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 get_prediction_interval(self,X=[]):
"""
Chuck out the 95% prediction interval for the data passed
Note that if X is a dataframe it may contain more columns than there are in the original data,
therefore just pull out what we're after
"""
#need to get the idempotent matrix
i_n=numpy.matrix(numpy.ones(X.shape[0]))
n_obs=X.shape[0]
# M_0=numpy.matrix(numpy.eye(n_obs))-numpy.power(n_obs,-1)*i_n*i_n.T
#Z is the X's without the offset
# logging.debug(X.head())
if isinstance(X,pd.core.frame.DataFrame):
#assume its' called alpha
X=X[self.independent_]
df_pred=pd.DataFrame({'upper_pred':numpy.zeros(X.shape[0]),'lower_pred':numpy.zeros(X.shape[0])})
df_pred['y_hat']=self.predict(X)
df_pred['percent_ci']=0.0
alpha=0.05
t_val=stats.t.ppf(1-alpha/2,self.df_resid+1)
for indx in df_pred.index:
# print(df_pred.ix[indx].values[1:])
# logging.debug(self.X_bar)
# logging.debug(X.head())
if "alpha" in self.independent_:
x_0_x_bar=numpy.matrix(X.ix[indx].values[1:]-self.X_bar)
else:
x_0_x_bar=numpy.matrix(X.ix[indx].values-self.X_bar)
# print(numpy.shape(x_0_x_bar))
# print("************")
# logging.debug(self.Z_M_Z)
# logging.debug(x_0_x_bar)
se_e = self.s_y*numpy.sqrt(1 + (1/self.nobs) +
x_0_x_bar*inv(self.Z_M_Z)*x_0_x_bar.T)
df_pred.loc[indx,'upper_pred']=df_pred.loc[indx,'y_hat']+t_val*se_e
df_pred.loc[indx,'lower_pred']=df_pred.loc[indx,'y_hat']-t_val*se_e
df_pred.loc[indx,'percent_ci']=100*2*t_val*se_e/numpy.abs(df_pred.loc[indx,'y_hat'])
return df_pred