statistics-0.11.0.0: Statistics/Test/KolmogorovSmirnov.hs
-- |
-- Module : Statistics.Test.KolmogorovSmirnov
-- Copyright : (c) 2011 Aleksey Khudyakov
-- License : BSD3
--
-- Maintainer : bos@serpentine.com
-- Stability : experimental
-- Portability : portable
--
-- Kolmogov-Smirnov tests are non-parametric tests for assesing
-- whether given sample could be described by distribution or whether
-- two samples have the same distribution. It's only applicable to
-- continous distributions.
module Statistics.Test.KolmogorovSmirnov (
-- * Kolmogorov-Smirnov test
kolmogorovSmirnovTest
, kolmogorovSmirnovTestCdf
, kolmogorovSmirnovTest2
-- * Evaluate statistics
, kolmogorovSmirnovCdfD
, kolmogorovSmirnovD
, kolmogorovSmirnov2D
-- * Probablities
, kolmogorovSmirnovProbability
-- * Data types
, TestType(..)
, TestResult(..)
-- * References
-- $references
) where
import Control.Monad (when)
import Control.Monad.ST (ST)
import Prelude hiding (sum)
import Statistics.Distribution (Distribution(..))
import Statistics.Function (sort)
import Statistics.Sample.Internal (sum)
import Statistics.Test.Types (TestResult(..), TestType(..), significant)
import Statistics.Types (Sample)
import Text.Printf (printf)
import qualified Data.Vector.Unboxed as U
import qualified Data.Vector.Unboxed.Mutable as M
----------------------------------------------------------------
-- Test
----------------------------------------------------------------
-- | Check that sample could be described by
-- distribution. 'Significant' means distribution is not compatible
-- with data for given p-value.
--
-- This test uses Marsaglia-Tsang-Wang exact alogorithm for
-- calculation of p-value.
kolmogorovSmirnovTest :: Distribution d
=> d -- ^ Distribution
-> Double -- ^ p-value
-> Sample -- ^ Data sample
-> TestResult
kolmogorovSmirnovTest d = kolmogorovSmirnovTestCdf (cumulative d)
{-# INLINE kolmogorovSmirnovTest #-}
-- | Variant of 'kolmogorovSmirnovTest' which uses CFD in form of
-- function.
kolmogorovSmirnovTestCdf :: (Double -> Double) -- ^ CDF of distribution
-> Double -- ^ p-value
-> Sample -- ^ Data sample
-> TestResult
kolmogorovSmirnovTestCdf cdf p sample
| p > 0 && p < 1 = significant $ 1 - prob < p
| otherwise = error "Statistics.Test.KolmogorovSmirnov.kolmogorovSmirnovTestCdf:bad p-value"
where
d = kolmogorovSmirnovCdfD cdf sample
prob = kolmogorovSmirnovProbability (U.length sample) d
-- | Two sample Kolmogorov-Smirnov test. It tests whether two data
-- samples could be described by the same distribution without
-- making any assumptions about it.
--
-- This test uses approxmate formula for computing p-value.
kolmogorovSmirnovTest2 :: Double -- ^ p-value
-> Sample -- ^ Sample 1
-> Sample -- ^ Sample 2
-> TestResult
kolmogorovSmirnovTest2 p xs1 xs2
| p > 0 && p < 1 = significant $ 1 - prob( d*(en + 0.12 + 0.11/en) ) < p
| otherwise = error "Statistics.Test.KolmogorovSmirnov.kolmogorovSmirnovTest2:bad p-value"
where
d = kolmogorovSmirnov2D xs1 xs2
-- Effective number of data points
n1 = fromIntegral (U.length xs1)
n2 = fromIntegral (U.length xs2)
en = sqrt $ n1 * n2 / (n1 + n2)
--
prob z
| z < 0 = error "kolmogorovSmirnov2D: internal error"
| z == 0 = 1
| z < 1.18 = let y = exp( -1.23370055013616983 / (z*z) )
in 2.25675833419102515 * sqrt( -log(y) ) * (y + y**9 + y**25 + y**49)
| otherwise = let x = exp(-2 * z * z)
in 1 - 2*(x - x**4 + x**9)
-- FIXME: Find source for approximation for D
----------------------------------------------------------------
-- Kolmogorov's statistic
----------------------------------------------------------------
-- | Calculate Kolmogorov's statistic /D/ for given cumulative
-- distribution function (CDF) and data sample. If sample is empty
-- returns 0.
kolmogorovSmirnovCdfD :: (Double -> Double) -- ^ CDF function
-> Sample -- ^ Sample
-> Double
kolmogorovSmirnovCdfD cdf sample
| U.null xs = 0
| otherwise = U.maximum
$ U.zipWith3 (\p a b -> abs (p-a) `max` abs (p-b))
ps steps (U.tail steps)
where
xs = sort sample
n = U.length xs
--
ps = U.map cdf xs
steps = U.map ((/ fromIntegral n) . fromIntegral)
$ U.generate (n+1) id
-- | Calculate Kolmogorov's statistic /D/ for given cumulative
-- distribution function (CDF) and data sample. If sample is empty
-- returns 0.
kolmogorovSmirnovD :: (Distribution d)
=> d -- ^ Distribution
-> Sample -- ^ Sample
-> Double
kolmogorovSmirnovD d = kolmogorovSmirnovCdfD (cumulative d)
{-# INLINE kolmogorovSmirnovD #-}
-- | Calculate Kolmogorov's statistic /D/ for two data samples. If
-- either of samples is empty returns 0.
kolmogorovSmirnov2D :: Sample -- ^ First sample
-> Sample -- ^ Second sample
-> Double
kolmogorovSmirnov2D sample1 sample2
| U.null sample1 || U.null sample2 = 0
| otherwise = worker 0 0 0
where
xs1 = sort sample1
xs2 = sort sample2
n1 = U.length xs1
n2 = U.length xs2
en1 = fromIntegral n1
en2 = fromIntegral n2
-- Find new index
skip x i xs = go (i+1)
where go n | n >= U.length xs = n
| xs U.! n == x = go (n+1)
| otherwise = n
-- Main loop
worker d i1 i2
| i1 >= n1 || i2 >= n2 = d
| otherwise = worker d' i1' i2'
where
d1 = xs1 U.! i1
d2 = xs2 U.! i2
i1' | d1 <= d2 = skip d1 i1 xs1
| otherwise = i1
i2' | d2 <= d1 = skip d2 i2 xs2
| otherwise = i2
d' = max d (abs $ fromIntegral i1' / en1 - fromIntegral i2' / en2)
-- | Calculate cumulative probability function for Kolmogorov's
-- distribution with /n/ parameters or probability of getting value
-- smaller than /d/ with n-elements sample.
--
-- It uses algorithm by Marsgalia et. al. and provide at least
-- 7-digit accuracy.
kolmogorovSmirnovProbability :: Int -- ^ Size of the sample
-> Double -- ^ D value
-> Double
kolmogorovSmirnovProbability n d
-- Avoid potencially lengthy calculations for large N and D > 0.999
| s > 7.24 || (s > 3.76 && n > 99) = 1 - 2 * exp( -(2.000071 + 0.331 / sqrt n' + 1.409 / n') * s)
-- Exact computation
| otherwise = fini $ matrixPower matrix n
where
s = n' * d * d
n' = fromIntegral n
size = 2*k - 1
k = floor (n' * d) + 1
h = fromIntegral k - n' * d
-- Calculate initial matrix
matrix =
let m = U.create $ do
mat <- M.new (size*size)
-- Fill matrix with 0 and 1s
for 0 size $ \row ->
for 0 size $ \col -> do
let val | row + 1 >= col = 1
| otherwise = 0 :: Double
M.write mat (row * size + col) val
-- Correct left column/bottom row
for 0 size $ \i -> do
let delta = h ^^ (i + 1)
modify mat (i * size) (subtract delta)
modify mat (size * size - 1 - i) (subtract delta)
-- Correct corner element if needed
when (2*h > 1) $ do
modify mat ((size - 1) * size) (+ ((2*h - 1) ^ size))
-- Divide diagonals by factorial
let divide g num
| num == size = return ()
| otherwise = do for num size $ \i ->
modify mat (i * (size + 1) - num) (/ g)
divide (g * fromIntegral (num+2)) (num+1)
divide 2 1
return mat
in Matrix size m 0
-- Last calculation
fini m@(Matrix _ _ e) = loop 1 (matrixCenter m) e
where
loop i ss eQ
| i > n = ss * 10 ^^ eQ
| ss' < 1e-140 = loop (i+1) (ss' * 1e140) (eQ - 140)
| otherwise = loop (i+1) ss' eQ
where ss' = ss * fromIntegral i / fromIntegral n
----------------------------------------------------------------
-- Maxtrix operations.
--
-- There isn't the matrix package for haskell yet so nessesary minimum
-- is implemented here.
-- Square matrix stored in row-major order
data Matrix = Matrix
{-# UNPACK #-} !Int -- Size of matrix
!(U.Vector Double) -- Matrix data
{-# UNPACK #-} !Int -- In order to avoid overflows
-- during matrix multiplication large
-- exponent is stored seprately
-- Show instance useful mostly for debugging
instance Show Matrix where
show (Matrix n vs _) = unlines $ map (unwords . map (printf "%.4f")) $ split $ U.toList vs
where
split [] = []
split xs = row : split rest where (row, rest) = splitAt n xs
-- Avoid overflow in the matrix
avoidOverflow :: Matrix -> Matrix
avoidOverflow m@(Matrix n xs e)
| matrixCenter m > 1e140 = Matrix n (U.map (* 1e-140) xs) (e + 140)
| otherwise = m
-- Unsafe matrix-matrix multiplication. Matrices must be of the same
-- size. This is not checked.
matrixMultiply :: Matrix -> Matrix -> Matrix
matrixMultiply (Matrix n xs e1) (Matrix _ ys e2) =
Matrix n (U.generate (n*n) go) (e1 + e2)
where
go i = sum $ U.zipWith (*) row col
where
nCol = i `rem` n
row = U.slice (i - nCol) n xs
col = U.backpermute ys $ U.enumFromStepN nCol n n
-- Raise matrix to power N. power must be positive it's not checked
matrixPower :: Matrix -> Int -> Matrix
matrixPower mat 1 = mat
matrixPower mat n = avoidOverflow res
where
mat2 = matrixPower mat (n `quot` 2)
pow = matrixMultiply mat2 mat2
res | odd n = matrixMultiply pow mat
| otherwise = pow
-- Element in the center of matrix (Not corrected for exponent)
matrixCenter :: Matrix -> Double
matrixCenter (Matrix n xs _) = (U.!) xs (k*n + k) where k = n `quot` 2
-- Simple for loop
for :: Monad m => Int -> Int -> (Int -> m ()) -> m ()
for n0 n f = loop n0
where
loop i | i == n = return ()
| otherwise = f i >> loop (i+1)
-- Modify element in the vector
modify :: U.Unbox a => M.MVector s a -> Int -> (a -> a) -> ST s ()
modify arr i f = do x <- M.read arr i
M.write arr i (f x)
{-# INLINE modify #-}
----------------------------------------------------------------
-- $references
--
-- * G. Marsaglia, W. W. Tsang, J. Wang (2003) Evaluating Kolmogorov's
-- distribution, Journal of Statistical Software, American
-- Statistical Association, vol. 8(i18).