{-# LANGUAGE CPP #-} {-# LANGUAGE DeriveFoldable #-} {-# LANGUAGE DeriveTraversable #-} {-# LANGUAGE DeriveFunctor #-} {-# LANGUAGE BangPatterns, DeriveDataTypeable, DeriveGeneric, FlexibleContexts #-} {-# LANGUAGE TypeFamilies #-} -- | -- Module : Statistics.Resampling -- Copyright : (c) 2009, 2010 Bryan O'Sullivan -- License : BSD3 -- -- Maintainer : bos@serpentine.com -- Stability : experimental -- Portability : portable -- -- Resampling statistics. module Statistics.Resampling ( -- * Data types Bootstrap(..) , Estimator(..) , resample -- * Jackknife , jackknife ) where import Control.Concurrent (forkIO, newChan, readChan, writeChan) import Control.Monad import Data.Data (Data, Typeable) import Data.Vector.Generic (unsafeFreeze) import qualified Data.Foldable as T import qualified Data.Traversable as T import qualified Data.Vector.Generic as G import qualified Data.Vector.Unboxed as U import qualified Data.Vector.Unboxed.Mutable as MU import GHC.Conc (numCapabilities) import GHC.Generics (Generic) import Numeric.Sum (Summation(..), kbn) import Statistics.Function (indices, inplaceSortIO) import Statistics.Sample (mean, stdDev, variance, varianceUnbiased) import Statistics.Types (Sample) import System.Random.MWC (Gen, GenIO, uniformR, splitGen) ---------------------------------------------------------------- -- Data types ---------------------------------------------------------------- data Bootstrap v a = Bootstrap { fullSample :: !a , resamples :: v a } deriving (Eq, Read, Show , Generic, Functor, T.Foldable, T.Traversable #if __GLASGOW_HASKELL__ >= 708 , Typeable, Data #endif ) -- | An estimator of a property of a sample, such as its 'mean'. -- -- The use of an algebraic data type here allows functions such as -- 'jackknife' and 'bootstrapBCA' to use more efficient algorithms -- when possible. data Estimator = Mean | Variance | VarianceUnbiased | StdDev | Function (Sample -> Double) -- | Run an 'Estimator' over a sample. estimate :: Estimator -> Sample -> Double estimate Mean = mean estimate Variance = variance estimate VarianceUnbiased = varianceUnbiased estimate StdDev = stdDev estimate (Function est) = est ---------------------------------------------------------------- -- Resampling ---------------------------------------------------------------- -- | /O(e*r*s)/ Resample a data set repeatedly, with replacement, -- computing each estimate over the resampled data. -- -- This function is expensive; it has to do work proportional to -- /e*r*s/, where /e/ is the number of estimation functions, /r/ is -- the number of resamples to compute, and /s/ is the number of -- original samples. -- -- To improve performance, this function will make use of all -- available CPUs. At least with GHC 7.0, parallel performance seems -- best if the parallel garbage collector is disabled (RTS option -- @-qg@). resample :: GenIO -> [Estimator] -- ^ Estimation functions. -> Int -- ^ Number of resamples to compute. -> U.Vector Double -- ^ Original sample. -> IO [(Estimator, Bootstrap U.Vector Double)] resample gen ests numResamples samples = do let ixs = scanl (+) 0 $ zipWith (+) (replicate numCapabilities q) (replicate r 1 ++ repeat 0) where (q,r) = numResamples `quotRem` numCapabilities results <- mapM (const (MU.new numResamples)) ests done <- newChan gens <- splitGen numCapabilities gen forM_ (zip3 ixs (tail ixs) gens) $ \ (start,!end,gen') -> forkIO $ do let loop k ers | k >= end = writeChan done () | otherwise = do re <- resampleVector gen' samples forM_ ers $ \(est,arr) -> MU.write arr k . est $ re loop (k+1) ers loop start (zip ests' results) replicateM_ numCapabilities $ readChan done mapM_ inplaceSortIO results -- Build resamples res <- mapM unsafeFreeze results return $ zip ests $ zipWith Bootstrap [estimate e samples | e <- ests] res where ests' = map estimate ests -- | Create vector using resamples resampleVector :: G.Vector v a => Gen -> v a -> IO (v a) resampleVector gen v = G.replicateM n $ do i <- uniformR (0,n-1) gen return $! G.unsafeIndex v i where n = G.length v ---------------------------------------------------------------- -- Jackknife ---------------------------------------------------------------- -- | /O(n) or O(n^2)/ Compute a statistical estimate repeatedly over a -- sample, each time omitting a successive element. jackknife :: Estimator -> Sample -> U.Vector Double jackknife Mean sample = jackknifeMean sample jackknife Variance sample = jackknifeVariance sample jackknife VarianceUnbiased sample = jackknifeVarianceUnb sample jackknife StdDev sample = jackknifeStdDev sample jackknife (Function est) sample | G.length sample == 1 = singletonErr "jackknife" | otherwise = U.map f . indices $ sample where f i = est (dropAt i sample) -- | /O(n)/ Compute the jackknife mean of a sample. jackknifeMean :: Sample -> U.Vector Double jackknifeMean samp | len == 1 = singletonErr "jackknifeMean" | otherwise = G.map (/l) $ G.zipWith (+) (pfxSumL samp) (pfxSumR samp) where l = fromIntegral (len - 1) len = G.length samp -- | /O(n)/ Compute the jackknife variance of a sample with a -- correction factor @c@, so we can get either the regular or -- \"unbiased\" variance. jackknifeVariance_ :: Double -> Sample -> U.Vector Double jackknifeVariance_ c samp | len == 1 = singletonErr "jackknifeVariance" | otherwise = G.zipWith4 go als ars bls brs where als = pfxSumL . G.map goa $ samp ars = pfxSumR . G.map goa $ samp goa x = v * v where v = x - m bls = pfxSumL . G.map (subtract m) $ samp brs = pfxSumR . G.map (subtract m) $ samp m = mean samp n = fromIntegral len go al ar bl br = (al + ar - (b * b) / q) / (q - c) where b = bl + br q = n - 1 len = G.length samp -- | /O(n)/ Compute the unbiased jackknife variance of a sample. jackknifeVarianceUnb :: Sample -> U.Vector Double jackknifeVarianceUnb = jackknifeVariance_ 1 -- | /O(n)/ Compute the jackknife variance of a sample. jackknifeVariance :: Sample -> U.Vector Double jackknifeVariance = jackknifeVariance_ 0 -- | /O(n)/ Compute the jackknife standard deviation of a sample. jackknifeStdDev :: Sample -> U.Vector Double jackknifeStdDev = G.map sqrt . jackknifeVarianceUnb pfxSumL :: U.Vector Double -> U.Vector Double pfxSumL = G.map kbn . G.scanl add zero pfxSumR :: U.Vector Double -> U.Vector Double pfxSumR = G.tail . G.map kbn . G.scanr (flip add) zero -- | Drop the /k/th element of a vector. dropAt :: U.Unbox e => Int -> U.Vector e -> U.Vector e dropAt n v = U.slice 0 n v U.++ U.slice (n+1) (U.length v - n - 1) v singletonErr :: String -> a singletonErr func = error $ "Statistics.Resampling." ++ func ++ ": singleton input"