Source code for copulas.bivariate.base

"""This module contains a base class for bivariate copulas."""

import json
import warnings
from enum import Enum

import numpy as np
from scipy import stats
from scipy.optimize import brentq

from copulas import EPSILON, NotFittedError, random_state, validate_random_state
from copulas.bivariate.utils import split_matrix

[docs]class CopulaTypes(Enum): """Available copula families.""" CLAYTON = 0 FRANK = 1 GUMBEL = 2 INDEPENDENCE = 3
[docs]class Bivariate(object): """Base class for bivariate copulas. This class allows to instantiate all its subclasses and serves as a unique entry point for the bivariate copulas classes. >>> Bivariate(copula_type=CopulaTypes.FRANK).__class__ copulas.bivariate.frank.Frank >>> Bivariate(copula_type='frank').__class__ copulas.bivariate.frank.Frank Args: copula_type (Union[CopulaType, str]): Subtype of the copula. random_state (Union[int, np.random.RandomState, None]): Seed or RandomState for the random generator. Attributes: copula_type(CopulaTypes): Family of the copula a subclass belongs to. _subclasses(list[type]): List of declared subclasses. theta_interval(list[float]): Interval of valid thetas for the given copula family. invalid_thetas(list[float]): Values that, even though they belong to :attr:`theta_interval`, shouldn't be considered valid. tau (float): Kendall's tau for the data given at :meth:`fit`. theta(float): Parameter for the copula. """ copula_type = None _subclasses = [] theta_interval = [] invalid_thetas = [] theta = None tau = None @classmethod def _get_subclasses(cls): """Find recursively subclasses for the current class object. Returns: list[Bivariate]: List of subclass objects. """ subclasses = [] for subclass in cls.__subclasses__(): subclasses.append(subclass) subclasses.extend(subclass._get_subclasses()) return subclasses
[docs] @classmethod def subclasses(cls): """Return a list of subclasses for the current class object. Returns: list[Bivariate]: Subclasses for given class. """ if not cls._subclasses: cls._subclasses = cls._get_subclasses() return cls._subclasses
def __new__(cls, *args, **kwargs): """Create and return a new object. Returns: Bivariate: New object. """ copula_type = kwargs.get('copula_type', None) if copula_type is None: return super(Bivariate, cls).__new__(cls) if not isinstance(copula_type, CopulaTypes): if (isinstance(copula_type, str) and copula_type.upper() in CopulaTypes.__members__): copula_type = CopulaTypes[copula_type.upper()] else: raise ValueError(f'Invalid copula type {copula_type}') for subclass in cls.subclasses(): if subclass.copula_type is copula_type: return super(Bivariate, cls).__new__(subclass) def __init__(self, copula_type=None, random_state=None): """Initialize Bivariate object. Args: copula_type (CopulaType or str): Subtype of the copula. random_state (int, np.random.RandomState, or None): Seed or RandomState for the random generator. """ self.random_state = validate_random_state(random_state)
[docs] def check_theta(self): """Validate the computed theta against the copula specification. This method is used to assert the computed theta is in the valid range for the copula. Raises: ValueError: If theta is not in :attr:`theta_interval` or is in :attr:`invalid_thetas`, """ lower, upper = self.theta_interval if (not lower <= self.theta <= upper) or (self.theta in self.invalid_thetas): message = 'The computed theta value {} is out of limits for the given {} copula.' raise ValueError(message.format(self.theta,
[docs] def check_fit(self): """Assert that the model is fit and the computed `theta` is valid. Raises: NotFittedError: if the model is not fitted. ValueError: if the computed theta is invalid. """ if not self.theta: raise NotFittedError('This model is not fitted.') self.check_theta()
[docs] def check_marginal(self, u): """Check that the marginals are uniformly distributed. Args: u(np.ndarray): Array of datapoints with shape (n,). Raises: ValueError: If the data does not appear uniformly distributed. """ if min(u) < 0.0 or max(u) > 1.0: raise ValueError('Marginal value out of bounds.') emperical_cdf = np.sort(u) uniform_cdf = np.linspace(0.0, 1.0, num=len(u)) ks_statistic = max(np.abs(emperical_cdf - uniform_cdf)) if ks_statistic > 1.627 / np.sqrt(len(u)): # KS test with significance level 0.01 warnings.warn('Data does not appear to be uniform.', category=RuntimeWarning)
def _compute_theta(self): """Compute theta, validate it and assign it to self.""" self.theta = self.compute_theta() self.check_theta()
[docs] def fit(self, X): """Fit a model to the data updating the parameters. Args: X(np.ndarray): Array of datapoints with shape (n,2). Return: None """ U, V = split_matrix(X) self.check_marginal(U) self.check_marginal(V) self.tau = stats.kendalltau(U, V)[0] if np.isnan(self.tau): if len(np.unique(U)) == 1 or len(np.unique(V)) == 1: raise ValueError('Constant column.') raise ValueError('Unable to compute tau.') self._compute_theta()
[docs] def to_dict(self): """Return a `dict` with the parameters to replicate this object. Returns: dict: Parameters of the copula. """ return { 'copula_type':, 'theta': self.theta, 'tau': self.tau }
[docs] @classmethod def from_dict(cls, copula_dict): """Create a new instance from the given parameters. Args: copula_dict: `dict` with the parameters to replicate the copula. Like the output of `Bivariate.to_dict` Returns: Bivariate: Instance of the copula defined on the parameters. """ instance = cls(copula_type=copula_dict['copula_type']) instance.theta = copula_dict['theta'] instance.tau = copula_dict['tau'] return instance
[docs] def infer(self, X): """Take in subset of values and predicts the rest.""" raise NotImplementedError
[docs] def generator(self, t): r"""Compute the generator function for Archimedian copulas. The generator is a function :math:`\psi: [0,1]\times\Theta \rightarrow [0, \infty)` # noqa: JS101 that given an Archimedian copula fulfills: .. math:: C(u,v) = \psi^{-1}(\psi(u) + \psi(v)) In a more generic way: .. math:: C(u_1, u_2, ..., u_n;\theta) = \psi^-1(\sum_0^n{\psi(u_i;\theta)}; \theta) """ raise NotImplementedError
[docs] def probability_density(self, X): r"""Compute probability density function for given copula family. The probability density(pdf) for a given copula is defined as: .. math:: c(U,V) = \frac{\partial^2 C(u,v)}{\partial v \partial u} Args: X(np.ndarray): Shape (n, 2).Datapoints to compute pdf. Returns: np.array: Probability density for the input values. """ raise NotImplementedError
[docs] def log_probability_density(self, X): """Return log probability density of model. The log probability should be overridden with numerically stable variants whenever possible. Arguments: X: `np.ndarray` of shape (n, 1). Returns: np.ndarray """ return np.log(self.probability_density(X))
[docs] def pdf(self, X): """Shortcut to :meth:`probability_density`.""" return self.probability_density(X)
[docs] def cumulative_distribution(self, X): """Compute the cumulative distribution function for the copula, :math:`C(u, v)`. Args: X(np.ndarray): Returns: numpy.array: cumulative probability """ raise NotImplementedError
[docs] def cdf(self, X): """Shortcut to :meth:`cumulative_distribution`.""" return self.cumulative_distribution(X)
[docs] def percent_point(self, y, V): """Compute the inverse of conditional cumulative distribution :math:`C(u|v)^{-1}`. Args: y: `np.ndarray` value of :math:`C(u|v)`. v: `np.ndarray` given value of v. """ self.check_fit() result = [] for _y, _v in zip(y, V): def f(u): return self.partial_derivative_scalar(u, _v) - _y minimum = brentq(f, EPSILON, 1.0) if isinstance(minimum, np.ndarray): minimum = minimum[0] result.append(minimum) return np.array(result)
[docs] def ppf(self, y, V): """Shortcut to :meth:`percent_point`.""" return self.percent_point(y, V)
[docs] def partial_derivative(self, X): r"""Compute partial derivative of cumulative distribution. The partial derivative of the copula(CDF) is the conditional CDF. .. math:: F(v|u) = \frac{\partial C(u,v)}{\partial u} The base class provides a finite difference approximation of the partial derivative of the CDF with respect to u. Args: X(np.ndarray) y(float) Returns: np.ndarray """ delta = (-2 * (X[:, 1] > 0.5) + 1) delta = 0.0001 * delta X_prime = X.copy() X_prime[:, 1] += delta f = self.cumulative_distribution(X) f_prime = self.cumulative_distribution(X_prime) return (f_prime - f) / delta
[docs] def partial_derivative_scalar(self, U, V): """Compute partial derivative :math:`C(u|v)` of cumulative density of single values.""" self.check_fit() X = np.column_stack((U, V)) return self.partial_derivative(X)
[docs] def set_random_state(self, random_state): """Set the random state. Args: random_state (int, np.random.RandomState, or None): Seed or RandomState for the random generator. """ self.random_state = validate_random_state(random_state)
@random_state def sample(self, n_samples): """Generate specified `n_samples` of new data from model. The sampled are generated using the inverse transform method `v~U[0,1],v~C^-1(u|v)` Args: n_samples (int): amount of samples to create. Returns: np.ndarray: Array of length `n_samples` with generated data from the model. """ if self.tau > 1 or self.tau < -1: raise ValueError('The range for correlation measure is [-1,1].') v = np.random.uniform(0, 1, n_samples) c = np.random.uniform(0, 1, n_samples) u = self.percent_point(c, v) return np.column_stack((u, v))
[docs] def compute_theta(self): """Compute theta parameter using Kendall's tau.""" raise NotImplementedError
[docs] @classmethod def select_copula(cls, X): r"""Select best copula function based on likelihood. Given out candidate copulas the procedure proposed for selecting the one that best fit to a dataset of pairs :math:`\{(u_j, v_j )\}, j=1,2,...n` , is as follows: 1. Estimate the most likely parameter :math:`\theta` of each copula candidate for the given dataset. 2. Construct :math:`R(z|\theta)`. Calculate the area under the tail for each of the copula candidates. 3. Compare the areas: :math:`a_u` achieved using empirical copula against the ones achieved for the copula candidates. Score the outcome of the comparison from 3 (best) down to 1 (worst). 4. Proceed as in steps 2- 3 with the lower tail and function :math:`L`. 5. Finally the sum of empirical upper and lower tail functions is compared against :math:`R + L`. Scores of the three comparisons are summed and the candidate with the highest value is selected. Args: X(np.ndarray): Matrix of shape (n,2). Returns: copula: Best copula that fits for it. """ from copulas.bivariate import select_copula # noqa warnings.warn( '`Bivariate.select_copula` has been deprecated and will be removed in a later ' 'release. Please use `copulas.bivariate.select_copula` instead', DeprecationWarning ) return select_copula(X)
[docs] def save(self, filename): """Save the internal state of a copula in the specified filename. Args: filename(str): Path to save. Returns: None """ content = self.to_dict() with open(filename, 'w') as f: json.dump(content, f)
[docs] @classmethod def load(cls, copula_path): """Create a new instance from a file. Args: copula_path(str): Path to file with the serialized copula. Returns: Bivariate: Instance with the parameters stored in the file. """ with open(copula_path) as f: copula_dict = json.load(f) return cls.from_dict(copula_dict)