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Mostly updated the documentation and validated the examples.

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Per.Andreas.Brodtkorb 14 years ago
parent 9d10be02be
commit e8ab556234
2 changed files with 214 additions and 159 deletions
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8
pywafo/src/wafo/stats/distributions.py
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@ -1249,7 +1249,7 @@ class rv_continuous(rv_generic):
Accurate confidence interval with profile loglikelihood
>>> lp = phat3.profile()
>>> lp.plot()
>>> lp.get_CI()
>>> lp.get_bounds()
"""
@ -6898,19 +6898,19 @@ def main():
phat = weibull_min.fit(R, 1, 1, par_fix=[nan, 0, nan])
Lp = phat.profile(i=0)
Lp.plot()
Lp.get_CI(alpha=0.1)
Lp.get_bounds(alpha=0.1)
R = 1. / 990
x = phat.isf(R)
# CI for x
Lx = phat.profile(i=0, x=x)
Lx.plot()
Lx.get_CI(alpha=0.2)
Lx.get_bounds(alpha=0.2)
# CI for logSF=log(SF)
Lpr = phat.profile(i=1, logSF=log(R), link=phat.dist.link)
Lpr.plot()
Lpr.get_CI(alpha=0.075)
Lpr.get_bounds(alpha=0.075)
dlaplace.stats(0.8, loc=0)
# pass

279
pywafo/src/wafo/stats/estimation.py
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@ -7,10 +7,10 @@ Author: Per A. Brodtkorb 2008
'''
from __future__ import division
import warnings
from wafo.plotbackend import plotbackend
from wafo.misc import ecross, findcross
#from scipy.misc.ppimport import ppimport
import numdifftools
from scipy import special
@ -19,7 +19,7 @@ from scipy import optimize
import numpy
import numpy as np
from numpy import alltrue, arange, ravel, ones, sum, zeros, log, sqrt, exp
from numpy import alltrue, arange, ravel, sum, zeros, log, sqrt, exp
from numpy import (atleast_1d, any, asarray, nan, pi, reshape, repeat,
product, ndarray, isfinite)
from numpy import flatnonzero as nonzero
@ -134,34 +134,34 @@ class Profile(object):
''' Profile Log- likelihood or Product Spacing-function.
which can be used for constructing confidence interval for
either phat(i), probability or quantile.
Call
-----
Lp = Profile(fit_dist,**kwds)
Parameters
----------
fit_dist : FitDistribution object with ML or MPS estimated distribution parameters.
fit_dist : FitDistribution object
with ML or MPS estimated distribution parameters.
**kwds : named arguments with keys
i - Integer defining which distribution parameter to
profile, i.e. which parameter to keep fixed
(default index to first non-fixed parameter)
pmin, pmax - Interval for either the parameter, phat(i), prb, or x,
used in the optimization of the profile function (default
is based on the 100*(1-alpha)% confidence interval
computed using the delta method.)
N - Max number of points used in Lp (default 100)
x - Quantile (return value)
logSF - log survival probability,i.e., SF = Prob(X>x;phat)
link - function connecting the quantile (x) and the
survival probability (SF) with the fixed distribution
parameter, i.e.: self.par[i] = link(x,logSF,self.par,i),
where logSF = log(Prob(X>x;phat)).
i : scalar integer
defining which distribution parameter to profile, i.e. which
parameter to keep fixed (default index to first non-fixed parameter)
pmin, pmax : real scalars
Interval for either the parameter, phat(i), prb, or x, used in the
optimization of the profile function (default is based on the
100*(1-alpha)% confidence interval computed using the delta method.)
N : scalar integer
Max number of points used in Lp (default 100)
x : real scalar
Quantile (return value) (default None)
logSF : real scalar
log survival probability,i.e., SF = Prob(X>x;phat) (default None)
link : function connecting the quantile (x) and the survival probability
(SF) with the fixed distribution parameter, i.e.:
self.par[i] = link(x,logSF,self.par,i), where logSF = log(Prob(X>x;phat)).
This means that if:
1) x is not None then x is profiled
2) logSF is not None then logSF is profiled
3) x and logSF both are None then self.par[i] is profiled (default)
alpha - confidence coefficent (default 0.05)
alpha : real scalar
confidence coefficent (default 0.05)
Returns
-------
Lp : Profile log-likelihood function with parameters phat given
@ -169,49 +169,58 @@ class Profile(object):
Lp = max(log(f(phat|data,phat(i)))),
or
Lp = max(log(f(phat|data,phat(i),x,prb)))
Member methods
plot()
get_CI()
-------------
plot() : Plot profile function with 100(1-alpha)% confidence interval
get_bounds() : Return 100(1-alpha)% confidence interval
Member variables
fit_dist - fitted data object.
data - profile function values
args - profile function arguments
alpha - confidence coefficient
Lmax - Maximum value of profile function
alpha_cross_level -
----------------
fit_dist : FitDistribution data object.
data : profile function values
args : profile function arguments
alpha : confidence coefficient
Lmax : Maximum value of profile function
alpha_cross_level :
PROFILE is a utility function for making inferences either on a particular
component of the vector phat or the quantile, x, or the probability, SF.
This is usually more accurate than using the delta method assuming
asymptotic normality of the ML estimator or the MPS estimator.
Examples
--------
#MLE and better CI for phat.par[0]
# MLE
>>> import numpy as np
>>> R = weibull_min.rvs(1,size=100);
>>> phat = FitDistribution(ws.weibull_min, R,1,scale=1, floc=0.0)
>>> import wafo.stats as ws
>>> R = ws.weibull_min.rvs(1,size=100);
>>> phat = FitDistribution(ws.weibull_min, R, 1, scale=1, floc=0.0)
# Better CI for phat.par[i=0]
>>> Lp = Profile(phat, i=0)
>>> Lp.plot()
>>> Lp.get_CI(alpha=0.1)
>>> phat_ci = Lp.get_bounds(alpha=0.1)
>>> SF = 1./990
>>> x = phat.isf(SF)
# CI for x
>>> Lx = phat.profile(i=1,x=x,link=phat.dist.link)
>>> Lx = phat.profile(i=0, x=x, link=phat.dist.link)
>>> Lx.plot()
>>> Lx.get_CI(alpha=0.2)
>>> x_ci = Lx.get_bounds(alpha=0.2)
# CI for logSF=log(SF)
>>> Lpr = phat.profile(i=1,logSF=log(SF),link = phat.dist.link)
>>> Lsf = phat.profile(i=0, logSF=log(SF), link=phat.dist.link)
>>> Lsf.plot()
>>> sf_ci = Lsf.get_bounds(alpha=0.2)
'''
def __init__(self, fit_dist, **kwds):
try:
i0 = (1 - numpy.isfinite(fit_dist.par_fix)).argmax()
except:
i0 = 0
self.fit_dist = fit_dist
self.data = None
self.args = None
@ -220,7 +229,7 @@ class Profile(object):
self.ylabel = ''
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'],
[0, 100, 0.05, None, None, None, None, None])
[i0, 100, 0.05, None, None, None, None, None])
self.ylabel = '%g%s CI' % (100 * (1.0 - self.alpha), '%')
if fit_dist.method.startswith('ml'):
@ -252,14 +261,10 @@ class Profile(object):
self.alpha_cross_level = Lmax - self.alpha_Lrange
#lowLevel = self.alpha_cross_level - self.alpha_Lrange / 7.0
## Check that par are actually at the optimum
phatv = fit_dist.par.copy()
self._par = phatv.copy()
phatfree = phatv[self.i_free].copy()
## Set up variable to profile and _local_link function
self.profile_x = not self.x == None
self.profile_logSF = not (self.logSF == None or self.profile_x)
self.profile_par = not (self.profile_x or self.profile_logSF)
@ -279,16 +284,29 @@ class Profile(object):
p_opt = self.logSF
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.xlabel = 'log(R)'
self.xlabel = 'log(SF)'
else:
raise ValueError("You must supply a non-empty quantile (x) or probability (logSF) in order to profile it!")
self.xlabel = self.xlabel + ' (' + fit_dist.dist.name + ')'
pvec = self._get_pvec(p_opt)
## Check that par are actually at the optimum
phatfree = phatv[self.i_free].copy()
foundNewphat = False
mylogfun = self._nlogfun
if True:
phatfree = optimize.fmin(mylogfun, phatfree, args=(phatv[self.i_fixed],) , disp=0)
LLt = -mylogfun(phatfree,phatv[self.i_fixed])
if LLt>Lmax:
foundNewphat = True
warnings.warn('Something wrong with fit')
dL = Lmax-LLt
self.alpha_cross_level -= dL
self.Lmax = LLt
pvec = self._get_pvec(p_opt)
self.data = numpy.empty_like(pvec)
self.data[:] = nan
k1 = (pvec >= p_opt).argmax()
@ -362,6 +380,7 @@ class Profile(object):
else:
pvec = linspace(self.pmin, self.pmax, self.N)
return pvec
def _myinvfun(self, phatnotfixed):
mphat = self._par.copy()
mphat[self.i_notfixed] = phatnotfixed;
@ -382,39 +401,39 @@ class Profile(object):
probability (return period) or distribution parameter
'''
par = self._par
par = self._par.copy()
par[self.i_free] = free_par
# _local_link: connects fixed quantile or probability with fixed distribution parameter
par[self.i_fixed] = self._local_link(fix_par, par)
return self.fit_dist.fitfun(par)
def get_CI(self, alpha=0.05):
def get_bounds(self, alpha=0.05):
'''Return confidence interval
'''
if alpha < self.alpha:
raise ValueError('Unable to return CI with alpha less than %g' % self.alpha)
cross_level = self.Lmax - 0.5 * chi2isf(alpha, 1) #_WAFODIST.chi2.isf(alpha, 1)
cross_level = self.Lmax - 0.5 * chi2isf(alpha, 1)
ind = findcross(self.data, cross_level)
N = len(ind)
if N == 0:
#Warning('upper bound for XXX is larger'
#Warning('lower bound for XXX is smaller'
warnings.warn('''Number of crossings is zero, i.e.,
upper and lower bound is not found!''')
CI = (self.pmin, self.pmax)
elif N == 1:
x0 = ecross(self.args, self.data, ind, cross_level)
isUpcrossing = self.data[ind] > self.data[ind + 1]
if isUpcrossing:
CI = (x0, self.pmax)
#Warning('upper bound for XXX is larger'
warnings.warn('Upper bound is larger')
else:
CI = (self.pmin, x0)
#Warning('lower bound for XXX is smaller'
warnings.warn('Lower bound is smaller')
elif N == 2:
CI = ecross(self.args, self.data, ind, cross_level)
else:
# Warning('Number of crossings too large!')
warnings.warn('Number of crossings too large! Something is wrong!')
CI = ecross(self.args, self.data, ind[[0, -1]], cross_level)
return CI
@ -449,7 +468,7 @@ class FitDistribution(rv_frozen):
Data to use in calculating the ML or MPS estimators
args : optional
Starting values for any shape arguments (those not specified
will be determined by _fitstart(data))
will be determined by dist._fitstart(data))
kwds : loc, scale
Starting values for the location and scale parameters
Special keyword arguments are recognized as holding certain
@ -501,31 +520,33 @@ class FitDistribution(rv_frozen):
>>> phat = FitDistribution(ws.weibull_min, R, 1, scale=1, floc=0.0)
#Plot various diagnostic plots to asses quality of fit.
>>> phat.plotfitsumry()
>>> phat.plotfitsummary()
#phat.par holds the estimated parameters
#phat.par_upper upper CI for parameters
#phat.par_lower lower CI for parameters
#Better CI for phat.par[0]
>>> Lp = Profile(phat,i=0)
>>> Lp = phat.profile(i=0)
>>> Lp.plot()
>>> Lp.get_CI(alpha=0.1)
>>> p_ci = Lp.get_bounds(alpha=0.1)
>>> SF = 1./990
>>> x = phat.isf(SF)
# CI for x
>>> Lx = phat.profile(i=0,x=x,link=phat.dist.link)
>>> Lx = Profile(phat, i=0,x=x,link=phat.dist.link)
>>> Lx.plot()
>>> Lx.get_CI(alpha=0.2)
>>> x_ci = Lx.get_bounds(alpha=0.2)
# CI for logSF=log(SF)
>>> Lpr = phat.profile(i=0,logSF=log(SF),link = phat.dist.link)
>>> Lsf = phat.profile(i=0, logSF=log(SF), link=phat.dist.link)
>>> Lsf.plot()
>>> sf_ci = Lsf.get_bounds(alpha=0.2)
'''
def __init__(self, dist, data, *args, **kwds):
extradoc = '''
plotfitsumry()
plotfitsummary()
Plot various diagnostic plots to asses quality of fit.
plotecdf()
Plot Empirical and fitted Cumulative Distribution Function
@ -685,7 +706,16 @@ class FitDistribution(rv_frozen):
optimizer = getattr(optimize, optimizer)
except AttributeError:
raise ValueError, "%s is not a valid optimizer" % optimizer
loglike = numpy.inf
for num_times in range(5):
vals = optimizer(func,x0,args=(ravel(data),),disp=0)
ll = func(vals, ravel(data))
if ll<loglike:
loglike = ll
x0 = vals
else:
vals = x0
vals = tuple(vals)
else:
vals = tuple(x0)
@ -716,87 +746,99 @@ class FitDistribution(rv_frozen):
def fitfun(self, phat):
return self._fitfun(phat, self.data)
def _fxfitfun(self, phat10):
self.par[self.i_notfixed] = phat10
return self._fitfun(self.par, self.data)
def profile(self, **kwds):
''' Profile Log- likelihood or Log Product Spacing- function,
which can be used for constructing confidence interval for
either phat(i), probability or quantile.
CALL: Lp = RV.profile(**kwds)
RV = object with ML or MPS estimated distribution parameters.
Parameters
----------
**kwds : named arguments with keys:
i - Integer defining which distribution parameter to
profile, i.e. which parameter to keep fixed
(default index to first non-fixed parameter)
pmin, pmax - Interval for either the parameter, phat(i), prb, or x,
used in the optimization of the profile function (default
is based on the 100*(1-alpha)% confidence interval
computed using the delta method.)
N - Max number of points used in Lp (default 100)
x - Quantile (return value)
logSF - log survival probability,i.e., R = Prob(X>x;phat)
link - function connecting the quantile (x) and the
survival probability (R) with the fixed distribution
parameter, i.e.: self.par[i] = link(x,logSF,self.par,i),
where logSF = log(Prob(X>x;phat)).
**kwds : named arguments with keys
i : scalar integer
defining which distribution parameter to profile, i.e. which
parameter to keep fixed (default index to first non-fixed parameter)
pmin, pmax : real scalars
Interval for either the parameter, phat(i), prb, or x, used in the
optimization of the profile function (default is based on the
100*(1-alpha)% confidence interval computed using the delta method.)
N : scalar integer
Max number of points used in Lp (default 100)
x : real scalar
Quantile (return value) (default None)
logSF : real scalar
log survival probability,i.e., SF = Prob(X>x;phat) (default None)
link : function connecting the quantile (x) and the survival probability
(SF) with the fixed distribution parameter, i.e.:
self.par[i] = link(x,logSF,self.par,i), where logSF = log(Prob(X>x;phat)).
This means that if:
1) x is not None then x is profiled
2) logSF is not None then logSF is profiled
3) x and logSF both are None then self.par[i] is profiled (default)
alpha - confidence coefficent (default 0.05)
alpha : real scalar
confidence coefficent (default 0.05)
Returns
--------
Lp = Profile log-likelihood function with parameters phat given
-------
Lp : Profile log-likelihood function with parameters phat given
the data, phat(i), probability (prb) and quantile (x) (if given), i.e.,
Lp = max(log(f(phat|data,phat(i)))),
or
Lp = max(log(f(phat|data,phat(i),x,prb)))
Member methods
-------------
plot() : Plot profile function with 100(1-alpha)% confidence interval
get_bounds() : Return 100(1-alpha)% confidence interval
Member variables
----------------
fit_dist : FitDistribution data object.
data : profile function values
args : profile function arguments
alpha : confidence coefficient
Lmax : Maximum value of profile function
alpha_cross_level :
PROFILE is a utility function for making inferences either on a particular
component of the vector phat or the quantile, x, or the probability, R.
component of the vector phat or the quantile, x, or the probability, SF.
This is usually more accurate than using the delta method assuming
asymptotic normality of the ML estimator or the MPS estimator.
Examples
--------
# MLE and better CI for phat.par[0]
>>> R = weibull_min.rvs(1,size=100);
>>> phat = weibull_min.fit(R)
>>> Lp = phat.profile(i=0)
# MLE
>>> import numpy as np
>>> import wafo.stats as ws
>>> R = ws.weibull_min.rvs(1,size=100);
>>> phat = FitDistribution(ws.weibull_min, R, 1, scale=1, floc=0.0)
# Better CI for phat.par[i=0]
>>> Lp = Profile(phat, i=0)
>>> Lp.plot()
>>> Lp.get_CI(alpha=0.1)
>>> R = 1./990
>>> x = phat.isf(R)
>>> phat_ci = Lp.get_bounds(alpha=0.1)
>>> SF = 1./990
>>> x = phat.isf(SF)
# CI for x
>>> Lx = phat.profile(i=1,x=x,link=phat.dist.link)
>>> Lx = phat.profile(i=0, x=x, link=phat.dist.link)
>>> Lx.plot()
>>> Lx.get_CI(alpha=0.2)
>>> x_ci = Lx.get_bounds(alpha=0.2)
# CI for logSF=log(SF)
>>> Lpr = phat.profile(i=1,logSF=log(R),link = phat.dist.link)
>>> Lsf = phat.profile(i=0, logSF=log(SF), link=phat.dist.link)
>>> Lsf.plot()
>>> sf_ci = Lsf.get_bounds(alpha=0.2)
See also
--------
Profile
'''
if not self.par_fix == None:
i1 = kwds.setdefault('i', (1 - numpy.isfinite(self.par_fix)).argmax())
return Profile(self, **kwds)
def plotfitsumry(self):
def plotfitsummary(self):
''' Plot various diagnostic plots to asses the quality of the fit.
PLOTFITSUMRY displays probability plot, density plot, residual quantile
PLOTFITSUMMARY displays probability plot, density plot, residual quantile
plot and residual probability plot.
The purpose of these plots is to graphically assess whether the data
could come from the fitted distribution. If so the empirical- CDF and PDF
@ -972,7 +1014,20 @@ class FitDistribution(rv_frozen):
def main():
import wafo.stats as ws
R = ws.weibull_min.rvs(1,size=100);
phat = FitDistribution(ws.weibull_min, R, 1, scale=1, floc=0.0)
# Better CI for phat.par[i=0]
Lp = Profile(phat, i=0)
pass
#import doctest
#doctest.testmod()
# _WAFODIST = ppimport('wafo.stats.distributions')
# #nbinom(10, 0.75).rvs(3)
# import matplotlib
@ -986,19 +1041,19 @@ def main():
# phat = _WAFODIST.weibull_min.fit(R, 1, 1, par_fix=[nan, 0, nan])
# Lp = phat.profile(i=0)
# Lp.plot()
# Lp.get_CI(alpha=0.1)
# Lp.get_bounds(alpha=0.1)
# R = 1. / 990
# x = phat.isf(R)
#
# # CI for x
# Lx = phat.profile(i=0, x=x)
# Lx.plot()
# Lx.get_CI(alpha=0.2)
# Lx.get_bounds(alpha=0.2)
#
# # CI for logSF=log(SF)
# Lpr = phat.profile(i=0, logSF=log(R), link=phat.dist.link)
# Lpr.plot()
# Lpr.get_CI(alpha=0.075)
# Lpr.get_bounds(alpha=0.075)
#
# _WAFODIST.dlaplace.stats(0.8, loc=0)
## pass

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