# -*- coding: utf-8 -*- """ Created on Tue Nov 08 22:28:48 2011 @author: josef """ import numpy as np from numpy.testing import assert_almost_equal, assert_equal import pytest from statsmodels.tools.eval_measures import ( aic, aic_sigma, aicc, aicc_sigma, bias, bic, bic_sigma, hqic, hqic_sigma, iqr, maxabs, meanabs, medianabs, medianbias, mse, rmse, rmspe, vare, ) def test_eval_measures(): # mainly regression tests x = np.arange(20).reshape(4, 5) y = np.ones((4, 5)) assert_equal(iqr(x, y), 5 * np.ones(5)) assert_equal(iqr(x, y, axis=1), 2 * np.ones(4)) assert_equal(iqr(x, y, axis=None), 9) assert_equal(mse(x, y), np.array([73.5, 87.5, 103.5, 121.5, 141.5])) assert_equal(mse(x, y, axis=1), np.array([3.0, 38.0, 123.0, 258.0])) assert_almost_equal( rmse(x, y), np.array( [8.5732141, 9.35414347, 10.17349497, 11.02270384, 11.89537725] ), ) assert_almost_equal( rmse(x, y, axis=1), np.array([1.73205081, 6.164414, 11.09053651, 16.0623784]), ) err = x - y loc = np.where(x != 0) err[loc] /= x[loc] err[np.where(x == 0)] = np.nan expected = np.sqrt(np.nanmean(err ** 2, 0) * 100) assert_almost_equal(rmspe(x, y), expected) err[np.where(np.isnan(err))] = 0.0 expected = np.sqrt(np.nanmean(err ** 2, 0) * 100) assert_almost_equal(rmspe(x, y, zeros=0), expected) assert_equal(maxabs(x, y), np.array([14.0, 15.0, 16.0, 17.0, 18.0])) assert_equal(maxabs(x, y, axis=1), np.array([3.0, 8.0, 13.0, 18.0])) assert_equal(meanabs(x, y), np.array([7.0, 7.5, 8.5, 9.5, 10.5])) assert_equal(meanabs(x, y, axis=1), np.array([1.4, 6.0, 11.0, 16.0])) assert_equal(meanabs(x, y, axis=0), np.array([7.0, 7.5, 8.5, 9.5, 10.5])) assert_equal(medianabs(x, y), np.array([6.5, 7.5, 8.5, 9.5, 10.5])) assert_equal(medianabs(x, y, axis=1), np.array([1.0, 6.0, 11.0, 16.0])) assert_equal(bias(x, y), np.array([6.5, 7.5, 8.5, 9.5, 10.5])) assert_equal(bias(x, y, axis=1), np.array([1.0, 6.0, 11.0, 16.0])) assert_equal(medianbias(x, y), np.array([6.5, 7.5, 8.5, 9.5, 10.5])) assert_equal(medianbias(x, y, axis=1), np.array([1.0, 6.0, 11.0, 16.0])) assert_equal(vare(x, y), np.array([31.25, 31.25, 31.25, 31.25, 31.25])) assert_equal(vare(x, y, axis=1), np.array([2.0, 2.0, 2.0, 2.0])) ics = [aic, aicc, bic, hqic] ics_sig = [aic_sigma, aicc_sigma, bic_sigma, hqic_sigma] @pytest.mark.parametrize("ic,ic_sig", zip(ics, ics_sig)) def test_ic_equivalence(ic, ic_sig): # consistency check assert ic(np.array(2), 10, 2).dtype == float assert ic_sig(np.array(2), 10, 2).dtype == float assert_almost_equal( ic(-10.0 / 2.0 * np.log(2.0), 10, 2) / 10, ic_sig(2, 10, 2), decimal=14 ) assert_almost_equal( ic_sig(np.log(2.0), 10, 2, islog=True), ic_sig(2, 10, 2), decimal=14 ) def test_ic(): # test information criteria # examples penalty directly from formula n = 10 k = 2 assert_almost_equal(aic(0, 10, 2), 2 * k, decimal=14) # next see Wikipedia assert_almost_equal( aicc(0, 10, 2), aic(0, n, k) + 2 * k * (k + 1.0) / (n - k - 1.0), decimal=14, ) assert_almost_equal(bic(0, 10, 2), np.log(n) * k, decimal=14) assert_almost_equal(hqic(0, 10, 2), 2 * np.log(np.log(n)) * k, decimal=14) def test_iqr_axis(reset_randomstate): x1 = np.random.standard_normal((100, 100)) x2 = np.random.standard_normal((100, 100)) ax_none = iqr(x1, x2, axis=None) ax_none_direct = iqr(x1.ravel(), x2.ravel()) assert_equal(ax_none, ax_none_direct) ax_0 = iqr(x1, x2, axis=0) assert ax_0.shape == (100,) ax_0_direct = [iqr(x1[:, i], x2[:, i]) for i in range(100)] assert_almost_equal(ax_0, np.array(ax_0_direct)) ax_1 = iqr(x1, x2, axis=1) assert ax_1.shape == (100,) ax_1_direct = [iqr(x1[i, :], x2[i, :]) for i in range(100)] assert_almost_equal(ax_1, np.array(ax_1_direct)) assert any(ax_0 != ax_1)