statistics-0.13.3.0: tests/Tests/Distribution.hs
{-# OPTIONS_GHC -fno-warn-orphans #-}
{-# LANGUAGE FlexibleInstances, OverlappingInstances, ScopedTypeVariables,
ViewPatterns #-}
module Tests.Distribution (tests) where
import Control.Applicative ((<$), (<$>), (<*>))
import Data.Binary (Binary, decode, encode)
import Data.List (find)
import Data.Typeable (Typeable)
import Statistics.Distribution
import Statistics.Distribution.Beta (BetaDistribution, betaDistr)
import Statistics.Distribution.Binomial (BinomialDistribution, binomial)
import Statistics.Distribution.CauchyLorentz
import Statistics.Distribution.ChiSquared (ChiSquared, chiSquared)
import Statistics.Distribution.Exponential (ExponentialDistribution, exponential)
import Statistics.Distribution.FDistribution (FDistribution, fDistribution)
import Statistics.Distribution.Gamma (GammaDistribution, gammaDistr)
import Statistics.Distribution.Geometric
import Statistics.Distribution.Hypergeometric
import Statistics.Distribution.Laplace (LaplaceDistribution, laplace)
import Statistics.Distribution.Normal (NormalDistribution, normalDistr)
import Statistics.Distribution.Poisson (PoissonDistribution, poisson)
import Statistics.Distribution.StudentT
import Statistics.Distribution.Transform (LinearTransform, linTransDistr)
import Statistics.Distribution.Uniform (UniformDistribution, uniformDistr)
import Test.Framework (Test, testGroup)
import Test.Framework.Providers.QuickCheck2 (testProperty)
import Test.QuickCheck as QC
import Test.QuickCheck.Monadic as QC
import Tests.ApproxEq (ApproxEq(..))
import Tests.Helpers (T(..), testAssertion, typeName)
import Tests.Helpers (monotonicallyIncreasesIEEE)
import Text.Printf (printf)
import qualified Control.Exception as E
import qualified Numeric.IEEE as IEEE
-- | Tests for all distributions
tests :: Test
tests = testGroup "Tests for all distributions"
[ contDistrTests (T :: T BetaDistribution )
, contDistrTests (T :: T CauchyDistribution )
, contDistrTests (T :: T ChiSquared )
, contDistrTests (T :: T ExponentialDistribution )
, contDistrTests (T :: T GammaDistribution )
, contDistrTests (T :: T LaplaceDistribution )
, contDistrTests (T :: T NormalDistribution )
, contDistrTests (T :: T UniformDistribution )
, contDistrTests (T :: T StudentT )
, contDistrTests (T :: T (LinearTransform StudentT) )
, contDistrTests (T :: T FDistribution )
, discreteDistrTests (T :: T BinomialDistribution )
, discreteDistrTests (T :: T GeometricDistribution )
, discreteDistrTests (T :: T GeometricDistribution0 )
, discreteDistrTests (T :: T HypergeometricDistribution )
, discreteDistrTests (T :: T PoissonDistribution )
, unitTests
]
----------------------------------------------------------------
-- Tests
----------------------------------------------------------------
-- Tests for continous distribution
contDistrTests :: (Param d, ContDistr d, QC.Arbitrary d, Typeable d, Show d, Binary d, Eq d) => T d -> Test
contDistrTests t = testGroup ("Tests for: " ++ typeName t) $
cdfTests t ++
[ testProperty "PDF sanity" $ pdfSanityCheck t
, testProperty "Quantile is CDF inverse" $ quantileIsInvCDF t
, testProperty "quantile fails p<0||p>1" $ quantileShouldFail t
, testProperty "log density check" $ logDensityCheck t
]
-- Tests for discrete distribution
discreteDistrTests :: (Param d, DiscreteDistr d, QC.Arbitrary d, Typeable d, Show d, Binary d, Eq d) => T d -> Test
discreteDistrTests t = testGroup ("Tests for: " ++ typeName t) $
cdfTests t ++
[ testProperty "Prob. sanity" $ probSanityCheck t
, testProperty "CDF is sum of prob." $ discreteCDFcorrect t
, testProperty "Discrete CDF is OK" $ cdfDiscreteIsCorrect t
, testProperty "log probabilty check" $ logProbabilityCheck t
]
-- Tests for distributions which have CDF
cdfTests :: (Param d, Distribution d, QC.Arbitrary d, Show d, Binary d, Eq d) => T d -> [Test]
cdfTests t =
[ testProperty "C.D.F. sanity" $ cdfSanityCheck t
, testProperty "CDF limit at +inf" $ cdfLimitAtPosInfinity t
, testProperty "CDF limit at -inf" $ cdfLimitAtNegInfinity t
, testProperty "CDF at +inf = 1" $ cdfAtPosInfinity t
, testProperty "CDF at -inf = 1" $ cdfAtNegInfinity t
, testProperty "CDF is nondecreasing" $ cdfIsNondecreasing t
, testProperty "1-CDF is correct" $ cdfComplementIsCorrect t
, testProperty "Binary OK" $ p_binary t
]
----------------------------------------------------------------
-- CDF is in [0,1] range
cdfSanityCheck :: (Distribution d) => T d -> d -> Double -> Bool
cdfSanityCheck _ d x = c >= 0 && c <= 1
where c = cumulative d x
-- CDF never decreases
cdfIsNondecreasing :: (Distribution d) => T d -> d -> Double -> Double -> Bool
cdfIsNondecreasing _ d = monotonicallyIncreasesIEEE $ cumulative d
-- cumulative d +∞ = 1
cdfAtPosInfinity :: (Param d, Distribution d) => T d -> d -> Bool
cdfAtPosInfinity _ d
= cumulative d (1/0) == 1
-- cumulative d - ∞ = 0
cdfAtNegInfinity :: (Param d, Distribution d) => T d -> d -> Bool
cdfAtNegInfinity _ d
= cumulative d (-1/0) == 0
-- CDF limit at +∞ is 1
cdfLimitAtPosInfinity :: (Param d, Distribution d) => T d -> d -> Property
cdfLimitAtPosInfinity _ d =
okForInfLimit d ==> counterexample ("Last elements: " ++ show (drop 990 probs))
$ Just 1.0 == (find (>=1) probs)
where
probs = take 1000 $ map (cumulative d) $ iterate (*1.4) 1000
-- CDF limit at -∞ is 0
cdfLimitAtNegInfinity :: (Param d, Distribution d) => T d -> d -> Property
cdfLimitAtNegInfinity _ d =
okForInfLimit d ==> counterexample ("Last elements: " ++ show (drop 990 probs))
$ case find (< IEEE.epsilon) probs of
Nothing -> False
Just p -> p >= 0
where
probs = take 1000 $ map (cumulative d) $ iterate (*1.4) (-1)
-- CDF's complement is implemented correctly
cdfComplementIsCorrect :: (Distribution d) => T d -> d -> Double -> Bool
cdfComplementIsCorrect _ d x = (eq 1e-14) 1 (cumulative d x + complCumulative d x)
-- CDF for discrete distribution uses <= for comparison
cdfDiscreteIsCorrect :: (DiscreteDistr d) => T d -> d -> Property
cdfDiscreteIsCorrect _ d
= counterexample (unlines badN)
$ null badN
where
-- We are checking that:
--
-- > CDF(i) - CDF(i-e) = P(i)
--
-- Apporixmate equality is tricky here. Scale is set by maximum
-- value of CDF and probability. Case when all proabilities are
-- zero should be trated specially.
badN = [ printf "N=%3i p[i]=%g\tp[i+1]=%g\tdP=%g\trelerr=%g" i p p1 dp ((p1-p-dp) / max p1 dp)
| i <- [0 .. 100]
, let p = cumulative d $ fromIntegral i - 1e-6
p1 = cumulative d $ fromIntegral i
dp = probability d i
relerr = ((p1 - p) - dp) / max p1 dp
, not (p == 0 && p1 == 0 && dp == 0)
&& relerr > 1e-14
]
logDensityCheck :: (ContDistr d) => T d -> d -> Double -> Property
logDensityCheck _ d x
= counterexample (printf "density = %g" p)
$ counterexample (printf "logDensity = %g" logP)
$ counterexample (printf "log p = %g" (log p))
$ counterexample (printf "eps = %g" (abs (logP - log p) / max (abs (log p)) (abs logP)))
$ or [ p == 0 && logP == (-1/0)
, p < 1e-308 && logP < 609
, eq 1e-14 (log p) logP
]
where
p = density d x
logP = logDensity d x
-- PDF is positive
pdfSanityCheck :: (ContDistr d) => T d -> d -> Double -> Bool
pdfSanityCheck _ d x = p >= 0
where p = density d x
-- Quantile is inverse of CDF
quantileIsInvCDF :: (Param d, ContDistr d) => T d -> d -> Double -> Property
quantileIsInvCDF _ d (snd . properFraction -> p) =
p > 0 && p < 1 ==> ( counterexample (printf "Quantile = %g" q )
$ counterexample (printf "Probability = %g" p )
$ counterexample (printf "Probability' = %g" p')
$ counterexample (printf "Error = %e" (abs $ p - p'))
$ abs (p - p') < invQuantilePrec d
)
where
q = quantile d p
p' = cumulative d q
-- Test that quantile fails if p<0 or p>1
quantileShouldFail :: (ContDistr d) => T d -> d -> Double -> Property
quantileShouldFail _ d p =
p < 0 || p > 1 ==> QC.monadicIO $ do r <- QC.run $ E.catch
(False <$ (return $! quantile d p))
(\(_ :: E.SomeException) -> return True)
QC.assert r
-- Probability is in [0,1] range
probSanityCheck :: (DiscreteDistr d) => T d -> d -> Int -> Bool
probSanityCheck _ d x = p >= 0 && p <= 1
where p = probability d x
-- Check that discrete CDF is correct
discreteCDFcorrect :: (DiscreteDistr d) => T d -> d -> Int -> Int -> Property
discreteCDFcorrect _ d a b
= counterexample (printf "CDF = %g" p1)
$ counterexample (printf "Sum = %g" p2)
$ counterexample (printf "Delta = %g" (abs (p1 - p2)))
$ abs (p1 - p2) < 3e-10
-- Avoid too large differeneces. Otherwise there is to much to sum
--
-- Absolute difference is used guard againist precision loss when
-- close values of CDF are subtracted
where
n = min a b
m = n + (abs (a - b) `mod` 100)
p1 = cumulative d (fromIntegral m + 0.5) - cumulative d (fromIntegral n - 0.5)
p2 = sum $ map (probability d) [n .. m]
logProbabilityCheck :: (DiscreteDistr d) => T d -> d -> Int -> Property
logProbabilityCheck _ d x
= counterexample (printf "probability = %g" p)
$ counterexample (printf "logProbability = %g" logP)
$ counterexample (printf "log p = %g" (log p))
$ counterexample (printf "eps = %g" (abs (logP - log p) / max (abs (log p)) (abs logP)))
$ or [ p == 0 && logP == (-1/0)
, p < 1e-308 && logP < 609
, eq 1e-14 (log p) logP
]
where
p = probability d x
logP = logProbability d x
p_binary :: (Eq a, Show a, Binary a) => T a -> a -> Bool
p_binary _ a = a == (decode . encode) a
----------------------------------------------------------------
-- Arbitrary instances for ditributions
----------------------------------------------------------------
instance QC.Arbitrary BinomialDistribution where
arbitrary = binomial <$> QC.choose (1,100) <*> QC.choose (0,1)
instance QC.Arbitrary ExponentialDistribution where
arbitrary = exponential <$> QC.choose (0,100)
instance QC.Arbitrary LaplaceDistribution where
arbitrary = laplace <$> QC.choose (-10,10) <*> QC.choose (0, 2)
instance QC.Arbitrary GammaDistribution where
arbitrary = gammaDistr <$> QC.choose (0.1,10) <*> QC.choose (0.1,10)
instance QC.Arbitrary BetaDistribution where
arbitrary = betaDistr <$> QC.choose (1e-3,10) <*> QC.choose (1e-3,10)
instance QC.Arbitrary GeometricDistribution where
arbitrary = geometric <$> QC.choose (0,1)
instance QC.Arbitrary GeometricDistribution0 where
arbitrary = geometric0 <$> QC.choose (0,1)
instance QC.Arbitrary HypergeometricDistribution where
arbitrary = do l <- QC.choose (1,20)
m <- QC.choose (0,l)
k <- QC.choose (1,l)
return $ hypergeometric m l k
instance QC.Arbitrary NormalDistribution where
arbitrary = normalDistr <$> QC.choose (-100,100) <*> QC.choose (1e-3, 1e3)
instance QC.Arbitrary PoissonDistribution where
arbitrary = poisson <$> QC.choose (0,1)
instance QC.Arbitrary ChiSquared where
arbitrary = chiSquared <$> QC.choose (1,100)
instance QC.Arbitrary UniformDistribution where
arbitrary = do a <- QC.arbitrary
b <- QC.arbitrary `suchThat` (/= a)
return $ uniformDistr a b
instance QC.Arbitrary CauchyDistribution where
arbitrary = cauchyDistribution
<$> arbitrary
<*> ((abs <$> arbitrary) `suchThat` (> 0))
instance QC.Arbitrary StudentT where
arbitrary = studentT <$> ((abs <$> arbitrary) `suchThat` (>0))
instance QC.Arbitrary (LinearTransform StudentT) where
arbitrary = studentTUnstandardized
<$> ((abs <$> arbitrary) `suchThat` (>0))
<*> ((abs <$> arbitrary))
<*> ((abs <$> arbitrary) `suchThat` (>0))
instance QC.Arbitrary FDistribution where
arbitrary = fDistribution
<$> ((abs <$> arbitrary) `suchThat` (>0))
<*> ((abs <$> arbitrary) `suchThat` (>0))
-- Parameters for distribution testing. Some distribution require
-- relaxing parameters a bit
class Param a where
-- Precision for quantileIsInvCDF
invQuantilePrec :: a -> Double
invQuantilePrec _ = 1e-14
-- Distribution is OK for testing limits
okForInfLimit :: a -> Bool
okForInfLimit _ = True
instance Param a
instance Param StudentT where
invQuantilePrec _ = 1e-13
okForInfLimit d = studentTndf d > 0.75
instance Param (LinearTransform StudentT) where
invQuantilePrec _ = 1e-13
okForInfLimit d = (studentTndf . linTransDistr) d > 0.75
instance Param FDistribution where
invQuantilePrec _ = 1e-12
----------------------------------------------------------------
-- Unit tests
----------------------------------------------------------------
unitTests :: Test
unitTests = testGroup "Unit tests"
[ testAssertion "density (gammaDistr 150 1/150) 1 == 4.883311" $
4.883311418525483 =~ (density (gammaDistr 150 (1/150)) 1)
-- Student-T
, testStudentPDF 0.3 1.34 0.0648215 -- PDF
, testStudentPDF 1 0.42 0.27058
, testStudentPDF 4.4 0.33 0.352994
, testStudentCDF 0.3 3.34 0.757146 -- CDF
, testStudentCDF 1 0.42 0.626569
, testStudentCDF 4.4 0.33 0.621739
-- Student-T General
, testStudentUnstandardizedPDF 0.3 1.2 4 0.45 0.0533456 -- PDF
, testStudentUnstandardizedPDF 4.3 (-2.4) 3.22 (-0.6) 0.0971141
, testStudentUnstandardizedPDF 3.8 0.22 7.62 0.14 0.0490523
, testStudentUnstandardizedCDF 0.3 1.2 4 0.45 0.458035 -- CDF
, testStudentUnstandardizedCDF 4.3 (-2.4) 3.22 (-0.6) 0.698001
, testStudentUnstandardizedCDF 3.8 0.22 7.62 0.14 0.496076
-- F-distribution
, testFdistrPDF 1 3 3 (1/(6 * pi)) -- PDF
, testFdistrPDF 2 2 1.2 0.206612
, testFdistrPDF 10 12 8 0.000385613179281892790166
, testFdistrCDF 1 3 3 0.81830988618379067153 -- CDF
, testFdistrCDF 2 2 1.2 0.545455
, testFdistrCDF 10 12 8 0.99935509863451408041
]
where
-- Student-T
testStudentPDF ndf x exact
= testAssertion (printf "density (studentT %f) %f ~ %f" ndf x exact)
$ eq 1e-5 exact (density (studentT ndf) x)
testStudentCDF ndf x exact
= testAssertion (printf "cumulative (studentT %f) %f ~ %f" ndf x exact)
$ eq 1e-5 exact (cumulative (studentT ndf) x)
-- Student-T General
testStudentUnstandardizedPDF ndf mu sigma x exact
= testAssertion (printf "density (studentTUnstandardized %f %f %f) %f ~ %f" ndf mu sigma x exact)
$ eq 1e-5 exact (density (studentTUnstandardized ndf mu sigma) x)
testStudentUnstandardizedCDF ndf mu sigma x exact
= testAssertion (printf "cumulative (studentTUnstandardized %f %f %f) %f ~ %f" ndf mu sigma x exact)
$ eq 1e-5 exact (cumulative (studentTUnstandardized ndf mu sigma) x)
-- F-distribution
testFdistrPDF n m x exact
= testAssertion (printf "density (fDistribution %i %i) %f ~ %f [got %f]" n m x exact d)
$ eq 1e-5 exact d
where d = density (fDistribution n m) x
testFdistrCDF n m x exact
= testAssertion (printf "cumulative (fDistribution %i %i) %f ~ %f [got %f]" n m x exact d)
$ eq 1e-5 exact d
where d = cumulative (fDistribution n m) x