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19: Update CalibrationErrors r=devmotion a=devmotion Co-authored-by: David Widmann <dev+git@devmotion.de>
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,110 @@ | ||
| struct AsymptoticBlockSKCETest{K<:Kernel,E,S,Z} <: HypothesisTests.ZTest | ||
| """Kernel.""" | ||
| kernel::K | ||
| """Number of observations per block.""" | ||
| blocksize::Int | ||
| """Number of blocks of observations.""" | ||
| nblocks::Int | ||
| """Calibration error estimate (average of evaluations of blocks of observations).""" | ||
| estimate::E | ||
| """Standard error of evaluations of blocks of observations.""" | ||
| stderr::S | ||
| """z-statistic.""" | ||
| z::Z | ||
| end | ||
|
|
||
| function AsymptoticBlockSKCETest(skce::BlockUnbiasedSKCE, data...) | ||
| return AsymptoticBlockSKCETest(skce.kernel, skce.blocksize, data...) | ||
| end | ||
|
|
||
| function AsymptoticBlockSKCETest( | ||
| κpredictions::Kernel, | ||
| κtargets::Kernel, | ||
| args... | ||
| ) | ||
| return AsymptoticBlockSKCETest(TensorProduct(κpredictions, κtargets), args...) | ||
| end | ||
|
|
||
| function AsymptoticBlockSKCETest(kernel::Kernel, blocksize::Int, data...) | ||
| # obtain predictions and targets | ||
| predictions, targets = CalibrationErrors.predictions_targets(data...) | ||
|
|
||
| # obtain number of samples | ||
| nsamples = length(predictions) | ||
| nsamples ≥ blocksize || error("there must be at least ", blocksize, " samples") | ||
|
|
||
| # compute number of blocks | ||
| nblocks = nsamples ÷ blocksize | ||
|
|
||
| # evaluate U-statistic of the first block | ||
| istart = 1 | ||
| iend = blocksize | ||
| x = CalibrationErrors.unsafe_unbiasedskce(kernel, predictions, targets, istart, iend) | ||
|
|
||
| # initialize the estimate and the sum of squares | ||
| estimate = x / 1 | ||
| S = zero(x) | ||
|
|
||
| # for all other blocks | ||
| for b in 2:nblocks | ||
| # evaluate U-statistic | ||
| istart += blocksize | ||
| iend += blocksize | ||
| x = CalibrationErrors.unsafe_unbiasedskce(kernel, predictions, targets, istart, | ||
| iend) | ||
|
|
||
| # update the estimate | ||
| Δestimate = x - estimate | ||
| estimate += Δestimate / b | ||
| S += Δestimate * (x - estimate) | ||
| end | ||
|
|
||
| # compute standard error and z-statistic | ||
| stderr = sqrt(S) / nblocks | ||
| z = estimate / stderr | ||
|
|
||
| return AsymptoticBlockSKCETest(kernel, blocksize, nblocks, estimate, stderr, z) | ||
| end | ||
|
|
||
| # HypothesisTests interface | ||
|
|
||
| HypothesisTests.default_tail(::AsymptoticBlockSKCETest) = :right | ||
|
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| ## have to specify and check keyword arguments in `pvalue` and `confint` to | ||
| ## force `tail = :right` due to the default implementation in HypothesisTests | ||
|
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||
| function HypothesisTests.pvalue(test::AsymptoticBlockSKCETest; tail = :right) | ||
| if tail === :right | ||
| normccdf(test.z) | ||
| else | ||
| throw(ArgumentError("tail=$(tail) is invalid")) | ||
| end | ||
| end | ||
|
|
||
| # confidence interval by inversion | ||
| function StatsBase.confint(test::AsymptoticBlockSKCETest; level = 0.95, tail = :right) | ||
| HypothesisTests.check_level(level) | ||
|
|
||
| if tail === :right | ||
| q = norminvcdf(level) | ||
| lowerbound = test.estimate - q * test.stderr | ||
| (lowerbound, oftype(lowerbound, Inf)) | ||
| else | ||
| throw(ArgumentError("tail = $(tail) is invalid")) | ||
| end | ||
| end | ||
|
|
||
| HypothesisTests.testname(test::AsymptoticBlockSKCETest) = "Asymptotic block SKCE test" | ||
|
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||
| # parameter of interest: name, value under H0, point estimate | ||
| function HypothesisTests.population_param_of_interest(test::AsymptoticBlockSKCETest) | ||
| "SKCE", zero(test.estimate), test.estimate | ||
| end | ||
|
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||
| function HypothesisTests.show_params(io::IO, test::AsymptoticBlockSKCETest, ident = "") | ||
| println(io, ident, "number of observations per block: ", test.blocksize) | ||
| println(io, ident, "number of blocks of observations: ", test.nblocks) | ||
| println(io, ident, "z-statistic: ", test.z) | ||
| println(io, ident, "standard error of evaluations of pairs of observations: ", | ||
| test.stderr) | ||
| end |
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