Source code for statsmodels.sandbox.distributions.sppatch

'''patching scipy to fit distributions and expect method

This adds new methods to estimate continuous distribution parameters with some
fixed/frozen parameters. It also contains functions that calculate the expected
value of a function for any continuous or discrete distribution

It temporarily also contains Bootstrap and Monte Carlo function for testing the
distribution fit, but these are neither general nor verified.

Author: josef-pktd
License: Simplified BSD
'''
from __future__ import print_function
from statsmodels.compat.python import range, lmap
import numpy as np
from scipy import stats, optimize, integrate


########## patching scipy

#vonmises doesn't define finite bounds, because it is intended for circular
#support which does not define a proper pdf on the real line

stats.distributions.vonmises.a = -np.pi
stats.distributions.vonmises.b = np.pi

#the next 3 functions are for fit with some fixed parameters
#As they are written, they do not work as functions, only as methods

def _fitstart(self, x):
    '''example method, method of moment estimator as starting values

    Parameters
    ----------
    x : array
        data for which the parameters are estimated

    Returns
    -------
    est : tuple
        preliminary estimates used as starting value for fitting, not
        necessarily a consistent estimator

    Notes
    -----
    This needs to be written and attached to each individual distribution

    This example was written for the gamma distribution, but not verified
    with literature

    '''
    loc = np.min([x.min(),0])
    a = 4/stats.skew(x)**2
    scale = np.std(x) / np.sqrt(a)
    return (a, loc, scale)

def _fitstart_beta(self, x, fixed=None):
    '''method of moment estimator as starting values for beta distribution

    Parameters
    ----------
    x : array
        data for which the parameters are estimated
    fixed : None or array_like
        sequence of numbers and np.nan to indicate fixed parameters and parameters
        to estimate

    Returns
    -------
    est : tuple
        preliminary estimates used as starting value for fitting, not
        necessarily a consistent estimator

    Notes
    -----
    This needs to be written and attached to each individual distribution

    References
    ----------
    for method of moment estimator for known loc and scale
    http://en.wikipedia.org/wiki/Beta_distribution#Parameter_estimation
    http://www.itl.nist.gov/div898/handbook/eda/section3/eda366h.htm
    NIST reference also includes reference to MLE in
    Johnson, Kotz, and Balakrishan, Volume II, pages 221-235

    '''
    #todo: separate out this part to be used for other compact support distributions
    #      e.g. rdist, vonmises, and truncnorm
    #      but this might not work because it might still be distribution specific
    a, b = x.min(), x.max()
    eps = (a-b)*0.01
    if fixed is None:
        #this part not checked with books
        loc = a - eps
        scale = (a - b) * (1 + 2*eps)
    else:
        if np.isnan(fixed[-2]):
            #estimate loc
            loc = a - eps
        else:
            loc = fixed[-2]
        if np.isnan(fixed[-1]):
            #estimate scale
            scale = (b + eps) - loc
        else:
            scale = fixed[-1]

    #method of moment for known loc scale:
    scale = float(scale)
    xtrans = (x - loc)/scale
    xm = xtrans.mean()
    xv = xtrans.var()
    tmp = (xm*(1-xm)/xv - 1)
    p = xm * tmp
    q = (1 - xm) * tmp

    return (p, q, loc, scale)  #check return type and should fixed be returned ?

def _fitstart_poisson(self, x, fixed=None):
    '''maximum likelihood estimator as starting values for Poisson distribution

    Parameters
    ----------
    x : array
        data for which the parameters are estimated
    fixed : None or array_like
        sequence of numbers and np.nan to indicate fixed parameters and parameters
        to estimate

    Returns
    -------
    est : tuple
        preliminary estimates used as starting value for fitting, not
        necessarily a consistent estimator

    Notes
    -----
    This needs to be written and attached to each individual distribution

    References
    ----------
    MLE :
    http://en.wikipedia.org/wiki/Poisson_distribution#Maximum_likelihood

    '''
    #todo: separate out this part to be used for other compact support distributions
    #      e.g. rdist, vonmises, and truncnorm
    #      but this might not work because it might still be distribution specific
    a = x.min()
    eps = 0 # is this robust ?
    if fixed is None:
        #this part not checked with books
        loc = a - eps
    else:
        if np.isnan(fixed[-1]):
            #estimate loc
            loc = a - eps
        else:
            loc = fixed[-1]

    #MLE for standard (unshifted, if loc=0) Poisson distribution

    xtrans = (x - loc)
    lambd = xtrans.mean()
    #second derivative d loglike/ dlambd Not used
    #dlldlambd = 1/lambd # check

    return (lambd, loc)  #check return type and should fixed be returned ?


[docs]def nnlf_fr(self, thetash, x, frmask): # new frozen version # - sum (log pdf(x, theta),axis=0) # where theta are the parameters (including loc and scale) # try: if frmask != None: theta = frmask.copy() theta[np.isnan(frmask)] = thetash else: theta = thetash loc = theta[-2] scale = theta[-1] args = tuple(theta[:-2]) except IndexError: raise ValueError("Not enough input arguments.") if not self._argcheck(*args) or scale <= 0: return np.inf x = np.array((x-loc) / scale) cond0 = (x <= self.a) | (x >= self.b) if (np.any(cond0)): return np.inf else: N = len(x) #raise ValueError return self._nnlf(x, *args) + N*np.log(scale)
[docs]def fit_fr(self, data, *args, **kwds): '''estimate distribution parameters by MLE taking some parameters as fixed Parameters ---------- data : array, 1d data for which the distribution parameters are estimated, args : list ? check starting values for optimization kwds : - 'frozen' : array_like values for frozen distribution parameters and, for elements with np.nan, the corresponding parameter will be estimated Returns ------- argest : array estimated parameters Examples -------- generate random sample >>> np.random.seed(12345) >>> x = stats.gamma.rvs(2.5, loc=0, scale=1.2, size=200) estimate all parameters >>> stats.gamma.fit(x) array([ 2.0243194 , 0.20395655, 1.44411371]) >>> stats.gamma.fit_fr(x, frozen=[np.nan, np.nan, np.nan]) array([ 2.0243194 , 0.20395655, 1.44411371]) keep loc fixed, estimate shape and scale parameters >>> stats.gamma.fit_fr(x, frozen=[np.nan, 0.0, np.nan]) array([ 2.45603985, 1.27333105]) keep loc and scale fixed, estimate shape parameter >>> stats.gamma.fit_fr(x, frozen=[np.nan, 0.0, 1.0]) array([ 3.00048828]) >>> stats.gamma.fit_fr(x, frozen=[np.nan, 0.0, 1.2]) array([ 2.57792969]) estimate only scale parameter for fixed shape and loc >>> stats.gamma.fit_fr(x, frozen=[2.5, 0.0, np.nan]) array([ 1.25087891]) Notes ----- self is an instance of a distribution class. This can be attached to scipy.stats.distributions.rv_continuous *Todo* * check if docstring is correct * more input checking, args is list ? might also apply to current fit method ''' loc0, scale0 = lmap(kwds.get, ['loc', 'scale'],[0.0, 1.0]) Narg = len(args) if Narg == 0 and hasattr(self, '_fitstart'): x0 = self._fitstart(data) elif Narg > self.numargs: raise ValueError("Too many input arguments.") else: args += (1.0,)*(self.numargs-Narg) # location and scale are at the end x0 = args + (loc0, scale0) if 'frozen' in kwds: frmask = np.array(kwds['frozen']) if len(frmask) != self.numargs+2: raise ValueError("Incorrect number of frozen arguments.") else: # keep starting values for not frozen parameters x0 = np.array(x0)[np.isnan(frmask)] else: frmask = None #print(x0 #print(frmask return optimize.fmin(self.nnlf_fr, x0, args=(np.ravel(data), frmask), disp=0)
#The next two functions/methods calculate expected value of an arbitrary #function, however for the continuous functions intquad is use, which might #require continuouity or smoothness in the function. #TODO: add option for Monte Carlo integration
[docs]def expect(self, fn=None, args=(), loc=0, scale=1, lb=None, ub=None, conditional=False): '''calculate expected value of a function with respect to the distribution location and scale only tested on a few examples Parameters ---------- all parameters are keyword parameters fn : function (default: identity mapping) Function for which integral is calculated. Takes only one argument. args : tuple argument (parameters) of the distribution lb, ub : numbers lower and upper bound for integration, default is set to the support of the distribution conditional : boolean (False) If true then the integral is corrected by the conditional probability of the integration interval. The return value is the expectation of the function, conditional on being in the given interval. Returns ------- expected value : float Notes ----- This function has not been checked for it's behavior when the integral is not finite. The integration behavior is inherited from scipy.integrate.quad. ''' if fn is None: def fun(x, *args): return x*self.pdf(x, loc=loc, scale=scale, *args) else: def fun(x, *args): return fn(x)*self.pdf(x, loc=loc, scale=scale, *args) if lb is None: lb = loc + self.a * scale #(self.a - loc)/(1.0*scale) if ub is None: ub = loc + self.b * scale #(self.b - loc)/(1.0*scale) if conditional: invfac = (self.sf(lb, loc=loc, scale=scale, *args) - self.sf(ub, loc=loc, scale=scale, *args)) else: invfac = 1.0 return integrate.quad(fun, lb, ub, args=args)[0]/invfac
[docs]def expect_v2(self, fn=None, args=(), loc=0, scale=1, lb=None, ub=None, conditional=False): '''calculate expected value of a function with respect to the distribution location and scale only tested on a few examples Parameters ---------- all parameters are keyword parameters fn : function (default: identity mapping) Function for which integral is calculated. Takes only one argument. args : tuple argument (parameters) of the distribution lb, ub : numbers lower and upper bound for integration, default is set using quantiles of the distribution, see Notes conditional : boolean (False) If true then the integral is corrected by the conditional probability of the integration interval. The return value is the expectation of the function, conditional on being in the given interval. Returns ------- expected value : float Notes ----- This function has not been checked for it's behavior when the integral is not finite. The integration behavior is inherited from scipy.integrate.quad. The default limits are lb = self.ppf(1e-9, *args), ub = self.ppf(1-1e-9, *args) For some heavy tailed distributions, 'alpha', 'cauchy', 'halfcauchy', 'levy', 'levy_l', and for 'ncf', the default limits are not set correctly even when the expectation of the function is finite. In this case, the integration limits, lb and ub, should be chosen by the user. For example, for the ncf distribution, ub=1000 works in the examples. There are also problems with numerical integration in some other cases, for example if the distribution is very concentrated and the default limits are too large. ''' #changes: 20100809 #correction and refactoring how loc and scale are handled #uses now _pdf #needs more testing for distribution with bound support, e.g. genpareto if fn is None: def fun(x, *args): return (loc + x*scale)*self._pdf(x, *args) else: def fun(x, *args): return fn(loc + x*scale)*self._pdf(x, *args) if lb is None: #lb = self.a try: lb = self.ppf(1e-9, *args) #1e-14 quad fails for pareto except ValueError: lb = self.a else: lb = max(self.a, (lb - loc)/(1.0*scale)) #transform to standardized if ub is None: #ub = self.b try: ub = self.ppf(1-1e-9, *args) except ValueError: ub = self.b else: ub = min(self.b, (ub - loc)/(1.0*scale)) if conditional: invfac = self._sf(lb,*args) - self._sf(ub,*args) else: invfac = 1.0 return integrate.quad(fun, lb, ub, args=args, limit=500)[0]/invfac
### for discrete distributions #TODO: check that for a distribution with finite support the calculations are # done with one array summation (np.dot) #based on _drv2_moment(self, n, *args), but streamlined
[docs]def expect_discrete(self, fn=None, args=(), loc=0, lb=None, ub=None, conditional=False): '''calculate expected value of a function with respect to the distribution for discrete distribution Parameters ---------- (self : distribution instance as defined in scipy stats) fn : function (default: identity mapping) Function for which integral is calculated. Takes only one argument. args : tuple argument (parameters) of the distribution optional keyword parameters lb, ub : numbers lower and upper bound for integration, default is set to the support of the distribution, lb and ub are inclusive (ul<=k<=ub) conditional : boolean (False) If true then the expectation is corrected by the conditional probability of the integration interval. The return value is the expectation of the function, conditional on being in the given interval (k such that ul<=k<=ub). Returns ------- expected value : float Notes ----- * function is not vectorized * accuracy: uses self.moment_tol as stopping criterium for heavy tailed distribution e.g. zipf(4), accuracy for mean, variance in example is only 1e-5, increasing precision (moment_tol) makes zipf very slow * suppnmin=100 internal parameter for minimum number of points to evaluate could be added as keyword parameter, to evaluate functions with non-monotonic shapes, points include integers in (-suppnmin, suppnmin) * uses maxcount=1000 limits the number of points that are evaluated to break loop for infinite sums (a maximum of suppnmin+1000 positive plus suppnmin+1000 negative integers are evaluated) ''' #moment_tol = 1e-12 # increase compared to self.moment_tol, # too slow for only small gain in precision for zipf #avoid endless loop with unbound integral, eg. var of zipf(2) maxcount = 1000 suppnmin = 100 #minimum number of points to evaluate (+ and -) if fn is None: def fun(x): #loc and args from outer scope return (x+loc)*self._pmf(x, *args) else: def fun(x): #loc and args from outer scope return fn(x+loc)*self._pmf(x, *args) # used pmf because _pmf does not check support in randint # and there might be problems(?) with correct self.a, self.b at this stage # maybe not anymore, seems to work now with _pmf self._argcheck(*args) # (re)generate scalar self.a and self.b if lb is None: lb = (self.a) else: lb = lb - loc if ub is None: ub = (self.b) else: ub = ub - loc if conditional: invfac = self.sf(lb,*args) - self.sf(ub+1,*args) else: invfac = 1.0 tot = 0.0 low, upp = self._ppf(0.001, *args), self._ppf(0.999, *args) low = max(min(-suppnmin, low), lb) upp = min(max(suppnmin, upp), ub) supp = np.arange(low, upp+1, self.inc) #check limits #print('low, upp', low, upp tot = np.sum(fun(supp)) diff = 1e100 pos = upp + self.inc count = 0 #handle cases with infinite support while (pos <= ub) and (diff > self.moment_tol) and count <= maxcount: diff = fun(pos) tot += diff pos += self.inc count += 1 if self.a < 0: #handle case when self.a = -inf diff = 1e100 pos = low - self.inc while (pos >= lb) and (diff > self.moment_tol) and count <= maxcount: diff = fun(pos) tot += diff pos -= self.inc count += 1 if count > maxcount: # replace with proper warning print('sum did not converge') return tot/invfac
stats.distributions.rv_continuous.fit_fr = fit_fr stats.distributions.rv_continuous.nnlf_fr = nnlf_fr stats.distributions.rv_continuous.expect = expect stats.distributions.rv_discrete.expect = expect_discrete stats.distributions.beta_gen._fitstart = _fitstart_beta #not tried out yet stats.distributions.poisson_gen._fitstart = _fitstart_poisson #not tried out yet ########## end patching scipy
[docs]def distfitbootstrap(sample, distr, nrepl=100): '''run bootstrap for estimation of distribution parameters hard coded: only one shape parameter is allowed and estimated, loc=0 and scale=1 are fixed in the estimation Parameters ---------- sample : array original sample data for bootstrap distr : distribution instance with fit_fr method nrepl : integer number of bootstrap replications Returns ------- res : array (nrepl,) parameter estimates for all bootstrap replications ''' nobs = len(sample) res = np.zeros(nrepl) for ii in range(nrepl): rvsind = np.random.randint(nobs, size=nobs) x = sample[rvsind] res[ii] = distr.fit_fr(x, frozen=[np.nan, 0.0, 1.0]) return res
[docs]def distfitmc(sample, distr, nrepl=100, distkwds={}): '''run Monte Carlo for estimation of distribution parameters hard coded: only one shape parameter is allowed and estimated, loc=0 and scale=1 are fixed in the estimation Parameters ---------- sample : array original sample data, in Monte Carlo only used to get nobs, distr : distribution instance with fit_fr method nrepl : integer number of Monte Carlo replications Returns ------- res : array (nrepl,) parameter estimates for all Monte Carlo replications ''' arg = distkwds.pop('arg') nobs = len(sample) res = np.zeros(nrepl) for ii in range(nrepl): x = distr.rvs(arg, size=nobs, **distkwds) res[ii] = distr.fit_fr(x, frozen=[np.nan, 0.0, 1.0]) return res
[docs]def printresults(sample, arg, bres, kind='bootstrap'): '''calculate and print(Bootstrap or Monte Carlo result Parameters ---------- sample : array original sample data arg : float (for general case will be array) bres : array parameter estimates from Bootstrap or Monte Carlo run kind : {'bootstrap', 'montecarlo'} output is printed for Mootstrap (default) or Monte Carlo Returns ------- None, currently only printing Notes ----- still a bit a mess because it is used for both Bootstrap and Monte Carlo made correction: reference point for bootstrap is estimated parameter not clear: I'm not doing any ddof adjustment in estimation of variance, do we need ddof>0 ? todo: return results and string instead of printing ''' print('true parameter value') print(arg) print('MLE estimate of parameters using sample (nobs=%d)'% (nobs)) argest = distr.fit_fr(sample, frozen=[np.nan, 0.0, 1.0]) print(argest) if kind == 'bootstrap': #bootstrap compares to estimate from sample argorig = arg arg = argest print('%s distribution of parameter estimate (nrepl=%d)'% (kind, nrepl)) print('mean = %f, bias=%f' % (bres.mean(0), bres.mean(0)-arg)) print('median', np.median(bres, axis=0)) print('var and std', bres.var(0), np.sqrt(bres.var(0))) bmse = ((bres - arg)**2).mean(0) print('mse, rmse', bmse, np.sqrt(bmse)) bressorted = np.sort(bres) print('%s confidence interval (90%% coverage)' % kind) print(bressorted[np.floor(nrepl*0.05)], bressorted[np.floor(nrepl*0.95)]) print('%s confidence interval (90%% coverage) normal approximation' % kind) print(stats.norm.ppf(0.05, loc=bres.mean(), scale=bres.std()),) print(stats.norm.isf(0.05, loc=bres.mean(), scale=bres.std())) print('Kolmogorov-Smirnov test for normality of %s distribution' % kind) print(' - estimated parameters, p-values not really correct') print(stats.kstest(bres, 'norm', (bres.mean(), bres.std())))
if __name__ == '__main__': examplecases = ['largenumber', 'bootstrap', 'montecarlo'][:] if 'largenumber' in examplecases: print('\nDistribution: vonmises') for nobs in [200]:#[20000, 1000, 100]: x = stats.vonmises.rvs(1.23, loc=0, scale=1, size=nobs) print('\nnobs:', nobs) print('true parameter') print('1.23, loc=0, scale=1') print('unconstraint') print(stats.vonmises.fit(x)) print(stats.vonmises.fit_fr(x, frozen=[np.nan, np.nan, np.nan])) print('with fixed loc and scale') print(stats.vonmises.fit_fr(x, frozen=[np.nan, 0.0, 1.0])) print('\nDistribution: gamma') distr = stats.gamma arg, loc, scale = 2.5, 0., 20. for nobs in [200]:#[20000, 1000, 100]: x = distr.rvs(arg, loc=loc, scale=scale, size=nobs) print('\nnobs:', nobs) print('true parameter') print('%f, loc=%f, scale=%f' % (arg, loc, scale)) print('unconstraint') print(distr.fit(x)) print(distr.fit_fr(x, frozen=[np.nan, np.nan, np.nan])) print('with fixed loc and scale') print(distr.fit_fr(x, frozen=[np.nan, 0.0, 1.0])) print('with fixed loc') print(distr.fit_fr(x, frozen=[np.nan, 0.0, np.nan])) ex = ['gamma', 'vonmises'][0] if ex == 'gamma': distr = stats.gamma arg, loc, scale = 2.5, 0., 1 elif ex == 'vonmises': distr = stats.vonmises arg, loc, scale = 1.5, 0., 1 else: raise ValueError('wrong example') nobs = 100 nrepl = 1000 sample = distr.rvs(arg, loc=loc, scale=scale, size=nobs) print('\nDistribution:', distr) if 'bootstrap' in examplecases: print('\nBootstrap') bres = distfitbootstrap(sample, distr, nrepl=nrepl ) printresults(sample, arg, bres) if 'montecarlo' in examplecases: print('\nMonteCarlo') mcres = distfitmc(sample, distr, nrepl=nrepl, distkwds=dict(arg=arg, loc=loc, scale=scale)) printresults(sample, arg, mcres, kind='montecarlo')