void betabinom(){
apop_model *beta = apop_model_set_parameters(apop_beta, 10, 5);
apop_model *drawfrom = apop_model_copy(apop_multinomial);
drawfrom->parameters = apop_data_falloc((2), 30, .4);
drawfrom->dsize = 2;
int draw_ct = 80;
apop_data *draws = apop_model_draws(drawfrom, draw_ct);
apop_model *betaup = apop_update(draws, beta, apop_binomial);
apop_model_show(betaup);
beta->more = apop_beta;
beta->log_likelihood = fake_ll;
apop_model *bi = apop_model_fix_params(apop_model_set_parameters(apop_binomial, 30, NAN));
apop_model *upd = apop_update(draws, beta, bi);
apop_model *betaed = apop_estimate(upd->data, apop_beta);
deciles(betaed, betaup, 1);
beta->log_likelihood = NULL;
apop_model *upd_r = apop_update(draws, beta, bi);
betaed = apop_estimate(apop_data_pmf_expand(upd_r->data, 2000), apop_beta);
deciles(betaed, betaup, 1);
apop_data *d2 = apop_model_draws(upd, draw_ct*2);
apop_model *d2m = apop_estimate(d2, apop_beta);
deciles(d2m, betaup, 1);
}
int main(){
gsl_rng *r = apop_rng_alloc(10);
size_t i, ct = 5e4;
//set up the model & params
apop_data *d = apop_data_alloc(ct,2);
apop_data *params = apop_data_alloc(2,2,2);
apop_data_fill(params, 8, 1, 0.5,
2, 0.5, 1);
apop_model *pvm = apop_model_copy(apop_multivariate_normal);
pvm->parameters = apop_data_copy(params);
//make random draws from the multivar. normal
//this `pull a row view, fill its data element' form works for rows but not cols.
for(i=0; i< ct; i++){
Apop_row(d, i, onerow);
apop_draw(onerow->data, r, pvm);
}
//set up and estimate a model with fixed covariance matrix but free means
gsl_vector_set_all(pvm->parameters->vector, GSL_NAN);
apop_model *mep1 = apop_model_fix_params(pvm);
apop_model *e1 = apop_estimate(d, *mep1);
//compare results
printf("original params: ");
apop_vector_show(params->vector);
printf("estimated params: ");
apop_vector_show(e1->parameters->vector);
}
apop_model* apop_chi_estimate(apop_data *d, apop_model *m){
Apop_assert(d, "No data with which to count df. (the default estimation method)");
Get_vmsizes(d); //vsize, msize1, msize2
apop_model *out = apop_model_copy(*m);
apop_data_add_named_elmt(out->parameters, "df", tsize - 1);
apop_data_add_named_elmt(out->info, "log likelihood", out->log_likelihood(d, out));
return out;
}
int main(){
apop_data *d = draw_some_data();
apop_model *k = apop_estimate(d, apop_kernel_density);
apop_model *k2 = apop_model_copy(apop_kernel_density);
apop_model_add_group(k2, apop_kernel_density, .base_data=d,
.set_fn = set_uniform_edges,
.kernel = &apop_uniform);
plot(k, k2);
}
apop_data * apop_bootstrap_cov_base(apop_data * data, apop_model *model, gsl_rng *rng, int iterations, char keep_boots, char ignore_nans, apop_data **boot_store){
#endif
Get_vmsizes(data); //vsize, msize1, msize2
apop_model *e = apop_model_copy(model);
apop_data *subset = apop_data_copy(data);
apop_data *array_of_boots = NULL,
*summary;
//prevent and infinite regression of covariance calculation.
Apop_model_add_group(e, apop_parts_wanted); //default wants for nothing.
size_t i, nan_draws=0;
apop_name *tmpnames = (data && data->names) ? data->names : NULL; //save on some copying below.
if (data && data->names) data->names = NULL;
int height = GSL_MAX(msize1, GSL_MAX(vsize, (data?(*data->textsize):0)));
for (i=0; i<iterations && nan_draws < iterations; i++){
for (size_t j=0; j< height; j++){ //create the data set
size_t randrow = gsl_rng_uniform_int(rng, height);
apop_data_memcpy(Apop_r(subset, j), Apop_r(data, randrow));
}
//get the parameter estimates.
apop_model *est = apop_estimate(subset, e);
gsl_vector *estp = apop_data_pack(est->parameters);
if (!gsl_isnan(apop_sum(estp))){
if (i==0){
array_of_boots = apop_data_alloc(iterations, estp->size);
apop_name_stack(array_of_boots->names, est->parameters->names, 'c', 'v');
apop_name_stack(array_of_boots->names, est->parameters->names, 'c', 'c');
apop_name_stack(array_of_boots->names, est->parameters->names, 'c', 'r');
}
gsl_matrix_set_row(array_of_boots->matrix, i, estp);
} else if (ignore_nans=='y'){
i--;
nan_draws++;
}
apop_model_free(est);
gsl_vector_free(estp);
}
if(data) data->names = tmpnames;
apop_data_free(subset);
apop_model_free(e);
int set_error=0;
Apop_stopif(i == 0 && nan_draws == iterations, apop_return_data_error(N),
1, "I ran into %i NaNs and no not-NaN estimations, and so stopped. "
, iterations);
Apop_stopif(nan_draws == iterations, set_error++;
apop_matrix_realloc(array_of_boots->matrix, i, array_of_boots->matrix->size2),
1, "I ran into %i NaNs, and so stopped. Returning results based "
"on %zu bootstrap iterations.", iterations, i);
summary = apop_data_covariance(array_of_boots);
if (boot_store) *boot_store = array_of_boots;
else apop_data_free(array_of_boots);
if (set_error) summary->error = 'N';
return summary;
}
int main(){
//bind together a Poisson and a Normal;
//make a draw producing a 2-element vector
apop_model *m1 = apop_model_set_parameters(apop_poisson, 3);
apop_model *m2 = apop_model_set_parameters(apop_normal, -5, 1);
apop_model *mm = apop_model_stack(m1, m2);
int len = 1e5;
gsl_rng *r = apop_rng_alloc(1);
apop_data *draws = apop_data_alloc(len, 2);
for (int i=0; i< len; i++){
Apop_row (draws, i, onev);
apop_draw(onev->data, r, mm);
assert((int)onev->data[0] == onev->data[0]);
assert(onev->data[1]<0);
}
//The rest of the test script recovers the parameters.
//First, set up a two-page data set: poisson data on p1, Normal on p2:
apop_data *comeback = apop_data_alloc();
Apop_col(draws, 0,fishdraws)
comeback->vector = apop_vector_copy(fishdraws);
apop_data_add_page(comeback, apop_data_alloc(), "p2");
Apop_col(draws, 1, meandraws)
comeback->more->vector = apop_vector_copy(meandraws);
//set up the un-parameterized stacked model, including
//the name at which to split the data set
apop_model *estme = apop_model_stack(apop_model_copy(apop_poisson), apop_model_copy(apop_normal));
Apop_settings_add(estme, apop_stack, splitpage, "p2");
apop_model *ested = apop_estimate(comeback, *estme);
//test that the parameters are as promised.
apop_model *m1back = apop_settings_get(ested, apop_stack, model1);
apop_model *m2back = apop_settings_get(ested, apop_stack, model2);
assert(fabs(apop_data_get(m1back->parameters, .col=-1) - 3) < 1e-2);
assert(fabs(apop_data_get(m2back->parameters, .col=-1) - -5) < 1e-2);
assert(fabs(apop_data_get(m2back->parameters, .col=-1, .row=1) - 1) < 1e-2);
}
int main(){
apop_db_open("data-climate.db");
apop_data *data = apop_query_to_data("select pcp from precip");
apop_data_pmf_compress(data); //creates a weights vector
apop_vector_normalize(data->weights);
apop_data_sort(data);
apop_model *pmf = apop_estimate(data, apop_pmf);
FILE *outfile = fopen("out.h", "w");
apop_model_print(pmf, outfile);
apop_model *kernel = apop_model_set_parameters(apop_normal, 0., 0.1);
apop_model *k = apop_model_copy(apop_kernel_density);
Apop_settings_add_group(k, apop_kernel_density, .base_pmf=pmf, .kernel=kernel);
plot(k, "out.k");
printf("plot 'out.h' with lines title 'data', 'out.k' with lines title 'smoothed'\n");
}
/** Return a new histogram that is the moving average of the input histogram.
\param m A histogram, in \c apop_model form.
\param bandwidth The number of elements to be smoothed.
*/
apop_model *apop_histogram_moving_average(apop_model *m, size_t bandwidth) {
apop_assert_c(m && !strcmp(m->name, "Histogram"), NULL, 0, "The first argument needs to be an apop_histogram model.");
apop_assert_s(bandwidth, "bandwidth must be an integer >=1.");
apop_model *out = apop_model_copy(*m);
gsl_histogram *h = Apop_settings_get(m, apop_histogram, pdf);
gsl_histogram *hout = Apop_settings_get(out, apop_histogram, pdf);
gsl_vector *bins = apop_array_to_vector(h->bin, h->n);
gsl_vector *smoothed = apop_vector_moving_average(bins, bandwidth);
for (int i=0; i< h->n; i++)
if (i < bandwidth/2 || i>= smoothed->size+bandwidth/2)
hout->bin[i] = 0;
else
hout->bin[i] = gsl_vector_get(smoothed, i-bandwidth/2);
gsl_vector_free(bins);
gsl_vector_free(smoothed);
return out;
}
int main(){
apop_model *uniform_20 = apop_model_set_parameters(apop_uniform, 0, 20);
apop_data *d = apop_model_draws(uniform_20, 10);
//Estimate a Normal distribution from the data:
apop_model *N = apop_estimate(d, apop_normal);
print_draws(N);
//estimate a one-dimensional multivariate Normal from the data:
apop_model *mvN = apop_estimate(d, apop_multivariate_normal);
print_draws(mvN);
//fixed parameter list:
apop_model *std_normal = apop_model_set_parameters(apop_normal, 0, 1);
print_draws(std_normal);
//variable-size parameter list:
apop_model *std_multinormal = apop_model_copy(apop_multivariate_normal);
std_multinormal->msize1 =
std_multinormal->msize2 =
std_multinormal->vsize =
std_multinormal->dsize = 3;
std_multinormal->parameters = apop_data_falloc((3, 3, 3),
1, 1, 0, 0,
1, 0, 1, 0,
1, 0, 0, 1);
print_draws(std_multinormal);
//estimate a KDE using the defaults:
apop_model *k = apop_estimate(d, apop_kernel_density);
print_draws(k);
/*the documentation tells us that a KDE estimation consists of filling
an apop_kernel_density_settings group, so we can set it to use a
Normal(μ, 2) kernel via: */
apop_model *k2 = apop_model_copy_set(apop_kernel_density, apop_kernel_density,
.base_data=d,
.kernel = apop_model_set_parameters(apop_normal, 0, 2));
print_draws(k2);
}
void make_draws(){
apop_model *multinom = apop_model_copy(apop_multivariate_normal);
multinom->parameters = apop_data_falloc((2, 2, 2),
1, 1, .1,
8, .1, 1);
multinom->dsize = 2;
apop_model *d1 = apop_estimate(apop_model_draws(multinom), apop_multivariate_normal);
for (int i=0; i< 2; i++)
for (int j=-1; j< 2; j++)
assert(fabs(apop_data_get(multinom->parameters, i, j)
- apop_data_get(d1->parameters, i, j)) < .25);
multinom->draw = NULL; //so draw via MCMC
apop_model *d2 = apop_estimate(apop_model_draws(multinom, 10000), apop_multivariate_normal);
for (int i=0; i< 2; i++)
for (int j=-1; j< 2; j++)
assert(fabs(apop_data_get(multinom->parameters, i, j)
- apop_data_get(d2->parameters, i, j)) < .25);
}
apop_model* apop_t_estimate(apop_data *d, apop_model *m){
Apop_assert(d, "No data with which to count df. (the default estimation method)");
Get_vmsizes(d); //vsize, msize1, msize2, tsize
apop_model *out = apop_model_copy(*m);
double vmu = vsize ? apop_mean(d->vector) : 0;
double v_sum_sq = vsize ? apop_var(d->vector)*(vsize-1) : 0;
double m_sum_sq = 0;
double mmu = 0;
if (msize1) {
apop_matrix_mean_and_var(d->matrix, &mmu, &m_sum_sq);
m_sum_sq *= msize1*msize2-1;
}
apop_data_add_names(out->parameters, 'r', "mean", "standard deviation", "df");
apop_data_set(out->parameters, 0, -1, (vmu *vsize + mmu * msize1*msize2)/tsize);
apop_data_set(out->parameters, 1, -1, sqrt((v_sum_sq*vsize + m_sum_sq * msize1*msize2)/(tsize-1)));
apop_data_set(out->parameters, 2, -1, tsize-1);
apop_data_add_named_elmt(out->info, "log likelihood", out->log_likelihood(d, out));
return out;
}
/** Give me a data set and a model, and I'll give you the jackknifed covariance matrix of the model parameters.
The basic algorithm for the jackknife (glossing over the details): create a sequence of data
sets, each with exactly one observation removed, and then produce a new set of parameter estimates
using that slightly shortened data set. Then, find the covariance matrix of the derived parameters.
\li Jackknife or bootstrap? As a broad rule of thumb, the jackknife works best on models
that are closer to linear. The worse a linear approximation does (at the given data),
the worse the jackknife approximates the variance.
\param in The data set. An \ref apop_data set where each row is a single data point.
\param model An \ref apop_model, that will be used internally by \ref apop_estimate.
\exception out->error=='n' \c NULL input data.
\return An \c apop_data set whose matrix element is the estimated covariance matrix of the parameters.
\see apop_bootstrap_cov
For example:
\include jack.c
*/
apop_data * apop_jackknife_cov(apop_data *in, apop_model *model){
Apop_stopif(!in, apop_return_data_error(n), 0, "The data input can't be NULL.");
Get_vmsizes(in); //msize1, msize2, vsize
apop_model *e = apop_model_copy(model);
int i, n = GSL_MAX(msize1, GSL_MAX(vsize, in->textsize[0]));
apop_model *overall_est = e->parameters ? e : apop_estimate(in, e);//if not estimated, do so
gsl_vector *overall_params = apop_data_pack(overall_est->parameters);
gsl_vector_scale(overall_params, n); //do it just once.
gsl_vector *pseudoval = gsl_vector_alloc(overall_params->size);
//Copy the original, minus the first row.
apop_data *subset = apop_data_copy(Apop_rs(in, 1, n-1));
apop_name *tmpnames = in->names;
in->names = NULL; //save on some copying below.
apop_data *array_of_boots = apop_data_alloc(n, overall_params->size);
for(i = -1; i< n-1; i++){
//Get a view of row i, and copy it to position i-1 in the short matrix.
if (i >= 0) apop_data_memcpy(Apop_r(subset, i), Apop_r(in, i));
apop_model *est = apop_estimate(subset, e);
gsl_vector *estp = apop_data_pack(est->parameters);
gsl_vector_memcpy(pseudoval, overall_params);// *n above.
gsl_vector_scale(estp, n-1);
gsl_vector_sub(pseudoval, estp);
gsl_matrix_set_row(array_of_boots->matrix, i+1, pseudoval);
apop_model_free(est);
gsl_vector_free(estp);
}
in->names = tmpnames;
apop_data *out = apop_data_covariance(array_of_boots);
gsl_matrix_scale(out->matrix, 1./(n-1.));
apop_data_free(subset);
gsl_vector_free(pseudoval);
apop_data_free(array_of_boots);
if (e!=overall_est)
apop_model_free(overall_est);
apop_model_free(e);
gsl_vector_free(overall_params);
return out;
}
int main(){
size_t ct = 5e4;
//set up the model & params
apop_data *params = apop_data_falloc((2,2,2), 8, 1, 0.5,
2, 0.5, 1);
apop_model *pvm = apop_model_copy(apop_multivariate_normal);
pvm->parameters = apop_data_copy(params);
pvm->dsize = 2;
apop_data *d = apop_model_draws(pvm, ct);
//set up and estimate a model with fixed covariance matrix but free means
gsl_vector_set_all(pvm->parameters->vector, GSL_NAN);
apop_model *mep1 = apop_model_fix_params(pvm);
apop_model *e1 = apop_estimate(d, mep1);
//compare results
printf("original params: ");
apop_vector_print(params->vector);
printf("estimated params: ");
apop_vector_print(e1->parameters->vector);
assert(apop_vector_distance(params->vector, e1->parameters->vector)<1e-2);
}
}
static void wishart_estimate(apop_data *d, apop_model *m){
Nullcheck_m(m, );
//apop_data_set(m->parameters, 0, -1, d->matrix->size1);
//Start with cov matrix via mean of inputs; df=NaN
apop_data_set(m->parameters, 0, -1, GSL_NAN);
apop_data *summ=apop_data_summarize(d);
Apop_col_t(summ, "mean", means);
gsl_vector *t = m->parameters->vector; //mask this while unpacking
m->parameters->vector=NULL;
apop_data_unpack(means, m->parameters);
m->parameters->vector=t;
//Estimate a model with fixed cov matrix and blank (NaN) df.
apop_model *modified_wish = apop_model_copy(m);
modified_wish->log_likelihood = fixed_wishart_ll;
apop_model *fixed_wish = apop_model_fix_params(modified_wish);
apop_model *est_via_fix = apop_estimate(d, fixed_wish);
//copy df from fixed version to the real thing; clean up.
t->data[0] = apop_data_get(est_via_fix->parameters, 0, -1);
gsl_matrix_scale(m->parameters->matrix, 1./t->data[0]);
apop_data_free(summ);
apop_model_free(modified_wish);
apop_model_free(fixed_wish);
}
/* amodel apop_wishart The Wishart distribution, which is currently somewhat untested.
Here's the likelihood function. \f$p\f$ is the dimension of the data and covariance
apop_data *rev(apop_data *in){ return apop_map(in, .fn_d=log, .part='a'); }
/*The derivative of the transformed-to-base function. */
double inv(double in){return 1./in;}
double rev_j(apop_data *in){ return fabs(apop_map_sum(in, .fn_d=inv, .part='a')); }
int main(){
apop_model *ct = apop_model_coordinate_transform(
.transformed_to_base= rev, .jacobian_to_base=rev_j,
.base_model=apop_normal);
//Apop_model_add_group(ct, apop_parts_wanted);//Speed up the MLE.
//make fake data
double mu=2, sigma=1;
apop_data *d = draw_exponentiated_normal(mu, sigma, 2e5);
//If we correctly replicated a Lognormal, mu and sigma will be right:
apop_model *est = apop_estimate(d, ct);
apop_model_free(ct);
Diff(apop_data_get(est->parameters, 0), mu);
Diff(apop_data_get(est->parameters, 1), sigma);
/*The K-L divergence between our Lognormal and the stock Lognormal
should be small. Try it with both the original params and the estimated ones. */
apop_model *ln = apop_model_set_parameters(apop_lognormal, mu, sigma);
apop_model *ln2 = apop_model_copy(apop_lognormal);
ln2->parameters = est->parameters;
Diff(apop_kl_divergence(ln, ln2,.draw_ct=1000), 0);
Diff(apop_kl_divergence(ln, est,.draw_ct=1000), 0);
}
