gonum.org/v1/gonum@v0.14.0/stat/distuv/distribution_test.go

// Copyright ©2015 The Gonum Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.

package distuv

import (
	"math"
	"testing"

	"gonum.org/v1/gonum/floats"
	"gonum.org/v1/gonum/floats/scalar"
	"gonum.org/v1/gonum/integrate/quad"
	"gonum.org/v1/gonum/stat"
)

type meaner interface {
	Mean() float64
}

type quantiler interface {
	Quantile(float64) float64
}

type medianer interface {
	quantiler
	Median() float64
}

type varStder interface {
	StdDev() float64
	Variance() float64
}

type entropyer interface {
	LogProber
	Entropy() float64
}

type exKurtosiser interface {
	ExKurtosis() float64
	Mean() float64
}

type skewnesser interface {
	StdDev() float64
	Mean() float64
	Skewness() float64
}

type cumulanter interface {
	Quantiler
	CDF(x float64) float64
	Survival(x float64) float64
}

func generateSamples(x []float64, r Rander) {
	for i := range x {
		x[i] = r.Rand()
	}
}

type probLogprober interface {
	Prob(x float64) float64
	LogProb(x float64) float64
}

type cumulantProber interface {
	cumulanter
	probLogprober
}

func checkMean(t *testing.T, cas int, x []float64, m meaner, tol float64) {
	t.Helper()
	mean := stat.Mean(x, nil)
	if !scalar.EqualWithinAbsOrRel(mean, m.Mean(), tol, tol) {
		t.Errorf("Mean mismatch case %v: want: %v, got: %v", cas, mean, m.Mean())
	}
}

func checkMedian(t *testing.T, cas int, x []float64, m medianer, tol float64) {
	t.Helper()
	median := stat.Quantile(0.5, stat.Empirical, x, nil)
	if !scalar.EqualWithinAbsOrRel(median, m.Median(), tol, tol) {
		t.Errorf("Median mismatch case %v: want: %v, got: %v", cas, median, m.Median())
	}
}

func checkVarAndStd(t *testing.T, cas int, x []float64, v varStder, tol float64) {
	t.Helper()
	variance := stat.Variance(x, nil)
	if !scalar.EqualWithinAbsOrRel(variance, v.Variance(), tol, tol) {
		t.Errorf("Variance mismatch case %v: want: %v, got: %v", cas, variance, v.Variance())
	}
	std := math.Sqrt(variance)
	if !scalar.EqualWithinAbsOrRel(std, v.StdDev(), tol, tol) {
		t.Errorf("StdDev mismatch case %v: want: %v, got: %v", cas, std, v.StdDev())
	}
}

func checkEntropy(t *testing.T, cas int, x []float64, e entropyer, tol float64) {
	t.Helper()
	tmp := make([]float64, len(x))
	for i, v := range x {
		tmp[i] = -e.LogProb(v)
	}
	entropy := stat.Mean(tmp, nil)
	if !scalar.EqualWithinAbsOrRel(entropy, e.Entropy(), tol, tol) {
		t.Errorf("Entropy mismatch case %v: want: %v, got: %v", cas, entropy, e.Entropy())
	}
}

func checkExKurtosis(t *testing.T, cas int, x []float64, e exKurtosiser, tol float64) {
	t.Helper()
	mean := e.Mean()
	tmp := make([]float64, len(x))
	for i, x := range x {
		tmp[i] = math.Pow(x-mean, 4)
	}
	variance := stat.Variance(x, nil)
	mu4 := stat.Mean(tmp, nil)
	kurtosis := mu4/(variance*variance) - 3
	if !scalar.EqualWithinAbsOrRel(kurtosis, e.ExKurtosis(), tol, tol) {
		t.Errorf("ExKurtosis mismatch case %v: want: %v, got: %v", cas, kurtosis, e.ExKurtosis())
	}
}

func checkSkewness(t *testing.T, cas int, x []float64, s skewnesser, tol float64) {
	t.Helper()
	mean := s.Mean()
	std := s.StdDev()
	tmp := make([]float64, len(x))
	for i, v := range x {
		tmp[i] = math.Pow(v-mean, 3)
	}
	mu3 := stat.Mean(tmp, nil)
	skewness := mu3 / math.Pow(std, 3)
	if !scalar.EqualWithinAbsOrRel(skewness, s.Skewness(), tol, tol) {
		t.Errorf("Skewness mismatch case %v: want: %v, got: %v", cas, skewness, s.Skewness())
	}
}

func checkQuantileCDFSurvival(t *testing.T, cas int, xs []float64, c cumulanter, tol float64) {
	t.Helper()
	// Quantile, CDF, and survival check.
	for _, p := range []float64{0.1, 0.25, 0.5, 0.75, 0.9} {
		x := c.Quantile(p)
		cdf := c.CDF(x)
		estCDF := stat.CDF(x, stat.Empirical, xs, nil)
		if !scalar.EqualWithinAbsOrRel(cdf, estCDF, tol, tol) {
			t.Errorf("CDF mismatch case %v: want: %v, got: %v", cas, estCDF, cdf)
		}
		if !scalar.EqualWithinAbsOrRel(cdf, p, tol, tol) {
			t.Errorf("Quantile/CDF mismatch case %v: want: %v, got: %v", cas, p, cdf)
		}
		if math.Abs(1-cdf-c.Survival(x)) > 1e-14 {
			t.Errorf("Survival/CDF mismatch case %v: want: %v, got: %v", cas, 1-cdf, c.Survival(x))
		}
	}
	if !panics(func() { c.Quantile(-0.0001) }) {
		t.Errorf("Expected panic with negative argument to Quantile")
	}
	if !panics(func() { c.Quantile(1.0001) }) {
		t.Errorf("Expected panic with Quantile argument above 1")
	}
}

// checkProbContinuous checks that the PDF is consistent with LogPDF
// and integrates to 1 from the lower to upper bound.
func checkProbContinuous(t *testing.T, cas int, x []float64, lower float64, upper float64, p probLogprober, tol float64) {
	t.Helper()
	q := quad.Fixed(p.Prob, lower, upper, 1000000, nil, 0)
	if math.Abs(q-1) > tol {
		t.Errorf("Probability distribution doesn't integrate to 1. Case %v: Got %v", cas, q)
	}

	// Check that PDF and LogPDF are consistent.
	for _, v := range x {
		if math.Abs(math.Log(p.Prob(v))-p.LogProb(v)) > 1e-14 {
			t.Errorf("Prob and LogProb mismatch case %v at %v: want %v, got %v", cas, v, math.Log(v), p.LogProb(v))
			break
		}
	}
}

// checkProbQuantContinuous checks that the Prob, Rand, and Quantile are all consistent.
// checkProbContinuous only checks that Prob is a valid distribution (integrates
// to 1 and greater than 0). However, this is also true if the PDF of a different
// distribution is used. This checks that PDF is also consistent with the
// CDF implementation and the random samples.
func checkProbQuantContinuous(t *testing.T, cas int, xs []float64, c cumulantProber, tol float64) {
	t.Helper()
	ps := make([]float64, 101)
	floats.Span(ps, 0, 1)

	var xp, x float64
	for i, p := range ps {
		x = c.Quantile(p)
		if p == 0 {
			xp = x
			if floats.Min(xs) < x {
				t.Errorf("Sample of x less than Quantile(0). Case %v.", cas)
				break
			}
			continue
		}
		if p == 1 {
			if floats.Max(xs) > x {
				t.Errorf("Sample of x greater than Quantile(1). Case %v.", cas)
				break
			}
		}

		// The integral of the PDF between xp and x should be the difference in
		// the quantiles.
		q := quad.Fixed(c.Prob, xp, x, 1000, nil, 0)
		if math.Abs(q-(p-ps[i-1])) > 1e-5 {
			t.Errorf("Integral of PDF doesn't match quantile. Case %v. Want %v, got %v.", cas, p-ps[i-1], q)
			break
		}

		pEst := stat.CDF(x, stat.Empirical, xs, nil)
		if math.Abs(pEst-p) > tol {
			t.Errorf("Empirical CDF doesn't match quantile. Case %v.", cas)
		}
		xp = x
	}
}

type moder interface {
	Mode() float64
}

func checkMode(t *testing.T, cas int, xs []float64, m moder, dx float64, tol float64) {
	t.Helper()
	rXs := make([]float64, len(xs))
	for j, x := range xs {
		rXs[j] = math.RoundToEven(x/dx) * dx
	}
	want, _ := stat.Mode(rXs, nil)
	got := m.Mode()
	if !scalar.EqualWithinAbs(want, got, tol) {
		t.Errorf("Mode mismatch case %d: want %g, got %v", cas, want, got)
	}
}

// checkProbDiscrete confirms that PDF and Rand are consistent for discrete distributions.
func checkProbDiscrete(t *testing.T, cas int, xs []float64, p probLogprober, tol float64) {
	t.Helper()
	// Make a map of all of the unique samples.
	m := make(map[float64]int)
	for _, v := range xs {
		m[v]++
	}
	for x, count := range m {
		prob := float64(count) / float64(len(xs))
		if math.Abs(prob-p.Prob(x)) > tol {
			t.Errorf("PDF mismatch case %v at %v: want %v, got %v", cas, x, prob, p.Prob(x))
		}
		if math.Abs(math.Log(p.Prob(x))-p.LogProb(x)) > 1e-14 {
			t.Errorf("Prob and LogProb mismatch case %v at %v: want %v, got %v", cas, x, math.Log(x), p.LogProb(x))
		}
	}
}

// testRandLogProb tests that LogProb and Rand give consistent results. This
// can be used when the distribution does not implement CDF.
func testRandLogProbContinuous(t *testing.T, cas int, min float64, x []float64, f LogProber, tol float64, bins int) {
	t.Helper()
	for cdf := 1 / float64(bins); cdf <= 1-1/float64(bins); cdf += 1 / float64(bins) {
		// Get the estimated CDF from the samples
		pt := stat.Quantile(cdf, stat.Empirical, x, nil)

		prob := func(x float64) float64 {
			return math.Exp(f.LogProb(x))
		}
		// Integrate the PDF to find the CDF
		estCDF := quad.Fixed(prob, min, pt, 10000, nil, 0)
		if !scalar.EqualWithinAbsOrRel(cdf, estCDF, tol, tol) {
			t.Errorf("Mismatch between integral of PDF and empirical CDF. Case %v. Want %v, got %v", cas, cdf, estCDF)
		}
	}
}

func panics(fun func()) (b bool) {
	defer func() {
		err := recover()
		if err != nil {
			b = true
		}
	}()
	fun()
	return
}