コード例 #1
0
// NormPostSimNoPrior returns a simulated sample from the joint posterior distribution of the mean and variance for a normal
// sampling prior.
func NormPostSimNoPrior(data []float64, m int) (postMu, postS2 []float64) {
	// Arguments:
	// data - vector of observations
	// m - number of simulations desired
	// Returns:
	// mu - vector of simulated draws of normal mean
	// sigma2 - vector of simulated draws of normal variance

	xbar := mean(data)
	n := len(data)
	diff2 := make([]float64, n)

	for i, val := range data {
		diff2[i] = (val - xbar) * (val - xbar)
	}

	s := sum(diff2)
	postS2 = make([]float64, m)
	postMu = make([]float64, m)

	for i, _ := range postMu {
		postS2[i] = s / dst.ChiSquareNext(int64(n)-1)
		sd := sqrt(postS2[i]) / sqrt(float64(n))
		postMu[i] = dst.NormalNext(xbar, sd)
	}
	return
}
コード例 #2
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ファイル: gibbs.go プロジェクト: varver/probab-google-stat
// Metropolis within Gibbs sampling algorithm of a posterior distribution.
func Gibbs(logpost func([]float64) float64, start []float64, m int, scale []float64) (vth [][]float64, arate []float64) {
	// Arguments:
	// logpost - function defining the log posterior density
	// start - array with a single row that gives the starting value of the parameter vector
	// m - the number of iterations of the chain
	// scale - vector of scale parameters for the random walk Metropolis steps
	// Returns:
	// par - a matrix of simulated values where each row corresponds to a value of the vector  parameter
	// accept - vector of acceptance rates of the Metropolis steps of the algorithm

	p := len(start)
	//vth=array(0,dim=c(m,p))
	// make vth matrix
	nCol := p
	s := make([]float64, m*nCol)
	vth = make([][]float64, m)
	for i, p := 0, 0; i < m; i++ {
		vth[i] = s[p : p+nCol]
		p += nCol
	}

	f0 := logpost(start)
	//arate=array(0,dim=c(1,p))
	// make arate vector
	arate = make([]float64, p)

	th0 := make([]float64, p)
	for i, val := range start {
		th0[i] = val
	}

	for i := 0; i < m; i++ {
		for j := 0; j < p; j++ {
			th1 := make([]float64, p)
			for k, val := range th0 {
				th1[k] = val
			}

			th1[j] = th0[j] + dst.NormalNext(0, 1)*scale[j]
			f1 := logpost(th1)
			//  u=runif(1)<exp(f1-f0)
			//  th0[j]=th1[j]*(u==1)+th0[j]*(u==0)
			//  f0=f1*(u==1)+f0*(u==0)

			if rand.Float64() < exp(f1-f0) {
				th0[j] = th1[j]
				f0 = f1
				arate[j] += 1
			}
			vth[i][j] = th0[j]
		}
	}

	for i, _ := range arate {
		arate[i] /= float64(m)
	}
	return
}
コード例 #3
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// NormPostSim returns a simulated sample from the joint posterior distribution of the mean and variance for a normal
// sampling prior with a noninformative or informative prior. The prior assumes mu and sigma2 are
// independent with mu assigned a normal prior with mean mu0 and variance tau2, and sigma2 is
// assigned a inverse gamma prior with parameters a and b.
func NormPostSim(data []float64, a, b, mu0, tau2 float64, m int) (postMu, postS2 []float64) {
	// Arguments:
	// data - vector of observations
	// prior params:
	//     a
	//     b
	//     mu0
	//     tau2
	// m - number of simulations desired
	// Returns:
	// mu - vector of simulated draws of normal mean
	// sigma2 - vector of simulated draws of normal variance

	xbar := mean(data)
	n := len(data)
	diff2 := make([]float64, n)
	for i, val := range data {
		diff2[i] = (val - xbar) * (val - xbar)
	}

	s := sum(diff2)
	postS2 = make([]float64, m)
	postMu = make([]float64, m)
	sigma2 := s / float64(n)

	for j := 0; j < m; j++ {
		prec := float64(n)/sigma2 + 1/tau2
		mu1 := (xbar*float64(n)/sigma2 + mu0/tau2) / prec
		v1 := 1 / prec
		//    mu=rnorm(1,mu1,sqrt(v1))
		mu := dst.NormalNext(mu1, sqrt(v1))

		a1 := a + float64(n)/2

		d2 := make([]float64, n)
		for i, val := range data {
			d2[i] = (val - mu) * (val - mu)
		}

		b1 := b + sum(d2)/2
		sigma2 := rigamma(a1, b1)

		postS2[j] = sigma2
		postMu[j] = mu
	}
	return
}
コード例 #4
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// Test against R:moments
func TestSampleSkewness(t *testing.T) {
	fmt.Println("Testing Skewness")
	m := 10000000
	mu := 0.0
	sd := 1.0
	d := make([]float64, m)
	for i, _ := range d {
		d[i] = dst.NormalNext(mu, sd)
	}

	x := Skew(d)
	y := 0.0
	if abs(x-y) > 1e-3 {
		fmt.Println("failed: x, y ", x, y)
		t.Error()
	}
}
コード例 #5
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func TestSampleGeary(t *testing.T) {
	fmt.Println("Testing Geary kurtosis")
	m := 1000000
	mu := 0.0
	sd := 1.0
	d := make([]float64, m)
	for i, _ := range d {
		d[i] = dst.NormalNext(mu, sd)
	}

	x := Geary(d)
	y := 0.7979113
	if abs(x-y) > 1e-2 {
		fmt.Println("failed: x, y ", x, y)
		t.Error()
	}
}
コード例 #6
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func TestSampleMoments(t *testing.T) {
	fmt.Println("Testing Moments")
	m := 10000000
	mu := 0.0
	sd := 1.0
	d := make([]float64, m)
	for i, _ := range d {
		d[i] = dst.NormalNext(mu, sd)
	}

	order := 4
	central := false
	absolute := false
	x := moment(d, order, central, absolute)
	y := 3.0
	if abs(x-y) > 1e-2 {
		fmt.Println("failed: x, y ", x, y)
		t.Error()
	}
}
コード例 #7
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// NormPostNoPriorNext returns a  sampled tuple from the joint posterior distribution of the mean and variance for a normal
// sampling prior.
func NormPostNoPriorNext(data []float64) (postMu, postS2 float64) {
	// Arguments:
	// data - vector of observations
	// Returns:
	// postMu -  simulated draw of normal mean
	// postS2 -  simulated draw of normal variance

	xbar := mean(data)
	n := len(data)
	diff2 := make([]float64, n)

	for i, val := range data {
		diff2[i] = (val - xbar) * (val - xbar)
	}

	s := sum(diff2)
	postS2 = s / dst.ChiSquareNext(int64(n)-1)
	sd := sqrt(postS2) / sqrt(float64(n))
	postMu = dst.NormalNext(xbar, sd)
	return
}
コード例 #8
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// NormPostInfPriorNext returns a simulated tuple from the joint posterior distribution of the mean and variance for a normal
// sampling prior with a noninformative or informative prior. The prior assumes mu and sigma2 are
// independent with mu assigned a normal prior with mean mu0 and variance tau2, and sigma2 is
// assigned a inverse gamma prior with parameters a and b.
func NormPostInfPriorNext(data []float64, a, b, mu0, tau2 float64) (postMu, postS2 float64) {
	// Arguments:
	// data - vector of observations
	// prior params:
	//     a
	//     b
	//     mu0
	//     tau2
	// Returns:
	// postMu -  simulated draw of normal mean
	// postS2 -  simulated draw of normal variance

	xbar := mean(data)
	n := len(data)
	diff2 := make([]float64, n)
	for i, val := range data {
		diff2[i] = (val - xbar) * (val - xbar)
	}

	s := sum(diff2)
	postS2 = s / float64(n)
	prec := float64(n)/postS2 + 1/tau2
	mu1 := (xbar*float64(n)/postS2 + mu0/tau2) / prec
	v1 := 1 / prec
	postMu = dst.NormalNext(mu1, sqrt(v1))

	a1 := a + float64(n)/2

	d2 := make([]float64, n)
	for i, val := range data {
		d2[i] = (val - postMu) * (val - postMu)
	}

	b1 := b + sum(d2)/2
	postS2 = rigamma(a1, b1)
	return
}
コード例 #9
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// Test against R:LearningBayes:bfindep()
func TestFactCTableIndep(t *testing.T) {
	y := [][]float64{
		{1, 10},
		{5, 20},
	}
	k := 20.0
	m := 1000000
	fmt.Println("Testing ldirichlet")

	c5 := ldirichlet(y)
	fmt.Println("ldirichlet: ", c5)
	fmt.Println("should be: -2.302585 -12.266791")

	fmt.Println("Testing meanSd")

	nrm := make([]float64, m)
	for i, _ := range nrm {
		nrm[i] = dst.NormalNext(5, 0.6)
	}
	mu, sd := meanSd(nrm)
	fmt.Println("mu, sd :", mu, sd)

	fmt.Println("cols2vec")
	fmt.Println(cols2vec(y))
	fmt.Println("should be 1 5 10 20")

	fmt.Println("Testing FactCTableIndep #1")
	c1, c2 := FactCTableIndep(y, k, m)
	c3, c4 := 0.6768298, 0.002508772
	if !check(c1, c3) || !check(c2, c4) {
		t.Error()
		fmt.Println("FactCTableIndep: bf = ", c1, "should be ", c3, "+/- 0.015")
		fmt.Println("                nse = ", c2, "should be ", c4, "+/- 0.003")
	}

}