Source code for statsmodels.distributions.edgeworth

from __future__ import division, print_function, absolute_import

import warnings

import numpy as np
from numpy.polynomial.hermite_e import HermiteE
from scipy.misc import factorial
from scipy.stats import rv_continuous
import scipy.special as special

# TODO:
# * actually solve (31) of Blinnikov & Moessner
# * numerical stability: multiply factorials in logspace?
# * ppf & friends: Cornish & Fisher series, or tabulate/solve


_faa_di_bruno_cache = {
        1: [[(1, 1)]],
        2: [[(1, 2)], [(2, 1)]],
        3: [[(1, 3)], [(2, 1), (1, 1)], [(3, 1)]],
        4: [[(1, 4)], [(1, 2), (2, 1)], [(2, 2)], [(3, 1), (1, 1)], [(4, 1)]]}


def _faa_di_bruno_partitions(n):
    """ Return all non-negative integer solutions of the diophantine equation::

            n*k_n + ... + 2*k_2 + 1*k_1 = n   (1)

    Parameters
    ----------
    n: int
        the r.h.s. of Eq. (1)

    Returns
    -------
    partitions: a list of solutions of (1). Each solution is itself
        a list of the form `[(m, k_m), ...]` for non-zero `k_m`.
        Notice that the index `m` is 1-based.

    Examples:
    ---------
    >>> _faa_di_bruno_partitions(2)
    [[(1, 2)], [(2, 1)]]
    >>> for p in faa_di_bruno_partitions(4):
    ...     assert 4 == sum(m * k for (m, k) in p)

    """
    if n < 1:
        raise ValueError("Expected a positive integer; got %s instead" % n)
    try:
        return _faa_di_bruno_cache[n]
    except KeyError:
        # TODO: higher order terms
        # solve Eq. (31) from Blinninkov & Moessner here
        raise NotImplementedError('Higher order terms not yet implemented.')


[docs]def cumulant_from_moments(momt, n): """Compute n-th cumulant given moments. Parameters ---------- momt: array_like `momt[j]` contains `(j+1)`-th moment. These can be raw moments around zero, or central moments (in which case, `momt[0]` == 0). n: integer which cumulant to calculate (must be >1) Returns ------- kappa: float n-th cumulant. """ if n < 1: raise ValueError("Expected a positive integer. Got %s instead." % n) if len(momt) < n: raise ValueError("%s-th cumulant requires %s moments, " "only got %s." % (n, n, len(momt))) kappa = 0. for p in _faa_di_bruno_partitions(n): r = sum(k for (m, k) in p) term = (-1)**(r - 1) * factorial(r - 1) for (m, k) in p: term *= np.power(momt[m - 1] / factorial(m), k) / factorial(k) kappa += term kappa *= factorial(n) return kappa
## copied from scipy.stats.distributions to avoid the overhead of ## the public methods _norm_pdf_C = np.sqrt(2*np.pi) def _norm_pdf(x): return np.exp(-x**2/2.0) / _norm_pdf_C def _norm_cdf(x): return special.ndtr(x) def _norm_sf(x): return special.ndtr(-x)
[docs]class ExpandedNormal(rv_continuous): """Construct the Edgeworth expansion pdf given cumulants. Parameters ---------- cum: array_like `cum[j]` contains `(j+1)`-th cumulant: cum[0] is the mean, cum[1] is the variance and so on. Notes ----- This is actually an asymptotic rather than convergent series, hence higher orders of the expansion may or may not improve the result. In a strongly non-Gaussian case, it is possible that the density becomes negative, especially far out in the tails. Examples -------- Construct the 4th order expansion for the chi-square distribution using the known values of the cumulants: >>> from scipy.misc import factorial >>> df = 12 >>> chi2_c = [2**(j-1) * factorial(j-1) * df for j in range(1, 5)] >>> edgw_chi2 = ExpandedNormal(chi2_c, name='edgw_chi2', momtype=0) Calculate several moments: >>> m, v = edgw_chi2.stats(moments='mv') >>> np.allclose([m, v], [df, 2 * df]) True Plot the density function: >>> mu, sigma = df, np.sqrt(2*df) >>> x = np.linspace(mu - 3*sigma, mu + 3*sigma) >>> plt.plot(x, stats.chi2.pdf(x, df=df), 'g-', lw=4, alpha=0.5) >>> plt.plot(x, stats.norm.pdf(x, mu, sigma), 'b--', lw=4, alpha=0.5) >>> plt.plot(x, edgw_chi2.pdf(x), 'r-', lw=2) >>> plt.show() References ---------- .. [1] E.A. Cornish and R.A. Fisher, Moments and cumulants in the specification of distributions, Revue de l'Institut Internat. de Statistique. 5: 307 (1938), reprinted in R.A. Fisher, Contributions to Mathematical Statistics. Wiley, 1950. .. [2] http://en.wikipedia.org/wiki/Edgeworth_series .. [3] S. Blinnikov and R. Moessner, Expansions for nearly Gaussian distributions, Astron. Astrophys. Suppl. Ser. 130, 193 (1998) """
[docs] def __init__(self, cum, name='Edgeworth expanded normal', **kwds): if len(cum) < 2: raise ValueError("At least two cumulants are needed.") self._coef, self._mu, self._sigma = self._compute_coefs_pdf(cum) self._herm_pdf = HermiteE(self._coef) if self._coef.size > 2: self._herm_cdf = HermiteE(-self._coef[1:]) else: self._herm_cdf = lambda x: 0. # warn if pdf(x) < 0 for some values of x within 4 sigma r = np.real_if_close(self._herm_pdf.roots()) r = (r - self._mu) / self._sigma if r[(np.imag(r) == 0) & (np.abs(r) < 4)].any(): mesg = 'PDF has zeros at %s ' % r warnings.warn(mesg, UserWarning) kwds.update({'name': name, 'momtype': 0}) # use pdf, not ppf in self.moment() super(ExpandedNormal, self).__init__(**kwds)
def _pdf(self, x): y = (x - self._mu) / self._sigma return self._herm_pdf(y) * _norm_pdf(y) / self._sigma def _cdf(self, x): y = (x - self._mu) / self._sigma return (_norm_cdf(y) + self._herm_cdf(y) * _norm_pdf(y)) def _sf(self, x): y = (x - self._mu) / self._sigma return (_norm_sf(y) - self._herm_cdf(y) * _norm_pdf(y)) def _compute_coefs_pdf(self, cum): # scale cumulants by \sigma mu, sigma = cum[0], np.sqrt(cum[1]) lam = np.asarray(cum) for j, l in enumerate(lam): lam[j] /= cum[1]**j coef = np.zeros(lam.size * 3 - 5) coef[0] = 1. for s in range(lam.size - 2): for p in _faa_di_bruno_partitions(s+1): term = sigma**(s+1) for (m, k) in p: term *= np.power(lam[m+1] / factorial(m+2), k) / factorial(k) r = sum(k for (m, k) in p) coef[s + 1 + 2*r] += term return coef, mu, sigma
if __name__ == "__main__": cum =[1, 1, 1, 1] en = ExpandedNormal(cum)