pitmatrix added

src/Copulas.jl

@@ -76,6 +76,7 @@ Tawn2PC_Cpp,
 TawnPC_Cpp,
 tPC_Cpp,
 # functions
+PITMatrix,
 Tree,
 Vine,
 Raw_html,
@@ -89,6 +90,7 @@ trees2vine,
 vine2trees,
 cdf,
 checkSameLength,
+dg,
 getVineCPPId,
 getCopNam,
 getCopType,
@@ -117,6 +119,7 @@ include("PCC/Vines/rvine_matrix.jl")
 include("PCC/Vines/graphviz.jl")
 include("PCC/Vines/utils.jl")
 include("PCC/Vines/vineConstruction.jl")
+include("PCC/Vines/pitmatrix.jl")
 include("PCC/PCC.jl")
 include("testFuncs.jl")
 include("testcases.jl")

src/PCC/Vines/pitmatrix.jl

@@ -0,0 +1,76 @@
+######################
+## type declaration ##
+######################
+
+@doc doc"""
+PITMatrix to allow reusage of probability integral transforms.
+Original data is stored at the main diagonal. Values at main diagonal
+must be copula data between 0 and 1.
+"""->
+type PITMatrix
+    data::Array{Float64, 3}
+    function PITMatrix(x::Array{Float64, 3})
+        if !(size(x, 1) == size(x, 2))
+            error("First two dimensions must be of equal size")
+        end
+        for ii=1:size(x, 1)
+            if any(x[ii, ii, :][:] .> 1)
+                error("Copula data values must not be larger than 1.")
+            end
+            if any(x[ii, ii, :][:] .< 0)
+                error("Copula data values must not be smaller than 0.")
+            end
+        end
+        return new(x)
+    end
+end
+
+##################
+## constructors ##
+##################
+
+@doc doc"""
+Initialize PITMatrix with single observation per variable.
+"""->
+function PITMatrix(x::Array{Float64, 1})
+    d = length(x)
+    pitMatr = fill(NaN, d, d, 1)
+    for ii=1:d
+        pitMatr[ii, ii] = x[ii]
+    end
+    return PITMatrix(pitMatr)
+end
+
+@doc doc"""
+Initialize PITMatrix with multiple observations per variable.
+"""->
+function PITMatrix(x::Array{Float64, 2})
+    n, d = size(x)
+    pitMatr = fill(NaN, d, d, n)
+    for ii=1:d
+        pitMatr[ii, ii, :] = x[:, ii]
+    end
+    return PITMatrix(pitMatr)
+end
+
+##############
+## getindex ##
+##############
+
+import Base.getindex
+function getindex(pitMatr::PITMatrix, ind1::Int, ind2::Int)
+    return dg(pitMatr)[ind1, ind2, :][:]
+end
+
+##########################
+## additional functions ##
+##########################
+
+function dg(pitMatr::PITMatrix)
+    return pitMatr.data
+end
+
+import Base.isequal
+function isequal(pitMatr1::PITMatrix, pitMatr2::PITMatrix)
+    return isequal(dg(pitMatr1), dg(pitMatr2))
+end

test/pitmatrix_test.jl

@@ -0,0 +1,33 @@
+module TestPITMatrix
+
+using Copulas
+using Base.Test
+
+## single observation
+kk = PITMatrix([0.1, 0.3])
+
+kk2 = [0.1 NaN;
+       NaN 0.3]
+expOut = PITMatrix(reshape(kk2, 2, 2, 1))
+
+@test isequal(kk, expOut)
+
+## multiple observations
+kk = PITMatrix([0.1 0.3;
+                0.4 0.7;
+                0.6 0.4])
+
+@test size(dg(kk)) == (2, 2, 3)
+@test kk[1, 1] == [0.1, 0.4, 0.6]
+@test isnan(dg(kk)[1, 2])
+
+## throw error during construction
+@test_throws Exception PITMatrix([0.1 0.3;
+                                  0.4 1.2;
+                                  0.6 0.4])
+
+@test_throws Exception PITMatrix([0.1 0.3;
+                                  0.4 -0.2;
+                                  0.6 0.4])
+
+end

test/runtests.jl

@@ -11,7 +11,8 @@ tests = [
          "pcc_test.jl",
          "vineConstruction_test.jl",
          "ParamPC_tests.jl",
-         "ParamPC_Cpp_tests.jl"
+         "ParamPC_Cpp_tests.jl",
+         "pitmatrix_test.jl"
          ]
 
 println("Running copula tests:")