def do_simulated_regular():
# first generate some data assuming a CAR(5) process on a uniform grid
sigmay = 2.3 # dispersion in lightcurve
p = 5 # order of AR polynomial
qpo_width = np.array([1.0 / 100.0, 1.0 / 100.0, 1.0 / 500.0])
qpo_cent = np.array([1.0 / 5.0, 1.0 / 50.0])
ar_roots = cm.get_ar_roots(qpo_width, qpo_cent)
ma_coefs = np.zeros(p)
ma_coefs[0] = 1.0
ma_coefs[1] = 4.5
ma_coefs[2] = 1.25
sigsqr = sigmay**2 / cm.carma_variance(1.0, ar_roots, ma_coefs=ma_coefs)
ny = 1028
time = np.arange(0.0, ny)
y0 = cm.carma_process(time, sigsqr, ar_roots, ma_coefs=ma_coefs)
ysig = np.ones(ny) * np.sqrt(1e-3 / 2.0)
y = y0 + ysig * np.random.standard_normal(ny)
data = (time, y, ysig)
froot = base_dir + 'car5_regular_'
plt.subplot(111)
plt.plot(time, y0, 'k-')
plt.plot(time, y, '.')
plt.xlim(time.min(), time.max())
plt.xlabel('Time')
plt.ylabel('CAR(5) Process')
plt.savefig(froot + 'tseries.eps')
ar_coef = np.poly(ar_roots)
pool = mp.Pool(mp.cpu_count() - 1)
args = []
maxp = 8
for p in xrange(1, maxp + 1):
for q in xrange(p):
args.append(((p, q), data))
print "Running the CARMA MCMC samplers..."
carma_run = pool.map(run_carma_sampler, args)
dic = []
pmodels = []
qmodels = []
for crun in carma_run:
dic.append(crun.DIC())
pmodels.append(crun.p)
qmodels.append(crun.q)
pmodels = np.array(pmodels)
qmodels = np.array(qmodels)
dic = np.array(dic)
plt.clf()
plt.subplot(111)
for i in xrange(qmodels.max() + 1):
plt.plot(pmodels[qmodels == i],
dic[qmodels == i],
label='q=' + str(i),
lw=2)
plt.legend()
plt.xlabel('p')
plt.ylabel('DIC')
print "DIC", dic
plt.savefig(froot + 'dic.eps')
carma = carma_run[np.argmin(dic)]
print "order of best model is", carma.p
plt.subplot(111)
pgram, freq = plt.psd(y)
plt.clf()
ax = plt.subplot(111)
print 'Getting bounds on PSD...'
psd_low, psd_hi, psd_mid, frequencies = carma.plot_power_spectrum(
percentile=95.0, sp=ax, doShow=False, color='SkyBlue')
ax.loglog(freq / 2.0, pgram, 'o', color='DarkOrange')
psd = cm.power_spectrum(frequencies,
np.sqrt(sigsqr),
ar_coef,
ma_coefs=ma_coefs)
ax.loglog(frequencies, psd, 'k', lw=2)
ax.loglog(frequencies, psd_mid, '--b', lw=2)
noise_level = np.mean(ysig**2)
ax.loglog(frequencies,
np.ones(frequencies.size) * noise_level,
color='grey',
lw=2)
ax.set_ylim(bottom=noise_level / 100.0)
ax.annotate("Measurement Noise Level",
(3.0 * ax.get_xlim()[0], noise_level / 2.5))
ax.set_xlabel('Frequency')
ax.set_ylabel('Power Spectral Density')
plt.savefig(froot + 'psd.eps')
print 'Assessing the fit quality...'
carma.assess_fit(doShow=False)
plt.savefig(froot + 'fit_quality.eps')
def do_simulated_irregular_nonstationary():
# generate first half of lightcurve assuming a CARMA(5,3) process on a uniform grid
sigmay1 = 2.3 # dispersion in lightcurve
p = 5 # order of AR polynomial
qpo_width1 = np.array([1.0/100.0, 1.0/300.0, 1.0/200.0])
qpo_cent1 = np.array([1.0/5.0, 1.0/25.0])
ar_roots1 = cm.get_ar_roots(qpo_width1, qpo_cent1)
ma_coefs1 = np.zeros(p)
ma_coefs1[0] = 1.0
ma_coefs1[1] = 4.5
ma_coefs1[2] = 1.25
sigsqr1 = sigmay1 ** 2 / cm.carma_variance(1.0, ar_roots1, ma_coefs=ma_coefs1)
ny = 270
time = np.zeros(ny)
dt = np.random.uniform(1.0, 3.0, ny)
time[0:90] = np.cumsum(dt[0:90])
time[90:2*90] = 180 + time[90-1] + np.cumsum(dt[90:2*90])
time[2*90:] = 180 + time[2*90-1] + np.cumsum(dt[2*90:])
y = cm.carma_process(time, sigsqr1, ar_roots1, ma_coefs=ma_coefs1)
# first generate some data assuming a CARMA(5,3) process on a uniform grid
sigmay2 = 4.5 # dispersion in lightcurve
p = 5 # order of AR polynomial
qpo_width2 = np.array([1.0/100.0, 1.0/100.0, 1.0/500.0])
qpo_cent2 = np.array([1.0/5.0, 1.0/50.0])
ar_roots2 = cm.get_ar_roots(qpo_width2, qpo_cent2)
ma_coefs2 = np.zeros(p)
ma_coefs2[0] = 1.0
ma_coefs2[1] = 4.5
ma_coefs2[2] = 1.25
sigsqr2 = sigmay2 ** 2 / cm.carma_variance(1.0, ar_roots2, ma_coefs=ma_coefs2)
ny = 270
time2 = np.zeros(ny)
dt = np.random.uniform(1.0, 3.0, ny)
time2[0:90] = np.cumsum(dt[0:90])
time2[90:2*90] = 180 + time2[90-1] + np.cumsum(dt[90:2*90])
time2[2*90:] = 180 + time2[2*90-1] + np.cumsum(dt[2*90:])
time = np.append(time, time.max() + 180 + time2)
y2 = cm.carma_process(time2, sigsqr2, ar_roots2, ma_coefs=ma_coefs2)
y = np.append(y, y2)
ysig = np.ones(len(y)) * y.std() / 8.0
# ysig = np.ones(ny) * 1e-6
y0 = y.copy()
y += ysig * np.random.standard_normal(len(y))
froot = base_dir + 'plots/car5_nonstationary_'
plt.subplot(111)
for i in xrange(6):
plt.plot(time[90*i:90*(i+1)], y0[90*i:90*(i+1)], 'k', lw=2)
plt.plot(time[90*i:90*(i+1)], y[90*i:90*(i+1)], 'bo')
plt.xlim(time.min(), time.max())
plt.xlabel('Time')
plt.ylabel('Non-Stationary Process')
plt.savefig(froot + 'tseries.eps')
plt.show()
ar_coef1 = np.poly(ar_roots1)
ar_coef2 = np.poly(ar_roots2)
print 'Getting maximum-likelihood estimates...'
carma_model = cm.CarmaModel(time, y, ysig)
pmax = 7
MAP, pqlist, AIC_list = carma_model.choose_order(pmax, njobs=1)
# convert lists to a numpy arrays, easier to manipulate
pqarray = np.array(pqlist)
pmodels = pqarray[:, 0]
qmodels = pqarray[:, 1]
AICc = np.array(AIC_list)
plt.clf()
plt.subplot(111)
for i in xrange(qmodels.max()+1):
plt.plot(pmodels[qmodels == i], AICc[qmodels == i], 's-', label='q=' + str(i), lw=2)
plt.legend()
plt.xlabel('p')
plt.ylabel('AICc(p,q)')
plt.xlim(0, pmodels.max() + 1)
plt.savefig(froot + 'aic.eps')
plt.close()
nsamples = 50000
carma_sample = carma_model.run_mcmc(nsamples)
carma_sample.add_mle(MAP)
cPickle.dump(carma_sample, open(data_dir + 'nonstationary.pickle', 'wb'))
plt.clf()
ax = plt.subplot(111)
print 'Getting bounds on PSD...'
psd_low, psd_hi, psd_mid, frequencies = carma_sample.plot_power_spectrum(percentile=95.0, sp=ax, doShow=False,
color='SkyBlue', nsamples=5000)
psd_mle = cm.power_spectrum(frequencies, carma_sample.mle['sigma'], carma_sample.mle['ar_coefs'],
ma_coefs=np.atleast_1d(carma_sample.mle['ma_coefs']))
psd1 = cm.power_spectrum(frequencies, np.sqrt(sigsqr1), ar_coef1, ma_coefs=ma_coefs1)
psd2 = cm.power_spectrum(frequencies, np.sqrt(sigsqr2), ar_coef2, ma_coefs=ma_coefs2)
# ax.loglog(frequencies, psd_mle, '--b', lw=2)
ax.loglog(frequencies, psd1, 'k', lw=2)
ax.loglog(frequencies, psd2, '--k', lw=2)
dt = np.median(time[1:] - time[0:-1])
noise_level = 2.0 * dt * np.mean(ysig ** 2)
ax.loglog(frequencies, np.ones(frequencies.size) * noise_level, color='grey', lw=2)
ax.set_ylim(bottom=noise_level / 100.0)
ax.annotate("Measurement Noise Level", (3.0 * ax.get_xlim()[0], noise_level / 2.5))
ax.set_xlabel('Frequency')
ax.set_ylabel('Power Spectral Density')
plt.savefig(froot + 'psd.eps')
print 'Assessing the fit quality...'
carma_sample.assess_fit(doShow=False)
plt.savefig(froot + 'fit_quality.eps')
# compute the marginal mean and variance of the predicted values
nplot = 1028
time_predict = np.linspace(time.min(), 1.25 * time.max(), nplot)
time_predict = time_predict[1:]
predicted_mean, predicted_var = carma_sample.predict(time_predict, bestfit='map')
predicted_low = predicted_mean - np.sqrt(predicted_var)
predicted_high = predicted_mean + np.sqrt(predicted_var)
# plot the time series and the marginal 1-sigma error bands
plt.clf()
plt.subplot(111)
plt.fill_between(time_predict, predicted_low, predicted_high, color='cyan')
plt.plot(time_predict, predicted_mean, '-b', label='Predicted')
plt.plot(time[0:90], y0[0:90], 'k', lw=2, label='True')
plt.plot(time[0:90], y[0:90], 'bo')
for i in xrange(1, 3):
plt.plot(time[90*i:90*(i+1)], y0[90*i:90*(i+1)], 'k', lw=2)
plt.plot(time[90*i:90*(i+1)], y[90*i:90*(i+1)], 'bo')
plt.xlabel('Time')
plt.ylabel('CARMA(5,3) Process')
plt.xlim(time_predict.min(), time_predict.max())
plt.legend()
plt.savefig(froot + 'interp.eps')
def do_simulated_irregular():
# first generate some data assuming a CAR(5) process on a uniform grid
sigmay = 2.3 # dispersion in lightcurve
p = 5 # order of AR polynomial
mu = 17.0 # mean of time series
qpo_width = np.array([1.0 / 100.0, 1.0 / 300.0, 1.0 / 200.0])
qpo_cent = np.array([1.0 / 5.0, 1.0 / 25.0])
ar_roots = cm.get_ar_roots(qpo_width, qpo_cent)
ma_coefs = np.zeros(p)
ma_coefs[0] = 1.0
ma_coefs[1] = 4.5
ma_coefs[2] = 1.25
sigsqr = sigmay**2 / cm.carma_variance(1.0, ar_roots, ma_coefs=ma_coefs)
ny = 270
time = np.empty(ny)
dt = np.random.uniform(1.0, 3.0, ny)
time[0:90] = np.cumsum(dt[0:90])
time[90:2 * 90] = 180 + time[90 - 1] + np.cumsum(dt[90:2 * 90])
time[2 * 90:] = 180 + time[2 * 90 - 1] + np.cumsum(dt[2 * 90:])
y = mu + cm.carma_process(time, sigsqr, ar_roots, ma_coefs=ma_coefs)
ysig = np.ones(ny) * y.std() / 5.0
ysig = np.ones(ny) * 1e-6
y0 = y.copy()
y += ysig * np.random.standard_normal(ny)
data = (time, y, ysig)
# car5_model = cm.CarmaMCMC(time, y, ysig, 5, 5000, doZcarma=True, nburnin=1000)
# zcar = car5_model.RunMCMC()
froot = base_dir + 'car5_irregular_'
plt.subplot(111)
for i in xrange(3):
plt.plot(time[90 * i:90 * (i + 1)], y0[90 * i:90 * (i + 1)], 'k', lw=2)
plt.plot(time[90 * i:90 * (i + 1)], y[90 * i:90 * (i + 1)], 'bo')
plt.xlim(time.min(), time.max())
plt.xlabel('Time')
plt.ylabel('CAR(5) Process')
plt.savefig(froot + 'tseries.eps')
ar_coef = np.poly(ar_roots)
pool = mp.Pool(mp.cpu_count() - 1)
args = []
maxp = 9
for p in xrange(1, maxp + 1):
for q in xrange(p):
args.append((p, q, data))
print "Running the CARMA MCMC samplers..."
carma_run = pool.map(run_carma_sampler, args)
dic = []
pmodels = []
qmodels = []
for crun in carma_run:
dic.append(crun.DIC())
pmodels.append(crun.p)
qmodels.append(crun.q)
plt.clf()
plt.subplot(111)
for i in xrange(qmodels.max() + 1):
plt.plot(pmodels[qmodels == i],
dic[qmodels == i],
label='q=' + str(i),
lw=2)
plt.legend()
plt.xlabel('p')
plt.ylabel('DIC')
print "DIC", dic
plt.savefig(froot + 'dic.eps')
carma = carma_run[np.argmin(dic)]
print "order of best model is", carma.p
plt.clf()
ax = plt.subplot(111)
print 'Getting bounds on PSD...'
psd_low, psd_hi, psd_mid, frequencies = carma.plot_power_spectrum(
percentile=95.0, sp=ax, doShow=False, color='SkyBlue')
psd = cm.power_spectrum(frequencies,
np.sqrt(sigsqr),
ar_coef,
ma_coefs=ma_coefs)
ax.loglog(frequencies, psd_mid, '--b', lw=2)
ax.loglog(frequencies, psd, 'k', lw=2)
noise_level = np.mean(ysig**2) * dt.min()
ax.loglog(frequencies,
np.ones(frequencies.size) * noise_level,
color='grey',
lw=2)
ax.set_ylim(bottom=noise_level / 100.0)
ax.annotate("Measurement Noise Level",
(3.0 * ax.get_xlim()[0], noise_level / 2.5))
ax.set_xlabel('Frequency')
ax.set_ylabel('Power Spectral Density')
plt.savefig(froot + 'psd.eps')
print 'Assessing the fit quality...'
carma.assess_fit(doShow=False)
plt.savefig(froot + 'fit_quality.eps')
# compute the marginal mean and variance of the predicted values
nplot = 1028
time_predict = np.linspace(time.min(), 1.25 * time.max(), nplot)
time_predict = time_predict[1:]
predicted_mean, predicted_var = carma.predict_lightcurve(time_predict,
bestfit='map')
predicted_low = predicted_mean - np.sqrt(predicted_var)
predicted_high = predicted_mean + np.sqrt(predicted_var)
# plot the time series and the marginal 1-sigma error bands
plt.clf()
plt.subplot(111)
plt.fill_between(time_predict, predicted_low, predicted_high, color='cyan')
plt.plot(time_predict, predicted_mean, '-b', label='Predicted')
plt.plot(time[0:90], y0[0:90], 'k', lw=2, label='True')
plt.plot(time[0:90], y[0:90], 'bo')
for i in xrange(1, 3):
plt.plot(time[90 * i:90 * (i + 1)], y0[90 * i:90 * (i + 1)], 'k', lw=2)
plt.plot(time[90 * i:90 * (i + 1)], y[90 * i:90 * (i + 1)], 'bo')
plt.xlabel('Time')
plt.ylabel('CAR(5) Process')
plt.xlim(time_predict.min(), time_predict.max())
plt.legend()
plt.savefig(froot + 'interp.eps')
def do_simulated_regular():
# first generate some data assuming a CARMA(5,3) process on a uniform grid
sigmay = 2.3 # dispersion in lightcurve
p = 5 # order of AR polynomial
qpo_width = np.array([1.0/100.0, 1.0/100.0, 1.0/500.0])
qpo_cent = np.array([1.0/5.0, 1.0/50.0])
ar_roots = cm.get_ar_roots(qpo_width, qpo_cent)
ma_coefs = np.zeros(p)
ma_coefs[0] = 1.0
ma_coefs[1] = 4.5
ma_coefs[2] = 1.25
sigsqr = sigmay ** 2 / cm.carma_variance(1.0, ar_roots, ma_coefs=ma_coefs)
ny = 1028
time = np.arange(0.0, ny)
y0 = cm.carma_process(time, sigsqr, ar_roots, ma_coefs=ma_coefs)
ysig = np.ones(ny) * np.sqrt(1e-2)
# ysig = np.ones(ny) * np.sqrt(1e-6)
y = y0 + ysig * np.random.standard_normal(ny)
froot = base_dir + 'plots/car5_regular_'
plt.subplot(111)
plt.plot(time, y0, 'k-')
plt.plot(time, y, '.')
plt.xlim(time.min(), time.max())
plt.xlabel('Time')
plt.ylabel('CARMA(5,3) Process')
plt.savefig(froot + 'tseries.eps')
ar_coef = np.poly(ar_roots)
print 'Getting maximum-likelihood estimates...'
carma_model = cm.CarmaModel(time, y, ysig)
pmax = 7
MAP, pqlist, AIC_list = carma_model.choose_order(pmax, njobs=-1)
# convert lists to a numpy arrays, easier to manipulate
pqarray = np.array(pqlist)
pmodels = pqarray[:, 0]
qmodels = pqarray[:, 1]
AICc = np.array(AIC_list)
plt.clf()
plt.subplot(111)
for i in xrange(qmodels.max()+1):
plt.plot(pmodels[qmodels == i], AICc[qmodels == i], 's-', label='q=' + str(i), lw=2)
plt.legend()
plt.xlabel('p')
plt.ylabel('AICc(p,q)')
plt.xlim(0, pmodels.max() + 1)
plt.savefig(froot + 'aic.eps')
plt.close()
nsamples = 50000
carma_sample = carma_model.run_mcmc(nsamples)
carma_sample.add_mle(MAP)
plt.subplot(111)
pgram, freq = plt.psd(y)
plt.clf()
ax = plt.subplot(111)
print 'Getting bounds on PSD...'
psd_low, psd_hi, psd_mid, frequencies = carma_sample.plot_power_spectrum(percentile=95.0, sp=ax, doShow=False,
color='SkyBlue', nsamples=5000)
psd_mle = cm.power_spectrum(frequencies, carma_sample.mle['sigma'], carma_sample.mle['ar_coefs'],
ma_coefs=np.atleast_1d(carma_sample.mle['ma_coefs']))
ax.loglog(freq / 2.0, pgram, 'o', color='DarkOrange')
psd = cm.power_spectrum(frequencies, np.sqrt(sigsqr), ar_coef, ma_coefs=ma_coefs)
ax.loglog(frequencies, psd, 'k', lw=2)
ax.loglog(frequencies, psd_mle, '--b', lw=2)
noise_level = 2.0 * np.mean(ysig ** 2)
ax.loglog(frequencies, np.ones(frequencies.size) * noise_level, color='grey', lw=2)
ax.set_ylim(bottom=noise_level / 100.0)
ax.annotate("Measurement Noise Level", (3.0 * ax.get_xlim()[0], noise_level / 2.5))
ax.set_xlabel('Frequency')
ax.set_ylabel('Power Spectral Density')
plt.savefig(froot + 'psd.eps')
print 'Assessing the fit quality...'
carma_sample.assess_fit(doShow=False)
plt.savefig(froot + 'fit_quality.eps')
pfile = open(data_dir + froot + '.pickle', 'wb')
cPickle.dump(carma_sample, pfile)
pfile.close()
__author__ = 'brandonkelly'
import numpy as np
import matplotlib.pyplot as plt
from os import environ
from scipy.misc import comb
import carmcmc
# true values
p = 5 # order of AR polynomial
sigmay = 2.3
qpo_width = np.array([1.0/100.0, 1.0/100.0, 1.0/500.0])
qpo_cent = np.array([1.0/5.0, 1.0/50.0])
ar_roots = carmcmc.get_ar_roots(qpo_width, qpo_cent)
# calculate moving average coefficients under z-transform of Belcher et al. (1994)
kappa = 3.0
ma_coefs = comb(p-1 * np.ones(p), np.arange(p)) / kappa ** np.arange(p)
sigsqr = sigmay ** 2 / carmcmc.carma_variance(1.0, ar_roots, ma_coefs=ma_coefs)
data_dir = environ['HOME'] + '/Projects/carma_pack/cpp_tests/data/'
fname = data_dir + 'zcarma5_mcmc.dat'
data = np.genfromtxt(data_dir + 'zcarma5_test.dat')
Zcarma = carmcmc.ZCarmaSample(data[:, 0], data[:, 1], data[:, 2], filename=fname)
Zcarma.assess_fit()
print "True value of log10(kappa) is: ", np.log10(kappa)
plt.hist(Zcarma.get_samples('kappa'), bins=100)
plt.show()
def do_simulated_regular():
# first generate some data assuming a CAR(5) process on a uniform grid
sigmay = 2.3 # dispersion in lightcurve
p = 5 # order of AR polynomial
qpo_width = np.array([1.0/100.0, 1.0/100.0, 1.0/500.0])
qpo_cent = np.array([1.0/5.0, 1.0/50.0])
ar_roots = cm.get_ar_roots(qpo_width, qpo_cent)
ma_coefs = np.zeros(p)
ma_coefs[0] = 1.0
ma_coefs[1] = 4.5
ma_coefs[2] = 1.25
sigsqr = sigmay ** 2 / cm.carma_variance(1.0, ar_roots, ma_coefs=ma_coefs)
ny = 1028
time = np.arange(0.0, ny)
y0 = cm.carma_process(time, sigsqr, ar_roots, ma_coefs=ma_coefs)
ysig = np.ones(ny) * np.sqrt(1e-3 / 2.0)
y = y0 + ysig * np.random.standard_normal(ny)
data = (time, y, ysig)
froot = base_dir + 'car5_regular_'
plt.subplot(111)
plt.plot(time, y0, 'k-')
plt.plot(time, y, '.')
plt.xlim(time.min(), time.max())
plt.xlabel('Time')
plt.ylabel('CAR(5) Process')
plt.savefig(froot + 'tseries.eps')
ar_coef = np.poly(ar_roots)
pool = mp.Pool(mp.cpu_count()-1)
args = []
maxp = 8
for p in xrange(1, maxp + 1):
for q in xrange(p):
args.append(((p, q), data))
print "Running the CARMA MCMC samplers..."
carma_run = pool.map(run_carma_sampler, args)
dic = []
pmodels = []
qmodels = []
for crun in carma_run:
dic.append(crun.DIC())
pmodels.append(crun.p)
qmodels.append(crun.q)
pmodels = np.array(pmodels)
qmodels = np.array(qmodels)
dic = np.array(dic)
plt.clf()
plt.subplot(111)
for i in xrange(qmodels.max()+1):
plt.plot(pmodels[qmodels == i], dic[qmodels == i], label='q=' + str(i), lw=2)
plt.legend()
plt.xlabel('p')
plt.ylabel('DIC')
print "DIC", dic
plt.savefig(froot + 'dic.eps')
carma = carma_run[np.argmin(dic)]
print "order of best model is", carma.p
plt.subplot(111)
pgram, freq = plt.psd(y)
plt.clf()
ax = plt.subplot(111)
print 'Getting bounds on PSD...'
psd_low, psd_hi, psd_mid, frequencies = carma.plot_power_spectrum(percentile=95.0, sp=ax, doShow=False,
color='SkyBlue')
ax.loglog(freq / 2.0, pgram, 'o', color='DarkOrange')
psd = cm.power_spectrum(frequencies, np.sqrt(sigsqr), ar_coef, ma_coefs=ma_coefs)
ax.loglog(frequencies, psd, 'k', lw=2)
ax.loglog(frequencies, psd_mid, '--b', lw=2)
noise_level = np.mean(ysig ** 2)
ax.loglog(frequencies, np.ones(frequencies.size) * noise_level, color='grey', lw=2)
ax.set_ylim(bottom=noise_level / 100.0)
ax.annotate("Measurement Noise Level", (3.0 * ax.get_xlim()[0], noise_level / 2.5))
ax.set_xlabel('Frequency')
ax.set_ylabel('Power Spectral Density')
plt.savefig(froot + 'psd.eps')
print 'Assessing the fit quality...'
carma.assess_fit(doShow=False)
plt.savefig(froot + 'fit_quality.eps')
def do_simulated_irregular():
# first generate some data assuming a CAR(5) process on a uniform grid
sigmay = 2.3 # dispersion in lightcurve
p = 5 # order of AR polynomial
mu = 17.0 # mean of time series
qpo_width = np.array([1.0/100.0, 1.0/300.0, 1.0/200.0])
qpo_cent = np.array([1.0/5.0, 1.0/25.0])
ar_roots = cm.get_ar_roots(qpo_width, qpo_cent)
ma_coefs = np.zeros(p)
ma_coefs[0] = 1.0
ma_coefs[1] = 4.5
ma_coefs[2] = 1.25
sigsqr = sigmay ** 2 / cm.carma_variance(1.0, ar_roots, ma_coefs=ma_coefs)
ny = 270
time = np.empty(ny)
dt = np.random.uniform(1.0, 3.0, ny)
time[0:90] = np.cumsum(dt[0:90])
time[90:2*90] = 180 + time[90-1] + np.cumsum(dt[90:2*90])
time[2*90:] = 180 + time[2*90-1] + np.cumsum(dt[2*90:])
y = mu + cm.carma_process(time, sigsqr, ar_roots, ma_coefs=ma_coefs)
ysig = np.ones(ny) * y.std() / 5.0
ysig = np.ones(ny) * 1e-6
y0 = y.copy()
y += ysig * np.random.standard_normal(ny)
data = (time, y, ysig)
# car5_model = cm.CarmaMCMC(time, y, ysig, 5, 5000, doZcarma=True, nburnin=1000)
# zcar = car5_model.RunMCMC()
froot = base_dir + 'car5_irregular_'
plt.subplot(111)
for i in xrange(3):
plt.plot(time[90*i:90*(i+1)], y0[90*i:90*(i+1)], 'k', lw=2)
plt.plot(time[90*i:90*(i+1)], y[90*i:90*(i+1)], 'bo')
plt.xlim(time.min(), time.max())
plt.xlabel('Time')
plt.ylabel('CAR(5) Process')
plt.savefig(froot + 'tseries.eps')
ar_coef = np.poly(ar_roots)
pool = mp.Pool(mp.cpu_count()-1)
args = []
maxp = 9
for p in xrange(1, maxp + 1):
for q in xrange(p):
args.append((p, q, data))
print "Running the CARMA MCMC samplers..."
carma_run = pool.map(run_carma_sampler, args)
dic = []
pmodels = []
qmodels = []
for crun in carma_run:
dic.append(crun.DIC())
pmodels.append(crun.p)
qmodels.append(crun.q)
plt.clf()
plt.subplot(111)
for i in xrange(qmodels.max()+1):
plt.plot(pmodels[qmodels == i], dic[qmodels == i], label='q=' + str(i), lw=2)
plt.legend()
plt.xlabel('p')
plt.ylabel('DIC')
print "DIC", dic
plt.savefig(froot + 'dic.eps')
carma = carma_run[np.argmin(dic)]
print "order of best model is", carma.p
plt.clf()
ax = plt.subplot(111)
print 'Getting bounds on PSD...'
psd_low, psd_hi, psd_mid, frequencies = carma.plot_power_spectrum(percentile=95.0, sp=ax, doShow=False,
color='SkyBlue')
psd = cm.power_spectrum(frequencies, np.sqrt(sigsqr), ar_coef, ma_coefs=ma_coefs)
ax.loglog(frequencies, psd_mid, '--b', lw=2)
ax.loglog(frequencies, psd, 'k', lw=2)
noise_level = np.mean(ysig ** 2) * dt.min()
ax.loglog(frequencies, np.ones(frequencies.size) * noise_level, color='grey', lw=2)
ax.set_ylim(bottom=noise_level / 100.0)
ax.annotate("Measurement Noise Level", (3.0 * ax.get_xlim()[0], noise_level / 2.5))
ax.set_xlabel('Frequency')
ax.set_ylabel('Power Spectral Density')
plt.savefig(froot + 'psd.eps')
print 'Assessing the fit quality...'
carma.assess_fit(doShow=False)
plt.savefig(froot + 'fit_quality.eps')
# compute the marginal mean and variance of the predicted values
nplot = 1028
time_predict = np.linspace(time.min(), 1.25 * time.max(), nplot)
time_predict = time_predict[1:]
predicted_mean, predicted_var = carma.predict_lightcurve(time_predict, bestfit='map')
predicted_low = predicted_mean - np.sqrt(predicted_var)
predicted_high = predicted_mean + np.sqrt(predicted_var)
# plot the time series and the marginal 1-sigma error bands
plt.clf()
plt.subplot(111)
plt.fill_between(time_predict, predicted_low, predicted_high, color='cyan')
plt.plot(time_predict, predicted_mean, '-b', label='Predicted')
plt.plot(time[0:90], y0[0:90], 'k', lw=2, label='True')
plt.plot(time[0:90], y[0:90], 'bo')
for i in xrange(1, 3):
plt.plot(time[90*i:90*(i+1)], y0[90*i:90*(i+1)], 'k', lw=2)
plt.plot(time[90*i:90*(i+1)], y[90*i:90*(i+1)], 'bo')
plt.xlabel('Time')
plt.ylabel('CAR(5) Process')
plt.xlim(time_predict.min(), time_predict.max())
plt.legend()
plt.savefig(froot + 'interp.eps')
__author__ = 'brandonkelly'
import numpy as np
import matplotlib.pyplot as plt
from os import environ
from scipy.misc import comb
import carmcmc
# true values
p = 5 # order of AR polynomial
sigmay = 2.3
qpo_width = np.array([1.0 / 100.0, 1.0 / 100.0, 1.0 / 500.0])
qpo_cent = np.array([1.0 / 5.0, 1.0 / 50.0])
ar_roots = carmcmc.get_ar_roots(qpo_width, qpo_cent)
# calculate moving average coefficients under z-transform of Belcher et al. (1994)
kappa = 3.0
ma_coefs = comb(p - 1 * np.ones(p), np.arange(p)) / kappa**np.arange(p)
sigsqr = sigmay**2 / carmcmc.carma_variance(1.0, ar_roots, ma_coefs=ma_coefs)
data_dir = environ['HOME'] + '/Projects/carma_pack/cpp_tests/data/'
fname = data_dir + 'zcarma5_mcmc.dat'
data = np.genfromtxt(data_dir + 'zcarma5_test.dat')
Zcarma = carmcmc.ZCarmaSample(data[:, 0],
data[:, 1],
data[:, 2],
filename=fname)
Zcarma.assess_fit()
print "True value of log10(kappa) is: ", np.log10(kappa)
