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Provides functions for fast matrix inversion, creation of empirical CDF from sample data including handling of asymmetric errors, and fitting to a funtion using chi-squared. The fitting procedure return the full covariance matrix describing the fitted parameters.
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lib/distributions/multimodal.ex
defmodule Distribution.MultiModal do
# Copyright 2020 Pieter Rijken
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
@moduledoc """
Bimodal distribution.
"""
defstruct [:weights,:distribs,name: "multimodal"]
@type t() :: %__MODULE__{
weights: [number()] | nil,
distribs: [Distribution.t()] | nil,
name: String.t
}
@spec weights([number()]) :: [number()]
def weights(list) do
list ++ [1.0]
|> Enum.reduce({[],1.0}, fn w,{result,last} -> {[last*w|result],last*(1-w)} end)
|> elem(0)
|> Enum.reverse
end
end
defimpl Distribution, for: Distribution.MultiModal do
require Distribution.MultiModal
alias Distribution.MultiModal
def skewness(%MultiModal{distribs: nil}), do: raise ArithmeticError, "Skewness not supported for MultiModal distribution"
def kurtosis(%MultiModal{distribs: nil}), do: raise ArithmeticError, "Kurtosis not supported for MultiModal distribution"
def size(%MultiModal{distribs: distribs}), do: length(distribs)-1 + (distribs|>Enum.map(&Distribution.size(&1))|>Enum.sum)
def cdf(%MultiModal{weights: nil, distribs: distribs}) do
fn x,list when is_list(list) ->
{weights,parameters} = Enum.split(list,length(distribs))
distribs
|> Enum.map(&{&1,Distribution.size(&1)})
|> Enum.reduce({[],parameters},fn {d,size},{result,rest} -> {[{d,Enum.take(rest,size)}|result],Enum.drop(rest,size)} end)
|> elem(0)
|> Enum.reverse()
|> Enum.zip(MultiModal.weights(weights))
|> Enum.map(fn {tup,p} -> Tuple.append(tup,p) end)
|> Enum.map(fn {d,pars,p} -> p*Distribution.cdf(d).(x,pars) end)
|> Enum.sum
end
end
def pdf(%MultiModal{weights: nil, distribs: distribs}) do
fn x,list when is_list(list) ->
{weights,parameters} = Enum.split(list,length(distribs))
distribs
|> Enum.map(&{&1,Distribution.size(&1)})
|> Enum.reduce({[],parameters},fn {d,size},{result,rest} -> {[{d,Enum.take(rest,size)}|result],Enum.drop(rest,size)} end)
|> elem(0)
|> Enum.reverse()
|> Enum.zip(MultiModal.weights(weights))
|> Enum.map(fn {tup,p} -> Tuple.append(tup,p) end)
|> Enum.map(fn {d,pars,p} -> p*Distribution.pdf(d).(x,pars) end)
|> Enum.sum
end
end
def random(%MultiModal{weights: weights, distribs: distribs}) do
distribs
|> Enum.zip(MultiModal.weights(weights))
|> Enum.map(fn {d,p} -> p*Distribution.random(d) end)
|> Enum.sum
end
def name(model), do: model.name
end
defimpl Inspect, for: Distribution.MultiModal do
import Inspect.Algebra
alias Distribution.MultiModal
def inspect(dict, opts) do
case {dict.weights,dict.distribs} do
{_,nil} ->
"#MultiModal<>"
{nil,list=[_|_]} ->
concat ["#MultiModal<", to_doc(list, opts), ">"]
{weights=[_|_],list=[_|_]} ->
concat ["#MultiModal<", "weights=(",Enum.join(MultiModal.weights(weights),","),"),", "distribs=", to_doc(list, opts), ">"]
end
end
end