def get_confidence_interval_for_mean(self,X=[]):
"""
Calculates the confidence interval for each datapoint, given a model fit
This is the confidence interval of the model, not the prediction interval
"""
if isinstance(X,pd.core.frame.DataFrame):
X=X[self.independent_]
df_results=pd.DataFrame({'y_hat':numpy.zeros(X.shape[0])})
y_hat=self.predict(X)
w=numpy.matrix(X)
# XT_X=numpy.matrix(X).T*\
# numpy.matrix(X)
#print "X_XT"
#print X_XT
# print "w"
# print numpy.shape(w)
# print "XT_T"
# print numpy.shape(XT_X)
#logging.debug(numpy.shape(s_2*inv(XT_X)))
s_c_2=numpy.array(w*numpy.power(self.s_y,2)*inv(self.X_dash_X)*w.T)
#logging.debug("s_c_2: {}".format(s_c_2))
#we only want the diagonal
s_c_2=numpy.diagonal(s_c_2)
#logging.debug("s_c_2 diag: {}".format(s_c_2))
#tau=df_new.apply(lambda x:numpy.matrix(x[est.params.index.values].values),axis=1)
# X_XT*numpy.matrix(x[est.params.index.values].values).T)
# tau=numpy.matrix(df_new[est.params.index.values].values[])*X_XT*\
# numpy.matrix(df_new[est.params.index.values].values).T
#print "tau"
#print numpy.shape(numpy.squeeze(tau))
#95% confidence interval so alpha =0.95
alpha=0.05
t_val=stats.t.ppf(1-alpha/2,self.df_resid+1)
upper=y_hat+t_val*numpy.sqrt(s_c_2)
lower=y_hat-t_val*numpy.sqrt(s_c_2)
# df_orig['s_c_2']=s_c_2
# #df_orig['sigma_tilde']=sigma_tilde
# df_orig['t']=t_val
# df_orig['upper_y_hat']=upper
# df_orig['lower_y_hat']=lower
df=pd.DataFrame({'y_hat':y_hat,'upper_mean':upper,'lower_mean':lower})
return (df)
def fit(self, X, y, n_jobs=1):
"""
y can be series or array
X can be dataframe or ndarry (N datapoints x M features)
"""
self = super(LinModel, self).fit(X, y, n_jobs)
self.nobs=X.shape[0]
self.nparams=X.shape[1]
#remove an extra 1 for the alpha (k-1)
self.df_model=X.shape[1]-1
#(n-k-1) - we always assume an alpha is present
self.df_resid=self.nobs-X.shape[1]-1
#standard error of the regression
y_bar=y.mean()
y_hat=self.predict(X)
self.raw_data=X
self.training=y
# logging.debug(X)
self.fittedvalues=y_hat
#explained sum of squares
SSE=numpy.sum([numpy.power(val-y_bar,2) for val in y_hat])
e=numpy.matrix(y-y_hat).T
self.resid=numpy.ravel(e)
# logging.debug(y_bar)
# logging.debug(y)
SST=numpy.sum([numpy.power(val-y_bar,2) for val in y])
SSR=numpy.sum([numpy.power(x,2) for x in e])
self.ssr=SSR
#print(SSR)
#mean squared error of the residuals (unbiased)
#square root of this is the standard error of the regression
s_2 = SSR / (self.df_resid+1)
self.s_y=numpy.sqrt(s_2)
self.RMSE_pc=metrics.get_RMSE_pc(y,y_hat)
# logging.debug("s_y = {}".format(self.s_y))
#Also get the means of the independent variables
if isinstance(X,pd.core.frame.DataFrame):
#assume its' called alpha
self.X_bar=X[X.columns[X.columns!='alpha']].mean()
Z=numpy.matrix(X[X.columns[X.columns!='alpha']])
else:
#assume its the first column
self.X_bar=numpy.mean(X.values,axis=0)[1:]
Z=numpy.matrix(X[:,1:])
i_n=numpy.matrix(numpy.ones(self.nobs))
M_0=numpy.matrix(numpy.eye(self.nobs))-numpy.power(self.nobs,-1)*i_n*i_n.T
self.Z_M_Z=Z.T*M_0*Z
# #print(numpy.sqrt(numpy.diagonal(sse * numpy.linalg.inv(numpy.dot(X.T, X)))))
# #standard error of estimator bk
X_mat=numpy.matrix(X.values)
#print(X_mat)
self.X_dash_X=X_mat.T*X_mat
# we get nans using this approach so calculate each one separately
# se=numpy.zeros(self.nparams)
# for ii in range(self.nparams):
# se[ii]=numpy.sqrt(X_dash_X[ii,ii]*s_2)
# logging.debug(s_2)
# logging.debug(numpy.linalg.inv(X_dash_X))
# #se = numpy.sqrt(numpy.diagonal(s_2 * numpy.linalg.inv(numpy.matrix(X.T, X))))
se=numpy.sqrt(numpy.diagonal(s_2 * numpy.linalg.inv(self.X_dash_X)))
self.se= se
self.t = self.coef_ / se
self.p = 2 * (1 - stats.t.cdf(numpy.abs(self.t), y.shape[0] - X.shape[1]))
self.independent_ = []
if isinstance(X,pd.DataFrame):
self.independent_=X.columns.values
#t_val=stats.t.ppf(1-0.05/2,y.shape[0] - X.shape[1])
#R2 - 1-SSR/SST
self.rsquared=1-SSR/SST
#adjusted r2
#1-[(1-R2)(n-1)/(n-k-1)]
self.rsquared_adj=1-(((1-self.rsquared)*(self.nobs-1))/self.df_resid)
#f-value
f_value=(self.rsquared/(self.df_model))/\
((1-self.rsquared)/(self.df_resid+1))
self.f_stat=f_value
self.f_pvalue=stats.f.pdf(f_value,self.df_model,self.df_resid+1)