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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851 852 853 854 855 856 857 858 859 860 861 862
|
#' LOO predictive checks
#'
#' Leave-One-Out (LOO) predictive checks. See the **Plot Descriptions** section,
#' below, and [Gabry et al. (2019)](https://github.com/jgabry/bayes-vis-paper#readme)
#' for details.
#'
#' @name PPC-loo
#' @family PPCs
#' @template args-y-yrep
#' @param ... Currently unused.
#' @param lw A matrix of (smoothed) log weights with the same dimensions as
#' `yrep`. See [loo::psis()] and the associated `weights()` method as well as
#' the **Examples** section, below. If `lw` is not specified then
#' `psis_object` can be provided and log weights will be extracted.
#' @param psis_object If using **loo** version `2.0.0` or greater, an
#' object returned by the `psis()` function (or by the `loo()` function
#' with argument `save_psis` set to `TRUE`).
#' @param alpha,size,fatten,linewidth Arguments passed to code geoms to control
#' plot aesthetics. For `ppc_loo_pit_qq()` and `ppc_loo_pit_overlay()`,`size`
#' and `alpha` are passed to [ggplot2::geom_point()] and
#' [ggplot2::geom_density()], respectively. For `ppc_loo_intervals()`, `size`
#' `linewidth` and `fatten` are passed to [ggplot2::geom_pointrange()]. For
#' `ppc_loo_ribbon()`, `alpha` and `size` are passed to
#' [ggplot2::geom_ribbon()].
#'
#' @template return-ggplot
#'
#' @section Plot Descriptions:
#' \describe{
#' \item{`ppc_loo_pit_overlay()`, `ppc_loo_pit_qq()`, `ppc_loo_pit_ecdf()`}{
#' The calibration of marginal predictions can be assessed using probability
#' integral transformation (PIT) checks. LOO improves the check by avoiding the
#' double use of data. See the section on marginal predictive checks in Gelman
#' et al. (2013, p. 152--153) and section 5 of Gabry et al. (2019) for an
#' example of using **bayesplot** for these checks.
#'
#' The LOO PIT values are asymptotically uniform (for continuous data) if the
#' model is calibrated. The `ppc_loo_pit_overlay()` function creates a plot
#' comparing the density of the LOO PITs (thick line) to the density estimates
#' of many simulated data sets from the standard uniform distribution (thin
#' lines). See Gabry et al. (2019) for an example of interpreting the shape of
#' the miscalibration that can be observed in these plots.
#'
#' The `ppc_loo_pit_qq()` function provides an alternative visualization of
#' the miscalibration with a quantile-quantile (Q-Q) plot comparing the LOO
#' PITs to the standard uniform distribution. Comparing to the uniform is not
#' good for extreme probabilities close to 0 and 1, so it can sometimes be
#' useful to set the `compare` argument to `"normal"`, which will
#' produce a Q-Q plot comparing standard normal quantiles calculated from the
#' PIT values to the theoretical standard normal quantiles. This can help see
#' the (mis)calibration better for the extreme values. However, in most cases
#' we have found that the overlaid density plot (`ppc_loo_pit_overlay()`)
#' function will provide a clearer picture of calibration problems than the
#' Q-Q plot.
#'
#' The `ppc_loo_pit_ecdf()` function visualizes the empirical cumulative
#' distribution function (ECDF) of the LOO PITs overlaid with simultaneous
#' confidence intervals for a standard uniform sample. For large samples,
#' these confidence intervals are visually very narrow. Setting the
#' `plot_diff` argument to `TRUE` transforms the plot to display the
#' difference of the ECDF and the theoretical expectation, which can aid in
#' the visual assessment of calibration.
#' }
#' \item{`ppc_loo_intervals()`, `ppc_loo_ribbon()`}{
#' Similar to [ppc_intervals()] and [ppc_ribbon()] but the intervals are for
#' the LOO predictive distribution.
#' }
#' }
#'
#' @templateVar bdaRef (p. 152--153)
#' @template reference-bda
#' @template reference-vis-paper
#' @template reference-loo
#'
#' @examples
#' \dontrun{
#' library(rstanarm)
#' library(loo)
#'
#' head(radon)
#' fit <- stan_lmer(
#' log_radon ~ floor + log_uranium + floor:log_uranium
#' + (1 + floor | county),
#' data = radon,
#' iter = 100,
#' chains = 2,
#' cores = 2
#' )
#' y <- radon$log_radon
#' yrep <- posterior_predict(fit)
#'
#' loo1 <- loo(fit, save_psis = TRUE, cores = 4)
#' psis1 <- loo1$psis_object
#' lw <- weights(psis1) # normalized log weights
#'
#' # marginal predictive check using LOO probability integral transform
#' color_scheme_set("orange")
#' ppc_loo_pit_overlay(y, yrep, lw = lw)
#'
#' ppc_loo_pit_qq(y, yrep, lw = lw)
#' ppc_loo_pit_qq(y, yrep, lw = lw, compare = "normal")
#'
#' # predictive calibration check using LOO probability integral transform
#' ppc_loo_pit_ecdf(y, yrep, lw)
#'
#' # With `plot_diff = TRUE` it is easier to assess the calibration.
#' ppc_loo_pit_ecdf(y, yrep, lw, plot_diff = TRUE)
#'
#' # can use the psis object instead of lw
#' ppc_loo_pit_qq(y, yrep, psis_object = psis1)
#'
#' # loo predictive intervals vs observations
#' keep_obs <- 1:50
#' ppc_loo_intervals(y, yrep, psis_object = psis1, subset = keep_obs)
#'
#' color_scheme_set("gray")
#' ppc_loo_intervals(y, yrep,
#' psis_object = psis1, subset = keep_obs,
#' order = "median"
#' )
#' }
#'
NULL
#' @rdname PPC-loo
#' @export
#' @param pit For `ppc_loo_pit_overlay()`, `ppc_loo_pit_qq()`, and
#' `ppc_loo_pit_ecdf()` optionally a vector of precomputed PIT values that
#' can be specified instead of `y`, `yrep`, and `lw` (these are all ignored
#' if `pit` is specified). If not specified the PIT values are computed
#' internally before plotting.
#' @param samples For `ppc_loo_pit_overlay()`, the number of data sets (each
#' the same size as `y`) to simulate from the standard uniform
#' distribution. The default is 100. The density estimate of each dataset is
#' plotted as a thin line in the plot, with the density estimate of the LOO
#' PITs overlaid as a thicker dark line.
#' @param compare For `ppc_loo_pit_qq()`, a string that can be either
#' `"uniform"` or `"normal"`. If `"uniform"` (the default) the Q-Q plot
#' compares computed PIT values to the standard uniform distribution. If
#' `compare="normal"`, the Q-Q plot compares standard normal quantiles
#' calculated from the PIT values to the theoretical standard normal
#' quantiles.
#' @param trim Passed to [ggplot2::stat_density()].
#' @template args-density-controls
#' @param boundary_correction For `ppc_loo_pit_overlay()`, when set to `TRUE`
#' (the default) the function will compute boundary corrected density values
#' via convolution and a Gaussian filter, also known as the reflection method
#' (Boneva et al., 1971). As a result, parameters controlling the standard
#' kernel density estimation such as `adjust`, `kernel` and `n_dens` are
#' ignored. NOTE: The current implementation only works well for continuous
#' observations.
#' @param grid_len For `ppc_loo_pit_overlay()`, when `boundary_correction` is
#' set to `TRUE` this parameter specifies the number of points used to
#' generate the estimations. This is set to 512 by default.
#'
#' @references Boneva, L. I., Kendall, D., & Stefanov, I. (1971). Spline
#' transformations: Three new diagnostic aids for the statistical
#' data-analyst. *J. R. Stat. Soc. B* (Methodological), 33(1), 1-71.
#' https://www.jstor.org/stable/2986005.
#'
ppc_loo_pit_overlay <- function(y,
yrep,
lw = NULL,
...,
psis_object = NULL,
pit = NULL,
samples = 100,
size = 0.25,
alpha = 0.7,
boundary_correction = TRUE,
grid_len = 512,
bw = "nrd0",
trim = FALSE,
adjust = 1,
kernel = "gaussian",
n_dens = 1024) {
check_ignored_arguments(..., ok_args = list("moment_match"))
data <-
ppc_loo_pit_data(
y = y,
yrep = yrep,
lw = lw,
psis_object = psis_object,
pit = pit,
samples = samples,
bw = bw,
boundary_correction = boundary_correction,
grid_len = grid_len
)
if (!missing(y) && all(y %in% 0:1)) {
warning(
"This plot is not recommended for binary data. ",
"For plots that are more suitable see ",
"\nhttps://avehtari.github.io/modelselection/diabetes.html#44_calibration_of_predictions",
call. = FALSE
)
}
message(paste(
"NOTE: The kernel density estimate assumes continuous observations",
"and is not optimal for discrete observations."
))
if (boundary_correction) {
p <- ggplot(data) +
aes(x = .data$x, y = .data$value) +
geom_line(
aes(group = .data$rep_id, color = "yrep"),
data = function(x) dplyr::filter(x, !.data$is_y),
alpha = alpha,
linewidth = size,
na.rm = TRUE
) +
geom_line(
aes(color = "y"),
data = function(x) dplyr::filter(x, .data$is_y),
linewidth = 1,
lineend = "round",
na.rm = TRUE
) +
scale_x_continuous(
limits = c(0, 1),
expand = expansion(0, 0.01),
breaks = seq(0, 1, by = 0.25),
labels = c("0", "0.25", "0.5", "0.75", "1")
)
} else {
p <- ggplot(data) +
aes(x = .data$value) +
stat_density(
aes(group = .data$rep_id, color = "yrep"),
data = function(x) dplyr::filter(x, !.data$is_y),
geom = "line",
position = "identity",
linewidth = size,
alpha = alpha,
trim = trim,
bw = bw,
adjust = adjust,
kernel = kernel,
n = n_dens,
na.rm = TRUE
) +
stat_density(
aes(color = "y"),
data = function(x) dplyr::filter(x, .data$is_y),
geom = "line",
position = "identity",
lineend = "round",
linewidth = 1,
trim = trim,
bw = bw,
adjust = adjust,
kernel = kernel,
n = n_dens,
na.rm = TRUE
) +
scale_x_continuous(
limits = c(0.05, 0.95),
expand = expansion(0, 0),
breaks = seq(from = .1, to = .9, by = .2)
)
}
p +
scale_color_ppc(labels = c("PIT", "Unif")) +
scale_y_continuous(
limits = c(0, NA),
expand = expansion(mult = c(0, .25))
) +
bayesplot_theme_get() +
yaxis_title(FALSE) +
xaxis_title(FALSE) +
yaxis_text(FALSE) +
yaxis_ticks(FALSE)
}
#' @rdname PPC-loo
#' @export
ppc_loo_pit_data <-
function(y,
yrep,
lw = NULL,
...,
psis_object = NULL,
pit = NULL,
samples = 100,
bw = "nrd0",
boundary_correction = TRUE,
grid_len = 512) {
if (!is.null(pit)) {
stopifnot(is.numeric(pit), is_vector_or_1Darray(pit))
inform("'pit' specified so ignoring 'y','yrep','lw' if specified.")
} else {
suggested_package("rstantools")
y <- validate_y(y)
yrep <- validate_predictions(yrep, length(y))
lw <- .get_lw(lw, psis_object)
stopifnot(identical(dim(yrep), dim(lw)))
pit <- rstantools::loo_pit(object = yrep, y = y, lw = lw)
}
if (!boundary_correction) {
unifs <- matrix(runif(length(pit) * samples), nrow = samples)
data <- ppc_data(pit, unifs)
} else {
unifs <- matrix(runif(grid_len * samples), nrow = samples)
ref_list <- .ref_kde_correction(unifs, bw = bw, grid_len = grid_len)
pit_list <- .kde_correction(pit, bw = bw, grid_len = grid_len)
pit <- pit_list$bc_pvals
unifs <- ref_list$unifs
xs <- c(pit_list$xs, ref_list$xs)
data <-
ppc_data(pit, unifs) %>%
dplyr::arrange(.data$rep_id) %>%
mutate(x = xs)
}
data
}
#' @rdname PPC-loo
#' @export
ppc_loo_pit_qq <- function(y,
yrep,
lw = NULL,
...,
psis_object = NULL,
pit = NULL,
compare = c("uniform", "normal"),
size = 2,
alpha = 1) {
check_ignored_arguments(..., ok_args = list("moment_match"))
compare <- match.arg(compare)
if (!is.null(pit)) {
stopifnot(is.numeric(pit), is_vector_or_1Darray(pit))
inform("'pit' specified so ignoring 'y','yrep','lw' if specified.")
} else {
suggested_package("rstantools")
y <- validate_y(y)
yrep <- validate_predictions(yrep, length(y))
lw <- .get_lw(lw, psis_object)
stopifnot(identical(dim(yrep), dim(lw)))
pit <- rstantools::loo_pit(object = yrep, y = y, lw = lw)
}
if (compare == "uniform") {
theoretical <- stats::qunif
x_lab <- "Uniform"
y_lab <- "LOO-PIT"
} else {
pit <- as.vector(stats::qnorm(pit))
theoretical <- stats::qnorm
x_lab <- "Normal"
y_lab <- "LOO-PIT (standard normal quantiles)"
}
qq <- ggplot(data.frame(p = pit)) +
geom_qq(
aes(sample = .data$p),
distribution = theoretical,
color = get_color("m"),
size = size,
alpha = alpha
) +
geom_abline(
linetype = 2,
color = "black"
) +
bayesplot_theme_get() +
labs(x = x_lab, y = y_lab)
if (compare == "uniform") {
qq + lims(x = c(0, 1), y = c(0, 1))
} else {
qq
}
}
#' @rdname PPC-loo
#' @export
#' @param K For `ppc_loo_pit_ecdf()` an optional integer defining the number
#' of equally spaced evaluation points for the PIT-ECDF. Reducing K when
#' using `interpolate_adj = FALSE` makes computing the confidence bands
#' faster. If `pit` is supplied, defaults to `length(pit)`, otherwise
#' `yrep` determines the maximum accuracy of the estimated PIT values and
#' `K` is set to `min(nrow(yrep) + 1, 1000)`.
#' @param plot_diff For `ppc_loo_pit_ecdf()`, a boolean defining whether to
#' plot the difference between the observed PIT-ECDF and the theoretical
#' expectation for uniform PIT values rather than plotting the regular ECDF.
#' The default is `FALSE`, but for large samples we recommend setting
#' `plot_diff = TRUE` to better use the plot area.
#' @param interpolate_adj For `ppc_loo_pit_ecdf()`, a boolean defining if the
#' simultaneous confidence bands should be interpolated based on precomputed
#' values rather than computed exactly. Computing the bands may be
#' computationally intensive and the approximation gives a fast method for
#' assessing the ECDF trajectory. The default is to use interpolation if `K`
#' is greater than 200.
ppc_loo_pit_ecdf <- function(y,
yrep,
lw = NULL,
...,
psis_object = NULL,
pit = NULL,
K = NULL,
prob = .99,
plot_diff = FALSE,
interpolate_adj = NULL) {
check_ignored_arguments(..., ok_args = list("moment_match"))
if (!is.null(pit)) {
inform("'pit' specified so ignoring 'y','yrep','lw' if specified.")
pit <- validate_pit(pit)
if (is.null(K)) {
K <- length(pit)
}
} else {
suggested_package("rstantools")
y <- validate_y(y)
yrep <- validate_predictions(yrep, length(y))
lw <- .get_lw(lw, psis_object)
stopifnot(identical(dim(yrep), dim(lw)))
pit <- pmin(1, rstantools::loo_pit(object = yrep, y = y, lw = lw))
if (is.null(K)) {
K <- min(nrow(yrep) + 1, 1000)
}
}
n_obs <- length(pit)
gamma <- adjust_gamma(
N = n_obs,
K = K,
prob = prob,
interpolate_adj = interpolate_adj
)
lims <- ecdf_intervals(gamma = gamma, N = n_obs, K = K)
ggplot() +
aes(
x = seq(0, 1, length.out = K),
y = ecdf(pit)(seq(0, 1, length.out = K)) -
(plot_diff == TRUE) * seq(0, 1, length.out = K),
color = "y"
) +
geom_step(show.legend = FALSE) +
geom_step(
aes(
y = lims$upper[-1] / n_obs -
(plot_diff == TRUE) * seq(0, 1, length.out = K),
color = "yrep"
),
linetype = 2, show.legend = FALSE
) +
geom_step(
aes(
y = lims$lower[-1] / n_obs -
(plot_diff == TRUE) * seq(0, 1, length.out = K),
color = "yrep"
),
linetype = 2, show.legend = FALSE
) +
labs(y = ifelse(plot_diff, "ECDF difference", "ECDF"), x = "LOO PIT") +
yaxis_ticks(FALSE) +
scale_color_ppc() +
bayesplot_theme_get()
}
#' @rdname PPC-loo
#' @export
ppc_loo_pit <-
function(y,
yrep,
lw,
pit = NULL,
compare = c("uniform", "normal"),
...,
size = 2,
alpha = 1) {
.Deprecated("ppc_loo_pit_qq or ppc_loo_pit_overlay")
ppc_loo_pit_qq(
y = y,
yrep = yrep,
lw = lw,
pit = pit,
compare = compare,
size = size,
alpha = alpha,
...
)
}
#' @rdname PPC-loo
#' @export
#' @param intervals For `ppc_loo_intervals()` and `ppc_loo_ribbon()`, optionally
#' a matrix of pre-computed LOO predictive intervals that can be specified
#' instead of `yrep` (ignored if `intervals` is specified). If not specified
#' the intervals are computed internally before plotting. If specified,
#' `intervals` must be a matrix with number of rows equal to the number of
#' data points and five columns in the following order: lower outer interval,
#' lower inner interval, median (50%), upper inner interval and upper outer
#' interval (column names are ignored).
#' @param order For `ppc_loo_intervals()`, a string indicating how to arrange
#' the plotted intervals. The default (`"index"`) is to plot them in the
#' order of the observations. The alternative (`"median"`) arranges them
#' by median value from smallest (left) to largest (right).
#' @param prob,prob_outer Values between `0` and `1` indicating the desired
#' probability mass to include in the inner and outer intervals. The defaults
#' are `prob=0.5` and `prob_outer=0.9` for `ppc_loo_intervals()` and
#' `prob = 0.99` for `ppc_loo_pit_ecdf()`.
#' @param subset For `ppc_loo_intervals()` and `ppc_loo_ribbon()`, an optional
#' integer vector indicating which observations in `y` (and `yrep`) to
#' include. Dropping observations from `y` and `yrep` manually before passing
#' them to the plotting function will not work because the dimensions will not
#' match up with the dimensions of `psis_object`, but if all of `y` and `yrep`
#' are passed along with `subset` then **bayesplot** can do the subsetting
#' internally for `y`, `yrep` *and* `psis_object`. See the **Examples**
#' section for a demonstration.
#'
ppc_loo_intervals <-
function(y,
yrep,
psis_object,
...,
subset = NULL,
intervals = NULL,
prob = 0.5,
prob_outer = 0.9,
alpha = 0.33,
size = 1,
fatten = 2.5,
linewidth = 1,
order = c("index", "median")) {
check_ignored_arguments(..., ok_args = list("moment_match"))
y <- validate_y(y)
order_by_median <- match.arg(order) == "median"
if (!is.null(intervals)) {
stopifnot(is.matrix(intervals), ncol(intervals) %in% c(3, 5))
inform(paste(
"'intervals' specified so ignoring",
"'yrep', 'psis_object', 'subset', if specified."
))
if (ncol(intervals) == 3) {
intervals <- cbind(intervals[, 1], intervals, intervals[, 3])
}
} else {
suggested_package("loo", min_version = "2.0.0")
yrep <- validate_predictions(yrep, length(y))
if (!is.null(subset)) {
stopifnot(length(y) >= length(subset))
y <- y[subset]
yrep <- yrep[, subset, drop = FALSE]
psis_object <- .psis_subset(psis_object, subset)
}
probs <- sort(c(prob, prob_outer))
a <- (1 - probs) / 2
stopifnot(identical(dim(psis_object), dim(yrep)))
intervals <- suppressWarnings(t(loo::E_loo(
x = yrep,
psis_object = psis_object,
type = "quantile",
probs = sort(c(a, 0.5, 1 - a))
)$value))
}
x <- seq_along(y)
if (order_by_median) {
x <- reorder(x, intervals[, 2])
}
xy_labs <- if (order_by_median) {
labs(x = "Ordered by median", y = NULL)
} else {
intervals_axis_labels(has_x = FALSE)
}
data <- .loo_intervals_data(y, x, intervals)
ggplot(data) +
intervals_inner_aes(
needs_y = TRUE,
color = "yrep",
fill = "yrep"
) +
geom_linerange(
mapping = intervals_outer_aes(color = "yrep"),
alpha = alpha,
size = size
) +
geom_pointrange(
shape = 21,
stroke = 0.5,
linewidth = linewidth,
size = size,
fatten = fatten
) +
geom_point(
mapping = aes(
y = .data$y_obs,
color = "y",
fill = "y"
),
shape = 21,
stroke = 0.5,
size = 1
) +
scale_color_ppc() +
scale_fill_ppc() +
bayesplot_theme_get() +
xy_labs +
xaxis_text(!order_by_median) +
xaxis_ticks(!order_by_median)
}
#' @rdname PPC-loo
#' @export
ppc_loo_ribbon <-
function(y,
yrep,
psis_object,
...,
subset = NULL,
intervals = NULL,
prob = 0.5,
prob_outer = 0.9,
alpha = 0.33,
size = 0.25) {
check_ignored_arguments(..., ok_args = list("moment_match"))
y <- validate_y(y)
if (!is.null(intervals)) {
stopifnot(is.matrix(intervals), ncol(intervals) %in% c(3, 5))
inform(paste(
"'intervals' specified so ignoring",
"'yrep', 'psis_object', 'subset', if specified."
))
if (ncol(intervals) == 3) {
intervals <- cbind(intervals[, 1], intervals, intervals[, 3])
}
} else {
suggested_package("loo", min_version = "2.0.0")
yrep <- validate_predictions(yrep, length(y))
if (!is.null(subset)) {
stopifnot(length(y) >= length(subset))
y <- y[subset]
yrep <- yrep[, subset, drop = FALSE]
psis_object <- .psis_subset(psis_object, subset)
}
probs <- sort(c(prob, prob_outer))
a <- (1 - probs) / 2
stopifnot(identical(dim(psis_object), dim(yrep)))
intervals <- suppressWarnings(t(loo::E_loo(
x = yrep,
psis_object = psis_object,
type = "quantile",
probs = sort(c(a, 0.5, 1 - a))
)$value))
}
data <- .loo_intervals_data(y, x = seq_along(y), intervals)
ggplot(data) +
intervals_inner_aes(fill = "yrep", color = "yrep") +
geom_ribbon(
mapping = intervals_outer_aes(fill = "yrep", color = "yrep"),
alpha = alpha,
linewidth = 0.05
) +
geom_ribbon(
mapping = intervals_outer_aes(),
alpha = 1,
linewidth = 0.05,
fill = NA,
color = get_color("m")
) +
geom_ribbon(linewidth = 0.05) +
geom_line(
mapping = aes(y = .data$m),
color = get_color("m"),
linewidth = size
) +
geom_blank(aes(fill = "y")) +
geom_line(
aes(y = .data$y_obs, color = "y"),
linewidth = 0.5,
alpha = 2 / 3
) +
scale_color_ppc() +
scale_fill_ppc(values = c(NA, get_color("l"))) +
intervals_axis_labels(has_x = FALSE) +
bayesplot_theme_get()
}
# internal ----------------------------------------------------------------
.loo_intervals_data <- function(y, x, intervals) {
stopifnot(length(y) == nrow(intervals), length(x) == length(y))
tibble::tibble(
y_id = seq_along(y),
y_obs = y,
x = x,
ll = intervals[, 1],
l = intervals[, 2],
m = intervals[, 3],
h = intervals[, 4],
hh = intervals[, 5]
)
}
# subset a psis_object without breaking it
# (FIXME: use function from loo package when subset.psis() method becomes available)
.psis_subset <- function(psis_object, subset) {
stopifnot(all(subset == as.integer(subset)))
if (length(subset) > dim(psis_object)[2]) {
abort("'subset' has too many elements.")
}
psis_object$log_weights <- psis_object$log_weights[, subset, drop = FALSE]
psis_object$diagnostics$pareto_k <- psis_object$diagnostics$pareto_k[subset]
psis_object$diagnostics$n_eff <- psis_object$diagnostics$n_eff[subset]
attr(psis_object, "dims") <- c(dim(psis_object)[1], length(subset))
attr(psis_object, "norm_const_log") <- attr(psis_object, "norm_const_log")[subset]
attr(psis_object, "tail_len") <- attr(psis_object, "tail_len")[subset]
attr(psis_object, "r_eff") <- attr(psis_object, "r_eff")[subset]
psis_object
}
## Boundary correction based on code by ArViz development team
# The main method is a 1-D density estimation for linear data with
# convolution with a Gaussian filter.
# Based on scipy.signal.gaussian formula
.gaussian <- function(N, bw) {
n <- seq(0, N - 1) - (N - 1) / 2
sigma <- 2 * bw * bw
w <- exp(-n^2 / sigma)
return(w)
}
.linear_convolution <- function(x,
bw,
grid_counts,
grid_breaks,
grid_len) {
# 1-D Gaussian estimation via
# convolution of a Gaussian filter and the binned relative freqs
bin_width <- grid_breaks[2] - grid_breaks[1]
f <- grid_counts / bin_width / length(x)
bw <- bw / bin_width
# number of data points to generate for gaussian filter
gauss_n <- as.integer(bw * 2 * pi)
if (gauss_n == 0) {
gauss_n <- 1
}
# Generate Gaussian filter vector
kernel <- .gaussian(gauss_n, bw)
npad <- as.integer(grid_len / 5)
# Reflection method (i.e. get first N and last N points to pad vector)
f <- c(
rev(f[1:(npad)]),
f,
rev(f)[(grid_len - npad):(grid_len - 1)]
)
# Convolution: Gaussian filter + reflection method (pading) works as an
# averaging moving window based on a Gaussian density which takes care
# of the density boundary values near 0 and 1.
bc_pvals <- stats::filter(f,
kernel,
method = "convolution",
sides = 2
)[(npad + 1):(npad + grid_len)]
bc_pvals / (bw * (2 * pi)^0.5)
}
.kde_correction <- function(x,
bw,
grid_len) {
# Generate boundary corrected values via a linear convolution using a
# 1-D Gaussian window filter. This method uses the "reflection method"
# to estimate these pvalues and helps speed up the code
if (any(is.infinite(x))) {
warning(paste(
"Ignored", sum(is.infinite(x)),
"Non-finite PIT values are invalid for KDE boundary correction method"
))
x <- x[is.finite(x)]
}
if (grid_len < 100) {
grid_len <- 100
}
# Get relative frequency boundaries and counts for input vector
bins <- seq(from = min(x), to = max(x), length.out = grid_len + 1)
hist_obj <- graphics::hist(x, breaks = bins, plot = FALSE)
grid_breaks <- hist_obj$breaks
grid_counts <- hist_obj$counts
# Compute bandwidth based on use specification
bw <- stats::density(x, bw = bw)$bw
# 1-D Convolution
bc_pvals <- .linear_convolution(x, bw, grid_counts, grid_breaks, grid_len)
# Generate vector of x-axis values for plotting based on binned relative freqs
n_breaks <- length(grid_breaks)
xs <- (grid_breaks[2:n_breaks] + grid_breaks[1:(n_breaks - 1)]) / 2
first_nonNA <- utils::head(which(!is.na(bc_pvals)), 1)
last_nonNA <- utils::tail(which(!is.na(bc_pvals)), 1)
bc_pvals[1:first_nonNA] <- bc_pvals[first_nonNA]
bc_pvals[last_nonNA:length(bc_pvals)] <- bc_pvals[last_nonNA]
list(xs = xs, bc_pvals = bc_pvals)
}
# Wrapper function to generate runif reference lines based on
# .kde_correction()
.ref_kde_correction <- function(unifs, bw, grid_len) {
# Allocate memory
idx <- seq(
from = 1,
to = ncol(unifs) * nrow(unifs) + ncol(unifs),
by = ncol(unifs)
)
idx <- c(idx, ncol(unifs) * nrow(unifs))
xs <- rep(0, ncol(unifs) * nrow(unifs))
bc_mat <- matrix(0, nrow(unifs), ncol(unifs))
# Generate boundary corrected reference values
for (i in 1:nrow(unifs)) {
bc_list <- .kde_correction(unifs[i, ],
bw = bw,
grid_len = grid_len
)
bc_mat[i, ] <- bc_list$bc_pvals
xs[idx[i]:(idx[i + 1] - 1)] <- bc_list$xs
}
list(xs = xs, unifs = bc_mat)
}
# Extract log weights from psis_object if provided
.get_lw <- function(lw = NULL, psis_object = NULL) {
if (is.null(lw) && is.null(psis_object)) {
abort("One of 'lw' and 'psis_object' must be specified.")
} else if (is.null(lw)) {
suggested_package("loo", min_version = "2.0.0")
if (!loo::is.psis(psis_object)) {
abort("If specified, 'psis_object' must be a PSIS object from the loo package.")
}
lw <- loo::weights.importance_sampling(psis_object)
}
lw
}
|