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package statmodel
import (
"bytes"
"fmt"
"math"
"os"
"strings"
"gonum.org/v1/gonum/mat"
)
// Dtype is a type alias that is used to define the datatype of all data
// passed to the statistical models. It should be set to float64 or float32.
type Dtype = float64
// Dataset defines a way to pass data to a statistical model.
type Dataset interface {
// Data returns all variables in the dataset, stored column-wise.
Data() [][]Dtype
// Names returns the names of the variables in the dataset,
// in the same order as the data are stored in the Data field.
Names() []string
}
// basicData is a simple default implementation of the Dataset interface.
type basicData struct {
data [][]Dtype
names []string
}
// NewDataset returns a dataset containing the given data columns.
func NewDataset(data [][]Dtype, names []string) Dataset {
if len(data) != len(names) {
msg := fmt.Sprintf("len(data)=%d and len(names)=%d are not compatible\n", len(data), len(names))
panic(msg)
}
return &basicData{
data: data,
names: names,
}
}
func (bd *basicData) Data() [][]Dtype {
return bd.data
}
func (bd *basicData) Names() []string {
return bd.names
}
// HessType indicates the type of a Hessian matrix for a log-likelihood.
type HessType int
// ObsHess (observed Hessian) and ExpHess (expected Hessian) are the two type of log-likelihood
// Hessian matrices
const (
ObsHess HessType = iota
ExpHess
)
// Parameter is the parameter of a model.
type Parameter interface {
// Get the coefficients of the covariates in the linear
// predictor. The returned value should be a reference so
// that changes to it lead to corresponding changes in the
// parameter itself.
GetCoeff() []float64
// Set the coefficients of the covariates in the linear
// predictor.
SetCoeff([]float64)
// Clone creates a deep copy of the Parameter struct.
Clone() Parameter
}
// RegFitter is a regression model that can be fit to data.
type RegFitter interface {
// Number of parameters in the model.
NumParams() int
// Number of observations in the data set
NumObs() int
// Positions of the covariates
Xpos() []int
Dataset() [][]Dtype
// The log-likelihood function
LogLike(Parameter, bool) float64
// The score vector
Score(Parameter, []float64)
// The Hessian matrix
Hessian(Parameter, HessType, []float64)
}
// BaseResultser is a fitted model that can produce results (parameter estimates, etc.).
type BaseResultser interface {
Model() RegFitter
Names() []string
LogLike() float64
Params() []float64
VCov() []float64
StdErr() []float64
ZScores() []float64
PValues() []float64
}
// BaseResults contains the results after fitting a model to data.
type BaseResults struct {
model RegFitter
loglike float64
params []float64
xnames []string
vcov []float64
stderr []float64
zscores []float64
pvalues []float64
}
// NewBaseResults returns a BaseResults corresponding to the given fitted model.
func NewBaseResults(model RegFitter, loglike float64, params []float64, xnames []string, vcov []float64) BaseResults {
return BaseResults{
model: model,
loglike: loglike,
params: params,
xnames: xnames,
vcov: vcov,
}
}
// Model produces the model value used to produce the results.
func (rslt *BaseResults) Model() RegFitter {
return rslt.model
}
// FittedValues returns the fitted linear predictor for a regression
// model. If da is nil, the fitted values are based on the data used
// to fit the model. Otherwise, the provided data stream is used to
// produce the fitted values, so it must have the same columns as the
// training data.
func (rslt *BaseResults) FittedValues(da [][]Dtype) []float64 {
xpos := rslt.model.Xpos()
if da == nil {
// Use training data to get the fitted values
da = rslt.model.Dataset()
}
if len(da) != len(rslt.model.Dataset()) {
msg := fmt.Sprintf("Data has incorrect number of columns, %d != %d\n",
len(da), len(rslt.model.Dataset()))
panic(msg)
}
fv := make([]float64, rslt.model.NumObs())
for k, j := range xpos {
z := da[j]
for i := range z {
fv[i] += rslt.params[k] * float64(z[i])
}
}
return fv
}
// Names returns the covariate names for the variables in the model.
func (rslt *BaseResults) Names() []string {
return rslt.xnames
}
// Params returns the point estimates for the parameters in the model.
func (rslt *BaseResults) Params() []float64 {
return rslt.params
}
// VCov returns the sampling variance/covariance model for the parameters in the model.
// The matrix is vetorized to one dimension.
func (rslt *BaseResults) VCov() []float64 {
return rslt.vcov
}
// LogLike returns the log-likelihood or objective function value for the fitted model.
func (rslt *BaseResults) LogLike() float64 {
return rslt.loglike
}
// StdErr returns the standard errors for the parameters in the model.
func (rslt *BaseResults) StdErr() []float64 {
// No vcov, no standard error
if rslt.vcov == nil {
return nil
}
p := rslt.model.NumParams()
if rslt.stderr == nil {
rslt.stderr = make([]float64, p)
} else {
return rslt.stderr
}
for i := range rslt.stderr {
rslt.stderr[i] = math.Sqrt(rslt.vcov[i*p+i])
}
return rslt.stderr
}
// ZScores returns the Z-scores (the parameter estimates divided by the standard errors).
func (rslt *BaseResults) ZScores() []float64 {
// No vcov, no z-scores
if rslt.vcov == nil {
return nil
}
p := rslt.model.NumParams()
if rslt.zscores == nil {
rslt.zscores = make([]float64, p)
} else {
return rslt.zscores
}
std := rslt.StdErr()
for i := range std {
rslt.zscores[i] = rslt.params[i] / std[i]
}
return rslt.zscores
}
func normcdf(x float64) float64 {
return 0.5 * math.Erfc(-x/math.Sqrt(2))
}
// PValues returns the p-values for the null hypothesis that each parameter's population
// value is equal to zero.
func (rslt *BaseResults) PValues() []float64 {
// No vcov, no p-values
if rslt.vcov == nil {
return nil
}
p := rslt.model.NumParams()
if rslt.pvalues == nil {
rslt.pvalues = make([]float64, p)
} else {
return rslt.pvalues
}
for i, z := range rslt.zscores {
rslt.pvalues[i] = 2 * normcdf(-math.Abs(z))
}
return rslt.pvalues
}
// GetVcov returns the sampling variance/covariance matrix for the parameter estimates.
func GetVcov(model RegFitter, params Parameter) ([]float64, error) {
nvar := model.NumParams()
n2 := nvar * nvar
hess := make([]float64, n2)
model.Hessian(params, ExpHess, hess)
hmat := mat.NewDense(nvar, nvar, hess)
hessi := make([]float64, n2)
himat := mat.NewDense(nvar, nvar, hessi)
err := himat.Inverse(hmat)
if err != nil {
os.Stderr.Write([]byte("Can't invert Hessian\n"))
return nil, err
}
himat.Scale(-1, himat)
return hessi, nil
}
// SummaryTable holds the summary values for a fitted model.
type SummaryTable struct {
// Title
Title string
// Column names
ColNames []string
// Formatters for the column values
ColFmt []Fmter
// Cols[j] is the j^th column. It's concrete type should
// be an array, e.g. of numbers or strings.
Cols []interface{}
// Values at the top of the summary
Top []string
// Messages displayed below the table
Msg []string
// Total width of the table
tw int
}
// Draw a line constructed of the given character filling the width of
// the table.
func (s *SummaryTable) line(c string) string {
return strings.Repeat(c, s.tw) + "\n"
}
// cleanTop ensures that all fields in the top part of the table have
// the same width.
func (s *SummaryTable) cleanTop() {
w := len(s.Top[0])
for _, x := range s.Top {
if len(x) > w {
w = len(x)
}
}
for i, x := range s.Top {
if len(x) < w {
s.Top[i] = x + strings.Repeat(" ", w-len(x))
}
}
}
// Construct the upper part of the table, which contains summary
// values for the model.
func (s *SummaryTable) top(gap int) string {
w := []int{0, 0}
for j, x := range s.Top {
if len(x) > w[j%2] {
w[j%2] = len(x)
}
}
var b bytes.Buffer
for j, x := range s.Top {
c := fmt.Sprintf("%%-%ds", w[j%2])
b.Write([]byte(fmt.Sprintf(c, x)))
if j%2 == 1 {
b.Write([]byte("\n"))
} else {
b.Write([]byte(strings.Repeat(" ", gap)))
}
}
if len(s.Top)%2 == 1 {
b.Write([]byte("\n"))
}
return b.String()
}
// Fmter formats the elements of an array of values.
type Fmter func(interface{}, string) []string
// String returns the table as a string.
func (s *SummaryTable) String() string {
s.cleanTop()
var tab [][]string
var wx []int
for j, c := range s.Cols {
u := s.ColFmt[j](c, s.ColNames[j])
tab = append(tab, u)
if len(u[0]) > len(s.ColNames[j]) {
wx = append(wx, len(u[0]))
} else {
wx = append(wx, len(s.ColNames[j]))
}
}
gap := 10
// Get the total width of the table
s.tw = 0
for _, w := range wx {
s.tw += w
}
if s.tw < len(s.Title) {
s.tw = len(s.Title)
}
if s.tw < gap+2*len(s.Top[0]) {
s.tw = gap + 2*len(s.Top[0])
}
var buf bytes.Buffer
// Center the title
k := len(s.Title)
kr := (s.tw - k) / 2
if kr < 0 {
kr = 0
}
buf.Write([]byte(strings.Repeat(" ", kr)))
buf.Write([]byte(s.Title))
buf.Write([]byte("\n"))
buf.Write([]byte(s.line("=")))
buf.Write([]byte(s.top(gap)))
buf.Write([]byte(s.line("-")))
for j, c := range s.ColNames {
f := fmt.Sprintf("%%%ds", wx[j])
buf.Write([]byte(fmt.Sprintf(f, c)))
}
buf.Write([]byte("\n"))
buf.Write([]byte(s.line("-")))
for i := 0; i < len(tab[0]); i++ {
for j := 0; j < len(tab); j++ {
f := fmt.Sprintf("%%%ds", wx[j])
buf.Write([]byte(fmt.Sprintf(f, tab[j][i])))
}
buf.Write([]byte("\n"))
}
buf.Write([]byte(s.line("-")))
if len(s.Msg) > 0 {
for _, msg := range s.Msg {
buf.Write([]byte(msg + "\n"))
}
}
return buf.String()
}
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