From 339cf062db1421050e49436a72e950ff61ab8168 Mon Sep 17 00:00:00 2001
From: Le Roux Erwan <erwan.le-roux@irstea.fr>
Date: Wed, 18 Mar 2020 15:27:03 +0100
Subject: [PATCH] [paper 1] add quantile regression
---
.../abstract_quantile_estimator.py | 30 ++++++++++++++
.../abstract_quantile_function.py | 14 +++++++
.../test_estimator/test_margin_estimators.py | 3 --
.../test_estimator/test_quantile_estimator.py | 41 +++++++++++++++++++
4 files changed, 85 insertions(+), 3 deletions(-)
create mode 100644 extreme_fit/estimator/quantile_estimator/abstract_quantile_estimator.py
create mode 100644 extreme_fit/estimator/quantile_estimator/abstract_quantile_function.py
create mode 100644 test/test_extreme_fit/test_estimator/test_quantile_estimator.py
diff --git a/extreme_fit/estimator/quantile_estimator/abstract_quantile_estimator.py b/extreme_fit/estimator/quantile_estimator/abstract_quantile_estimator.py
new file mode 100644
index 00000000..739c8929
--- /dev/null
+++ b/extreme_fit/estimator/quantile_estimator/abstract_quantile_estimator.py
@@ -0,0 +1,30 @@
+from cached_property import cached_property
+
+from extreme_fit.estimator.abstract_estimator import AbstractEstimator
+from extreme_fit.estimator.margin_estimator.abstract_margin_estimator import LinearMarginEstimator
+from extreme_fit.estimator.quantile_estimator.abstract_quantile_function import AbstractQuantileFunction
+from extreme_fit.model.margin_model.linear_margin_model.linear_margin_model import LinearMarginModel
+from spatio_temporal_dataset.dataset.abstract_dataset import AbstractDataset
+
+
+class AbstractQuantileEstimator(AbstractEstimator):
+
+ def __init__(self, quantile: float, **kwargs):
+ super().__init__(**kwargs)
+ assert 0 < quantile < 1
+ self.quantile = quantile
+
+ @cached_property
+ def quantile_function_from_fit(self) -> AbstractQuantileFunction:
+ pass
+
+
+class QuantileEstimatorFromMargin(AbstractQuantileEstimator, LinearMarginEstimator):
+
+ def __init__(self, dataset: AbstractDataset, margin_model: LinearMarginModel, quantile):
+ super().__init__(dataset=dataset, quantile=quantile, margin_model=margin_model)
+
+ @cached_property
+ def quantile_function_from_fit(self) -> AbstractQuantileFunction:
+ linear_margin_function = super().margin_function_from_fit
+ return AbstractQuantileFunction(linear_margin_function, self.quantile)
diff --git a/extreme_fit/estimator/quantile_estimator/abstract_quantile_function.py b/extreme_fit/estimator/quantile_estimator/abstract_quantile_function.py
new file mode 100644
index 00000000..d39b121f
--- /dev/null
+++ b/extreme_fit/estimator/quantile_estimator/abstract_quantile_function.py
@@ -0,0 +1,14 @@
+import numpy as np
+
+from extreme_fit.model.margin_model.margin_function.abstract_margin_function import AbstractMarginFunction
+
+
+class AbstractQuantileFunction(object):
+
+ def __init__(self, margin_function: AbstractMarginFunction, quantile: float):
+ self.margin_function = margin_function
+ self.quantile = quantile
+
+ def get_quantile(self, coordinate: np.ndarray) -> float:
+ gev_params = self.margin_function.get_gev_params(coordinate)
+ return gev_params.quantile(self.quantile)
\ No newline at end of file
diff --git a/test/test_extreme_fit/test_estimator/test_margin_estimators.py b/test/test_extreme_fit/test_estimator/test_margin_estimators.py
index 36cf25bc..7f5eabb2 100644
--- a/test/test_extreme_fit/test_estimator/test_margin_estimators.py
+++ b/test/test_extreme_fit/test_estimator/test_margin_estimators.py
@@ -40,6 +40,3 @@ class TestSmoothMarginEstimator(unittest.TestCase):
if __name__ == '__main__':
unittest.main()
- # t = TestSmoothMarginEstimator()
- # t.test_smooth_margin_estimator_spatio_temporal()
- # t.tearDown()
diff --git a/test/test_extreme_fit/test_estimator/test_quantile_estimator.py b/test/test_extreme_fit/test_estimator/test_quantile_estimator.py
new file mode 100644
index 00000000..9bf1a3c1
--- /dev/null
+++ b/test/test_extreme_fit/test_estimator/test_quantile_estimator.py
@@ -0,0 +1,41 @@
+import unittest
+
+from extreme_fit.estimator.quantile_estimator.abstract_quantile_estimator import QuantileEstimatorFromMargin
+from spatio_temporal_dataset.dataset.simulation_dataset import MarginDataset
+from test.test_utils import load_test_1D_and_2D_spatial_coordinates, load_test_spatiotemporal_coordinates, \
+ load_smooth_margin_models
+
+
+class TestSmoothMarginEstimator(unittest.TestCase):
+ DISPLAY = False
+
+ def test_smooth_margin_estimator_spatial(self):
+ self.nb_points = 2
+ self.nb_obs = 2
+ self.coordinates = load_test_1D_and_2D_spatial_coordinates(nb_points=self.nb_points)
+
+ def test_smooth_margin_estimator_spatio_temporal(self):
+ self.nb_points = 2
+ self.nb_steps = 2
+ self.nb_obs = 1
+ self.coordinates = load_test_spatiotemporal_coordinates(nb_steps=self.nb_steps, nb_points=self.nb_points)
+
+ def tearDown(self) -> None:
+ quantile = 0.98
+ for coordinates in self.coordinates:
+ constant_margin_model = load_smooth_margin_models(coordinates=coordinates)[0]
+ dataset = MarginDataset.from_sampling(nb_obs=self.nb_obs,
+ margin_model=constant_margin_model,
+ coordinates=coordinates)
+ quantile_estimators = [QuantileEstimatorFromMargin(dataset, constant_margin_model, quantile)]
+ help(QuantileEstimatorFromMargin)
+
+ for quantile_estimator in quantile_estimators:
+ quantile_estimator.fit()
+ print(quantile_estimator.margin_function_from_fit)
+
+ # self.assertTrue(True)
+
+
+if __name__ == '__main__':
+ unittest.main()
\ No newline at end of file
--
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