From 2db1da7cf09d2361d63ad660f76c3d6273c716f2 Mon Sep 17 00:00:00 2001
From: Le Roux Erwan <erwan.le-roux@irstea.fr>
Date: Sun, 19 Apr 2020 19:24:15 +0200
Subject: [PATCH] [contrasting] implement aic and bic
---
.../margin_estimator/abstract_margin_estimator.py | 8 ++++++++
.../linear_margin_model/linear_margin_model.py | 4 ++++
.../test_gev/test_gev_temporal_extremes_mle.py | 14 ++++++--------
3 files changed, 18 insertions(+), 8 deletions(-)
diff --git a/extreme_fit/estimator/margin_estimator/abstract_margin_estimator.py b/extreme_fit/estimator/margin_estimator/abstract_margin_estimator.py
index 0c140c6e..bf20379c 100644
--- a/extreme_fit/estimator/margin_estimator/abstract_margin_estimator.py
+++ b/extreme_fit/estimator/margin_estimator/abstract_margin_estimator.py
@@ -60,3 +60,11 @@ class LinearMarginEstimator(AbstractMarginEstimator):
nllh -= np.log(p)
assert not np.isinf(nllh)
return nllh
+
+ def aic(self, split=Split.all):
+ return 2 * self.margin_model.nb_params + 2 * self.nllh(split=split)
+
+ def bic(self, split=Split.all):
+ n = len(self.dataset.maxima_gev(split=split))
+ return np.log(n) * self.margin_model.nb_params + 2 * self.nllh(split=split)
+
diff --git a/extreme_fit/model/margin_model/linear_margin_model/linear_margin_model.py b/extreme_fit/model/margin_model/linear_margin_model/linear_margin_model.py
index 07d6e8cf..538fa816 100644
--- a/extreme_fit/model/margin_model/linear_margin_model/linear_margin_model.py
+++ b/extreme_fit/model/margin_model/linear_margin_model/linear_margin_model.py
@@ -36,6 +36,10 @@ class LinearMarginModel(ParametricMarginModel):
param_name_and_dim_to_coef[(param_name, dim)] = default_slope
return param_name_and_dim_to_coef
+ @property
+ def nb_params(self):
+ return len(self.margin_function.coef_dict)
+
def param_name_to_linear_coef(self, param_name_and_dim_to_coef):
param_name_to_linear_coef = {}
param_names = list(set([e[0] for e in param_name_and_dim_to_coef.keys()]))
diff --git a/test/test_extreme_fit/test_distribution/test_gev/test_gev_temporal_extremes_mle.py b/test/test_extreme_fit/test_distribution/test_gev/test_gev_temporal_extremes_mle.py
index 425d4110..0a2796f0 100644
--- a/test/test_extreme_fit/test_distribution/test_gev/test_gev_temporal_extremes_mle.py
+++ b/test/test_extreme_fit/test_distribution/test_gev/test_gev_temporal_extremes_mle.py
@@ -47,6 +47,8 @@ class TestGevTemporalExtremesMle(unittest.TestCase):
for key in ref.keys():
self.assertAlmostEqual(ref[key], mle_params_estimated[key], places=3)
self.assertAlmostEqual(estimator.result_from_model_fit.nllh, estimator.nllh())
+ self.assertAlmostEqual(estimator.result_from_model_fit.aic, estimator.aic())
+ self.assertAlmostEqual(estimator.result_from_model_fit.bic, estimator.bic())
def test_gev_temporal_margin_fit_non_stationary_location(self):
# Create estimator
@@ -58,6 +60,8 @@ class TestGevTemporalExtremesMle(unittest.TestCase):
mle_params_estimated_year3 = estimator.function_from_fit.get_params(np.array([3])).to_dict()
self.assertNotEqual(mle_params_estimated_year1, mle_params_estimated_year3)
self.assertAlmostEqual(estimator.result_from_model_fit.nllh, estimator.nllh())
+ self.assertAlmostEqual(estimator.result_from_model_fit.aic, estimator.aic())
+ self.assertAlmostEqual(estimator.result_from_model_fit.bic, estimator.bic())
def test_gev_temporal_margin_fit_non_stationary_location_and_scale(self):
# Create estimator
@@ -70,14 +74,8 @@ class TestGevTemporalExtremesMle(unittest.TestCase):
mle_params_estimated_year3 = estimator.function_from_fit.get_params(np.array([3])).to_dict()
self.assertNotEqual(mle_params_estimated_year1, mle_params_estimated_year3)
self.assertAlmostEqual(estimator.result_from_model_fit.nllh, estimator.nllh())
- # self.assertAlmostEqual(estimator.result_from_model_fit.aic, estimator.aic())
- # self.assertAlmostEqual(estimator.result_from_model_fit.bic, estimator.bic())
- # print(estimator.result_from_model_fit.summary_name_to_value)
- # for k, v in estimator.result_from_model_fit.results.items():
- # print(k, np.array(v)[0])
- self.assertAlmostEqual(estimator.result_from_model_fit.aic, 215.59675857481045)
- self.assertAlmostEqual(estimator.result_from_model_fit.bic, 225.1568736019512)
-
+ self.assertAlmostEqual(estimator.result_from_model_fit.aic, estimator.aic())
+ self.assertAlmostEqual(estimator.result_from_model_fit.bic, estimator.bic())
if __name__ == '__main__':
--
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