import os import numpy as np import numpy.testing as npt from numpy.testing import assert_allclose import pytest from scipy import stats from scipy.optimize import differential_evolution from .test_continuous_basic import distcont from scipy.stats._distn_infrastructure import FitError from scipy.stats._distr_params import distdiscrete # this is not a proper statistical test for convergence, but only # verifies that the estimate and true values don't differ by too much fit_sizes = [1000, 5000, 10000] # sample sizes to try thresh_percent = 0.25 # percent of true parameters for fail cut-off thresh_min = 0.75 # minimum difference estimate - true to fail test mle_failing_fits = [ 'burr', 'chi2', 'gausshyper', 'genexpon', 'gengamma', 'kappa4', 'ksone', 'kstwo', 'mielke', 'ncf', 'ncx2', 'pearson3', 'powerlognorm', 'truncexpon', 'tukeylambda', 'vonmises', 'levy_stable', 'trapezoid', 'truncweibull_min', 'studentized_range', ] mm_failing_fits = ['alpha', 'betaprime', 'burr', 'burr12', 'cauchy', 'chi', 'chi2', 'crystalball', 'dgamma', 'dweibull', 'f', 'fatiguelife', 'fisk', 'foldcauchy', 'genextreme', 'gengamma', 'genhyperbolic', 'gennorm', 'genpareto', 'halfcauchy', 'invgamma', 'invweibull', 'johnsonsu', 'kappa3', 'ksone', 'kstwo', 'levy', 'levy_l', 'levy_stable', 'loglaplace', 'lomax', 'mielke', 'nakagami', 'ncf', 'nct', 'ncx2', 'pareto', 'powerlognorm', 'powernorm', 'skewcauchy', 't', 'trapezoid', 'triang', 'truncweibull_min', 'tukeylambda', 'studentized_range'] # not sure if these fail, but they caused my patience to fail mm_slow_fits = ['argus', 'exponpow', 'exponweib', 'gausshyper', 'genexpon', 'genhalflogistic', 'halfgennorm', 'gompertz', 'johnsonsb', 'kappa4', 'kstwobign', 'recipinvgauss', 'skewnorm', 'truncexpon', 'vonmises', 'vonmises_line'] failing_fits = {"MM": mm_failing_fits + mm_slow_fits, "MLE": mle_failing_fits} # Don't run the fit test on these: skip_fit = [ 'erlang', # Subclass of gamma, generates a warning. 'genhyperbolic', # too slow ] def cases_test_cont_fit(): # this tests the closeness of the estimated parameters to the true # parameters with fit method of continuous distributions # Note: is slow, some distributions don't converge with sample # size <= 10000 for distname, arg in distcont: if distname not in skip_fit: yield distname, arg @pytest.mark.slow @pytest.mark.parametrize('distname,arg', cases_test_cont_fit()) @pytest.mark.parametrize('method', ["MLE", "MM"]) def test_cont_fit(distname, arg, method): if distname in failing_fits[method]: # Skip failing fits unless overridden try: xfail = not int(os.environ['SCIPY_XFAIL']) except Exception: xfail = True if xfail: msg = "Fitting %s doesn't work reliably yet" % distname msg += (" [Set environment variable SCIPY_XFAIL=1 to run this" " test nevertheless.]") pytest.xfail(msg) distfn = getattr(stats, distname) truearg = np.hstack([arg, [0.0, 1.0]]) diffthreshold = np.max(np.vstack([truearg*thresh_percent, np.full(distfn.numargs+2, thresh_min)]), 0) for fit_size in fit_sizes: # Note that if a fit succeeds, the other fit_sizes are skipped np.random.seed(1234) with np.errstate(all='ignore'): rvs = distfn.rvs(size=fit_size, *arg) est = distfn.fit(rvs, method=method) # start with default values diff = est - truearg # threshold for location diffthreshold[-2] = np.max([np.abs(rvs.mean())*thresh_percent, thresh_min]) if np.any(np.isnan(est)): raise AssertionError('nan returned in fit') else: if np.all(np.abs(diff) <= diffthreshold): break else: txt = 'parameter: %s\n' % str(truearg) txt += 'estimated: %s\n' % str(est) txt += 'diff : %s\n' % str(diff) raise AssertionError('fit not very good in %s\n' % distfn.name + txt) def _check_loc_scale_mle_fit(name, data, desired, atol=None): d = getattr(stats, name) actual = d.fit(data)[-2:] assert_allclose(actual, desired, atol=atol, err_msg='poor mle fit of (loc, scale) in %s' % name) def test_non_default_loc_scale_mle_fit(): data = np.array([1.01, 1.78, 1.78, 1.78, 1.88, 1.88, 1.88, 2.00]) _check_loc_scale_mle_fit('uniform', data, [1.01, 0.99], 1e-3) _check_loc_scale_mle_fit('expon', data, [1.01, 0.73875], 1e-3) def test_expon_fit(): """gh-6167""" data = [0, 0, 0, 0, 2, 2, 2, 2] phat = stats.expon.fit(data, floc=0) assert_allclose(phat, [0, 1.0], atol=1e-3) def test_fit_error(): data = np.concatenate([np.zeros(29), np.ones(21)]) message = "Optimization converged to parameters that are..." with pytest.raises(FitError, match=message), \ pytest.warns(RuntimeWarning): stats.beta.fit(data) @pytest.mark.parametrize("dist, params", [(stats.norm, (0.5, 2.5)), # type: ignore[attr-defined] # noqa (stats.binom, (10, 0.3, 2))]) # type: ignore[attr-defined] # noqa def test_nnlf_and_related_methods(dist, params): rng = np.random.default_rng(983459824) if hasattr(dist, 'pdf'): logpxf = dist.logpdf else: logpxf = dist.logpmf x = dist.rvs(*params, size=100, random_state=rng) ref = -logpxf(x, *params).sum() res1 = dist.nnlf(params, x) res2 = dist._penalized_nnlf(params, x) assert_allclose(res1, ref) assert_allclose(res2, ref) def cases_test_fit(): # These three fail default test; check separately skip_basic_fit = {'argus', 'foldnorm', 'truncweibull_min'} # status of 'studentized_range', 'ksone', 'kstwo' unknown; all others pass slow_basic_fit = {'burr12', 'johnsonsb', 'bradford', 'fisk', 'mielke', 'exponpow', 'rdist', 'norminvgauss', 'betaprime', 'powerlaw', 'pareto', 'johnsonsu', 'loglaplace', 'wrapcauchy', 'weibull_max', 'arcsine', 'binom', 'rice', 'uniform', 'f', 'invweibull', 'genpareto', 'weibull_min', 'nbinom', 'kappa3', 'lognorm', 'halfgennorm', 'pearson3', 'alpha', 't', 'crystalball', 'fatiguelife', 'nakagami', 'kstwobign', 'gompertz', 'dweibull', 'lomax', 'invgauss', 'recipinvgauss', 'chi', 'foldcauchy', 'powernorm', 'gennorm', 'skewnorm', 'randint', 'genextreme'} xslow_basic_fit = {'studentized_range', 'ksone', 'kstwo', 'levy_stable', 'nchypergeom_fisher', 'nchypergeom_wallenius', 'gausshyper', 'genexpon', 'gengamma', 'genhyperbolic', 'geninvgauss', 'tukeylambda', 'skellam', 'ncx2', 'hypergeom', 'nhypergeom', 'zipfian', 'ncf', 'truncnorm', 'powerlognorm', 'beta', 'loguniform', 'reciprocal', 'trapezoid', 'nct', 'kappa4', 'betabinom', 'exponweib', 'genhalflogistic', 'burr', 'triang'} for dist in dict(distdiscrete + distcont): if dist in skip_basic_fit or not isinstance(dist, str): reason = "tested separately" yield pytest.param(dist, marks=pytest.mark.skip(reason=reason)) elif dist in slow_basic_fit: reason = "too slow (>= 0.25s)" yield pytest.param(dist, marks=pytest.mark.slow(reason=reason)) elif dist in xslow_basic_fit: reason = "too slow (>= 1.0s)" yield pytest.param(dist, marks=pytest.mark.xslow(reason=reason)) else: yield dist def cases_test_fitstart(): for distname, shapes in dict(distcont).items(): if not isinstance(distname, str) or distname in {'studentized_range'}: continue yield distname, shapes @pytest.mark.parametrize('distname, shapes', cases_test_fitstart()) def test_fitstart(distname, shapes): dist = getattr(stats, distname) rng = np.random.default_rng(216342614) data = rng.random(10) with np.errstate(invalid='ignore', divide='ignore'): # irrelevant to test guess = dist._fitstart(data) assert dist._argcheck(*guess[:-2]) def assert_nllf_less_or_close(dist, data, params1, params0, rtol=1e-7, atol=0): nllf1 = dist.nnlf(params1, data) nllf0 = dist.nnlf(params0, data) if not (nllf1 < nllf0): np.testing.assert_allclose(nllf1, nllf0, rtol=rtol, atol=atol) class TestFit: dist = stats.binom # type: ignore[attr-defined] seed = 654634816187 rng = np.random.default_rng(seed) data = stats.binom.rvs(5, 0.5, size=100, random_state=rng) # type: ignore[attr-defined] # noqa shape_bounds_a = [(1, 10), (0, 1)] shape_bounds_d = {'n': (1, 10), 'p': (0, 1)} atol = 5e-2 rtol = 1e-2 tols = {'atol': atol, 'rtol': rtol} def opt(self, *args, **kwds): return differential_evolution(*args, seed=0, **kwds) def test_dist_iv(self): message = "`dist` must be an instance of..." with pytest.raises(ValueError, match=message): stats.fit(10, self.data, self.shape_bounds_a) def test_data_iv(self): message = "`data` must be exactly one-dimensional." with pytest.raises(ValueError, match=message): stats.fit(self.dist, [[1, 2, 3]], self.shape_bounds_a) message = "All elements of `data` must be finite numbers." with pytest.raises(ValueError, match=message): stats.fit(self.dist, [1, 2, 3, np.nan], self.shape_bounds_a) with pytest.raises(ValueError, match=message): stats.fit(self.dist, [1, 2, 3, np.inf], self.shape_bounds_a) with pytest.raises(ValueError, match=message): stats.fit(self.dist, ['1', '2', '3'], self.shape_bounds_a) def test_bounds_iv(self): message = "Bounds provided for the following unrecognized..." shape_bounds = {'n': (1, 10), 'p': (0, 1), '1': (0, 10)} with pytest.warns(RuntimeWarning, match=message): stats.fit(self.dist, self.data, shape_bounds) message = "Each element of a `bounds` sequence must be a tuple..." shape_bounds = [(1, 10, 3), (0, 1)] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) message = "Each element of `bounds` must be a tuple specifying..." shape_bounds = [(1, 10, 3), (0, 1, 0.5)] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) shape_bounds = [1, 0] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) message = "A `bounds` sequence must contain at least 2 elements..." shape_bounds = [(1, 10)] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) message = "A `bounds` sequence may not contain more than 3 elements..." bounds = [(1, 10), (1, 10), (1, 10), (1, 10)] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, bounds) message = "There are no values for `p` on the interval..." shape_bounds = {'n': (1, 10), 'p': (1, 0)} with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) message = "There are no values for `n` on the interval..." shape_bounds = [(10, 1), (0, 1)] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) message = "There are no integer values for `n` on the interval..." shape_bounds = [(1.4, 1.6), (0, 1)] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) message = "The intersection of user-provided bounds for `n`" with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data) shape_bounds = [(-np.inf, np.inf), (0, 1)] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, shape_bounds) def test_guess_iv(self): message = "Guesses provided for the following unrecognized..." guess = {'n': 1, 'p': 0.5, '1': 255} with pytest.warns(RuntimeWarning, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) message = "Each element of `guess` must be a scalar..." guess = {'n': 1, 'p': 'hi'} with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) guess = [1, 'f'] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) guess = [[1, 2]] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) message = "A `guess` sequence must contain at least 2..." guess = [1] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) message = "A `guess` sequence may not contain more than 3..." guess = [1, 2, 3, 4] with pytest.raises(ValueError, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) message = "Guess for parameter `n` rounded..." guess = {'n': 4.5, 'p': -0.5} with pytest.warns(RuntimeWarning, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) message = "Guess for parameter `loc` rounded..." guess = [5, 0.5, 0.5] with pytest.warns(RuntimeWarning, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) message = "Guess for parameter `p` clipped..." guess = {'n': 5, 'p': -0.5} with pytest.warns(RuntimeWarning, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) message = "Guess for parameter `loc` clipped..." guess = [5, 0.5, 1] with pytest.warns(RuntimeWarning, match=message): stats.fit(self.dist, self.data, self.shape_bounds_d, guess=guess) @pytest.mark.parametrize("dist_name", cases_test_fit()) def test_basic_fit(self, dist_name): N = 5000 dist_data = dict(distcont + distdiscrete) rng = np.random.default_rng(self.seed) dist = getattr(stats, dist_name) shapes = np.array(dist_data[dist_name]) bounds = np.empty((len(shapes) + 2, 2), dtype=np.float64) bounds[:-2, 0] = shapes/10.**np.sign(shapes) bounds[:-2, 1] = shapes*10.**np.sign(shapes) bounds[-2] = (0, 10) bounds[-1] = (0, 10) loc = rng.uniform(*bounds[-2]) scale = rng.uniform(*bounds[-1]) ref = list(dist_data[dist_name]) + [loc, scale] if getattr(dist, 'pmf', False): ref = ref[:-1] ref[-1] = np.floor(loc) data = dist.rvs(*ref, size=N, random_state=rng) bounds = bounds[:-1] if getattr(dist, 'pdf', False): data = dist.rvs(*ref, size=N, random_state=rng) with npt.suppress_warnings() as sup: sup.filter(RuntimeWarning, "overflow encountered") res = stats.fit(dist, data, bounds, optimizer=self.opt) assert_nllf_less_or_close(dist, data, res.params, ref, **self.tols) def test_argus(self): # Can't guarantee that all distributions will fit all data with # arbitrary bounds. This distribution just happens to fail above. # Try something slightly different. N = 1000 rng = np.random.default_rng(self.seed) dist = stats.argus shapes = (1., 2., 3.) data = dist.rvs(*shapes, size=N, random_state=rng) shape_bounds = {'chi': (0.1, 10), 'loc': (0.1, 10), 'scale': (0.1, 10)} res = stats.fit(dist, data, shape_bounds, optimizer=self.opt) assert_nllf_less_or_close(dist, data, res.params, shapes, **self.tols) def test_foldnorm(self): # Can't guarantee that all distributions will fit all data with # arbitrary bounds. This distribution just happens to fail above. # Try something slightly different. N = 1000 rng = np.random.default_rng(self.seed) dist = stats.foldnorm shapes = (1.952125337355587, 2., 3.) data = dist.rvs(*shapes, size=N, random_state=rng) shape_bounds = {'c': (0.1, 10), 'loc': (0.1, 10), 'scale': (0.1, 10)} res = stats.fit(dist, data, shape_bounds, optimizer=self.opt) assert_nllf_less_or_close(dist, data, res.params, shapes, **self.tols) def test_truncweibull_min(self): # Can't guarantee that all distributions will fit all data with # arbitrary bounds. This distribution just happens to fail above. # Try something slightly different. N = 1000 rng = np.random.default_rng(self.seed) dist = stats.truncweibull_min shapes = (2.5, 0.25, 1.75, 2., 3.) data = dist.rvs(*shapes, size=N, random_state=rng) shape_bounds = [(0.1, 10)]*5 res = stats.fit(dist, data, shape_bounds, optimizer=self.opt) assert_nllf_less_or_close(dist, data, res.params, shapes, **self.tols) def test_missing_shape_bounds(self): # some distributions have a small domain w.r.t. a parameter, e.g. # $p \in [0, 1]$ for binomial distribution # User does not need to provide these because the intersection of the # user's bounds (none) and the distribution's domain is finite N = 1000 rng = np.random.default_rng(self.seed) dist = stats.binom n, p, loc = 10, 0.65, 0 data = dist.rvs(n, p, loc=loc, size=N, random_state=rng) shape_bounds = {'n': np.array([0, 20])} # check arrays are OK, too res = stats.fit(dist, data, shape_bounds, optimizer=self.opt) assert_allclose(res.params, (n, p, loc), **self.tols) dist = stats.bernoulli p, loc = 0.314159, 0 data = dist.rvs(p, loc=loc, size=N, random_state=rng) res = stats.fit(dist, data, optimizer=self.opt) assert_allclose(res.params, (p, loc), **self.tols) def test_fit_only_loc_scale(self): # fit only loc N = 5000 rng = np.random.default_rng(self.seed) dist = stats.norm loc, scale = 1.5, 1 data = dist.rvs(loc=loc, size=N, random_state=rng) loc_bounds = (0, 5) bounds = {'loc': loc_bounds} res = stats.fit(dist, data, bounds, optimizer=self.opt) assert_allclose(res.params, (loc, scale), **self.tols) # fit only scale loc, scale = 0, 2.5 data = dist.rvs(scale=scale, size=N, random_state=rng) scale_bounds = (0, 5) bounds = {'scale': scale_bounds} res = stats.fit(dist, data, bounds, optimizer=self.opt) assert_allclose(res.params, (loc, scale), **self.tols) # fit only loc and scale dist = stats.norm loc, scale = 1.5, 2.5 data = dist.rvs(loc=loc, scale=scale, size=N, random_state=rng) bounds = {'loc': loc_bounds, 'scale': scale_bounds} res = stats.fit(dist, data, bounds, optimizer=self.opt) assert_allclose(res.params, (loc, scale), **self.tols) def test_everything_fixed(self): N = 5000 rng = np.random.default_rng(self.seed) dist = stats.norm loc, scale = 1.5, 2.5 data = dist.rvs(loc=loc, scale=scale, size=N, random_state=rng) # loc, scale fixed to 0, 1 by default res = stats.fit(dist, data) assert_allclose(res.params, (0, 1), **self.tols) # loc, scale explicitly fixed bounds = {'loc': (loc, loc), 'scale': (scale, scale)} res = stats.fit(dist, data, bounds) assert_allclose(res.params, (loc, scale), **self.tols) # `n` gets fixed during polishing dist = stats.binom n, p, loc = 10, 0.65, 0 data = dist.rvs(n, p, loc=loc, size=N, random_state=rng) shape_bounds = {'n': (0, 20), 'p': (0.65, 0.65)} res = stats.fit(dist, data, shape_bounds, optimizer=self.opt) assert_allclose(res.params, (n, p, loc), **self.tols) def test_failure(self): N = 5000 rng = np.random.default_rng(self.seed) dist = stats.nbinom shapes = (5, 0.5) data = dist.rvs(*shapes, size=N, random_state=rng) assert data.min() == 0 # With lower bounds on location at 0.5, likelihood is zero bounds = [(0, 30), (0, 1), (0.5, 10)] res = stats.fit(dist, data, bounds) message = "Optimization converged to parameter values that are" assert res.message.startswith(message) assert res.success is False @pytest.mark.xslow def test_guess(self): # Test that guess helps DE find the desired solution N = 2000 rng = np.random.default_rng(self.seed) dist = stats.nhypergeom params = (20, 7, 12, 0) bounds = [(2, 200), (0.7, 70), (1.2, 120), (0, 10)] data = dist.rvs(*params, size=N, random_state=rng) res = stats.fit(dist, data, bounds, optimizer=self.opt) assert not np.allclose(res.params, params, **self.tols) res = stats.fit(dist, data, bounds, guess=params, optimizer=self.opt) assert_allclose(res.params, params, **self.tols)