
''' return proper interval for the variable to profile ''' return proper interval for the variable to profile
''' '''
linspace = numpy.linspace linspace = numpy.linspace
if self.pmin==None or self.pmax==None: if self.pmin == None or self.pmax == None:
if self.profile_par: if self.profile_par:
pvar = self.fit_dist.par_cov[self.i_fixed,:][:,self.i_fixed] pvar = self.fit_dist.par_cov[self.i_fixed, :][:, self.i_fixed]
else: else:
i_notfixed = self.i_notfixed i_notfixed = self.i_notfixed
phatv = self._par phatv = self._par
@ -334,38 +341,38 @@ class Profile(object):
gradfun = numdifftools.Gradient(self._myprbfun) gradfun = numdifftools.Gradient(self._myprbfun)
drl = gradfun(phatv[self.i_notfixed]) drl = gradfun(phatv[self.i_notfixed])
pcov = self.fit_dist.par_cov[i_notfixed,:][:,i_notfixed] pcov = self.fit_dist.par_cov[i_notfixed, :][:, i_notfixed]
pvar = sum(numpy.dot(drl,pcov)*drl) pvar = sum(numpy.dot(drl, pcov) * drl)
p_crit = norm.isf(self.alpha/2.0)*sqrt(numpy.ravel(pvar))*1.5 p_crit = _WAFODIST.norm.isf(self.alpha / 2.0) * sqrt(numpy.ravel(pvar)) * 1.5
if self.pmin==None: if self.pmin == None:
self.pmin = p_opt-5.0*p_crit self.pmin = p_opt - 5.0 * p_crit
if self.pmax==None: if self.pmax == None:
self.pmax = p_opt+5.0*p_crit self.pmax = p_opt + 5.0 * p_crit
N4 = numpy.floor(self.N/4.0) N4 = numpy.floor(self.N / 4.0)
pvec1 = linspace(self.pmin,p_opt-p_crit,N4+1) pvec1 = linspace(self.pmin, p_opt - p_crit, N4 + 1)
pvec2 = linspace(p_opt-p_crit,p_opt+p_crit,self.N-2*N4) pvec2 = linspace(p_opt - p_crit, p_opt + p_crit, self.N - 2 * N4)
pvec3 = linspace(p_opt+p_crit,self.pmax,N4+1) pvec3 = linspace(p_opt + p_crit, self.pmax, N4 + 1)
pvec = numpy.unique(numpy.hstack((pvec1,p_opt,pvec2,pvec3))) pvec = numpy.unique(numpy.hstack((pvec1, p_opt, pvec2, pvec3)))
else: else:
pvec = linspace(self.pmin,self.pmax,self.N) pvec = linspace(self.pmin, self.pmax, self.N)
return pvec return pvec
def _myinvfun(self,phatnotfixed): def _myinvfun(self, phatnotfixed):
mphat = self._par.copy() mphat = self._par.copy()
mphat[self.i_notfixed] = phatnotfixed; mphat[self.i_notfixed] = phatnotfixed;
prb = exp(self.logSF) prb = exp(self.logSF)
return self.fit_dist.dist.isf(prb,*mphat); return self.fit_dist.dist.isf(prb, *mphat);
def _myprbfun(phatnotfixed): def _myprbfun(self, phatnotfixed):
mphat = self._par.copy() mphat = self._par.copy()
mphat[self.i_notfixed] = phatnotfixed; mphat[self.i_notfixed] = phatnotfixed;
return self.fit_dist.dist.sf(self.x,*mphat); return self.fit_dist.dist.sf(self.x, *mphat)
def _nlogfun(self,free_par,fix_par): def _nlogfun(self, free_par, fix_par):
''' Return negative of loglike or logps function ''' Return negative of loglike or logps function
free_par - vector of free parameters free_par - vector of free parameters
@ -376,45 +383,45 @@ class Profile(object):
par = self._par par = self._par
par[self.i_free] = free_par par[self.i_free] = free_par
# _local_link: connects fixed quantile or probability with fixed distribution parameter # _local_link: connects fixed quantile or probability with fixed distribution parameter
par[self.i_fixed] = self._local_link(fix_par,par) par[self.i_fixed] = self._local_link(fix_par, par)
return self.fit_dist.fitfun(par) return self.fit_dist.fitfun(par)
def get_CI(self,alpha=0.05): def get_CI(self, alpha=0.05):
'''Return confidence interval '''Return confidence interval
''' '''
if alpha<self.alpha: if alpha < self.alpha:
raise ValueError('Unable to return CI with alpha less than %g' % self.alpha) raise ValueError('Unable to return CI with alpha less than %g' % self.alpha)
cross_level = self.Lmax - 0.5*chi2.isf(alpha,1) cross_level = self.Lmax - 0.5 * _WAFODIST.chi2.isf(alpha, 1)
ind = findcross(self.data,cross_level) ind = findcross(self.data, cross_level)
N = len(ind) N = len(ind)
if N==0: if N == 0:
#Warning('upper bound for XXX is larger' #Warning('upper bound for XXX is larger'
#Warning('lower bound for XXX is smaller' #Warning('lower bound for XXX is smaller'
CI = (self.pmin,self.pmax) CI = (self.pmin, self.pmax)
elif N==1: elif N == 1:
x0 = ecross(self.args,self.data,ind,cross_level) x0 = ecross(self.args, self.data, ind, cross_level)
isUpcrossing = self.data[ind]>self.data[ind+1] isUpcrossing = self.data[ind] > self.data[ind + 1]
if isUpcrossing: if isUpcrossing:
CI = (x0,self.pmax) CI = (x0, self.pmax)
#Warning('upper bound for XXX is larger' #Warning('upper bound for XXX is larger'
else: else:
CI = (self.pmin,x0) CI = (self.pmin, x0)
#Warning('lower bound for XXX is smaller' #Warning('lower bound for XXX is smaller'
elif N==2: elif N == 2:
CI = ecross(self.args,self.data,ind,cross_level) CI = ecross(self.args, self.data, ind, cross_level)
else: else:
# Warning('Number of crossings too large!') # Warning('Number of crossings too large!')
CI = ecross(self.args,self.data,ind[[0,-1]],cross_level) CI = ecross(self.args, self.data, ind[[0, -1]], cross_level)
return CI return CI
def plot(self): def plot(self):
''' Plot profile function with 100(1-alpha)% CI ''' Plot profile function with 100(1-alpha)% CI
''' '''
plotbackend.plot(self.args,self.data, plotbackend.plot(self.args, self.data,
self.args[[0,-1]],[self.Lmax,]*2,'r', self.args[[0, -1]], [self.Lmax, ]*2, 'r',
self.args[[0,-1]],[self.alpha_cross_level,]*2,'r') self.args[[0, -1]], [self.alpha_cross_level, ]*2, 'r')
plotbackend.title(self.title) plotbackend.title(self.title)
plotbackend.ylabel(self.ylabel) plotbackend.ylabel(self.ylabel)
plotbackend.xlabel(self.xlabel) plotbackend.xlabel(self.xlabel)
@ -454,7 +461,7 @@ class FitDistribution(rv_frozen):
self.dist = dist self.dist = dist
numargs = dist.numargs numargs = dist.numargs
self.method, self.alpha, self.par_fix, self.search, self.copydata= map(kwds.get,['method','alpha','par_fix','search','copydata'],['ml',0.05,None,True,True]) self.method, self.alpha, self.par_fix, self.search, self.copydata = map(kwds.get, ['method', 'alpha', 'par_fix', 'search', 'copydata'], ['ml', 0.05, None, True, True])
self.data = ravel(data) self.data = ravel(data)
if self.copydata: if self.copydata:
self.data = self.data.copy() self.data = self.data.copy()
@ -466,18 +473,18 @@ class FitDistribution(rv_frozen):
allfixed = False allfixed = False
isfinite = numpy.isfinite isfinite = numpy.isfinite
somefixed = (self.par_fix !=None) and any(isfinite(self.par_fix)) somefixed = (self.par_fix != None) and any(isfinite(self.par_fix))
if somefixed: if somefixed:
fitfun = self._fxfitfun fitfun = self._fxfitfun
self.par_fix = tuple(self.par_fix) self.par_fix = tuple(self.par_fix)
allfixed = all(isfinite(self.par_fix)) allfixed = all(isfinite(self.par_fix))
self.par = atleast_1d(self.par_fix) self.par = atleast_1d(self.par_fix)
self.i_notfixed = nonzero(1-isfinite(self.par)) self.i_notfixed = nonzero(1 - isfinite(self.par))
self.i_fixed = nonzero(isfinite(self.par)) self.i_fixed = nonzero(isfinite(self.par))
if len(self.par) != numargs+2: if len(self.par) != numargs + 2:
raise ValueError, "Wrong number of input arguments." raise ValueError, "Wrong number of input arguments."
if len(args)!=len(self.i_notfixed): if len(args) != len(self.i_notfixed):
raise ValueError("Length of args must equal number of non-fixed parameters given in par_fix! (%d) " % len(self.i_notfixed)) raise ValueError("Length of args must equal number of non-fixed parameters given in par_fix! (%d) " % len(self.i_notfixed))
x0 = atleast_1d(args) x0 = atleast_1d(args)
else: else:
@ -489,7 +496,7 @@ class FitDistribution(rv_frozen):
if Narg > numargs: if Narg > numargs:
raise ValueError, "Too many input arguments." raise ValueError, "Too many input arguments."
else: else:
args += (1.0,)*(numargs-Narg) args += (1.0,)*(numargs - Narg)
# location and scale are at the end # location and scale are at the end
x0 = args + (loc0, scale0) x0 = args + (loc0, scale0)
x0 = atleast_1d(x0) x0 = atleast_1d(x0)
@ -497,7 +504,7 @@ class FitDistribution(rv_frozen):
numpar = len(x0) numpar = len(x0)
if self.search and not allfixed: if self.search and not allfixed:
#args=(self.data,), #args=(self.data,),
par = optimize.fmin(fitfun,x0,disp=0) par = optimize.fmin(fitfun, x0, disp=0)
if not somefixed: if not somefixed:
self.par = par self.par = par
elif (not allfixed) and somefixed: elif (not allfixed) and somefixed:
@ -505,43 +512,43 @@ class FitDistribution(rv_frozen):
else: else:
self.par = x0 self.par = x0
np = numargs+2 np = numargs + 2
self.par_upper = None self.par_upper = None
self.par_lower = None self.par_lower = None
self.par_cov = zeros((np,np)) self.par_cov = zeros((np, np))
self.LLmax = -dist.nnlf(self.par,self.data) self.LLmax = -dist.nnlf(self.par, self.data)
self.LPSmax = -dist.nlogps(self.par,self.data) self.LPSmax = -dist.nlogps(self.par, self.data)
self.pvalue = dist.pvalue(self.par,self.data,unknown_numpar=numpar) self.pvalue = dist.pvalue(self.par, self.data, unknown_numpar=numpar)
H = numpy.asmatrix(dist.hessian_nnlf(self.par,self.data)) H = numpy.asmatrix(dist.hessian_nnlf(self.par, self.data))
self.H = H self.H = H
try: try:
if allfixed: if allfixed:
pass pass
elif somefixed: elif somefixed:
pcov = -pinv2(H[self.i_notfixed,:][...,self.i_notfixed]) pcov = -pinv2(H[self.i_notfixed, :][..., self.i_notfixed])
for row,ix in enumerate(list(self.i_notfixed)): for row, ix in enumerate(list(self.i_notfixed)):
self.par_cov[ix,self.i_notfixed] = pcov[row,:] self.par_cov[ix, self.i_notfixed] = pcov[row, :]
else: else:
self.par_cov = -pinv2(H) self.par_cov = -pinv2(H)
except: except:
self.par_cov[:,:] = nan self.par_cov[:, :] = nan
pvar = numpy.diag(self.par_cov) pvar = numpy.diag(self.par_cov)
zcrit = -norm.ppf(self.alpha/2.0) zcrit = -_WAFODIST.norm.ppf(self.alpha / 2.0)
self.par_lower = self.par-zcrit*sqrt(pvar) self.par_lower = self.par - zcrit * sqrt(pvar)
self.par_upper = self.par+zcrit*sqrt(pvar) self.par_upper = self.par + zcrit * sqrt(pvar)
def fitfun(self,phat): def fitfun(self, phat):
return self._fitfun(phat,self.data) return self._fitfun(phat, self.data)
def _fxfitfun(self,phat10): def _fxfitfun(self, phat10):
self.par[self.i_notfixed] = phat10 self.par[self.i_notfixed] = phat10
return self._fitfun(self.par,self.data) return self._fitfun(self.par, self.data)
def profile(self,**kwds): def profile(self, **kwds):
''' Profile Log- likelihood or Log Product Spacing- function, ''' Profile Log- likelihood or Log Product Spacing- function,
which can be used for constructing confidence interval for which can be used for constructing confidence interval for
either phat(i), probability or quantile. either phat(i), probability or quantile.
@ -609,12 +616,10 @@ class FitDistribution(rv_frozen):
-------- --------
Profile Profile
''' '''
if not self.par_fix==None: if not self.par_fix == None:
i1 = kwds.setdefault('i',(1-numpy.isfinite(self.par_fix)).argmax()) i1 = kwds.setdefault('i', (1 - numpy.isfinite(self.par_fix)).argmax())
return Profile(self,**kwds)
return Profile(self, **kwds)
def plotfitsumry(self): def plotfitsumry(self):
''' Plot various diagnostic plots to asses the quality of the fit. ''' Plot various diagnostic plots to asses the quality of the fit.
@ -626,31 +631,31 @@ class FitDistribution(rv_frozen):
should follow the model and the residual plots will be linear. Other should follow the model and the residual plots will be linear. Other
distribution types will introduce curvature in the residual plots. distribution types will introduce curvature in the residual plots.
''' '''
plotbackend.subplot(2,2,1) plotbackend.subplot(2, 2, 1)
#self.plotecdf() #self.plotecdf()
self.plotesf() self.plotesf()
plotbackend.subplot(2,2,2) plotbackend.subplot(2, 2, 2)
self.plotepdf() self.plotepdf()
plotbackend.subplot(2,2,3) plotbackend.subplot(2, 2, 3)
self.plotresprb() self.plotresprb()
plotbackend.subplot(2,2,4) plotbackend.subplot(2, 2, 4)
self.plotresq() self.plotresq()
fixstr = '' fixstr = ''
if not self.par_fix==None: if not self.par_fix == None:
numfix = len(self.i_fixed) numfix = len(self.i_fixed)
if numfix>0: if numfix > 0:
format = '%d,'*numfix format = '%d,'*numfix
format = format[:-1] format = format[:-1]
format1 = '%g,'*numfix format1 = '%g,'*numfix
format1 = format1[:-1] format1 = format1[:-1]
phatistr = format % tuple(self.i_fixed) phatistr = format % tuple(self.i_fixed)
phatvstr = format1 % tuple(self.par[self.i_fixed]) phatvstr = format1 % tuple(self.par[self.i_fixed])
fixstr = 'Fixed: phat[%s] = %s ' % (phatistr,phatvstr) fixstr = 'Fixed: phat[%s] = %s ' % (phatistr, phatvstr)
infostr = 'Fit method: %s, Fit p-value: %2.2f %s' % (self.method,self.pvalue,fixstr) infostr = 'Fit method: %s, Fit p-value: %2.2f %s' % (self.method, self.pvalue, fixstr)
try: try:
plotbackend.figtext(0.05,0.01,infostr) plotbackend.figtext(0.05, 0.01, infostr)
except: except:
pass pass
@ -663,8 +668,8 @@ class FitDistribution(rv_frozen):
Other distribution types will introduce deviations in the plot. Other distribution types will introduce deviations in the plot.
''' '''
n = len(self.data) n = len(self.data)
SF = (arange(n,0,-1))/n SF = (arange(n, 0, -1)) / n
plotbackend.semilogy(self.data,SF,'b.',self.data,self.sf(self.data),'r-') 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.plot(self.data,SF,'b.',self.data,self.sf(self.data),'r-')
plotbackend.xlabel('x'); plotbackend.xlabel('x');
@ -680,8 +685,8 @@ class FitDistribution(rv_frozen):
Other distribution types will introduce deviations in the plot. Other distribution types will introduce deviations in the plot.
''' '''
n = len(self.data) n = len(self.data)
F = (arange(1,n+1))/n F = (arange(1, n + 1)) / n
plotbackend.plot(self.data,F,'b.',self.data,self.cdf(self.data),'r-') plotbackend.plot(self.data, F, 'b.', self.data, self.cdf(self.data), 'r-')
plotbackend.xlabel('x'); plotbackend.xlabel('x');
@ -697,20 +702,20 @@ class FitDistribution(rv_frozen):
Other distribution types will introduce deviations in the plot. Other distribution types will introduce deviations in the plot.
''' '''
bin,limits = numpy.histogram(self.data,normed=True,new=True) bin, limits = numpy.histogram(self.data, normed=True, new=True)
limits.shape = (-1,1) limits.shape = (-1, 1)
xx = limits.repeat(3,axis=1) xx = limits.repeat(3, axis=1)
xx.shape = (-1,) xx.shape = (-1,)
xx = xx[1:-1] xx = xx[1:-1]
bin.shape = (-1,1) bin.shape = (-1, 1)
yy = bin.repeat(3,axis=1) yy = bin.repeat(3, axis=1)
#yy[0,0] = 0.0 # pdf #yy[0,0] = 0.0 # pdf
yy[:,0] = 0.0 # histogram yy[:, 0] = 0.0 # histogram
yy.shape = (-1,) yy.shape = (-1,)
yy = numpy.hstack((yy,0.0)) yy = numpy.hstack((yy, 0.0))
#plotbackend.hist(self.data,normed=True,fill=False) #plotbackend.hist(self.data,normed=True,fill=False)
plotbackend.plot(self.data,self.pdf(self.data),'r-',xx,yy,'b-') plotbackend.plot(self.data, self.pdf(self.data), 'r-', xx, yy, 'b-')
plotbackend.xlabel('x'); plotbackend.xlabel('x');
plotbackend.ylabel('f(x) (%s)' % self.dist.name) plotbackend.ylabel('f(x) (%s)' % self.dist.name)
@ -725,11 +730,11 @@ class FitDistribution(rv_frozen):
plot will be linear. Other distribution types will introduce plot will be linear. Other distribution types will introduce
curvature in the plot. curvature in the plot.
''' '''
n=len(self.data) n = len(self.data)
eprob = (arange(1,n+1)-0.5)/n eprob = (arange(1, n + 1) - 0.5) / n
y = self.ppf(eprob) y = self.ppf(eprob)
y1 = self.data[[0,-1]] y1 = self.data[[0, -1]]
plotbackend.plot(self.data,y,'b.',y1,y1,'r-') plotbackend.plot(self.data, y, 'b.', y1, y1, 'r-')
plotbackend.xlabel('Empirical') plotbackend.xlabel('Empirical')
plotbackend.ylabel('Model (%s)' % self.dist.name) plotbackend.ylabel('Model (%s)' % self.dist.name)
@ -747,10 +752,10 @@ class FitDistribution(rv_frozen):
''' '''
n = len(self.data); n = len(self.data);
#ecdf = (0.5:n-0.5)/n; #ecdf = (0.5:n-0.5)/n;
ecdf = arange(1,n+1)/(n+1) ecdf = arange(1, n + 1) / (n + 1)
mcdf = self.cdf(self.data) mcdf = self.cdf(self.data)
p1 = [0,1] p1 = [0, 1]
plotbackend.plot(ecdf,mcdf,'b.',p1,p1,'r-') plotbackend.plot(ecdf, mcdf, 'b.', p1, p1, 'r-')
plotbackend.xlabel('Empirical') plotbackend.xlabel('Empirical')
@ -761,37 +766,37 @@ class FitDistribution(rv_frozen):
def pvalue(self,theta,x,unknown_numpar=None): def pvalue(self, theta, x, unknown_numpar=None):
''' Return the P-value for the fit using Moran's negative log Product Spacings statistic ''' Return the P-value for the fit using Moran's negative log Product Spacings statistic
where theta are the parameters (including loc and scale) where theta are the parameters (including loc and scale)
Note: the data in x must be sorted Note: the data in x must be sorted
''' '''
dx = numpy.diff(x,axis=0) dx = numpy.diff(x, axis=0)
tie = (dx==0) tie = (dx == 0)
if any(tie): if any(tie):
disp('P-value is on the conservative side (i.e. too large) due to ties in the data!') print('P-value is on the conservative side (i.e. too large) due to ties in the data!')
T = self.nlogps(theta,x) T = self.nlogps(theta, x)
n = len(x) n = len(x)
np1 = n+1 np1 = n + 1
if unknown_numpar==None: if unknown_numpar == None:
k = len(theta) k = len(theta)
else: else:
k = unknown_numpar k = unknown_numpar
isParUnKnown = True isParUnKnown = True
m = (np1)*(log(np1)+0.57722)-0.5-1.0/(12.*(np1)) m = (np1) * (log(np1) + 0.57722) - 0.5 - 1.0 / (12. * (np1))
v = (np1)*(pi**2./6.0-1.0)-0.5-1.0/(6.*(np1)) v = (np1) * (pi ** 2. / 6.0 - 1.0) - 0.5 - 1.0 / (6. * (np1))
C1 = m-sqrt(0.5*n*v) C1 = m - sqrt(0.5 * n * v)
C2 = sqrt(v/(2.0*n)) C2 = sqrt(v / (2.0 * n))
Tn = (T + 0.5*k*isParUnKnown-C1)/C2 # chi2 with n degrees of freedom Tn = (T + 0.5 * k * isParUnKnown - C1) / C2 # chi2 with n degrees of freedom
pvalue = chi2.sf(Tn,n) pvalue = _WAFODIST.chi2.sf(Tn, n)
return pvalue return pvalue
def nlogps(self,theta,x): def nlogps(self, theta, x):
""" Moran's negative log Product Spacings statistic """ Moran's negative log Product Spacings statistic
where theta are the parameters (including loc and scale) where theta are the parameters (including loc and scale)
@ -825,25 +830,25 @@ class FitDistribution(rv_frozen):
raise ValueError, "Not enough input arguments." raise ValueError, "Not enough input arguments."
if not self.dist._argcheck(*args) or scale <= 0: if not self.dist._argcheck(*args) or scale <= 0:
return inf return inf
x = arr((x-loc) / scale) x = arr((x - loc) / scale)
cond0 = (x <= self.dist.a) | (x >= self.dist.b) cond0 = (x <= self.dist.a) | (x >= self.dist.b)
if (any(cond0)): if (any(cond0)):
return inf return inf
else: else:
linfo = numpy.finfo(float) #linfo = numpy.finfo(float)
realmax = floatinfo.machar.xmax realmax = floatinfo.machar.xmax
lowertail = True lowertail = True
if lowertail: if lowertail:
prb = numpy.hstack((0.0, self.dist.cdf(x,*args), 1.0)) prb = numpy.hstack((0.0, self.dist.cdf(x, *args), 1.0))
dprb = numpy.diff(prb) dprb = numpy.diff(prb)
else: else:
prb = numpy.hstack((1.0, self.dist.sf(x,*args), 0.0)) prb = numpy.hstack((1.0, self.dist.sf(x, *args), 0.0))
dprb = -numpy.diff(prb) dprb = -numpy.diff(prb)
logD = log(dprb) logD = log(dprb)
dx = numpy.diff(x,axis=0) dx = numpy.diff(x, axis=0)
tie = (dx==0) tie = (dx == 0)
if any(tie): if any(tie):
# TODO % implement this method for treating ties in data: # TODO % implement this method for treating ties in data:
# Assume measuring error is delta. Then compute # Assume measuring error is delta. Then compute
@ -857,18 +862,18 @@ class FitDistribution(rv_frozen):
i_tie = nonzero(tie) i_tie = nonzero(tie)
tiedata = x[i_tie] tiedata = x[i_tie]
logD[(I_tie[0]+1,)]= log(self.dist._pdf(tiedata,*args)) + log(scale) logD[(i_tie[0] + 1,)] = log(self.dist._pdf(tiedata, *args)) + log(scale)
finiteD = numpy.isfinite(logD) finiteD = numpy.isfinite(logD)
nonfiniteD = 1-finiteD nonfiniteD = 1 - finiteD
if any(nonfiniteD): if any(nonfiniteD):
T = -sum(logD[finiteD],axis=0) + 100.0*log(realmax)*sum(nonfiniteD,axis=0); T = -sum(logD[finiteD], axis=0) + 100.0 * log(realmax) * sum(nonfiniteD, axis=0);
else: else:
T = -sum(logD,axis=0) #%Moran's negative log product spacing statistic T = -sum(logD, axis=0) #%Moran's negative log product spacing statistic
return T return T
def _nnlf(self, x, *args): def _nnlf(self, x, *args):
return -sum(log(self._pdf(x, *args)),axis=0) return - sum(log(self._pdf(x, *args)), axis=0)
def nnlf(self, theta, x): def nnlf(self, theta, x):
''' Return negative loglikelihood function, i.e., - sum (log pdf(x, theta),axis=0) ''' Return negative loglikelihood function, i.e., - sum (log pdf(x, theta),axis=0)
@ -882,23 +887,24 @@ class FitDistribution(rv_frozen):
raise ValueError, "Not enough input arguments." raise ValueError, "Not enough input arguments."
if not self._argcheck(*args) or scale <= 0: if not self._argcheck(*args) or scale <= 0:
return inf return inf
x = arr((x-loc) / scale) x = arr((x - loc) / scale)
cond0 = (x<=self.a) | (self.b<=x) cond0 = (x <= self.a) | (self.b <= x)
newCall = False # newCall = False
if newCall: # if newCall:
goodargs = argsreduce(1-cond0, *((x,))) # goodargs = argsreduce(1-cond0, *((x,)))
goodargs = tuple(goodargs + list(args)) # goodargs = tuple(goodargs + list(args))
N = len(x) # N = len(x)
Nbad = sum(cond0) # Nbad = sum(cond0)
xmin = floatinfo.machar.xmin # xmin = floatinfo.machar.xmin
return self._nnlf(*goodargs) + N*log(scale) + Nbad*100.0*log(xmin) # return self._nnlf(*goodargs) + N*log(scale) + Nbad*100.0*log(xmin)
elif (any(cond0)): # el
if (any(cond0)):
return inf return inf
else: else:
N = len(x) N = len(x)
return self._nnlf(x, *args) + N*log(scale) return self._nnlf(x, *args) + N * log(scale)
def hessian_nnlf(self,theta,data,eps=None): def hessian_nnlf(self, theta, data, eps=None):
''' approximate hessian of nnlf where theta are the parameters (including loc and scale) ''' approximate hessian of nnlf where theta are the parameters (including loc and scale)
''' '''
#Nd = len(x) #Nd = len(x)
@ -908,96 +914,100 @@ class FitDistribution(rv_frozen):
# This is important when calculating numerical derivatives and is # This is important when calculating numerical derivatives and is
# accomplished by the following. # accomplished by the following.
if eps==None: if eps == None:
eps = (floatinfo.machar.eps)**0.4 eps = (floatinfo.machar.eps) ** 0.4
xmin = floatinfo.machar.xmin xmin = floatinfo.machar.xmin
#myfun = lambda y: max(y,100.0*log(xmin)) #% trick to avoid log of zero #myfun = lambda y: max(y,100.0*log(xmin)) #% trick to avoid log of zero
delta = (eps+2.0)-2.0 delta = (eps + 2.0) - 2.0
delta2 = delta**2.0 delta2 = delta ** 2.0
# % Approximate 1/(nE( (d L(x|theta)/dtheta)^2)) with # % Approximate 1/(nE( (d L(x|theta)/dtheta)^2)) with
# % 1/(d^2 L(theta|x)/dtheta^2) # % 1/(d^2 L(theta|x)/dtheta^2)
# % using central differences # % using central differences
LL = self.nnlf(theta,data) LL = self.nnlf(theta, data)
H = zeros((np,np)) #%% Hessian matrix H = zeros((np, np)) #%% Hessian matrix
theta = tuple(theta) theta = tuple(theta)
for ix in xrange(np): for ix in xrange(np):
sparam = list(theta) sparam = list(theta)
sparam[ix]= theta[ix]+delta sparam[ix] = theta[ix] + delta
fp = self.nnlf(sparam,data) fp = self.nnlf(sparam, data)
#fp = sum(myfun(x)) #fp = sum(myfun(x))
sparam[ix] = theta[ix]-delta sparam[ix] = theta[ix] - delta
fm = self.nnlf(sparam,data) fm = self.nnlf(sparam, data)
#fm = sum(myfun(x)) #fm = sum(myfun(x))
H[ix,ix] = (fp-2*LL+fm)/delta2 H[ix, ix] = (fp - 2 * LL + fm) / delta2
for iy in range(ix+1,np): for iy in range(ix + 1, np):
sparam[ix] = theta[ix]+delta sparam[ix] = theta[ix] + delta
sparam[iy] = theta[iy]+delta sparam[iy] = theta[iy] + delta
fpp = self.nnlf(sparam,data) fpp = self.nnlf(sparam, data)
#fpp = sum(myfun(x)) #fpp = sum(myfun(x))
sparam[iy] = theta[iy]-delta sparam[iy] = theta[iy] - delta
fpm = self.nnlf(sparam,data) fpm = self.nnlf(sparam, data)
#fpm = sum(myfun(x)) #fpm = sum(myfun(x))
sparam[ix] = theta[ix]-delta sparam[ix] = theta[ix] - delta
fmm = self.nnlf(sparam,data) fmm = self.nnlf(sparam, data)
#fmm = sum(myfun(x)); #fmm = sum(myfun(x));
sparam[iy] = theta[iy]+delta sparam[iy] = theta[iy] + delta
fmp = self.nnlf(sparam,data) fmp = self.nnlf(sparam, data)
#fmp = sum(myfun(x)) #fmp = sum(myfun(x))
H[ix,iy] = ((fpp+fmm)-(fmp+fpm))/(4.*delta2) H[ix, iy] = ((fpp + fmm) - (fmp + fpm)) / (4. * delta2)
H[iy,ix] = H[ix,iy] H[iy, ix] = H[ix, iy]
sparam[iy] = theta[iy]; sparam[iy] = theta[iy];
# invert the Hessian matrix (i.e. invert the observed information number) # invert the Hessian matrix (i.e. invert the observed information number)
#pcov = -pinv(H); #pcov = -pinv(H);
return -H return - H
if __name__=='__main__': def main():
#nbinom(10, 0.75).rvs(3) #nbinom(10, 0.75).rvs(3)
bernoulli(0.75).rvs(3) import matplotlib
x = np.r_[5,10] matplotlib.interactive(True)
npr = np.r_[9,9] t = _WAFODIST.bernoulli(0.75).rvs(3)
bd0(x,npr) x = np.r_[5, 10]
npr = np.r_[9, 9]
t2 = _WAFODIST.bd0(x, npr)
#Examples MLE and better CI for phat.par[0] #Examples MLE and better CI for phat.par[0]
R = weibull_min.rvs(1, size=100); R = _WAFODIST.weibull_min.rvs(1, size=100);
phat = weibull_min.fit(R,1,1,par_fix=[nan,0,nan]) phat = _WAFODIST.weibull_min.fit(R, 1, 1, par_fix=[nan, 0, nan])
Lp = phat.profile(i=0) Lp = phat.profile(i=0)
Lp.plot() Lp.plot()
Lp.get_CI(alpha=0.1) Lp.get_CI(alpha=0.1)
R = 1./990 R = 1. / 990
x = phat.isf(R) x = phat.isf(R)
# CI for x # CI for x
Lx = phat.profile(i=0,x=x) Lx = phat.profile(i=0, x=x)
Lx.plot() Lx.plot()
Lx.get_CI(alpha=0.2) Lx.get_CI(alpha=0.2)
# CI for logSF=log(SF) # CI for logSF=log(SF)
Lpr = phat.profile(i=1,logSF=log(R),link = phat.dist.link) Lpr = phat.profile(i=1, logSF=log(R), link=phat.dist.link)
Lpr.plot() Lpr.plot()
Lpr.get_CI(alpha=0.075) Lpr.get_CI(alpha=0.075)
dlaplace.stats(0.8,loc=0) dlaplace.stats(0.8, loc=0)
# pass # pass
t = planck(0.51000000000000001) t = planck(0.51000000000000001)
t.ppf(0.5) t.ppf(0.5)
t = zipf(2) t = zipf(2)
t.ppf(0.5) t.ppf(0.5)
import pylab as plb import pylab as plb
rice.rvs(1) _WAFODIST.rice.rvs(1)
x = plb.linspace(-5,5) x = plb.linspace(-5, 5)
y = genpareto.cdf(x,0) y = _WAFODIST.genpareto.cdf(x, 0)
#plb.plot(x,y) #plb.plot(x,y)
#plb.show() #plb.show()
on = ones((2,3)) on = ones((2, 3))
r = genpareto.rvs(0,size=100) r = _WAFODIST.genpareto.rvs(0, size=100)
pht = genpareto.fit(r,1,par_fix=[0,0,nan]) pht = _WAFODIST.genpareto.fit(r, 1, par_fix=[0, 0, nan])
lp = pht.profile() lp = pht.profile()
if __name__ == '__main__':
main()

9
pywafo/src/wafo/test_ppimport.py
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from scipy.misc.ppimport import ppimport
st = ppimport('scitools')
def main():
t = st.numpytools.linspace(0,1)
print(t)
if __name__ == '__main__':
main()
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