From 7583a1b140f89b7d570a7744525c70fd0bd2407b Mon Sep 17 00:00:00 2001 From: ian Date: Wed, 15 May 2024 21:59:55 +0800 Subject: [PATCH] bidep: wasserstein_dist_ind --- README.md | 4 +- dist/torchvinecopulib-2024.4.2.tar.gz | Bin 49611 -> 0 bytes ...orchvinecopulib-2024.5.0-py3-none-any.whl} | Bin 54473 -> 54569 bytes dist/torchvinecopulib-2024.5.0.tar.gz | Bin 0 -> 49737 bytes docs/_build/html/.buildinfo | 2 +- docs/_build/html/_modules/index.html | 8 +-- .../torchvinecopulib/bicop/_data_bcp.html | 8 +-- .../torchvinecopulib/bicop/_factory_bcp.html | 10 +-- .../html/_modules/torchvinecopulib/util.html | 66 +++++++++--------- .../torchvinecopulib/vinecop/_data_vcp.html | 16 +++-- .../vinecop/_factory_vcp.html | 8 +-- .../html/_static/documentation_options.js | 2 +- docs/_build/html/genindex.html | 8 +-- docs/_build/html/index.html | 8 +-- docs/_build/html/modules.html | 8 +-- docs/_build/html/py-modindex.html | 8 +-- docs/_build/html/search.html | 8 +-- docs/_build/html/searchindex.js | 2 +- docs/_build/html/torchvinecopulib.bicop.html | 10 +-- docs/_build/html/torchvinecopulib.html | 8 +-- docs/_build/html/torchvinecopulib.util.html | 19 ++--- .../_build/html/torchvinecopulib.vinecop.html | 14 ++-- pyproject.toml | 2 +- torchvinecopulib/bicop/_factory_bcp.py | 2 +- torchvinecopulib/util/__init__.py | 58 +++++++-------- torchvinecopulib/vinecop/_data_vcp.py | 8 ++- 26 files changed, 148 insertions(+), 139 deletions(-) delete mode 100644 dist/torchvinecopulib-2024.4.2.tar.gz rename dist/{torchvinecopulib-2024.4.2-py3-none-any.whl => torchvinecopulib-2024.5.0-py3-none-any.whl} (53%) create mode 100644 dist/torchvinecopulib-2024.5.0.tar.gz diff --git a/README.md b/README.md index 5dc7429..49e92db 100644 --- a/README.md +++ b/README.md @@ -58,9 +58,9 @@ Need to use proper file name. ```bash # inside project root folder -pip install ./dist/torchvinecopulib-2024.4.2-py3-none-any.whl +pip install ./dist/torchvinecopulib-2024.5.0-py3-none-any.whl # or -pip install ./dist/torchvinecopulib-2024.4.2.tar.gz +pip install ./dist/torchvinecopulib-2024.5.0.tar.gz ``` ## Examples diff --git a/dist/torchvinecopulib-2024.4.2.tar.gz b/dist/torchvinecopulib-2024.4.2.tar.gz deleted file mode 100644 index 8a4870f590f3cb8c24d422e59bfb08a1bf7a7caf..0000000000000000000000000000000000000000 GIT binary patch literal 0 HcmV?d00001 literal 49611 zcmV($K;yq3iwFn+00002|8#G1V`z41Ze?R{aCK~HVl6T-GBhqUE;253VR8WMz1wmd zN46m9XGZWJs_B?5Kn6fuNRX79-c3=I&2EX*CMmmp6dJGq6u@d0s^F>uNqG03n29(K z=k+|E|2S_aVm@KdKg^e$b<0a#0Fsg{+udMvTRaip^W32q zfANd_HTiGRzs+W+V?N{aRbn7S1)Qcy6ntDSg zjU1rcx#NaIXXqzs?DuD>=Rn&&bU48ueJ@#Gi$+d*1#brazzY-48AgNI#0%4!1MQu` zl^c%zaP0Ugb{|Hm;|4)=>kS(?0cXkIo7i(F{lLR^7grvm&I`TR4V*W#K8)wQk};uY z*BQagYXo!PjZzKID2mtD5`_?)O_W}Fv2*Q*!^8pTZ=?7+X{b@;wFKXDCQ*_)CGSpS zcaZu60EAw4@YkW2_~XzUuCD>+Qui9#-@0>W9?fC`Z5T}ur^%J-icsSL@;m{-c|Hg5 z!!&l2vQ5DHJ-V#3*Wu`h%ov5kgx){j!0F60T(6|jbnFGuR~80ggu$T zE3jsjV~2#hOX!5&?fM#lYH*IA 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zqYD6M#<2^4KJz)t_Ye+bEPsLf8XC2**(46S6);HrM6Sv_)6MWI@TB$r(Oib#ELf!A zx2E1@$g}~l5o-e^$W<3x-)vS*g)xe+#l%ElFLg->#o<;KYIZW-Lz;Ok8?zAMIB4%3 zk)B)Y;#00N5mheG|Cvt*`@p3Z!wtvSfMHk6k%TguL2?3tIW~mQ*>gVN zE{{39^Dek3aCp}JGj;nA)z|Psd#kqp6(g6!TQ3Ah$X;#D;XgC+){32z+&XtZwGy`3 zrWs}$&9iLN&GgB0R{L(?u$Yei|%oWR=K__aq=FPwu@H|Y>)r@;f;UD+xIHT$g(vwQ3*p z9+@BPGqf#Ibe8%4Sj3lq<`<`_t-QE;N5`g}xA*5JW6a@h3C;pY!Of2jOnQzK``KfnDvHttVWyZ`c~CtVF03YZxHk-Z99 literal 0 HcmV?d00001 diff --git a/docs/_build/html/.buildinfo b/docs/_build/html/.buildinfo index 4d3aa4a..85b2b91 100644 --- a/docs/_build/html/.buildinfo +++ b/docs/_build/html/.buildinfo @@ -1,4 +1,4 @@ # Sphinx build info version 1 # This file hashes the configuration used when building these files. When it is not found, a full rebuild will be done. -config: 587bff00933dfee28f32f72b05a3d1f8 +config: 4319608de6cdeb498646305aaa6ec36f tags: 645f666f9bcd5a90fca523b33c5a78b7 diff --git a/docs/_build/html/_modules/index.html b/docs/_build/html/_modules/index.html index 3107ceb..aeec5c8 100644 --- a/docs/_build/html/_modules/index.html +++ b/docs/_build/html/_modules/index.html @@ -5,7 +5,7 @@ - Overview: module code - torchvinecopulib 2024.4.2 documentation + Overview: module code - torchvinecopulib 2024.5.0 documentation @@ -124,7 +124,7 @@

-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -147,7 +147,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation
-
+
diff --git a/docs/_build/html/_modules/torchvinecopulib/bicop/_data_bcp.html b/docs/_build/html/_modules/torchvinecopulib/bicop/_data_bcp.html index 23dddab..89ba7e3 100644 --- a/docs/_build/html/_modules/torchvinecopulib/bicop/_data_bcp.html +++ b/docs/_build/html/_modules/torchvinecopulib/bicop/_data_bcp.html @@ -5,7 +5,7 @@ - torchvinecopulib.bicop._data_bcp - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.bicop._data_bcp - torchvinecopulib 2024.5.0 documentation @@ -124,7 +124,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -147,7 +147,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -517,7 +517,7 @@

Source code for torchvinecopulib.bicop._data_bcp

-
+
diff --git a/docs/_build/html/_modules/torchvinecopulib/bicop/_factory_bcp.html b/docs/_build/html/_modules/torchvinecopulib/bicop/_factory_bcp.html index 0440548..840fc73 100644 --- a/docs/_build/html/_modules/torchvinecopulib/bicop/_factory_bcp.html +++ b/docs/_build/html/_modules/torchvinecopulib/bicop/_factory_bcp.html @@ -5,7 +5,7 @@ - torchvinecopulib.bicop._factory_bcp - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.bicop._factory_bcp - torchvinecopulib 2024.5.0 documentation @@ -124,7 +124,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -147,7 +147,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -227,7 +227,7 @@

Source code for torchvinecopulib.bicop._factory_bcp

:type obs_bcp: torch.Tensor :param tau: Kendall's tau of the observations, defaults to None for the function to estimate :type tau: float, optional - :param thresh_trunc: threshold of Kendall's tau independence test, below which we reject independent bicop, defaults to 0.1 + :param thresh_trunc: threshold of Kendall's tau independence test, below which we reject independent bicop, defaults to 0.05 :type thresh_trunc: float, optional :param mtd_fit: parameter estimation method, either 'itau' (inverse of tau) or 'mle' (maximum likelihood estimation); defaults to "itau" @@ -348,7 +348,7 @@

Source code for torchvinecopulib.bicop._factory_bcp

+
diff --git a/docs/_build/html/_modules/torchvinecopulib/util.html b/docs/_build/html/_modules/torchvinecopulib/util.html index acf0729..b7c90e1 100644 --- a/docs/_build/html/_modules/torchvinecopulib/util.html +++ b/docs/_build/html/_modules/torchvinecopulib/util.html @@ -5,7 +5,7 @@ - torchvinecopulib.util - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.util - torchvinecopulib 2024.5.0 documentation @@ -124,7 +124,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -147,7 +147,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -197,9 +197,10 @@

Source code for torchvinecopulib.util

 import math
 from enum import Enum
 from functools import partial
+from itertools import product
 
 import torch
-from scipy.stats import t, kendalltau
+from scipy.stats import kendalltau, t
 
 __all__ = [
     "ENUM_FUNC_BIDEP",
@@ -366,49 +367,50 @@ 
Source code for torchvinecopulib.util
 def wasserstein_dist_ind(
     x: torch.Tensor,
     y: torch.Tensor,
-    reg: float = 0.1,
     p: int = 2,
+    reg: float = 0.1,
+    num_step: int = 50,
     seed: int = 0,
-    num_sim: int = 2,
 ) -> float:
-    """Wasserstein distance from bicop obs to indep bicop simulations, by ot.sinkhorn2 (averaged for each observation).
+    """Wasserstein distance from bicop obs to indep bicop, by ot.sinkhorn2 (averaged for each observation).
 
     :param x: copula obs of shape (n,1)
     :type x: torch.Tensor
     :param y: copula obs of shape (n,1)
     :type y: torch.Tensor
+    :param p: p-norm to calculate distance between each vector pair, defaults to 2
+    :type p: int, optional
     :param reg: regularization strength, defaults to 0.1
     :type reg: float, optional
-    :param p: p-norm distance to calculate between each vector pair, defaults to 2
-    :type p: int, optional
-    :param seed: random seed for torch.manual_seed() in indep bicop simulations, defaults to 0
+    :param num_step: number of steps in the independent bivariate copula grid, defaults to 50
+    :type num_step: int, optional
+    :param seed: random seed for torch.manual_seed(), defaults to 0
     :type seed: int, optional
-    :return: Wasserstein distance from bicop obs to indep bicop simulations
+    :return: Wasserstein distance from bicop obs to indep bicop
     :rtype: float
     """
     from ot import sinkhorn2
 
     torch.manual_seed(seed=seed)
-    X_s = torch.hstack([x, y])
-    num_obs = x.shape[0]
-    a, b = (
-        torch.ones(size=(num_obs, 1), device=x.device, dtype=x.dtype) / num_obs,
-        torch.ones(size=(num_obs, 1), device=x.device, dtype=x.dtype) / num_obs,
-    )
-    return (
-        sum(
-            (
-                sinkhorn2(
-                    a=a,
-                    b=b,
-                    M=torch.cdist(X_s, torch.rand_like(X_s), p=p),
-                    reg=reg,
-                ).item()
-                for _ in range(num_sim)
-            )
-        )
-        / num_sim
-    )

+    return sinkhorn2(
+        a=torch.ones_like(x) / x.shape[0],
+        b=torch.ones(size=(num_step**2, 1), device=x.device, dtype=x.dtype) / num_step**2,
+        M=torch.cdist(
+            x1=torch.hstack([x, y]),
+            x2=torch.as_tensor(
+                (
+                    *product(
+                        torch.linspace(0, 1, num_step),
+                        torch.linspace(0, 1, num_step),
+                    ),
+                ),
+                device=x.device,
+                dtype=x.dtype,
+            ),
+            p=p,
+        ),
+        reg=reg,
+    ).item()
@@ -1040,7 +1042,7 @@

Source code for torchvinecopulib.util
-
+
diff --git a/docs/_build/html/_modules/torchvinecopulib/vinecop/_data_vcp.html b/docs/_build/html/_modules/torchvinecopulib/vinecop/_data_vcp.html index 5c67948..05cc6c5 100644 --- a/docs/_build/html/_modules/torchvinecopulib/vinecop/_data_vcp.html +++ b/docs/_build/html/_modules/torchvinecopulib/vinecop/_data_vcp.html @@ -5,7 +5,7 @@ - torchvinecopulib.vinecop._data_vcp - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.vinecop._data_vcp - torchvinecopulib 2024.5.0 documentation @@ -124,7 +124,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -147,7 +147,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -538,6 +538,7 @@

Source code for torchvinecopulib.vinecop._data_vcp

self, tpl_first_vs: tuple = tuple(), tpl_sim: tuple = tuple(), + title: str = "Vine Copula, Obs and BiCop", font_size_vertex: int = 8, f_path: Path = None, fig_size: tuple = None, @@ -566,7 +567,7 @@

Source code for torchvinecopulib.vinecop._data_vcp

fig, ax = plt.subplots(nrows=1, ncols=1, figsize=fig_size) ax.set_title( - label="Vine Copula, Obs and BiCop", + label=title, fontsize=font_size_vertex + 1, ) G = nx.DiGraph() @@ -673,6 +674,7 @@

Source code for torchvinecopulib.vinecop._data_vcp

alpha=0.8, ) fig.tight_layout() + plt.box(False) plt.draw_if_interactive() if f_path: fig.savefig(fname=f_path, bbox_inches="tight") @@ -806,7 +808,7 @@

Source code for torchvinecopulib.vinecop._data_vcp

self, obs_mvcp: torch.Tensor, tpl_sim: tuple = tuple(), - ) -> torch.Tensor: + ) -> dict: """Rosenblatt transformation, from the multivariate copula (with dependence) to the uniform multivariate copula (independent), using constructed vine copula @@ -816,7 +818,7 @@

Source code for torchvinecopulib.vinecop._data_vcp

gives flexibility to experienced users, defaults to tuple() :type tpl_sim: tuple, optional :return: ideally independent uniform multivariate copula, of shape (num_obs, num_dim) - :rtype: torch.Tensor + :rtype: dict """ num_dim = self.num_dim if not tpl_sim: @@ -1079,7 +1081,7 @@

Source code for torchvinecopulib.vinecop._data_vcp

+
diff --git a/docs/_build/html/_modules/torchvinecopulib/vinecop/_factory_vcp.html b/docs/_build/html/_modules/torchvinecopulib/vinecop/_factory_vcp.html index e059287..ddea3ff 100644 --- a/docs/_build/html/_modules/torchvinecopulib/vinecop/_factory_vcp.html +++ b/docs/_build/html/_modules/torchvinecopulib/vinecop/_factory_vcp.html @@ -5,7 +5,7 @@ - torchvinecopulib.vinecop._factory_vcp - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.vinecop._factory_vcp - torchvinecopulib 2024.5.0 documentation @@ -124,7 +124,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -147,7 +147,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -794,7 +794,7 @@

Source code for torchvinecopulib.vinecop._factory_vcp

+
diff --git a/docs/_build/html/_static/documentation_options.js b/docs/_build/html/_static/documentation_options.js index 6080f44..da197c3 100644 --- a/docs/_build/html/_static/documentation_options.js +++ b/docs/_build/html/_static/documentation_options.js @@ -1,5 +1,5 @@ const DOCUMENTATION_OPTIONS = { - VERSION: '2024.4.2', + VERSION: '2024.5.0', LANGUAGE: 'en', COLLAPSE_INDEX: false, BUILDER: 'html', diff --git a/docs/_build/html/genindex.html b/docs/_build/html/genindex.html index 770ba48..ceb96cc 100644 --- a/docs/_build/html/genindex.html +++ b/docs/_build/html/genindex.html @@ -4,7 +4,7 @@ - Index - torchvinecopulib 2024.4.2 documentation + Index - torchvinecopulib 2024.5.0 documentation @@ -123,7 +123,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -146,7 +146,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -742,7 +742,7 @@

W

-
+
diff --git a/docs/_build/html/index.html b/docs/_build/html/index.html index cb0c78a..04f9453 100644 --- a/docs/_build/html/index.html +++ b/docs/_build/html/index.html @@ -6,7 +6,7 @@ - torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -125,7 +125,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -148,7 +148,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -263,7 +263,7 @@

Indices and tables +

diff --git a/docs/_build/html/modules.html b/docs/_build/html/modules.html index 48f6f69..0eab4a8 100644 --- a/docs/_build/html/modules.html +++ b/docs/_build/html/modules.html @@ -6,7 +6,7 @@ - torchvinecopulib - torchvinecopulib 2024.4.2 documentation + torchvinecopulib - torchvinecopulib 2024.5.0 documentation @@ -125,7 +125,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -148,7 +148,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -253,7 +253,7 @@

torchvinecopulib +

diff --git a/docs/_build/html/py-modindex.html b/docs/_build/html/py-modindex.html index a6927df..4b0032c 100644 --- a/docs/_build/html/py-modindex.html +++ b/docs/_build/html/py-modindex.html @@ -4,7 +4,7 @@ - Python Module Index - torchvinecopulib 2024.4.2 documentation + Python Module Index - torchvinecopulib 2024.5.0 documentation @@ -123,7 +123,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -146,7 +146,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -262,7 +262,7 @@

Python Module Index

-
+
diff --git a/docs/_build/html/search.html b/docs/_build/html/search.html index 034586b..b282287 100644 --- a/docs/_build/html/search.html +++ b/docs/_build/html/search.html @@ -7,7 +7,7 @@ -Search - torchvinecopulib 2024.4.2 documentation +Search - torchvinecopulib 2024.5.0 documentation @@ -125,7 +125,7 @@
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torchvinecopulib 2024.4.2 documentation
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torchvinecopulib 2024.5.0 documentation
@@ -148,7 +148,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -237,7 +237,7 @@
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5], "whose": 5, "wiki": 4, "wikipedia": 4, "windowspath": 5, "within": 4, "work": 4, "workflow": 5, "worst": 4, "x": 4, "y": 4, "yellow": 5, "z": 4, "zero": 4, "\u03bb": 4, "\u03be": 4}, "titles": ["Welcome to torchvinecopulib\u2019s documentation!", "torchvinecopulib", "torchvinecopulib package", "torchvinecopulib.bicop package", "torchvinecopulib.util package", "torchvinecopulib.vinecop package"], "titleterms": {"": 0, "bicop": 3, "content": [0, 2, 3, 4, 5], "document": 0, "indic": 0, "modul": [2, 3, 4, 5], "packag": [2, 3, 4, 5], "subpackag": 2, "tabl": 0, "torchvinecopulib": [0, 1, 2, 3, 4, 5], "util": 4, "vinecop": 5, "welcom": 0}}) \ No newline at end of file diff --git a/docs/_build/html/torchvinecopulib.bicop.html b/docs/_build/html/torchvinecopulib.bicop.html index cb74f98..5ffeaae 100644 --- a/docs/_build/html/torchvinecopulib.bicop.html +++ b/docs/_build/html/torchvinecopulib.bicop.html @@ -6,7 +6,7 @@ - torchvinecopulib.bicop package - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.bicop package - torchvinecopulib 2024.5.0 documentation @@ -125,7 +125,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -148,7 +148,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -792,7 +792,7 @@

torchvinecopulib.bicop package

diff --git a/docs/_build/html/torchvinecopulib.html b/docs/_build/html/torchvinecopulib.html index baad025..294a0b7 100644 --- a/docs/_build/html/torchvinecopulib.html +++ b/docs/_build/html/torchvinecopulib.html @@ -6,7 +6,7 @@ - torchvinecopulib package - torchvinecopulib 2024.4.2 documentation + torchvinecopulib package - torchvinecopulib 2024.5.0 documentation @@ -125,7 +125,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -148,7 +148,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -417,7 +417,7 @@

Subpackages +

diff --git a/docs/_build/html/torchvinecopulib.util.html b/docs/_build/html/torchvinecopulib.util.html index a99fc89..46d399b 100644 --- a/docs/_build/html/torchvinecopulib.util.html +++ b/docs/_build/html/torchvinecopulib.util.html @@ -6,7 +6,7 @@ - torchvinecopulib.util package - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.util package - torchvinecopulib 2024.5.0 documentation @@ -125,7 +125,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -148,7 +148,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -345,20 +345,21 @@

torchvinecopulib.util package
-torchvinecopulib.util.wasserstein_dist_ind(x: Tensor, y: Tensor, reg: float = 0.1, p: int = 2, seed: int = 0, num_sim: int = 2) → float[source]
-

Wasserstein distance from bicop obs to indep bicop simulations, by ot.sinkhorn2 (averaged for each observation).

+torchvinecopulib.util.wasserstein_dist_ind(x: Tensor, y: Tensor, p: int = 2, reg: float = 0.1, num_step: int = 50, seed: int = 0) → float[source] +

Wasserstein distance from bicop obs to indep bicop, by ot.sinkhorn2 (averaged for each observation).

Parameters:

  • x (torch.Tensor) – copula obs of shape (n,1)

  • y (torch.Tensor) – copula obs of shape (n,1)

    • +

  • p (int, optional) – p-norm to calculate distance between each vector pair, defaults to 2

  • reg (float, optional) – regularization strength, defaults to 0.1

    • -

  • p (int, optional) – p-norm distance to calculate between each vector pair, defaults to 2

    • -

  • seed (int, optional) – random seed for torch.manual_seed() in indep bicop simulations, defaults to 0

    • +

  • num_step (int, optional) – number of steps in the independent bivariate copula grid, defaults to 50

    • +

  • seed (int, optional) – random seed for torch.manual_seed(), defaults to 0

Returns:
-

Wasserstein distance from bicop obs to indep bicop simulations

+

Wasserstein distance from bicop obs to indep bicop

Return type:

float

@@ -447,7 +448,7 @@

torchvinecopulib.util package +

diff --git a/docs/_build/html/torchvinecopulib.vinecop.html b/docs/_build/html/torchvinecopulib.vinecop.html index d31c204..ef51012 100644 --- a/docs/_build/html/torchvinecopulib.vinecop.html +++ b/docs/_build/html/torchvinecopulib.vinecop.html @@ -6,7 +6,7 @@ - torchvinecopulib.vinecop package - torchvinecopulib 2024.4.2 documentation + torchvinecopulib.vinecop package - torchvinecopulib 2024.5.0 documentation @@ -125,7 +125,7 @@
-
torchvinecopulib 2024.4.2 documentation
 +
torchvinecopulib 2024.5.0 documentation
@@ -148,7 +148,7 @@
- torchvinecopulib 2024.4.2 documentation + torchvinecopulib 2024.5.0 documentation @@ -273,7 +273,7 @@

torchvinecopulib.vinecop package
-draw_dag(tpl_first_vs: tuple = (), tpl_sim: tuple = (), font_size_vertex: int = 8, f_path: Path | None = None, fig_size: tuple | None = None) → tuple[source]
+draw_dag(tpl_first_vs: tuple = (), tpl_sim: tuple = (), title: str = 'Vine Copula, Obs and BiCop', font_size_vertex: int = 8, f_path: Path | None = None, fig_size: tuple | None = None) → tuple[source]

draw the directed acyclic graph (DAG) of the vine copula, with pseudo observations and bicops as nodes. The source nodes in simulation workflow are highlighted in yellow.

@@ -399,7 +399,7 @@

torchvinecopulib.vinecop package
-rosenblatt_transform(obs_mvcp: Tensor, tpl_sim: tuple = ()) → Tensor[source]
+rosenblatt_transform(obs_mvcp: Tensor, tpl_sim: tuple = ()) → dict[source]

Rosenblatt transformation, from the multivariate copula (with dependence) to the uniform multivariate copula (independent), using constructed vine copula

@@ -414,7 +414,7 @@

torchvinecopulib.vinecop package

ideally independent uniform multivariate copula, of shape (num_obs, num_dim)

Return type:
-

torch.Tensor

+

dict

@@ -674,7 +674,7 @@

torchvinecopulib.vinecop package +

diff --git a/pyproject.toml b/pyproject.toml index b729497..d26b5f8 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -2,7 +2,7 @@ package-mode = true license = "GNU GPLv3" name = "torchvinecopulib" -version = "2024.4.2" +version = "2024.5.0" description = "yet another vine copula library for PyTorch." authors = ["Tuoyuan Cheng "] maintainers = ["Xiaosheng You "] diff --git a/torchvinecopulib/bicop/_factory_bcp.py b/torchvinecopulib/bicop/_factory_bcp.py index a2ec1da..b46c99d 100644 --- a/torchvinecopulib/bicop/_factory_bcp.py +++ b/torchvinecopulib/bicop/_factory_bcp.py @@ -29,7 +29,7 @@ def bcp_from_obs( :type obs_bcp: torch.Tensor :param tau: Kendall's tau of the observations, defaults to None for the function to estimate :type tau: float, optional - :param thresh_trunc: threshold of Kendall's tau independence test, below which we reject independent bicop, defaults to 0.1 + :param thresh_trunc: threshold of Kendall's tau independence test, below which we reject independent bicop, defaults to 0.05 :type thresh_trunc: float, optional :param mtd_fit: parameter estimation method, either 'itau' (inverse of tau) or 'mle' (maximum likelihood estimation); defaults to "itau" diff --git a/torchvinecopulib/util/__init__.py b/torchvinecopulib/util/__init__.py index 4c5e7a9..abf05c2 100644 --- a/torchvinecopulib/util/__init__.py +++ b/torchvinecopulib/util/__init__.py @@ -1,9 +1,10 @@ import math from enum import Enum from functools import partial +from itertools import product import torch -from scipy.stats import t, kendalltau +from scipy.stats import kendalltau, t __all__ = [ "ENUM_FUNC_BIDEP", @@ -156,49 +157,50 @@ def xy_sum(m: int) -> tuple: def wasserstein_dist_ind( x: torch.Tensor, y: torch.Tensor, - reg: float = 0.1, p: int = 2, + reg: float = 0.1, + num_step: int = 50, seed: int = 0, - num_sim: int = 2, ) -> float: - """Wasserstein distance from bicop obs to indep bicop simulations, by ot.sinkhorn2 (averaged for each observation). + """Wasserstein distance from bicop obs to indep bicop, by ot.sinkhorn2 (averaged for each observation). :param x: copula obs of shape (n,1) :type x: torch.Tensor :param y: copula obs of shape (n,1) :type y: torch.Tensor + :param p: p-norm to calculate distance between each vector pair, defaults to 2 + :type p: int, optional :param reg: regularization strength, defaults to 0.1 :type reg: float, optional - :param p: p-norm distance to calculate between each vector pair, defaults to 2 - :type p: int, optional - :param seed: random seed for torch.manual_seed() in indep bicop simulations, defaults to 0 + :param num_step: number of steps in the independent bivariate copula grid, defaults to 50 + :type num_step: int, optional + :param seed: random seed for torch.manual_seed(), defaults to 0 :type seed: int, optional - :return: Wasserstein distance from bicop obs to indep bicop simulations + :return: Wasserstein distance from bicop obs to indep bicop :rtype: float """ from ot import sinkhorn2 torch.manual_seed(seed=seed) - X_s = torch.hstack([x, y]) - num_obs = x.shape[0] - a, b = ( - torch.ones(size=(num_obs, 1), device=x.device, dtype=x.dtype) / num_obs, - torch.ones(size=(num_obs, 1), device=x.device, dtype=x.dtype) / num_obs, - ) - return ( - sum( - ( - sinkhorn2( - a=a, - b=b, - M=torch.cdist(X_s, torch.rand_like(X_s), p=p), - reg=reg, - ).item() - for _ in range(num_sim) - ) - ) - / num_sim - ) + return sinkhorn2( + a=torch.ones_like(x) / x.shape[0], + b=torch.ones(size=(num_step**2, 1), device=x.device, dtype=x.dtype) / num_step**2, + M=torch.cdist( + x1=torch.hstack([x, y]), + x2=torch.as_tensor( + ( + *product( + torch.linspace(0, 1, num_step), + torch.linspace(0, 1, num_step), + ), + ), + device=x.device, + dtype=x.dtype, + ), + p=p, + ), + reg=reg, + ).item() class ENUM_FUNC_BIDEP(Enum): diff --git a/torchvinecopulib/vinecop/_data_vcp.py b/torchvinecopulib/vinecop/_data_vcp.py index 5106097..aae4f34 100644 --- a/torchvinecopulib/vinecop/_data_vcp.py +++ b/torchvinecopulib/vinecop/_data_vcp.py @@ -335,6 +335,7 @@ def draw_dag( self, tpl_first_vs: tuple = tuple(), tpl_sim: tuple = tuple(), + title: str = "Vine Copula, Obs and BiCop", font_size_vertex: int = 8, f_path: Path = None, fig_size: tuple = None, @@ -363,7 +364,7 @@ def draw_dag( fig, ax = plt.subplots(nrows=1, ncols=1, figsize=fig_size) ax.set_title( - label="Vine Copula, Obs and BiCop", + label=title, fontsize=font_size_vertex + 1, ) G = nx.DiGraph() @@ -470,6 +471,7 @@ def draw_dag( alpha=0.8, ) fig.tight_layout() + plt.box(False) plt.draw_if_interactive() if f_path: fig.savefig(fname=f_path, bbox_inches="tight") @@ -591,7 +593,7 @@ def rosenblatt_transform( self, obs_mvcp: torch.Tensor, tpl_sim: tuple = tuple(), - ) -> torch.Tensor: + ) -> dict: """Rosenblatt transformation, from the multivariate copula (with dependence) to the uniform multivariate copula (independent), using constructed vine copula @@ -601,7 +603,7 @@ def rosenblatt_transform( gives flexibility to experienced users, defaults to tuple() :type tpl_sim: tuple, optional :return: ideally independent uniform multivariate copula, of shape (num_obs, num_dim) - :rtype: torch.Tensor + :rtype: dict """ num_dim = self.num_dim if not tpl_sim: