def txest_vcomp_1(self):
"""
Fit the same model using constrained random effects and variance components.
"""
np.random.seed(4279)
exog = np.random.normal(size=(400, 1))
exog_re = np.random.normal(size=(400, 2))
groups = np.kron(np.arange(100), np.ones(4))
slopes = np.random.normal(size=(100, 2))
slopes[:, 1] *= 2
slopes = np.kron(slopes, np.ones((4, 1))) * exog_re
errors = slopes.sum(1) + np.random.normal(size=400)
endog = exog.sum(1) + errors
free = MixedLMParams(1, 2, 0)
free.fe_params = np.ones(1)
free.cov_re = np.eye(2)
free.vcomp = np.zeros(0)
model1 = MixedLM(endog, exog, groups, exog_re=exog_re)
result1 = model1.fit(free=free)
exog_vc = {"a": {}, "b": {}}
for k,group in enumerate(model1.group_labels):
ix = model1.row_indices[group]
exog_vc["a"][group] = exog_re[ix, 0:1]
exog_vc["b"][group] = exog_re[ix, 1:2]
model2 = MixedLM(endog, exog, groups, exog_vc=exog_vc)
result2 = model2.fit()
result2.summary()
assert_allclose(result1.fe_params, result2.fe_params, atol=1e-4)
assert_allclose(np.diag(result1.cov_re), result2.vcomp, atol=1e-2, rtol=1e-4)
assert_allclose(result1.bse[[0, 1, 3]], result2.bse, atol=1e-2, rtol=1e-2)
def do1(reml, irf, ds_ix):
# No need to check independent random effects when there is
# only one of them.
if irf and ds_ix < 6:
return
irfs = "irf" if irf else "drf"
meth = "reml" if reml else "ml"
rslt = R_Results(meth, irfs, ds_ix)
# Fit the model
md = MixedLM(rslt.endog, rslt.exog_fe, rslt.groups, rslt.exog_re)
if not irf: # Free random effects covariance
if np.any(np.diag(rslt.cov_re_r) < 1e-5):
with warnings.catch_warnings():
warnings.simplefilter("ignore")
mdf = md.fit(gtol=1e-7, reml=reml)
else:
mdf = md.fit(gtol=1e-7, reml=reml)
else: # Independent random effects
k_fe = rslt.exog_fe.shape[1]
k_re = rslt.exog_re.shape[1]
free = MixedLMParams(k_fe, k_re, 0)
free.fe_params = np.ones(k_fe)
free.cov_re = np.eye(k_re)
free.vcomp = np.array([])
if np.any(np.diag(rslt.cov_re_r) < 1e-5):
with warnings.catch_warnings():
warnings.simplefilter("ignore")
mdf = md.fit(reml=reml, gtol=1e-7, free=free)
else:
mdf = md.fit(reml=reml, gtol=1e-7, free=free)
assert_almost_equal(mdf.fe_params, rslt.coef, decimal=4)
assert_almost_equal(mdf.cov_re, rslt.cov_re_r, decimal=4)
assert_almost_equal(mdf.scale, rslt.scale_r, decimal=4)
k_fe = md.k_fe
assert_almost_equal(rslt.vcov_r,
mdf.cov_params()[0:k_fe, 0:k_fe],
decimal=3)
assert_almost_equal(mdf.llf, rslt.loglike[0], decimal=2)
# Not supported in R except for independent random effects
if not irf:
assert_almost_equal(mdf.random_effects[0],
rslt.ranef_postmean,
decimal=3)
assert_almost_equal(mdf.random_effects_cov[0],
rslt.ranef_condvar,
decimal=3)
def do1(reml, irf, ds_ix):
# No need to check independent random effects when there is
# only one of them.
if irf and ds_ix < 6:
return
irfs = "irf" if irf else "drf"
meth = "reml" if reml else "ml"
rslt = R_Results(meth, irfs, ds_ix)
# Fit the model
md = MixedLM(rslt.endog, rslt.exog_fe, rslt.groups,
rslt.exog_re)
if not irf: # Free random effects covariance
if np.any(np.diag(rslt.cov_re_r) < 1e-5):
with warnings.catch_warnings():
warnings.simplefilter("ignore")
mdf = md.fit(gtol=1e-7, reml=reml)
else:
mdf = md.fit(gtol=1e-7, reml=reml)
else: # Independent random effects
k_fe = rslt.exog_fe.shape[1]
k_re = rslt.exog_re.shape[1]
free = MixedLMParams(k_fe, k_re, 0)
free.fe_params = np.ones(k_fe)
free.cov_re = np.eye(k_re)
free.vcomp = np.array([])
if np.any(np.diag(rslt.cov_re_r) < 1e-5):
with warnings.catch_warnings():
warnings.simplefilter("ignore")
mdf = md.fit(reml=reml, gtol=1e-7, free=free)
else:
mdf = md.fit(reml=reml, gtol=1e-7, free=free)
assert_almost_equal(mdf.fe_params, rslt.coef, decimal=4)
assert_almost_equal(mdf.cov_re, rslt.cov_re_r, decimal=4)
assert_almost_equal(mdf.scale, rslt.scale_r, decimal=4)
k_fe = md.k_fe
assert_almost_equal(rslt.vcov_r, mdf.cov_params()[0:k_fe, 0:k_fe],
decimal=3)
assert_almost_equal(mdf.llf, rslt.loglike[0], decimal=2)
# Not supported in R except for independent random effects
if not irf:
assert_almost_equal(mdf.random_effects[0], rslt.ranef_postmean,
decimal=3)
assert_almost_equal(mdf.random_effects_cov[0],
rslt.ranef_condvar,
decimal=3)
def test_vcomp_1(self):
"""
Fit the same model using constrained random effects and
variance components.
"""
import scipy
v = scipy.__version__.split(".")[1]
v = int(v)
if v < 16:
return
np.random.seed(4279)
exog = np.random.normal(size=(400, 1))
exog_re = np.random.normal(size=(400, 2))
groups = np.kron(np.arange(100), np.ones(4))
slopes = np.random.normal(size=(100, 2))
slopes[:, 1] *= 2
slopes = np.kron(slopes, np.ones((4, 1))) * exog_re
errors = slopes.sum(1) + np.random.normal(size=400)
endog = exog.sum(1) + errors
free = MixedLMParams(1, 2, 0)
free.fe_params = np.ones(1)
free.cov_re = np.eye(2)
free.vcomp = np.zeros(0)
model1 = MixedLM(endog, exog, groups, exog_re=exog_re)
result1 = model1.fit(free=free)
exog_vc = {"a": {}, "b": {}}
for k, group in enumerate(model1.group_labels):
ix = model1.row_indices[group]
exog_vc["a"][group] = exog_re[ix, 0:1]
exog_vc["b"][group] = exog_re[ix, 1:2]
model2 = MixedLM(endog, exog, groups, exog_vc=exog_vc)
result2 = model2.fit()
result2.summary()
assert_allclose(result1.fe_params, result2.fe_params, atol=1e-4)
assert_allclose(np.diag(result1.cov_re),
result2.vcomp,
atol=1e-2,
rtol=1e-4)
assert_allclose(result1.bse[[0, 1, 3]],
result2.bse,
atol=1e-2,
rtol=1e-2)
def f(x):
params = MixedLMParams.from_packed(x,
model.k_fe,
model.k_re,
model.use_sqrt,
has_fe=has_fe)
return -model.loglike(params, profile_fe=profile_fe)
def __fit__(correctors,
correctors_re,
groups,
predictors,
observations,
sample_weight=None,
n_jobs=-1,
*args,
**kwargs):
ncols = correctors.shape[1]
dims = (correctors.shape[0], ncols + predictors.shape[1])
xdata = np.zeros(dims)
xdata[:, :ncols] = correctors.view()
xdata[:, ncols:] = predictors.view()
M = observations.shape[1]
K = correctors.shape[1]
params = np.empty((K, M), dtype=object)
for it_m in range(M):
free = MixedLMParams.from_components(
fe_params=np.ones(xdata.shape[1]),
cov_re=np.eye(correctors_re.shape[1]))
model = MixedLM(endog=observations,
exog=xdata,
groups=groups,
exog_re=correctors_re)
results = model.fit(free=free)
params[..., it_m] = free
return (params[:ncols], params[ncols:])
def do1(self, reml, irf, ds_ix):
# No need to check independent random effects when there is
# only one of them.
if irf and ds_ix < 6:
return
irfs = "irf" if irf else "drf"
meth = "reml" if reml else "ml"
rslt = R_Results(meth, irfs, ds_ix)
# Fit the model
md = MixedLM(rslt.endog, rslt.exog_fe, rslt.groups,
rslt.exog_re)
if not irf: # Free random effects covariance
mdf = md.fit(gtol=1e-7, reml=reml)
else: # Independent random effects
k_fe = rslt.exog_fe.shape[1]
k_re = rslt.exog_re.shape[1]
free = MixedLMParams(k_fe, k_re)
free.set_fe_params(np.ones(k_fe))
free.set_cov_re(np.eye(k_re))
mdf = md.fit(reml=reml, gtol=1e-7, free=free)
assert_almost_equal(mdf.fe_params, rslt.coef, decimal=4)
assert_almost_equal(mdf.cov_re, rslt.cov_re_r, decimal=4)
assert_almost_equal(mdf.scale, rslt.scale_r, decimal=4)
pf = rslt.exog_fe.shape[1]
assert_almost_equal(rslt.vcov_r, mdf.cov_params()[0:pf,0:pf],
decimal=3)
assert_almost_equal(mdf.likeval, rslt.loglike[0], decimal=2)
# Not supported in R
if not irf:
assert_almost_equal(mdf.ranef()[0], rslt.ranef_postmean,
decimal=3)
assert_almost_equal(mdf.ranef_cov()[0],
rslt.ranef_condvar,
decimal=3)
def test_vcomp_1(self):
# Fit the same model using constrained random effects and
# variance components.
np.random.seed(4279)
exog = np.random.normal(size=(400, 1))
exog_re = np.random.normal(size=(400, 2))
groups = np.kron(np.arange(100), np.ones(4))
slopes = np.random.normal(size=(100, 2))
slopes[:, 1] *= 2
slopes = np.kron(slopes, np.ones((4, 1))) * exog_re
errors = slopes.sum(1) + np.random.normal(size=400)
endog = exog.sum(1) + errors
free = MixedLMParams(1, 2, 0)
free.fe_params = np.ones(1)
free.cov_re = np.eye(2)
free.vcomp = np.zeros(0)
model1 = MixedLM(endog, exog, groups, exog_re=exog_re)
result1 = model1.fit(free=free)
exog_vc = {"a": {}, "b": {}}
for k, group in enumerate(model1.group_labels):
ix = model1.row_indices[group]
exog_vc["a"][group] = exog_re[ix, 0:1]
exog_vc["b"][group] = exog_re[ix, 1:2]
with pytest.warns(UserWarning, match="Using deprecated variance"):
model2 = MixedLM(endog, exog, groups, exog_vc=exog_vc)
result2 = model2.fit()
result2.summary()
assert_allclose(result1.fe_params, result2.fe_params, atol=1e-4)
assert_allclose(np.diag(result1.cov_re),
result2.vcomp,
atol=1e-2,
rtol=1e-4)
assert_allclose(result1.bse[[0, 1, 3]],
result2.bse,
atol=1e-2,
rtol=1e-2)
def do1(self, reml, irf, ds_ix):
# No need to check independent random effects when there is
# only one of them.
if irf and ds_ix < 6:
return
irfs = "irf" if irf else "drf"
meth = "reml" if reml else "ml"
rslt = R_Results(meth, irfs, ds_ix)
# Fit the model
md = MixedLM(rslt.endog, rslt.exog_fe, rslt.groups, rslt.exog_re)
if not irf: # Free random effects covariance
mdf = md.fit(gtol=1e-7, reml=reml)
else: # Independent random effects
k_fe = rslt.exog_fe.shape[1]
k_re = rslt.exog_re.shape[1]
free = MixedLMParams(k_fe, k_re)
free.set_fe_params(np.ones(k_fe))
free.set_cov_re(np.eye(k_re))
mdf = md.fit(reml=reml, gtol=1e-7, free=free)
assert_almost_equal(mdf.fe_params, rslt.coef, decimal=4)
assert_almost_equal(mdf.cov_re, rslt.cov_re_r, decimal=4)
assert_almost_equal(mdf.scale, rslt.scale_r, decimal=4)
pf = rslt.exog_fe.shape[1]
assert_almost_equal(rslt.vcov_r,
mdf.cov_params()[0:pf, 0:pf],
decimal=3)
assert_almost_equal(mdf.llf, rslt.loglike[0], decimal=2)
# Not supported in R
if not irf:
assert_almost_equal(mdf.random_effects.ix[0],
rslt.ranef_postmean,
decimal=3)
assert_almost_equal(mdf.random_effects_cov[0],
rslt.ranef_condvar,
decimal=3)
def test_compare_numdiff(self):
n_grp = 200
grpsize = 5
k_fe = 3
k_re = 2
for use_sqrt in False, True:
for reml in False, True:
for profile_fe in False, True:
np.random.seed(3558)
exog_fe = np.random.normal(size=(n_grp * grpsize, k_fe))
exog_re = np.random.normal(size=(n_grp * grpsize, k_re))
exog_re[:, 0] = 1
exog_vc = np.random.normal(size=(n_grp * grpsize, 3))
slopes = np.random.normal(size=(n_grp, k_re))
slopes[:, -1] *= 2
slopes = np.kron(slopes, np.ones((grpsize, 1)))
slopes_vc = np.random.normal(size=(n_grp, 3))
slopes_vc = np.kron(slopes_vc, np.ones((grpsize, 1)))
slopes_vc[:, -1] *= 2
re_values = (slopes * exog_re).sum(1)
vc_values = (slopes_vc * exog_vc).sum(1)
err = np.random.normal(size=n_grp * grpsize)
endog = exog_fe.sum(1) + re_values + vc_values + err
groups = np.kron(range(n_grp), np.ones(grpsize))
vc = {"a": {}, "b": {}}
for i in range(n_grp):
ix = np.flatnonzero(groups == i)
vc["a"][i] = exog_vc[ix, 0:2]
vc["b"][i] = exog_vc[ix, 2:3]
model = MixedLM(endog, exog_fe, groups, exog_re, exog_vc=vc, use_sqrt=use_sqrt)
rslt = model.fit(reml=reml)
loglike = loglike_function(model, profile_fe=profile_fe, has_fe=not profile_fe)
# Test the score at several points.
for kr in range(5):
fe_params = np.random.normal(size=k_fe)
cov_re = np.random.normal(size=(k_re, k_re))
cov_re = np.dot(cov_re.T, cov_re)
vcomp = np.random.normal(size=2) ** 2
params = MixedLMParams.from_components(fe_params, cov_re=cov_re, vcomp=vcomp)
params_vec = params.get_packed(has_fe=not profile_fe, use_sqrt=use_sqrt)
# Check scores
gr = -model.score(params, profile_fe=profile_fe)
ngr = nd.approx_fprime(params_vec, loglike)
assert_allclose(gr, ngr, rtol=1e-3)
# Check Hessian matrices at the MLE (we don't have
# the profile Hessian matrix and we don't care
# about the Hessian for the square root
# transformed parameter).
if (profile_fe is False) and (use_sqrt is False):
hess = -model.hessian(rslt.params_object)
params_vec = rslt.params_object.get_packed(use_sqrt=False, has_fe=True)
loglike_h = loglike_function(model, profile_fe=False, has_fe=True)
nhess = nd.approx_hess(params_vec, loglike_h)
assert_allclose(hess, nhess, rtol=1e-3)
def f(x):
params = MixedLMParams.from_packed(x, model.k_fe, model.k_re, model.use_sqrt, has_fe=has_fe)
return -model.loglike(params, profile_fe=profile_fe)
def test_compare_numdiff(self):
import statsmodels.tools.numdiff as nd
n_grp = 200
grpsize = 5
k_fe = 3
k_re = 2
for jl in 0, 1:
for reml in False, True:
for cov_pen_wt in 0, 10:
cov_pen = penalties.PSD(cov_pen_wt)
np.random.seed(3558)
exog_fe = np.random.normal(size=(n_grp * grpsize, k_fe))
exog_re = np.random.normal(size=(n_grp * grpsize, k_re))
exog_re[:, 0] = 1
slopes = np.random.normal(size=(n_grp, k_re))
slopes = np.kron(slopes, np.ones((grpsize, 1)))
re_values = (slopes * exog_re).sum(1)
err = np.random.normal(size=n_grp * grpsize)
endog = exog_fe.sum(1) + re_values + err
groups = np.kron(range(n_grp), np.ones(grpsize))
if jl == 0:
md = MixedLM(endog, exog_fe, groups, exog_re)
score = lambda x: -md.score_sqrt(x)
hessian = lambda x: -md.hessian_sqrt(x)
else:
md = MixedLM(endog,
exog_fe,
groups,
exog_re,
use_sqrt=False)
score = lambda x: -md.score_full(x)
hessian = lambda x: -md.hessian_full(x)
md.reml = reml
md.cov_pen = cov_pen
loglike = lambda x: -md.loglike(x)
rslt = md.fit()
# Test the score at several points.
for kr in range(5):
fe_params = np.random.normal(size=k_fe)
cov_re = np.random.normal(size=(k_re, k_re))
cov_re = np.dot(cov_re.T, cov_re)
params = MixedLMParams.from_components(
fe_params, cov_re)
if jl == 0:
params_vec = params.get_packed()
else:
params_vec = params.get_packed(use_sqrt=False)
# Check scores
gr = score(params)
ngr = nd.approx_fprime(params_vec, loglike)
assert_allclose(gr, ngr, rtol=1e-2)
# Hessian matrices don't agree well away from
# the MLE.
#if cov_pen_wt == 0:
# hess = hessian(params)
# nhess = nd.approx_hess(params_vec, loglike)
# assert_allclose(hess, nhess, rtol=1e-2)
# Check Hessian matrices at the MLE.
if cov_pen_wt == 0:
hess = hessian(rslt.params_object)
params_vec = rslt.params_object.get_packed()
nhess = nd.approx_hess(params_vec, loglike)
assert_allclose(hess, nhess, rtol=1e-2)
def test_compare_numdiff(self, use_sqrt, reml, profile_fe):
n_grp = 200
grpsize = 5
k_fe = 3
k_re = 2
np.random.seed(3558)
exog_fe = np.random.normal(size=(n_grp * grpsize, k_fe))
exog_re = np.random.normal(size=(n_grp * grpsize, k_re))
exog_re[:, 0] = 1
exog_vc = np.random.normal(size=(n_grp * grpsize, 3))
slopes = np.random.normal(size=(n_grp, k_re))
slopes[:, -1] *= 2
slopes = np.kron(slopes, np.ones((grpsize, 1)))
slopes_vc = np.random.normal(size=(n_grp, 3))
slopes_vc = np.kron(slopes_vc, np.ones((grpsize, 1)))
slopes_vc[:, -1] *= 2
re_values = (slopes * exog_re).sum(1)
vc_values = (slopes_vc * exog_vc).sum(1)
err = np.random.normal(size=n_grp * grpsize)
endog = exog_fe.sum(1) + re_values + vc_values + err
groups = np.kron(range(n_grp), np.ones(grpsize))
vc = {"a": {}, "b": {}}
for i in range(n_grp):
ix = np.flatnonzero(groups == i)
vc["a"][i] = exog_vc[ix, 0:2]
vc["b"][i] = exog_vc[ix, 2:3]
model = MixedLM(
endog,
exog_fe,
groups,
exog_re,
exog_vc=vc,
use_sqrt=use_sqrt)
rslt = model.fit(reml=reml)
loglike = loglike_function(
model, profile_fe=profile_fe, has_fe=not profile_fe)
try:
# Test the score at several points.
for kr in range(5):
fe_params = np.random.normal(size=k_fe)
cov_re = np.random.normal(size=(k_re, k_re))
cov_re = np.dot(cov_re.T, cov_re)
vcomp = np.random.normal(size=2)**2
params = MixedLMParams.from_components(
fe_params, cov_re=cov_re, vcomp=vcomp)
params_vec = params.get_packed(
has_fe=not profile_fe, use_sqrt=use_sqrt)
# Check scores
gr = -model.score(params, profile_fe=profile_fe)
ngr = nd.approx_fprime(params_vec, loglike)
assert_allclose(gr, ngr, rtol=1e-3)
# Check Hessian matrices at the MLE (we don't have
# the profile Hessian matrix and we don't care
# about the Hessian for the square root
# transformed parameter).
if (profile_fe is False) and (use_sqrt is False):
hess = -model.hessian(rslt.params_object)
params_vec = rslt.params_object.get_packed(
use_sqrt=False, has_fe=True)
loglike_h = loglike_function(
model, profile_fe=False, has_fe=True)
nhess = nd.approx_hess(params_vec, loglike_h)
assert_allclose(hess, nhess, rtol=1e-3)
except AssertionError:
# See GH#5628; because this test fails unpredictably but only on
# OSX, we only xfail it there.
if PLATFORM_OSX:
pytest.xfail("fails on OSX due to unresolved "
"numerical differences")
else:
raise
def f(x):
params = MixedLMParams.from_packed(x, model.k_fe, model.use_sqrt, has_fe=not profile_fe)
return -model.score(params, profile_fe=profile_fe)
def f(x):
params = MixedLMParams.from_packed(x,
model.k_fe,
model.use_sqrt,
has_fe=not profile_fe)
return -model.score(params, profile_fe=profile_fe)
def test_compare_numdiff(self):
n_grp = 200
grpsize = 5
k_fe = 3
k_re = 2
for use_sqrt in False, True:
for reml in False, True:
for profile_fe in False, True:
np.random.seed(3558)
exog_fe = np.random.normal(size=(n_grp * grpsize, k_fe))
exog_re = np.random.normal(size=(n_grp * grpsize, k_re))
exog_re[:, 0] = 1
exog_vc = np.random.normal(size=(n_grp * grpsize, 3))
slopes = np.random.normal(size=(n_grp, k_re))
slopes[:, -1] *= 2
slopes = np.kron(slopes, np.ones((grpsize, 1)))
slopes_vc = np.random.normal(size=(n_grp, 3))
slopes_vc = np.kron(slopes_vc, np.ones((grpsize, 1)))
slopes_vc[:, -1] *= 2
re_values = (slopes * exog_re).sum(1)
vc_values = (slopes_vc * exog_vc).sum(1)
err = np.random.normal(size=n_grp * grpsize)
endog = exog_fe.sum(1) + re_values + vc_values + err
groups = np.kron(range(n_grp), np.ones(grpsize))
vc = {"a": {}, "b": {}}
for i in range(n_grp):
ix = np.flatnonzero(groups == i)
vc["a"][i] = exog_vc[ix, 0:2]
vc["b"][i] = exog_vc[ix, 2:3]
model = MixedLM(endog,
exog_fe,
groups,
exog_re,
exog_vc=vc,
use_sqrt=use_sqrt)
rslt = model.fit(reml=reml)
loglike = loglike_function(model,
profile_fe=profile_fe,
has_fe=not profile_fe)
# Test the score at several points.
for kr in range(5):
fe_params = np.random.normal(size=k_fe)
cov_re = np.random.normal(size=(k_re, k_re))
cov_re = np.dot(cov_re.T, cov_re)
vcomp = np.random.normal(size=2)**2
params = MixedLMParams.from_components(fe_params,
cov_re=cov_re,
vcomp=vcomp)
params_vec = params.get_packed(has_fe=not profile_fe,
use_sqrt=use_sqrt)
# Check scores
gr = -model.score(params, profile_fe=profile_fe)
ngr = nd.approx_fprime(params_vec, loglike)
assert_allclose(gr, ngr, rtol=1e-3)
# Check Hessian matrices at the MLE (we don't have
# the profile Hessian matrix and we don't care
# about the Hessian for the square root
# transformed parameter).
if (profile_fe is False) and (use_sqrt is False):
hess = -model.hessian(rslt.params_object)
params_vec = rslt.params_object.get_packed(
use_sqrt=False, has_fe=True)
loglike_h = loglike_function(model,
profile_fe=False,
has_fe=True)
nhess = nd.approx_hess(params_vec, loglike_h)
assert_allclose(hess, nhess, rtol=1e-3)
def test_compare_numdiff(self, use_sqrt, reml, profile_fe):
n_grp = 200
grpsize = 5
k_fe = 3
k_re = 2
np.random.seed(3558)
exog_fe = np.random.normal(size=(n_grp * grpsize, k_fe))
exog_re = np.random.normal(size=(n_grp * grpsize, k_re))
exog_re[:, 0] = 1
exog_vc = np.random.normal(size=(n_grp * grpsize, 3))
slopes = np.random.normal(size=(n_grp, k_re))
slopes[:, -1] *= 2
slopes = np.kron(slopes, np.ones((grpsize, 1)))
slopes_vc = np.random.normal(size=(n_grp, 3))
slopes_vc = np.kron(slopes_vc, np.ones((grpsize, 1)))
slopes_vc[:, -1] *= 2
re_values = (slopes * exog_re).sum(1)
vc_values = (slopes_vc * exog_vc).sum(1)
err = np.random.normal(size=n_grp * grpsize)
endog = exog_fe.sum(1) + re_values + vc_values + err
groups = np.kron(range(n_grp), np.ones(grpsize))
vc = {"a": {}, "b": {}}
for i in range(n_grp):
ix = np.flatnonzero(groups == i)
vc["a"][i] = exog_vc[ix, 0:2]
vc["b"][i] = exog_vc[ix, 2:3]
model = MixedLM(endog,
exog_fe,
groups,
exog_re,
exog_vc=vc,
use_sqrt=use_sqrt)
rslt = model.fit(reml=reml)
loglike = loglike_function(model,
profile_fe=profile_fe,
has_fe=not profile_fe)
try:
# Test the score at several points.
for kr in range(5):
fe_params = np.random.normal(size=k_fe)
cov_re = np.random.normal(size=(k_re, k_re))
cov_re = np.dot(cov_re.T, cov_re)
vcomp = np.random.normal(size=2)**2
params = MixedLMParams.from_components(fe_params,
cov_re=cov_re,
vcomp=vcomp)
params_vec = params.get_packed(has_fe=not profile_fe,
use_sqrt=use_sqrt)
# Check scores
gr = -model.score(params, profile_fe=profile_fe)
ngr = nd.approx_fprime(params_vec, loglike)
assert_allclose(gr, ngr, rtol=1e-3)
# Check Hessian matrices at the MLE (we do not have
# the profile Hessian matrix and we do not care
# about the Hessian for the square root
# transformed parameter).
if (profile_fe is False) and (use_sqrt is False):
hess = -model.hessian(rslt.params_object)
params_vec = rslt.params_object.get_packed(use_sqrt=False,
has_fe=True)
loglike_h = loglike_function(model,
profile_fe=False,
has_fe=True)
nhess = nd.approx_hess(params_vec, loglike_h)
assert_allclose(hess, nhess, rtol=1e-3)
except AssertionError:
# See GH#5628; because this test fails unpredictably but only on
# OSX, we only xfail it there.
if PLATFORM_OSX:
pytest.xfail("fails on OSX due to unresolved "
"numerical differences")
else:
raise
def test_compare_numdiff(self):
import statsmodels.tools.numdiff as nd
n_grp = 200
grpsize = 5
k_fe = 3
k_re = 2
for jl in 0,1:
for reml in False,True:
for cov_pen_wt in 0,10:
cov_pen = penalties.PSD(cov_pen_wt)
np.random.seed(3558)
exog_fe = np.random.normal(size=(n_grp*grpsize, k_fe))
exog_re = np.random.normal(size=(n_grp*grpsize, k_re))
exog_re[:, 0] = 1
slopes = np.random.normal(size=(n_grp, k_re))
slopes = np.kron(slopes, np.ones((grpsize,1)))
re_values = (slopes * exog_re).sum(1)
err = np.random.normal(size=n_grp*grpsize)
endog = exog_fe.sum(1) + re_values + err
groups = np.kron(range(n_grp), np.ones(grpsize))
if jl == 0:
md = MixedLM(endog, exog_fe, groups, exog_re)
score = lambda x: -md.score_sqrt(x)
hessian = lambda x : -md.hessian_sqrt(x)
else:
md = MixedLM(endog, exog_fe, groups, exog_re, use_sqrt=False)
score = lambda x: -md.score_full(x)
hessian = lambda x: -md.hessian_full(x)
md.reml = reml
md.cov_pen = cov_pen
loglike = lambda x: -md.loglike(x)
rslt = md.fit()
# Test the score at several points.
for kr in range(5):
fe_params = np.random.normal(size=k_fe)
cov_re = np.random.normal(size=(k_re, k_re))
cov_re = np.dot(cov_re.T, cov_re)
params = MixedLMParams.from_components(fe_params, cov_re)
if jl == 0:
params_vec = params.get_packed()
else:
params_vec = params.get_packed(use_sqrt=False)
# Check scores
gr = score(params)
ngr = nd.approx_fprime(params_vec, loglike)
assert_allclose(gr, ngr, rtol=1e-2)
# Hessian matrices don't agree well away from
# the MLE.
#if cov_pen_wt == 0:
# hess = hessian(params)
# nhess = nd.approx_hess(params_vec, loglike)
# assert_allclose(hess, nhess, rtol=1e-2)
# Check Hessian matrices at the MLE.
if cov_pen_wt == 0:
hess = hessian(rslt.params_object)
params_vec = rslt.params_object.get_packed()
nhess = nd.approx_hess(params_vec, loglike)
assert_allclose(hess, nhess, rtol=1e-2)
# priors.setD3(result.fe_params.values.reshape(mousediet.p, 1))
# priors.setD4(pinv(result.cov_params().iloc[:mousediet.p,
# :mousediet.p].values))
# priors.setPai(0.5*np.ones(mousediet.grp))
# priors.setSigma2(result.scale)
## quadratic
mousediet.setParams(p=3)
data = mousediet.rawdata[mousediet.rawdata['diet'] == 99]
data['days2'] = data['days']**2
model = sm.MixedLM.from_formula('weight ~ days + days2', data,
re_formula='1 + days + days2',
groups=data['id'])
free = MixedLMParams(3, 3)
free.set_fe_params(np.ones(3))
free.set_cov_re(np.eye(3))
result = model.fit(free=free)
# uninformative prior
priors.setD1(0.001)
priors.setD2(0.001)
priors.setD3(result.fe_params.values.reshape(mousediet.p, 1))
priors.setD4(pinv(result.cov_params().iloc[:mousediet.p,
:mousediet.p].values))
priors.setPai(0.5*np.ones(mousediet.grp))
priors.setSigma2(result.scale)
# priors.setD3(result.fe_params.values.reshape(mousediet.p, 1))
# priors.setD4(pinv(result.cov_params().iloc[:mousediet.p,
# :mousediet.p].values))
# priors.setPai(0.5*np.ones(mousediet.grp))
# priors.setSigma2(result.scale)
## quadratic
mousediet.setParams(p=3)
data = mousediet.rawdata[mousediet.rawdata['diet'] == 99]
data['days2'] = data['days']**2
model = sm.MixedLM.from_formula('weight ~ days + days2',
data,
re_formula='1 + days + days2',
groups=data['id'])
free = MixedLMParams(3, 3)
free.set_fe_params(np.ones(3))
free.set_cov_re(np.eye(3))
result = model.fit(free=free)
# uninformative prior
priors.setD1(0.001)
priors.setD2(0.001)
priors.setD3(result.fe_params.values.reshape(mousediet.p, 1))
priors.setD4(
pinv(result.cov_params().iloc[:mousediet.p, :mousediet.p].values))
priors.setPai(0.5 * np.ones(mousediet.grp))
priors.setSigma2(result.scale)
mcmcrun(mousediet, priors, dirname)