File: t_FittingTest_std.py

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#! /usr/bin/env python

import openturns as ot
from math import fabs
import openturns.testing as ott

ot.TESTPREAMBLE()


continuousDistributionCollection = ot.DistributionCollection()
discreteDistributionCollection = ot.DistributionCollection()
distributionCollection = ot.DistributionCollection()

beta = ot.Beta(2.0, 1.0, 0.0, 1.0)
distributionCollection.add(beta)
continuousDistributionCollection.add(beta)

gamma = ot.Gamma(1.0, 2.0, 3.0)
distributionCollection.add(gamma)
continuousDistributionCollection.add(gamma)

gumbel = ot.Gumbel(1.0, 2.0)
distributionCollection.add(gumbel)
continuousDistributionCollection.add(gumbel)

lognormal = ot.LogNormal(1.0, 1.0, 2.0)
distributionCollection.add(lognormal)
continuousDistributionCollection.add(lognormal)

logistic = ot.Logistic(1.0, 1.0)
distributionCollection.add(logistic)
continuousDistributionCollection.add(logistic)

normal = ot.Normal(1.0, 2.0)
distributionCollection.add(normal)
continuousDistributionCollection.add(normal)

truncatednormal = ot.TruncatedNormal(1.0, 1.0, 0.0, 3.0)
distributionCollection.add(truncatednormal)
continuousDistributionCollection.add(truncatednormal)

student = ot.Student(10.0, 10.0, 1.0)
distributionCollection.add(student)
continuousDistributionCollection.add(student)

triangular = ot.Triangular(-1.0, 2.0, 4.0)
distributionCollection.add(triangular)
continuousDistributionCollection.add(triangular)

uniform = ot.Uniform(1.0, 2.0)
distributionCollection.add(uniform)
continuousDistributionCollection.add(uniform)

weibull = ot.WeibullMin(1.0, 1.0, 2.0)
distributionCollection.add(weibull)
continuousDistributionCollection.add(weibull)

geometric = ot.Geometric(0.5)
distributionCollection.add(geometric)
discreteDistributionCollection.add(geometric)

binomial = ot.Binomial(10, 0.25)
distributionCollection.add(binomial)
discreteDistributionCollection.add(binomial)

zipf = ot.ZipfMandelbrot(20, 5.25, 2.5)
distributionCollection.add(zipf)
discreteDistributionCollection.add(zipf)

poisson = ot.Poisson(5.0)
distributionCollection.add(poisson)
discreteDistributionCollection.add(poisson)

x = [[1.0], [2.0], [3.0]]
p = [0.3, 0.2, 0.5]
userdefined = ot.UserDefined(x, p)
distributionCollection.add(userdefined)
discreteDistributionCollection.add(userdefined)

size = 100

# Number of continuous distributions
continuousDistributionNumber = continuousDistributionCollection.getSize()
# Number of discrete distributions
discreteDistributionNumber = discreteDistributionCollection.getSize()
# Number of distributions
distributionNumber = continuousDistributionNumber + discreteDistributionNumber

# We create a collection of Sample of size "size" and of
# dimension 1 (scalar values) : the collection has distributionNumber
# Samples

sampleCollection = [ot.Sample(size, 1) for i in range(distributionNumber)]
# We create a collection of Sample of size "size" and of
# dimension 1 (scalar values) : the collection has
# continuousDistributionNumber Samples
continuousSampleCollection = [
    ot.Sample(size, 1) for i in range(continuousDistributionNumber)
]
# We create a collection of Sample of size "size" and of
# dimension 1 (scalar values) : the collection has
# discreteDistributionNumber Samples
discreteSampleCollection = [
    ot.Sample(size, 1) for i in range(discreteDistributionNumber)
]

ot.RandomGenerator.SetSeed(0)
for i in range(continuousDistributionNumber):
    continuousSampleCollection[i] = continuousDistributionCollection[i].getSample(size)
    continuousSampleCollection[i].setName(continuousDistributionCollection[i].getName())
    sampleCollection[i] = continuousSampleCollection[i]
for i in range(discreteDistributionNumber):
    discreteSampleCollection[i] = discreteDistributionCollection[i].getSample(size)
    discreteSampleCollection[i].setName(discreteDistributionCollection[i].getName())
    sampleCollection[continuousDistributionNumber + i] = discreteSampleCollection[i]

factoryCollection = [
    ot.UniformFactory(),
    ot.BetaFactory(),
    ot.NormalFactory(),
    ot.KernelSmoothing(),
]
ot.RandomGenerator.SetSeed(0)
aSample = ot.Uniform(-1.5, 2.5).getSample(size)
model, best_bic = ot.FittingTest.BestModelBIC(aSample, factoryCollection)
print("best model BIC=", repr(model))
model, best_result = ot.FittingTest.BestModelLilliefors(aSample, factoryCollection)
model, best_AIC = ot.FittingTest.BestModelAIC(aSample, factoryCollection)
print("best model AIC=", repr(model))
model, best_AICc = ot.FittingTest.BestModelAICC(aSample, factoryCollection)
print("best model AICc=", repr(model))
print("best model Lilliefors=", repr(model))

# BIC adequation
resultBIC = ot.SquareMatrix(distributionNumber)
for i in range(distributionNumber):
    for j in range(distributionNumber):
        value = ot.FittingTest.BIC(sampleCollection[i], distributionCollection[j], 0)
        # TODO JM: remove the check after the use of infs has been thoroughly tested
        if value < ot.SpecFunc.Infinity:
            resultBIC[i, j] = value
        else:
            resultBIC[i, j] = value * 2.0
print("resultBIC=", repr(resultBIC))

# Kolmogorov test : case with estimated parameters
print("Lilliefors test : case with estimated parameters")
distribution = ot.Normal()
ot.RandomGenerator.SetSeed(0)
sample = distribution.getSample(30)
factory = ot.NormalFactory()
# ot.ResourceMap.SetAsUnsignedInteger(
#    'FittingTest-LillieforsMaximumSamplingSize', 1000000)
# -ot.ResourceMap.SetAsScalar('FittingTest-LillieforsPrecision', 0.0)
fitted_dist, test_result = ot.FittingTest.Lilliefors(sample, factory)
p_exact = 0.50076  # With a sample size equal to 1000000 and a precision equal to 0
pvalue = test_result.getPValue()
rtol = 0.0
atol = 1.0e-2
ott.assert_almost_equal(pvalue, p_exact, rtol, atol)

# Kolmogorov test : case with known parameters
print("Kolmogorov test : case with known parameters")
# Data from PlantGrowth$weight in the MASS R package,
# except the first value which generates a tie
distribution = ot.Normal()
data = (
    5.58,
    5.18,
    6.11,
    4.50,
    4.61,
    5.17,
    4.53,
    5.33,
    5.14,
    4.81,
    4.17,
    4.41,
    3.59,
    5.87,
    3.83,
    6.03,
    4.89,
    4.32,
    4.69,
    6.31,
    5.12,
    5.54,
    5.50,
    5.37,
    5.29,
    4.92,
    6.15,
    5.80,
    5.26,
)
sample = ot.Sample([[x] for x in data])
mean = sample.computeMean()
sample = sample - mean
test_result = ot.FittingTest.Kolmogorov(sample, distribution)
p_exact = 0.8053771610533257963
pvalue = test_result.getPValue()
ott.assert_almost_equal(pvalue, p_exact)
D = test_result.getStatistic()
D_exact = 0.11393533907737134203
ott.assert_almost_equal(D, D_exact)
quality = test_result.getBinaryQualityMeasure()
assert quality
threshold = test_result.getThreshold()
defaultLevel = 0.05
assert threshold == defaultLevel

# Kolmogorov test : case with known parameters, set the level
print("Kolmogorov test : case with known parameters, set the level")
distribution = ot.Normal()
ot.RandomGenerator.SetSeed(0)
sample = distribution.getSample(30)
level = 0.01
test_result = ot.FittingTest.Kolmogorov(sample, distribution, level)
threshold = test_result.getThreshold()
assert threshold == level

# Kolmogorov adequation
resultKolmogorov = ot.SquareMatrix(continuousDistributionNumber)
for i in range(continuousDistributionNumber):
    for j in range(continuousDistributionNumber):
        sample = continuousSampleCollection[i]
        distribution = continuousDistributionCollection[j]
        test_result = ot.FittingTest.Kolmogorov(sample, distribution, 0.05)
        pvalue = test_result.getPValue()
        if fabs(pvalue) < 1.0e-6:
            value = 0.0
        resultKolmogorov[i, j] = value
print("resultKolmogorov=", repr(resultKolmogorov))

# ChiSquared adequation
resultChiSquared = ot.SquareMatrix(discreteDistributionNumber)
for i in range(discreteDistributionNumber):
    for j in range(discreteDistributionNumber):
        try:
            sample = continuousSampleCollection[i]
            distribution = continuousDistributionCollection[j]
            test_result = ot.FittingTest.ChiSquared(sample, distribution, 0.05, 0)
            pvalue = test_result.getPValue()
            if fabs(pvalue) < 1.0e-6:
                value = 0.0
            resultChiSquared[i, j] = value
        except Exception:
            print(
                "Sample=",
                discreteSampleCollection[i],
                " is not compatible with distribution=",
                discreteDistributionCollection[j],
            )
print("resultChiSquared=", repr(resultChiSquared))
# Example taken from the R documentation of chisq.test
s = [[0.0]] * 89 + [[1.0]] * 37 + [[2.0]] * 30 + [[3.0]] * 28 + [[4.0]] * 2
d = ot.UserDefined([[0.0], [1.0], [2.0], [3.0], [4.0]], [0.4, 0.2, 0.2, 0.15, 0.05])
print("R example p-value=%.5g" % ot.FittingTest.ChiSquared(s, d).getPValue())