statistics.h

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#ifndef THEORETICA_STATISTICS_H
#define THEORETICA_STATISTICS_H
 
#include "../core/constants.h"
#include "../core/real_analysis.h"
#include "../core/special.h"
#include "../calculus/integral.h"
#include "../calculus/gauss.h"
#include "../core/dataset.h"
 
 
namespace theoretica {
 
 
    namespace stats {
 
 
        template<typename Dataset>
        inline real mean(const Dataset& X) {
            return arithmetic_mean(X);
        }
 
 
        template<typename Dataset>
        inline real range(const Dataset& X) {
 
            return max(X) - min(X);
        }
 
 
        template<typename Dataset>
        inline real semidispersion(const Dataset& X) {
 
            return range(X) / 2.0;
        }
 
 
        template<typename Dataset>
        inline real propagate_sum(const Dataset& sigma) {
 
            return sqrt(sum_squares(sigma));
        }
 
 
        template<typename Dataset1, typename Dataset2>
        inline real propagate_product(const Dataset1& sigma, const Dataset2& mean) {
 
            if(sigma.size() != mean.size()) {
                TH_MATH_ERROR("propagate_product", sigma.size(), MathError::InvalidArgument);
                return nan();
            }
 
            // Compute sum of squares of (i_sigma / i_mean)
            real s = 0;
            for (unsigned int i = 0; i < sigma.size(); ++i) {
 
                if(mean[i] == 0) {
                    TH_MATH_ERROR("propagate_product", mean[i], MathError::DivByZero);
                    return nan();
                }
 
                s += square(sigma[i] / abs(mean[i]));
            }
 
            return sqrt(s);
        }
 
 
        template<typename Dataset>
        inline real total_sum_squares(const Dataset& X) {
 
            if(!X.size()) {
                TH_MATH_ERROR("total_sum_squares", X.size(), MathError::InvalidArgument);
                return nan();
            }
 
            // Running average
            real avg = X[0];
 
            // Total sum
            real s = 0.0;
            
            for (size_t i = 1; i < X.size(); ++i) {
                
                const real tmp = avg;
 
                avg = tmp + (X[i] - tmp) / (i + 1);
                s += (X[i] - tmp) * (X[i] - avg);
            }
 
            return s;
        }
 
 
        template<typename Dataset>
        inline real variance(const Dataset& X, unsigned int constraints = 1) {
 
            if(X.size() <= constraints) {
                TH_MATH_ERROR("variance", X.size(), MathError::InvalidArgument);
                return nan();
            }
 
            return total_sum_squares(X) / (X.size() - constraints);
        }
 
 
        template<typename Dataset>
        inline void moments2(
            const Dataset& X, real& out_mean,
            real& out_variance, unsigned int constraints = 1) {
 
            if(X.size() <= constraints) {
                TH_MATH_ERROR("moments2", X.size(), MathError::InvalidArgument);
                out_mean = nan();
                out_variance = nan();
                return;
            }
 
            // Running average
            real avg = X[0];
 
            // Total sum
            real tss = 0.0;
            
            for (size_t i = 1; i < X.size(); ++i) {
                
                const real tmp = avg;
 
                avg = tmp + (X[i] - tmp) / (i + 1);
                tss += (X[i] - tmp) * (X[i] - avg);
            }
 
            out_mean = avg;
            out_variance = tss / (X.size() - constraints);
        }
 
 
        template<typename Dataset>
        inline real stdev(const Dataset& data, unsigned int constraints = 1) {
            return sqrt(variance(data, constraints));
        }
 
 
        template<typename Dataset>
        inline real stdom(const Dataset& X) {
            return sqrt(variance(X) / X.size());
        }
 
 
        template<typename Dataset>
        inline real standard_relative_error(const Dataset& X) {
 
            real x_mean = mean(X);
 
            if(abs(x_mean) < MACH_EPSILON) {
                TH_MATH_ERROR("standard_relative_error", x_mean, MathError::DivByZero);
                return nan();
            }
 
            return stdev(X) / abs(x_mean);
        }
 
 
        template<typename Dataset1, typename Dataset2>
        inline real covariance(
            const Dataset1& X, const Dataset2& Y, unsigned int constraints = 1) {
 
            if(X.size() != Y.size() || X.size() <= constraints) {
                TH_MATH_ERROR("covariance", X.size(), MathError::InvalidArgument);
                return nan();
            }
 
            real s = 0;
            real X_mean = mean(X);
            real Y_mean = mean(Y);
 
            for (unsigned int i = 0; i < X.size(); ++i)
                s += (X[i] - X_mean) * (Y[i] - Y_mean);
 
            return s / (X.size() - constraints);
        }
 
 
        template<typename Dataset1, typename Dataset2>
        inline real correlation_coefficient(
            const Dataset1& X, const Dataset2& Y) {
 
            return covariance(X, Y) / (stdev(X) * stdev(Y));
        }
 
 
        template<typename Dataset>
        inline real autocorrelation(const Dataset& X, unsigned int n = 1) {
 
            if(X.size() <= n) {
                TH_MATH_ERROR("autocorrelation", X.size(), MathError::InvalidArgument);
                return nan();
            }
 
            const real mu = mean(X);
            real num = 0;
            real den = 0;
 
            for (unsigned int i = 0; i < X.size(); ++i)
                den += square(X[i] - mu);
 
            for (unsigned int i = n; i < X.size(); ++i) {
 
                const real delta = X[i] - mu;
                num += delta * (X[i - n] - mu);
            }
 
            return num / den;
        }
 
 
        template<typename Dataset>
        inline real absolute_deviation(const Dataset& X) {
 
            real mu = mean(X);
            real res = 0;
 
            for (real x : X)
                res += abs(x - mu);
 
            return res / X.size();
        }
 
 
        template<typename Dataset>
        inline real skewness(const Dataset& X) {
 
            real mu, sigma;
            real res = 0;
 
            moments2(X, mu, sigma);
            sigma = sqrt(sigma);
 
            for (real x : X)
                res += cube((x - mu) / sigma);
 
            return res / X.size();
        }
 
 
        template<typename Dataset>
        inline real kurtosis(const Dataset& X) {
 
            real mu, sigma;
            real res = 0;
 
            moments2(X, mu, sigma);
            sigma = sqrt(sigma);
 
            for (real x : X)
                res += pow((x - mu) / sigma, 4);
 
            return (res / X.size()) - 3;
        }
 
 
        template<typename RealFunction>
        inline real gaussian_expectation(RealFunction g, real mean, real sigma) {
 
            return integral_hermite(
                [=](real x) {
                    return g(SQRT2 * sigma * x + mean);
                }
            ) / SQRTPI;
        }
 
 
        inline real z_score(real x, real mean, real sigma) {
 
            return (x - mean) / sigma;
        }
 
 
        template<typename Dataset>
        inline Dataset normalize_z_score(const Dataset& X) {
 
            real mu, sigma;
            moments2(X, mu, sigma);
            sigma = sqrt(sigma);
 
            return map([mu, sigma](real x) { return z_score(x, mu, sigma); }, X);
        }
 
 
        template<typename Dataset1, typename Dataset2, typename Dataset3>
        inline real chi_square(
            const Dataset1& O, const Dataset2& E, const Dataset3& sigma) {
 
            if(O.size() != E.size() || E.size() != sigma.size()) {
                TH_MATH_ERROR("chi_square", E.size(), MathError::InvalidArgument);
                return nan();
            }
 
            real c_sqr = 0;
 
            for (unsigned int i = 0; i < O.size(); ++i) {
 
                if(abs(sigma[i]) < MACH_EPSILON) {
                    TH_MATH_ERROR("chi_square", sigma[i], MathError::DivByZero);
                    return nan();
                }
 
                c_sqr += square((O[i] - E[i]) / sigma[i]);
            }
 
            return c_sqr;
        }
 
 
        inline real pvalue_chi2(real chi_sqr, unsigned int ndf) {
 
            if(ndf == 0) {
                TH_MATH_ERROR("pvalue_chi2", ndf, MathError::InvalidArgument);
                return nan();
            }
 
            if(chi_sqr < MACH_EPSILON)
                return 1.0;
 
            // For ndf >= 260 use the Gaussian approximation
            // as the coefficients are not stable
            if(ndf >= 260) {
                
                const real new_x = (chi_sqr - ndf) / sqrt(2.0 * ndf);
 
                // For really low Chi-squared the Gaussian is
                // below tolerance value for integration
                if(new_x < 0) {
 
                    if(new_x < -3)
                        return 1 - integral_inf_riemann([=](real x) {
                            return exp(-x * x / 2) / SQRTPI / SQRT2;
                        }, -new_x, 1E-16, 25);
 
                    return 0.5 + integral_romberg([=](real x) {
                        return exp(-x * x / 2) / SQRTPI / SQRT2;
                    }, new_x, 0, 1E-16);
                } else {
 
                    if(new_x > 3)
                        return integral_inf_riemann([=](real x) {
                            return exp(-x * x / 2) / SQRTPI / SQRT2;
                        }, new_x, 1E-16, 25);
 
                    return 0.5 - integral_romberg([=](real x) {
                        return exp(-x * x / 2) / SQRTPI / SQRT2;
                    }, 0, new_x, 1E-16);
                }
            }
 
            // Compute the coefficient using a stable equivalent formula
            const real coeff = exp(-special::lngamma(ndf / 2.0) - chi_sqr / 2.0);
 
            // Use different methods when Gauss-Laguerre is not numerically stable
            if((ndf > 70 && chi_sqr < (ndf / 2.0))) {
 
                // Use equivalent formula around potential singularity
                real res = integral_romberg([=](real x) {
                    return pow(sqrt(x + chi_sqr / 2), ndf - 2) * exp(-x);
                }, 0, 1, 1E-12);
 
                res += integral_inf_riemann([=](real x) {
                    return exp((ndf - 2) / 2.0 * ln(x + chi_sqr / 2) - x);
                }, 1, ndf / 2, 1E-12, 25);
 
                return coeff * res;
            }
 
            // Approximate the integral using Gauss-Laguerre quadrature
            return coeff * integral_gauss(
                [=](real x) {
                    return pow(sqrt(x + chi_sqr / 2), ndf - 2);
            }, tables::laguerre_roots_16, tables::laguerre_weights_16, 16);
        }
      
 
        template<typename Dataset1, typename Dataset2, typename Dataset3>
        inline real chi_square_linear(
            const Dataset1& X, const Dataset2& Y,
            const Dataset3& sigma, real intercept, real slope, bool reduced = false) {
 
            if(X.size() != Y.size() || X.size() != sigma.size()) {
                TH_MATH_ERROR(
                    "chi_square_linear",
                    X.size(), MathError::InvalidArgument);
                return nan();
            }
 
            real chi_squared = 0;
            for (unsigned int i = 0; i < X.size(); ++i) {
 
                if(abs(sigma[i]) <= MACH_EPSILON) {
                    TH_MATH_ERROR("chi_square_linear", sigma[i], MathError::DivByZero);
                    return nan();
                }
 
                chi_squared += square((Y[i] - intercept - slope * X[i]) / sigma[i]);
            }
 
            if(reduced)
                chi_squared /= (X.size() - 2);
 
            return chi_squared;
        }
    }
}
 
#endif