675 lines
24 KiB
Python
675 lines
24 KiB
Python
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"""
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unit test for GAM
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Author: Josef Perktold
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"""
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import os
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import numpy as np
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from numpy.testing import assert_allclose, assert_equal, assert_
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import pandas as pd
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import pytest
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import patsy
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from statsmodels.discrete.discrete_model import Poisson, Logit, Probit
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from statsmodels.genmod.generalized_linear_model import GLM
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from statsmodels.genmod.families import family
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from statsmodels.sandbox.regression.penalized import TheilGLS
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from statsmodels.base._penalized import PenalizedMixin
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import statsmodels.base._penalties as smpen
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from statsmodels.gam.smooth_basis import (BSplines, CyclicCubicSplines)
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from statsmodels.gam.generalized_additive_model import (
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GLMGam, GLMGamResults, GLMGamResultsWrapper)
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from statsmodels.tools.linalg import matrix_sqrt, transf_constraints
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from .results import results_pls, results_mpg_bs, results_mpg_bs_poisson
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class PoissonPenalized(PenalizedMixin, Poisson):
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pass
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class LogitPenalized(PenalizedMixin, Logit):
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pass
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class ProbitPenalized(PenalizedMixin, Probit):
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pass
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class GLMPenalized(PenalizedMixin, GLM):
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pass
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cur_dir = os.path.dirname(os.path.abspath(__file__))
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file_path = os.path.join(cur_dir, "results", "motorcycle.csv")
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data_mcycle = pd.read_csv(file_path)
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file_path = os.path.join(cur_dir, "results", "autos.csv")
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df_autos_ = pd.read_csv(file_path)
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df_autos = df_autos_[['city_mpg', 'fuel', 'drive', 'weight', 'hp']].dropna()
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class CheckGAMMixin:
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@classmethod
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def _init(cls):
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# TODO: CyclicCubicSplines raises when using pandas
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cc_h = CyclicCubicSplines(np.asarray(data_mcycle['times']), df=[6])
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constraints = np.atleast_2d(cc_h.basis.mean(0))
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transf = transf_constraints(constraints)
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exog = cc_h.basis.dot(transf)
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penalty_matrix = transf.T.dot(cc_h.penalty_matrices[0]).dot(transf)
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restriction = matrix_sqrt(penalty_matrix)
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return exog, penalty_matrix, restriction
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def test_params(self):
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res1 = self.res1
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res2 = self.res2
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assert_allclose(res1.params, res2.params, rtol=1e-5)
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assert_allclose(np.asarray(res1.cov_params()),
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res2.Vp * self.covp_corrfact, rtol=1e-6, atol=1e-9)
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assert_allclose(res1.scale, res2.scale * self.covp_corrfact,
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rtol=1e-8)
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assert_allclose(np.asarray(res1.bse),
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res2.se * np.sqrt(self.covp_corrfact),
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rtol=1e-6, atol=1e-9)
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def test_fitted(self):
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res1 = self.res1
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res2 = self.res2
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assert_allclose(res1.fittedvalues, res2.fitted_values,
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rtol=self.rtol_fitted)
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@pytest.mark.smoke
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def test_null_smoke(self):
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self.res1.llnull
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class TestTheilPLS5(CheckGAMMixin):
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cov_type = 'data-prior'
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@classmethod
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def setup_class(cls):
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exog, penalty_matrix, restriction = cls._init()
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endog = data_mcycle['accel']
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modp = TheilGLS(endog, exog, r_matrix=restriction)
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# scaling of penweith in R mgcv
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s_scale_r = 0.02630734
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# Theil penweight uses preliminary sigma2_e to scale penweight
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sigma_e = 1405.7950179165323
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cls.pw = pw = 1 / sigma_e / s_scale_r
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cls.res1 = modp.fit(pen_weight=pw, cov_type=cls.cov_type)
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cls.res2 = results_pls.pls5
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cls.rtol_fitted = 1e-7
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cls.covp_corrfact = 0.99786932844203202
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def test_cov_robust(self):
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res1 = self.res1
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res2 = self.res2
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pw = res1.penalization_factor
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res1 = res1.model.fit(pen_weight=pw, cov_type='sandwich')
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assert_allclose(np.asarray(res1.cov_params()),
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res2.Ve * self.covp_corrfact, rtol=1e-4)
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def test_null_smoke(self):
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pytest.skip("llnull not available")
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class TestGLMPenalizedPLS5(CheckGAMMixin):
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cov_type = 'nonrobust'
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@classmethod
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def setup_class(cls):
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exog, penalty_matrix, restriction = cls._init()
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endog = data_mcycle['accel']
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pen = smpen.L2ConstraintsPenalty(restriction=restriction)
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mod = GLMPenalized(endog, exog, family=family.Gaussian(),
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penal=pen)
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# scaling of penweight in R mgcv
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s_scale_r = 0.02630734
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# set pen_weight to correspond to R mgcv example
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cls.pw = mod.pen_weight = 1 / s_scale_r / 2
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cls.res1 = mod.fit(cov_type=cls.cov_type, method='bfgs', maxiter=100,
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disp=0, trim=False, scale='x2')
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cls.res2 = results_pls.pls5
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cls.rtol_fitted = 1e-5
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# edf is currently not available with PenalizedMixin
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# need correction for difference in scale denominator
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cls.covp_corrfact = 1.0025464444310588
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def _test_cov_robust(self):
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# TODO: HC0 differs from Theil sandwich, difference is large
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res1 = self.res1
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res2 = self.res2
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pw = res1.model.pen_weight
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res1 = res1.model.fit(pen_weight=pw, cov_type='HC0')
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assert_allclose(np.asarray(res1.cov_params()),
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res2.Ve * self.covp_corrfact, rtol=1e-4)
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class TestGAM5Pirls(CheckGAMMixin):
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cov_type = 'nonrobust'
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@classmethod
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def setup_class(cls):
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s_scale = 0.0263073404164214
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x = data_mcycle['times'].values
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endog = data_mcycle['accel']
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cc = CyclicCubicSplines(x, df=[6], constraints='center')
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gam_cc = GLMGam(endog, smoother=cc, alpha=1 / s_scale / 2)
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cls.res1 = gam_cc.fit()
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cls.res2 = results_pls.pls5
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cls.rtol_fitted = 1e-12
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# cls.covp_corrfact = 1.0025464444310588 # without edf
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# edf is implemented
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cls.covp_corrfact = 1
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class TestGAM5Bfgs(CheckGAMMixin):
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cov_type = 'nonrobust'
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@classmethod
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def setup_class(cls):
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s_scale = 0.0263073404164214
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x = data_mcycle['times'].values
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endog = data_mcycle['accel']
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cc = CyclicCubicSplines(x, df=[6], constraints='center')
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gam_cc = GLMGam(endog, smoother=cc, alpha=1 / s_scale / 2)
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cls.res1 = gam_cc.fit(method='bfgs')
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cls.res2 = results_pls.pls5
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cls.rtol_fitted = 1e-5
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# cls.covp_corrfact = 1.0025464444310588 # without edf
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# edf is implemented
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cls.covp_corrfact = 1
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def test_predict(self):
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res1 = self.res1
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res2 = self.res2
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predicted = res1.predict(None, res1.model.smoother.x[2:4])
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assert_allclose(predicted, res1.fittedvalues[2:4],
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rtol=1e-13)
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assert_allclose(predicted, res2.fitted_values[2:4],
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rtol=self.rtol_fitted)
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class TestGAM6Pirls:
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@classmethod
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def setup_class(cls):
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s_scale = 0.0263073404164214
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cc = CyclicCubicSplines(data_mcycle['times'].values, df=[6])
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gam_cc = GLMGam(data_mcycle['accel'], smoother=cc,
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alpha=1 / s_scale / 2)
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cls.res1 = gam_cc.fit()
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def test_fitted(self):
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res1 = self.res1
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pred = res1.get_prediction()
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self.rtol_fitted = 1e-7
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pls6_fittedvalues = np.array([
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2.45008146537851, 3.14145063965465, 5.24130119353225,
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6.63476330674223, 7.99704341866374, 13.9351103077006,
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14.5508371638833, 14.785647621276, 15.1176070735895,
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14.8053514054347, 13.790412967255, 13.790412967255,
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11.2997845518655, 9.51681958051473, 8.4811626302547])
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assert_allclose(res1.fittedvalues[:15], pls6_fittedvalues,
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rtol=self.rtol_fitted)
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assert_allclose(pred.predicted_mean[:15], pls6_fittedvalues,
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rtol=self.rtol_fitted)
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predicted = res1.predict(None, res1.model.smoother.x[2:4])
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assert_allclose(predicted, pls6_fittedvalues[2:4],
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rtol=self.rtol_fitted)
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class TestGAM6Bfgs:
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@classmethod
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def setup_class(cls):
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s_scale = 0.0263073404164214
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cc = CyclicCubicSplines(data_mcycle['times'].values, df=[6])
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gam_cc = GLMGam(data_mcycle['accel'], smoother=cc,
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alpha=1 / s_scale / 2)
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cls.res1 = gam_cc.fit(method='bfgs')
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def test_fitted(self):
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res1 = self.res1
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pred = res1.get_prediction()
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self.rtol_fitted = 1e-5
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pls6_fittedvalues = np.array([
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2.45008146537851, 3.14145063965465, 5.24130119353225,
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6.63476330674223, 7.99704341866374, 13.9351103077006,
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14.5508371638833, 14.785647621276, 15.1176070735895,
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14.8053514054347, 13.790412967255, 13.790412967255,
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11.2997845518655, 9.51681958051473, 8.4811626302547])
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assert_allclose(res1.fittedvalues[:15], pls6_fittedvalues,
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rtol=self.rtol_fitted)
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assert_allclose(pred.predicted_mean[:15], pls6_fittedvalues,
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rtol=self.rtol_fitted)
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class TestGAM6Bfgs0:
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@classmethod
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def setup_class(cls):
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s_scale = 0.0263073404164214 # noqa: F841
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cc = CyclicCubicSplines(data_mcycle['times'].values, df=[6])
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gam_cc = GLMGam(data_mcycle['accel'], smoother=cc,
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alpha=0)
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cls.res1 = gam_cc.fit(method='bfgs')
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def test_fitted(self):
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res1 = self.res1
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pred = res1.get_prediction()
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self.rtol_fitted = 1e-5
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pls6_fittedvalues = np.array([
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2.63203377595747, 3.41285892739456, 5.78168657308338,
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7.35344779586831, 8.89178704316853, 15.7035642157176,
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16.4510219628328, 16.7474993878412, 17.3397025587698,
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17.1062522298643, 16.1786066072489, 16.1786066072489,
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13.7402485937614, 11.9531909618517, 10.9073964111009])
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assert_allclose(res1.fittedvalues[:15], pls6_fittedvalues,
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rtol=self.rtol_fitted)
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assert_allclose(pred.predicted_mean[:15], pls6_fittedvalues,
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rtol=self.rtol_fitted)
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pls6_fittedvalues = np.array([
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2.45008146537851, 3.14145063965465, 5.24130119353225,
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6.63476330674223, 7.99704341866374, 13.9351103077006,
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14.5508371638833, 14.785647621276, 15.1176070735895,
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14.8053514054347, 13.790412967255, 13.790412967255,
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11.2997845518655, 9.51681958051473, 8.4811626302547])
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pls6_exog = np.array([
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1, 1, 1, 1, 1, 1, 1, 1, 1, 1, -0.334312615555276, -0.302733562622373,
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-0.200049479196403, -0.12607681525989, -0.0487229716135211,
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0.397628373646056, 0.475396222437879, 0.51311526571058,
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0.685638355361239, 0.745083051531164, -0.633518318499726,
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-0.634362488928233, -0.635472088268483, -0.634802453890957,
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-0.632796625534419, -0.589886140629009, -0.574834708734556,
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-0.566315983948608, -0.51289784236512, -0.486061743835595,
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-0.353449234316442, -0.348107090921062, -0.328814083307981,
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-0.313617048982477, -0.296913301955505, -0.191949693921079,
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-0.173001127145111, -0.163813487426548, -0.12229019995063,
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-0.108463798212062, -0.33613551740577, -0.327911471033406,
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-0.303620832999443, -0.287786799373968, -0.272279566127816,
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-0.194325957984873, -0.18175817334823, -0.175688807660186,
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-0.147654475500976, -0.137597948224942, -0.406564043706154,
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-0.409594429953082, -0.412391645561287, -0.409453786864986,
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-0.403086590828732, -0.322579243114146, -0.302545882788086,
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-0.29221622484174, -0.239207291311699, -0.218194346676734
|
||
|
|
]).reshape(10, 6, order='F')
|
||
|
|
|
||
|
|
|
||
|
|
class TestGAM6ExogBfgs:
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def setup_class(cls):
|
||
|
|
s_scale = 0.0263073404164214
|
||
|
|
nobs = data_mcycle['times'].shape[0]
|
||
|
|
cc = CyclicCubicSplines(data_mcycle['times'].values, df=[6],
|
||
|
|
constraints='center')
|
||
|
|
gam_cc = GLMGam(data_mcycle['accel'], np.ones(nobs),
|
||
|
|
smoother=cc, alpha=1 / s_scale / 2)
|
||
|
|
cls.res1 = gam_cc.fit(method='bfgs')
|
||
|
|
|
||
|
|
def test_fitted(self):
|
||
|
|
res1 = self.res1
|
||
|
|
pred = res1.get_prediction()
|
||
|
|
self.rtol_fitted = 1e-5
|
||
|
|
|
||
|
|
assert_allclose(res1.fittedvalues[:15], pls6_fittedvalues,
|
||
|
|
rtol=self.rtol_fitted)
|
||
|
|
assert_allclose(pred.predicted_mean[:15], pls6_fittedvalues,
|
||
|
|
rtol=self.rtol_fitted)
|
||
|
|
|
||
|
|
def test_exog(self):
|
||
|
|
exog = self.res1.model.exog
|
||
|
|
assert_allclose(exog[:10], pls6_exog,
|
||
|
|
rtol=1e-13)
|
||
|
|
|
||
|
|
|
||
|
|
class TestGAM6ExogPirls:
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def setup_class(cls):
|
||
|
|
s_scale = 0.0263073404164214
|
||
|
|
nobs = data_mcycle['times'].shape[0]
|
||
|
|
cc = CyclicCubicSplines(data_mcycle['times'].values, df=[6],
|
||
|
|
constraints='center')
|
||
|
|
gam_cc = GLMGam(data_mcycle['accel'], np.ones((nobs, 1)),
|
||
|
|
smoother=cc, alpha=1 / s_scale / 2)
|
||
|
|
cls.res1 = gam_cc.fit(method='pirls')
|
||
|
|
|
||
|
|
def test_fitted(self):
|
||
|
|
res1 = self.res1
|
||
|
|
pred = res1.get_prediction()
|
||
|
|
self.rtol_fitted = 1e-5
|
||
|
|
|
||
|
|
assert_allclose(res1.fittedvalues[:15], pls6_fittedvalues,
|
||
|
|
rtol=self.rtol_fitted)
|
||
|
|
assert_allclose(pred.predicted_mean[:15], pls6_fittedvalues,
|
||
|
|
rtol=self.rtol_fitted)
|
||
|
|
|
||
|
|
def test_exog(self):
|
||
|
|
exog = self.res1.model.exog
|
||
|
|
assert_allclose(exog[:10], pls6_exog,
|
||
|
|
rtol=1e-13)
|
||
|
|
|
||
|
|
|
||
|
|
class TestGAMMPG:
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def setup_class(cls):
|
||
|
|
|
||
|
|
sp = np.array([6.46225497484073, 0.81532465890585])
|
||
|
|
s_scale = np.array([2.95973613706629e-07, 0.000126203730141359])
|
||
|
|
|
||
|
|
x_spline = df_autos[['weight', 'hp']].values
|
||
|
|
exog = patsy.dmatrix('fuel + drive', data=df_autos)
|
||
|
|
cc = CyclicCubicSplines(x_spline, df=[6, 5], constraints='center')
|
||
|
|
# TODO alpha needs to be list
|
||
|
|
gam_cc = GLMGam(df_autos['city_mpg'], exog=exog, smoother=cc,
|
||
|
|
alpha=(1 / s_scale * sp / 2).tolist())
|
||
|
|
cls.res1a = gam_cc.fit()
|
||
|
|
gam_cc = GLMGam(df_autos['city_mpg'], exog=exog, smoother=cc,
|
||
|
|
alpha=(1 / s_scale * sp / 2).tolist())
|
||
|
|
cls.res1b = gam_cc.fit(method='newton')
|
||
|
|
|
||
|
|
def test_exog(self):
|
||
|
|
file_path = os.path.join(cur_dir, "results", "autos_exog.csv")
|
||
|
|
df_exog = pd.read_csv(file_path)
|
||
|
|
res2_exog = df_exog.values
|
||
|
|
for res1 in [self.res1a, self.res1b]:
|
||
|
|
exog = res1.model.exog
|
||
|
|
# exog contains zeros
|
||
|
|
assert_allclose(exog, res2_exog, atol=1e-14)
|
||
|
|
|
||
|
|
def test_fitted(self):
|
||
|
|
file_path = os.path.join(cur_dir, "results", "autos_predict.csv")
|
||
|
|
df_pred = pd.read_csv(file_path, index_col="Row.names")
|
||
|
|
df_pred.index = df_pred.index - 1
|
||
|
|
res2_fittedvalues = df_pred["fit"].values
|
||
|
|
res2_se_mean = df_pred["se_fit"].values
|
||
|
|
for res1 in [self.res1a, self.res1b]:
|
||
|
|
pred = res1.get_prediction()
|
||
|
|
self.rtol_fitted = 1e-5
|
||
|
|
|
||
|
|
assert_allclose(res1.fittedvalues, res2_fittedvalues,
|
||
|
|
rtol=1e-10)
|
||
|
|
assert_allclose(pred.predicted_mean, res2_fittedvalues,
|
||
|
|
rtol=1e-10)
|
||
|
|
|
||
|
|
# TODO: no edf, edf corrected df_resid
|
||
|
|
# scale estimate differs
|
||
|
|
# corr_fact = np.sqrt(191.669417019567 / 190) # without edf
|
||
|
|
# edf is implemented
|
||
|
|
corr_fact = 1
|
||
|
|
assert_allclose(pred.se_mean, res2_se_mean * corr_fact, rtol=1e-10)
|
||
|
|
|
||
|
|
|
||
|
|
class TestGAMMPGBS(CheckGAMMixin):
|
||
|
|
# This has matching results from mgcv
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def setup_class(cls):
|
||
|
|
|
||
|
|
sp = np.array([0.830689464223685, 425.361212061649])
|
||
|
|
cls.s_scale = s_scale = np.array([2.443955e-06, 0.007945455])
|
||
|
|
|
||
|
|
x_spline = df_autos[['weight', 'hp']].values
|
||
|
|
# We need asarray to remove the design_info
|
||
|
|
# If design_info is attached,
|
||
|
|
# then exog_linear will also be transformed in predict.
|
||
|
|
cls.exog = np.asarray(patsy.dmatrix('fuel + drive', data=df_autos))
|
||
|
|
bs = BSplines(x_spline, df=[12, 10], degree=[3, 3],
|
||
|
|
variable_names=['weight', 'hp'],
|
||
|
|
constraints='center',
|
||
|
|
include_intercept=True)
|
||
|
|
# TODO alpha needs to be list
|
||
|
|
alpha0 = 1 / s_scale * sp / 2
|
||
|
|
gam_bs = GLMGam(df_autos['city_mpg'], exog=cls.exog, smoother=bs,
|
||
|
|
alpha=(alpha0).tolist())
|
||
|
|
cls.res1a = gam_bs.fit(use_t=True)
|
||
|
|
|
||
|
|
cls.res1b = gam_bs.fit(method='newton', use_t=True)
|
||
|
|
cls.res1 = cls.res1a._results
|
||
|
|
cls.res2 = results_mpg_bs.mpg_bs
|
||
|
|
|
||
|
|
cls.rtol_fitted = 1e-8
|
||
|
|
cls.covp_corrfact = 1 # not needed
|
||
|
|
|
||
|
|
# for checking that alpha model attribute is unchanged, same as alpha0
|
||
|
|
cls.alpha = [169947.78222669504, 26767.58046340008]
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def _init(cls):
|
||
|
|
pass
|
||
|
|
|
||
|
|
def test_edf(self):
|
||
|
|
res1 = self.res1
|
||
|
|
res2 = self.res2
|
||
|
|
assert_allclose(res1.edf, res2.edf_all, rtol=1e-6)
|
||
|
|
hat = res1.get_hat_matrix_diag()
|
||
|
|
assert_allclose(hat, res2.hat, rtol=1e-6)
|
||
|
|
|
||
|
|
def test_smooth(self):
|
||
|
|
res1 = self.res1
|
||
|
|
res2 = self.res2
|
||
|
|
smoothers = res1.model.smoother.smoothers
|
||
|
|
pen_matrix0 = smoothers[0].cov_der2
|
||
|
|
assert_allclose(pen_matrix0, res2.smooth0.S * res2.smooth0.S_scale,
|
||
|
|
rtol=1e-6)
|
||
|
|
|
||
|
|
def test_predict(self):
|
||
|
|
res1 = self.res1
|
||
|
|
res2 = self.res2
|
||
|
|
predicted = res1.predict(self.exog[2:4], res1.model.smoother.x[2:4])
|
||
|
|
assert_allclose(predicted, res1.fittedvalues[2:4],
|
||
|
|
rtol=1e-13)
|
||
|
|
assert_allclose(predicted, res2.fitted_values[2:4],
|
||
|
|
rtol=self.rtol_fitted)
|
||
|
|
|
||
|
|
def test_crossval(self):
|
||
|
|
# includes some checks that penalization in the model is unchanged
|
||
|
|
mod = self.res1.model
|
||
|
|
assert_equal(mod.alpha, self.alpha) # assert unchanged
|
||
|
|
assert_allclose(self.res1.scale, 4.7064821354391118, rtol=1e-13)
|
||
|
|
|
||
|
|
alpha_aic = mod.select_penweight()[0]
|
||
|
|
# regression number, but in the right ball park
|
||
|
|
assert_allclose(alpha_aic, [112487.81362014, 129.89155677], rtol=1e-3)
|
||
|
|
assert_equal(mod.alpha, self.alpha) # assert unchanged
|
||
|
|
assert_equal(mod.penal.start_idx, 4)
|
||
|
|
pm = mod.penal.penalty_matrix()
|
||
|
|
assert_equal(pm[:, :4], 0)
|
||
|
|
assert_equal(pm[:4, :], 0)
|
||
|
|
assert_allclose(self.res1.scale, 4.7064821354391118, rtol=1e-13)
|
||
|
|
|
||
|
|
np.random.seed(987125)
|
||
|
|
alpha_cv, _ = mod.select_penweight_kfold(k_folds=3, k_grid=6)
|
||
|
|
# regression number, but in the right ball park
|
||
|
|
assert_allclose(alpha_cv, [10000000.0, 630.957344480193], rtol=1e-5)
|
||
|
|
assert_equal(mod.alpha, self.alpha) # assert unchanged
|
||
|
|
assert_equal(mod.penal.start_idx, 4)
|
||
|
|
pm = mod.penal.penalty_matrix()
|
||
|
|
assert_equal(pm[:, :4], 0)
|
||
|
|
assert_equal(pm[:4, :], 0)
|
||
|
|
assert_allclose(self.res1.scale, 4.7064821354391118, rtol=1e-13)
|
||
|
|
|
||
|
|
|
||
|
|
class TestGAMMPGBSPoisson(CheckGAMMixin):
|
||
|
|
# This has matching results from mgcv
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def setup_class(cls):
|
||
|
|
|
||
|
|
sp = np.array([40491.3940640059, 232455.530262537])
|
||
|
|
# s_scale is same as before
|
||
|
|
cls.s_scale = s_scale = np.array([2.443955e-06, 0.007945455])
|
||
|
|
|
||
|
|
x_spline = df_autos[['weight', 'hp']].values
|
||
|
|
cls.exog = patsy.dmatrix('fuel + drive', data=df_autos)
|
||
|
|
bs = BSplines(x_spline, df=[12, 10], degree=[3, 3],
|
||
|
|
variable_names=['weight', 'hp'],
|
||
|
|
constraints='center',
|
||
|
|
include_intercept=True)
|
||
|
|
# TODO alpha needs to be list
|
||
|
|
alpha0 = 1 / s_scale * sp / 2
|
||
|
|
gam_bs = GLMGam(df_autos['city_mpg'], exog=cls.exog, smoother=bs,
|
||
|
|
family=family.Poisson(), alpha=alpha0)
|
||
|
|
|
||
|
|
xnames = cls.exog.design_info.column_names + gam_bs.smoother.col_names
|
||
|
|
gam_bs.exog_names[:] = xnames
|
||
|
|
cls.res1a = gam_bs.fit(use_t=False)
|
||
|
|
|
||
|
|
cls.res1b = gam_bs.fit(method='newton', use_t=True)
|
||
|
|
cls.res1 = cls.res1a._results
|
||
|
|
cls.res2 = results_mpg_bs_poisson.mpg_bs_poisson
|
||
|
|
|
||
|
|
cls.rtol_fitted = 1e-8
|
||
|
|
cls.covp_corrfact = 1 # not needed
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def _init(cls):
|
||
|
|
pass
|
||
|
|
|
||
|
|
def test_edf(self):
|
||
|
|
res1 = self.res1
|
||
|
|
res2 = self.res2
|
||
|
|
assert_allclose(res1.edf, res2.edf_all, rtol=1e-6)
|
||
|
|
hat = res1.get_hat_matrix_diag()
|
||
|
|
assert_allclose(hat, res2.hat, rtol=1e-6)
|
||
|
|
assert_allclose(res1.aic, res2.aic, rtol=1e-8)
|
||
|
|
assert_allclose(res1.deviance, res2.deviance, rtol=1e-8)
|
||
|
|
assert_allclose(res1.df_resid, res2.residual_df, rtol=1e-8)
|
||
|
|
|
||
|
|
def test_smooth(self):
|
||
|
|
res1 = self.res1
|
||
|
|
res2 = self.res2
|
||
|
|
|
||
|
|
smoothers = res1.model.smoother.smoothers
|
||
|
|
pen_matrix0 = smoothers[0].cov_der2
|
||
|
|
assert_allclose(pen_matrix0, res2.smooth0.S * res2.smooth0.S_scale,
|
||
|
|
rtol=1e-6)
|
||
|
|
|
||
|
|
def test_predict(self):
|
||
|
|
res1 = self.res1
|
||
|
|
res2 = self.res2
|
||
|
|
# this uses transform also for exog_linear
|
||
|
|
# predicted = res1.predict(self.exog[2:4], res1.model.smoother.x[2:4])
|
||
|
|
predicted = res1.predict(df_autos.iloc[2:4],
|
||
|
|
res1.model.smoother.x[2:4])
|
||
|
|
assert_allclose(predicted, res1.fittedvalues[2:4],
|
||
|
|
rtol=1e-13)
|
||
|
|
assert_allclose(predicted, res2.fitted_values[2:4],
|
||
|
|
rtol=self.rtol_fitted)
|
||
|
|
|
||
|
|
# linpred = res1.predict(self.exog[2:4], res1.model.smoother.x[2:4],
|
||
|
|
# linear=True)
|
||
|
|
xp = pd.DataFrame(res1.model.smoother.x[2:4])
|
||
|
|
linpred = res1.predict(df_autos.iloc[2:4], xp,
|
||
|
|
which="linear")
|
||
|
|
assert_allclose(linpred, res2.linear_predictors[2:4],
|
||
|
|
rtol=self.rtol_fitted)
|
||
|
|
|
||
|
|
assert_equal(predicted.index.values, [2, 3])
|
||
|
|
assert_equal(linpred.index.values, [2, 3])
|
||
|
|
|
||
|
|
def test_wald(self):
|
||
|
|
res1 = self.res1
|
||
|
|
res2 = self.res2
|
||
|
|
wtt = res1.wald_test_terms(skip_single=True,
|
||
|
|
combine_terms=['fuel', 'drive',
|
||
|
|
'weight', 'hp'],
|
||
|
|
scalar=True)
|
||
|
|
# mgcv has term test for linear part
|
||
|
|
assert_allclose(wtt.statistic[:2], res2.pTerms_chi_sq, rtol=1e-7)
|
||
|
|
assert_allclose(wtt.pvalues[:2], res2.pTerms_pv, rtol=1e-6)
|
||
|
|
assert_equal(wtt.df_constraints[:2], res2.pTerms_df)
|
||
|
|
|
||
|
|
def test_select_alpha(self):
|
||
|
|
res1 = self.res1
|
||
|
|
alpha_mgcv = res1.model.alpha
|
||
|
|
res_s = res1.model.select_penweight()
|
||
|
|
assert_allclose(res_s[0], alpha_mgcv, rtol=5e-5)
|
||
|
|
|
||
|
|
|
||
|
|
class TestGAMMPGBSPoissonFormula(TestGAMMPGBSPoisson):
|
||
|
|
# This is the same as the previous but with from_formula
|
||
|
|
|
||
|
|
@classmethod
|
||
|
|
def setup_class(cls):
|
||
|
|
|
||
|
|
sp = np.array([40491.3940640059, 232455.530262537])
|
||
|
|
# s_scale is same as before
|
||
|
|
cls.s_scale = s_scale = np.array([2.443955e-06, 0.007945455])
|
||
|
|
|
||
|
|
cls.exog = patsy.dmatrix('fuel + drive', data=df_autos)
|
||
|
|
|
||
|
|
x_spline = df_autos[['weight', 'hp']].values
|
||
|
|
bs = BSplines(x_spline, df=[12, 10], degree=[3, 3],
|
||
|
|
variable_names=['weight', 'hp'],
|
||
|
|
constraints='center',
|
||
|
|
include_intercept=True)
|
||
|
|
|
||
|
|
alpha0 = 1 / s_scale * sp / 2
|
||
|
|
gam_bs = GLMGam.from_formula('city_mpg ~ fuel + drive', df_autos,
|
||
|
|
smoother=bs, family=family.Poisson(),
|
||
|
|
alpha=alpha0)
|
||
|
|
|
||
|
|
cls.res1a = gam_bs.fit(use_t=False)
|
||
|
|
|
||
|
|
cls.res1b = gam_bs.fit(method='newton', use_t=True)
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cls.res1 = cls.res1a._results
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cls.res2 = results_mpg_bs_poisson.mpg_bs_poisson
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|
|
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||
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cls.rtol_fitted = 1e-8
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cls.covp_corrfact = 1 # not needed
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|
|
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def test_names_wrapper(self):
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res1a = self.res1a
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|
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xnames = ['Intercept', 'fuel[T.gas]', 'drive[T.fwd]', 'drive[T.rwd]',
|
||
|
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'weight_s0', 'weight_s1', 'weight_s2', 'weight_s3',
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||
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'weight_s4', 'weight_s5', 'weight_s6', 'weight_s7',
|
||
|
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'weight_s8', 'weight_s9', 'weight_s10',
|
||
|
|
'hp_s0', 'hp_s1', 'hp_s2', 'hp_s3', 'hp_s4', 'hp_s5',
|
||
|
|
'hp_s6', 'hp_s7', 'hp_s8']
|
||
|
|
|
||
|
|
assert_equal(res1a.model.exog_names, xnames)
|
||
|
|
assert_equal(res1a.model.design_info_linear.column_names,
|
||
|
|
xnames[:4])
|
||
|
|
|
||
|
|
assert_equal(res1a.fittedvalues.iloc[2:4].index.values, [2, 3])
|
||
|
|
assert_equal(res1a.params.index.values, xnames)
|
||
|
|
assert_(isinstance(res1a.params, pd.Series))
|
||
|
|
|
||
|
|
assert_(isinstance(res1a, GLMGamResultsWrapper))
|
||
|
|
assert_(isinstance(res1a._results, GLMGamResults))
|