[SciPy-user] bug in stats.pdfapprox/stats.pdf_moment and new Gram-Charlier distribution
josef.pktd@gmai...
josef.pktd@gmai...
Sun Feb 1 11:02:38 CST 2009
I wanted to create a new distribution by wrapping stats.pdfapprox and
stats.pdf_moment in stats.morestats.py.
However, these two function do not create a normal expansion if the
first four moments are given. The inner loop in stats.pdf_moment is
never entered when four moments are given. As a consequence the pdf
that is returned is the unexpanded normal distribution. (There is also
a small mistake in stats.pdfapprox in how the variance is calculated.)
I didn't find any information which type of expansion is used by
pdf_moment. I assume it is Gram-Charlier, but I didn't find any
formulas to make sense out of the inner loop that calculates the
coefficients (for multiplying with the Hermite polynomials).
If someone could provide a (understandable) reference for these
calculations or figure out what the loop is supposed to do, then we
could correct the expansion for the general case.
Since I couldn't fix `pdf_moment`, I wrote a new function that
calculates the pdf for the Gram-Charlier expansion when the first four
moments (or mean, variance, skew, kurtosis) are given. This uses the
explicit formula for this expansion, and doesn't allow for higher
order expansion.
pdf_mvsk: get pdf of G-Ch normal expansion using mean, variance, skew,
and excess kurtosis
This I wrapped in a subclass of _distributionsrv_continuous: NormExpan_gen
It works in the examples that I tried but is not fully tested or cleaned up yet.
attachment:
* try_pdfapprox.py shows problem with current function
* distr_gch.py new expansion pdf, and NormExpan distribution
I also wrote a skew normal and skew t distribution (as defined by
Azzalini, A. & Capitanio, A., univariate only), which is not attached.
Josef
-------------- next part --------------
from scipy import stats, special
from scipy.stats import distributions
import numpy as np
def mvsk2cm(args):
mu,sig,sk,kur = args
# Get central moments
cnt = [None]*4
cnt[0] = mu
cnt[1] = sig #*sig
cnt[2] = sk * sig**1.5
cnt[3] = (kur+3.0) * sig**2.0
return cnt
rvs = stats.norm.rvs(5,size=(2,100)).max(axis=0)
mvsk = stats.describe(rvs)[2:]
print 'sample: mu,sig,sk,kur'
print mvsk
mc = mvsk2cm(mvsk)
pdffn1 = stats.pdfapprox(rvs)
print '\npdf approximation from sample'
print 'pdf at mean-1, mean+1', mc[0]-1,mc[0]+1
print pdffn1([mc[0]-1,mc[0]+1])
pdffn2 = stats.pdf_moments(mc)
print '\npdf approximation from moments'
print 'pdf at mean-1, mean+1', mc[0]-1,mc[0]+1
print pdffn2([mc[0]-1,mc[0]+1])
-------------- next part --------------
'''Gram-Charlier distribution, four-moment expansion of normal distribution
'''
from scipy import stats, special
from scipy.stats import distributions
import numpy as np
def mvsk2cm(*args):
mu,sig2,sk,kur = args
# Get central moments
cnt = [None]*4
cnt[0] = mu
cnt[1] = sig2 #*sig wrong in stats.pdfapprox
cnt[2] = sk * sig2**1.5
cnt[3] = (kur+3.0) * sig2**2.0
return cnt
def mc2mvsk(args):
mc, mc2, mc3, mc4 = args
skew = mc3 / mc2**1.5
kurt = mc4 / mc2**2.0 - 3.0
return (mc, mc2, skew, kurt)
def pdf_mvsk(mvsk):
"""Return the Gaussian expanded pdf function given the list of 1st, 2nd
moment and skew and Fisher (excess) kurtosis.
Parameters
----------
mvsk : list of mu, mc2, skew, kurt
distribution is matched to these four moments
Returns
-------
pdffunc : function
function that evaluates the pdf(x), where x is the non-standardized
random variable.
Notes
-----
Changed so it works only if four arguments are given. Uses explicit
formula, not loop.
This implements a Gram-Charlier expansion of the normal distribution
where the first 2 moments coincide with those of the normal distribution
but skew and kurtosis can deviate from it.
In the Gram-Charlier distribution it is possible that the density
becomes negative. This is the case when the deviation from the
normal distribution is too large.
References
----------
http://en.wikipedia.org/wiki/Edgeworth_series
Johnson N.L., S. Kotz, N. Balakrishnan: Continuous Univariate
Distributions, Volume 1, 2nd ed., p.30
"""
N = len(mvsk)
if N < 4:
raise ValueError, "Four moments must be given to" + \
"approximate the pdf."
mu, mc2, skew, kurt = mvsk
totp = poly1d(1)
sig = sqrt(mc2)
if N > 2:
Dvals = stats.morestats._hermnorm(N+1)
C3 = skew/6.0
C4 = kurt/24.0
# Note: Hermite polynomial for order 3 in _hermnorm is negative
# instead of positive
totp = totp - C3*Dvals[3] + C4*Dvals[4]
def pdffunc(x):
xn = (x-mu)/sig
return totp(xn)*np.exp(-xn*xn/2.0)/np.sqrt(2*np.pi)/sig
return pdffunc
class NormExpan_gen(distributions.rv_continuous):
def __init__(self,args, **kwds):
distributions.rv_continuous.__init__(self,
name = 'Normal Expansion distribution',
extradoc = '''
The distribution is defined as the Gram-Charlier expansion of
the normal distribution using the first four moments. The pdf
is given by
pdf(x) = (1+ skew/6.0 * H(xc,3) + kurt/24.0 * H(xc,4))*normpdf(xc)
where xc = (x-mu)/sig is the standardized value of the random variable
and H(xc,3) and H(xc,4) are Hermite polynomials.
Note: This distribution has to be parameterized during
initialization and instantiation, and does not have a shape
parameter after instantiation (similar to frozen distribution
except for location and scale.) Location and scale can be used
as with other distributions, however note, that they are relative
to the initialized distribution.
''' )
mode = kwds.get('mode', 'sample')
if mode == 'sample':
mu,sig2,sk,kur = stats.describe(args)[2:]
self.mvsk = (mu,sig2,sk,kur)
cnt = mvsk2cm(mu,sig2,sk,kur)
elif mode == 'mvsk':
cnt = mvsk2cm(args)
self.mvsk = args
elif mode == 'centmom':
cnt = args
self.mvsk = mc2mvsk(cnt)
else:
raise ValueError, "mode must be 'mvsk' or centmom"
self.cnt = cnt
self._pdf = pdf_mvsk(self.mvsk)
def _munp(self,n):
# use pdf integration with _mom0_sc if only _pdf is defined.
# default stats calculation uses ppf
return self._mom0_sc(n)
def _stats_skip(self):
# skip for now to force numerical integration of pdf for testing
return self.mvsk
if __name__ == '__main__':
rvs = skewnorm.rvs(5,size=100)
normexpan = NormExpan_gen(rvs, mode='sample')
smvsk = stats.describe(rvs)[2:]
print 'sample: mu,sig2,sk,kur'
print smvsk
dmvsk = normexpan.stats(moments='mvsk')
print 'normexpan: mu,sig2,sk,kur'
print dmvsk
print 'mvsk diff distribution - sample'
print np.array(dmvsk) - np.array(smvsk)
print '\nnormexpan attributes mvsk'
print mc2mvsk(normexpan.cnt)
print normexpan.mvsk
print '\nusing methods'
print normexpan.rvs(size=5) #slow
print normexpan.cdf([-1,0,1,2])
print normexpan.pdf([-1,0,1,2])
print normexpan.ppf([0,0.1,0.5,0.9,0.95,1])
print normexpan.sf([0,0.1,0.5,0.9,0.95,1])
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