statistics-0.15.2.0: tests/Tests/Distribution.hs
{-# LANGUAGE FlexibleInstances, ScopedTypeVariables,
ViewPatterns #-}
module Tests.Distribution (tests) where
import Control.Applicative ((<$), (<$>), (<*>))
import qualified Control.Exception as E
import Data.List (find)
import Data.Typeable (Typeable)
import Numeric.MathFunctions.Constants (m_tiny,m_huge,m_epsilon)
import Numeric.MathFunctions.Comparison
import Statistics.Distribution
import Statistics.Distribution.Beta (BetaDistribution)
import Statistics.Distribution.Binomial (BinomialDistribution)
import Statistics.Distribution.CauchyLorentz
import Statistics.Distribution.ChiSquared (ChiSquared)
import Statistics.Distribution.Exponential (ExponentialDistribution)
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)
import Statistics.Distribution.Normal (NormalDistribution)
import Statistics.Distribution.Poisson (PoissonDistribution)
import Statistics.Distribution.StudentT
import Statistics.Distribution.Transform (LinearTransform)
import Statistics.Distribution.Uniform (UniformDistribution)
import Statistics.Distribution.DiscreteUniform (DiscreteUniform)
import Test.Tasty (TestTree, testGroup)
import Test.Tasty.QuickCheck (testProperty)
import Test.Tasty.ExpectedFailure (ignoreTest)
import Test.QuickCheck as QC
import Test.QuickCheck.Monadic as QC
import Text.Printf (printf)
import Tests.ApproxEq (ApproxEq(..))
import Tests.Helpers (T(..), Double01(..), testAssertion, typeName)
import Tests.Helpers (monotonicallyIncreasesIEEE,isDenorm)
import Tests.Orphanage ()
-- | Tests for all distributions
tests :: TestTree
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 NormalDistribution))
, contDistrTests (T :: T FDistribution )
, discreteDistrTests (T :: T BinomialDistribution )
, discreteDistrTests (T :: T GeometricDistribution )
, discreteDistrTests (T :: T GeometricDistribution0 )
, discreteDistrTests (T :: T HypergeometricDistribution )
, discreteDistrTests (T :: T PoissonDistribution )
, discreteDistrTests (T :: T DiscreteUniform )
, unitTests
]
----------------------------------------------------------------
-- Tests
----------------------------------------------------------------
-- Tests for continuous distribution
contDistrTests :: (Param d, ContDistr d, QC.Arbitrary d, Typeable d, Show d) => T d -> TestTree
contDistrTests t = testGroup ("Tests for: " ++ typeName t) $
cdfTests t ++
[ testProperty "PDF sanity" $ pdfSanityCheck t
] ++
[ (if quantileIsInvCDF_enabled t then id else ignoreTest)
$ testProperty "Quantile is CDF inverse" $ quantileIsInvCDF t
, testProperty "quantile fails p<0||p>1" $ quantileShouldFail t
, testProperty "log density check" $ logDensityCheck t
, testProperty "complQuantile" $ complQuantileCheck t
]
-- Tests for discrete distribution
discreteDistrTests :: (Param d, DiscreteDistr d, QC.Arbitrary d, Typeable d, Show d) => T d -> TestTree
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) => T d -> [TestTree]
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
]
----------------------------------------------------------------
-- 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 :: (Distribution d) => T d -> d -> Bool
cdfAtPosInfinity _ d
= cumulative d (1/0) == 1
-- cumulative d - ∞ = 0
cdfAtNegInfinity :: (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 -> Bool
cdfLimitAtPosInfinity _ d
= Just 1.0 == find (>=1) probs
where
probs = map (cumulative d)
$ takeWhile (< (m_huge/2))
$ iterate (*1.4) 1
-- CDF limit at -∞ is 0
cdfLimitAtNegInfinity :: (Param d, Distribution d) => T d -> d -> Bool
cdfLimitAtNegInfinity _ d
= Just 0 == find (<=0) probs
where
probs = map (cumulative d)
$ takeWhile (> (-m_huge/2))
$ iterate (*1.4) (-1)
-- CDF's complement is implemented correctly
cdfComplementIsCorrect :: (Distribution d, Param d) => T d -> d -> Double -> Bool
cdfComplementIsCorrect _ d x
= 1 - (cumulative d x + complCumulative d x) <= tol
where
tol = prec_complementCDF d
-- CDF for discrete distribution uses <= for comparison
cdfDiscreteIsCorrect :: (Param d, 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 > tol
]
tol = prec_discreteCDF d
logDensityCheck :: (ContDistr d) => T d -> d -> Double -> Property
logDensityCheck _ d x
= not (isDenorm 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 <= m_tiny && logP < log m_tiny
-- To avoid problems with roundtripping error in case
-- when density is computed as exponent of logDensity we
-- accept either inequality
, (ulpDistance (log p) logP <= 32)
|| (ulpDistance p (exp logP) <= 32)
])
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
complQuantileCheck :: (ContDistr d) => T d -> d -> Double01 -> Property
complQuantileCheck _ d (Double01 p)
= counterexample (printf "x0 = %g" x0)
$ counterexample (printf "x1 = %g" x1)
-- We avoid extreme tails of distributions
--
-- FIXME: all parameters are arbitrary at the moment
$ and [ p > 0.01
, p < 0.99
, not $ isInfinite x0
, not $ isInfinite x1
] ==> (abs (x1 - x0) < 1e-6)
where
x0 = quantile d (1 - p)
x1 = complQuantile d p
-- Quantile is inverse of CDF
quantileIsInvCDF :: (Param d, ContDistr d) => T d -> d -> Double01 -> Property
quantileIsInvCDF _ d (Double01 p) =
and [ p > m_tiny
, p < 1
, x > m_tiny
, dens > 0
] ==>
( counterexample (printf "Quantile = %g" x )
$ counterexample (printf "Probability = %g" p )
$ counterexample (printf "Probability' = %g" p')
$ counterexample (printf "Rel. error = %g" (relativeError p p'))
$ counterexample (printf "Abs. error = %e" (abs $ p - p'))
$ counterexample (printf "Expected err. = %g" err)
$ counterexample (printf "Distance = %i" (ulpDistance p p'))
$ counterexample (printf "Err/est = %g" (fromIntegral (ulpDistance p p') / err))
$ ulpDistance p p' <= round err
)
where
-- Algorithm for error estimation is taken from here
--
-- http://sepulcarium.org/posts/2012-07-19-rounding_effect_on_inverse.html
dens = density d x
err = eps + eps' * abs (x / p) * dens
--
x = quantile d p
p' = cumulative d x
(eps,eps') = prec_quantile_CDF d
-- 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
-- To avoid problems with roundtripping error in case
-- when density is computed as exponent of logDensity we
-- accept either inequality
, (ulpDistance (log p) logP <= 32)
|| (ulpDistance p (exp logP) <= 32)
]
where
p = probability d x
logP = logProbability d x
-- | Parameters for distribution testing. Some distribution require
-- relaxing parameters a bit
class Param a where
-- | Whether quantileIsInvCDF is enabled
quantileIsInvCDF_enabled :: T a -> Bool
quantileIsInvCDF_enabled _ = True
-- | Precision for 'quantileIsInvCDF' test
prec_quantile_CDF :: a -> (Double,Double)
prec_quantile_CDF _ = (16,16)
-- |
prec_discreteCDF :: a -> Double
prec_discreteCDF _ = 32 * m_epsilon
-- | Precision of CDF's complement
prec_complementCDF :: a -> Double
prec_complementCDF _ = 1e-14
instance Param StudentT where
-- FIXME: disabled unless incompleteBeta troubles are sorted out
quantileIsInvCDF_enabled _ = False
instance Param BetaDistribution where
-- FIXME: See https://github.com/bos/statistics/issues/161 for details
quantileIsInvCDF_enabled _ = False
instance Param FDistribution where
-- FIXME: disabled unless incompleteBeta troubles are sorted out
quantileIsInvCDF_enabled _ = False
instance Param ChiSquared where
prec_quantile_CDF _ = (32,32)
instance Param BinomialDistribution where
prec_discreteCDF _ = 1e-13
instance Param CauchyDistribution
instance Param DiscreteUniform
instance Param ExponentialDistribution
instance Param GammaDistribution
instance Param GeometricDistribution
instance Param GeometricDistribution0
instance Param HypergeometricDistribution
instance Param LaplaceDistribution
instance Param NormalDistribution
instance Param PoissonDistribution
instance Param UniformDistribution
instance Param a => Param (LinearTransform a)
----------------------------------------------------------------
-- Unit tests
----------------------------------------------------------------
unitTests :: TestTree
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