1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260
|
#! /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())
|