defmodule Chi2fit.Distribution.Utilities do # Copyright 2012-2017 Pieter Rijken # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. @moduledoc """ Provides various distributions. """ import Chi2fit.Statistics alias Chi2fit.Distribution, as: D defmodule UnsupportedDistributionError do defexception message: "Unsupported distribution function" end @doc """ Returns the model for a name. The kurtosis is the so-called 'excess kurtosis'. Supported disributions: "wald" - The Wald or Inverse Gauss distribution, "weibull" - The Weibull distribution, "exponential" - The exponential distribution, "poisson" - The Poisson distribution, "normal" - The normal or Gaussian distribution, "frechet" - The Fréchet distribution, "nakagami" - The Nakagami distribution, "sep" - The Skewed Exponential Power distribution (Azzalini), "erlang" - The Erlang distribution, "sep0" - The Skewed Exponential Power distribution (Azzalini) with location parameter set to zero (0), "tw" / "tw1" - The Tracy-Widom distributions TW1, "tw2" - The Tracy-Widom distributions TW2, "tw4" - The Tracy-Widom distributions TW4, "wishart" - The Wishart distribution. ## Options Available only for the SEP distribution, see 'sepCDF/5'. """ @spec model(name::String.t, options::Keyword.t) :: any def model(name, options \\ []) do params = options[:pars] || nil case name do "constant" -> %D.Constant{pars: params} "uniform" -> %D.Uniform{pars: params} "dice" -> %D.Dice{mode: :regular} "dice_gk4" -> %D.Dice{mode: :gk4} "wald" -> %D.Wald{pars: params} "weibull" -> %D.Weibull{pars: params} "exponential" -> %D.Exponential{pars: params} "frechet" -> %D.Frechet{pars: params} "nakagami" -> %D.Nakagami{pars: params} "poisson" -> %D.Poisson{pars: params} {"poisson", period} when is_number(period) and period>0 -> %D.Poisson{pars: params, period: period} "erlang" -> %D.Erlang{pars: params} {"erlang", batches} when is_number(batches) and batches>0 -> %D.Erlang{pars: params, batches: batches} "normal" -> %D.Normal{pars: params} "sep" -> %D.SEP{pars: params, options: options} "sep0" -> %D.SEP{pars: params, offset: 0.0, options: options} "tw" -> %D.TracyWidom{pars: params, type: 1} "tw1" -> %D.TracyWidom{pars: params, type: 1} "tw2" -> %D.TracyWidom{pars: params, type: 2} "tw4" -> %D.TracyWidom{pars: params, type: 4} "wishart:" <> dim -> %D.Wishart{pars: params, dim: to_numbers(dim)} "wishart" -> %D.Wishart{pars: params, dim: options[:dim]} {"wishart", [m,n]} when is_integer(m)and is_integer(n) -> %D.Wishart{pars: params, dim: [m,n]} unknown -> raise UnsupportedDistributionError, message: "Unsupported cumulative distribution function '#{inspect unknown}'" end end defp to_number(string) when is_binary(string) do case Integer.parse(string) do {val, ""} -> val _ -> String.to_float(string) end end defp to_numbers(list), do: String.split(list, " ") |> Enum.map(& to_number &1) @doc ~S""" ## Examples iex> ~M(3 4 5) %Distribution.Uniform{pars: [3, 4, 5]} iex> ~M(3 4 5)u %Distribution.Uniform{pars: [3, 4, 5]} iex> ~M()d %Distribution.Dice{mode: :regular} iex> ~M()dgk %Distribution.Dice{mode: :gk4} iex> ~M(1.2)p %Distribution.Poisson{pars: [1.2], period: 1.0} iex> ~M(1.2 5.4)w %Distribution.Weibull{pars: [1.2, 5.4]} iex> ~M(1.2 5.4)wald %Distribution.Wald{pars: [1.2, 5.4]} """ def sigil_M(str, ''), do: %D.Uniform{pars: to_numbers(str)} def sigil_M(str, [?u|_]), do: %D.Uniform{pars: to_numbers(str)} def sigil_M("", 'coin'), do: %D.Coin{} def sigil_M(str, [?c|_]), do: %D.Constant{pars: [to_number(str)]} def sigil_M("", 'dgk'), do: %D.Dice{mode: :gk4} def sigil_M("", [?d|_]), do: %D.Dice{mode: :regular} def sigil_M(str, [?b|_]), do: %D.Bernoulli{pars: [to_number(str)]} def sigil_M(str, 'erlangb') do [rate, batches] = to_numbers(str) %D.Erlang{pars: [rate], batches: batches} end def sigil_M(str, 'erlang'), do: %D.Erlang{pars: to_numbers(str)} def sigil_M(str, [?e|_]), do: %D.Exponential{pars: [to_number(str)]} def sigil_M(str, 'pp') do [rate, period] = to_numbers(str) %D.Poisson{pars: [rate], period: period} end def sigil_M(str, [?p|_]), do: %D.Poisson{pars: [to_number(str)]} def sigil_M(str, 'nakagami'), do: %D.Nakagami{pars: to_numbers(str)} def sigil_M(str, [?n|_]), do: %D.Normal{pars: to_numbers(str)} def sigil_M(str, 'wald'), do: %D.Wald{pars: to_numbers(str)} def sigil_M(str, 'wishart') do case String.split(str,"|") do [dim,pars] -> %D.Wishart{pars: to_numbers(pars), dim: to_numbers(dim)} [dim] -> %D.Wishart{pars: nil, dim: to_numbers(dim)} _else -> %D.Wishart{pars: nil, dim: nil} end end def sigil_M("", [?w|_]), do: %D.Weibull{} def sigil_M(str, [?w|_]), do: %D.Weibull{pars: to_numbers(str)} def sigil_M(str, [?f|_]), do: %D.Frechet{pars: to_numbers(str)} def sigil_M(str, 'sz'), do: %D.SEP{pars: to_numbers(str), offset: 0.0} def sigil_M(str, [?s|_]), do: %D.SEP{pars: to_numbers(str)} def sigil_M("", 'tw'), do: %D.TracyWidom{pars: nil, type: 1} def sigil_M(str, 'tw'), do: %D.TracyWidom{pars: to_numbers(str), type: 1} def sigil_M("", 'tww'), do: %D.TracyWidom{pars: nil, type: 2} def sigil_M(str, 'tww'), do: %D.TracyWidom{pars: to_numbers(str), type: 2} def sigil_M("", 'twwww'), do: %D.TracyWidom{pars: nil, type: 4} def sigil_M(str, 'twwww'), do: %D.TracyWidom{pars: to_numbers(str), type: 4} def sigil_M(_term, modifiers) do raise UnsupportedDistributionError, message: "Unsupported modifiers #{inspect modifiers}" end @doc """ Guesses what distribution is likely to fit the sample data """ @spec guess(sample::[number], n::integer, list::[String.t] | String.t) :: [any] def guess(sample,n \\ 100,list \\ ["exponential","poisson","normal","erlang","wald","sep","weibull","frechet","nakagami","tw","tww"]) def guess(sample,n,list) when is_integer(n) and n>0 and is_list(list) do {{skewness,err_s},{kurtosis,err_k}} = sample |> cullen_frey(n) |> cullen_frey_point list |> Enum.flat_map( fn distrib -> r = sample |> guess(n,distrib) |> Enum.map(fn {s,k}->((skewness-s)/err_s)*((skewness-s)/err_s) + ((kurtosis-k)/err_k)*((kurtosis-k)/err_k) end) |> Enum.min [{distrib,r}] end) |> Enum.sort(fn {_,r1},{_,r2} -> r10 do model = model(distrib) params = 1..D.size(model) 1..n |> Enum.map(fn _ -> Enum.map(params, fn _ -> 50*:rand.uniform end) end) |> Enum.flat_map(fn pars -> try do s = D.skewness(model).(pars) k = D.kurtosis(model).(pars) [{s,k}] rescue _error -> [] end end) end end