Source code for astropy.stats.info_theory

# Licensed under a 3-clause BSD style license - see LICENSE.rst

"""
This module contains simple functions for model selection.
"""

import numpy as np

__all__ = ['bayesian_info_criterion', 'bayesian_info_criterion_lsq',
           'akaike_info_criterion', 'akaike_info_criterion_lsq']

__doctest_requires__ = {'bayesian_info_criterion_lsq': ['scipy'],
                        'akaike_info_criterion_lsq': ['scipy']}


[docs]def bayesian_info_criterion(log_likelihood, n_params, n_samples): r""" Computes the Bayesian Information Criterion (BIC) given the log of the likelihood function evaluated at the estimated (or analytically derived) parameters, the number of parameters, and the number of samples. The BIC is usually applied to decide whether increasing the number of free parameters (hence, increasing the model complexity) yields significantly better fittings. The decision is in favor of the model with the lowest BIC. BIC is given as .. math:: \mathrm{BIC} = k \ln(n) - 2L, in which :math:`n` is the sample size, :math:`k` is the number of free parameters, and :math:`L` is the log likelihood function of the model evaluated at the maximum likelihood estimate (i. e., the parameters for which L is maximized). When comparing two models define :math:`\Delta \mathrm{BIC} = \mathrm{BIC}_h - \mathrm{BIC}_l`, in which :math:`\mathrm{BIC}_h` is the higher BIC, and :math:`\mathrm{BIC}_l` is the lower BIC. The higher is :math:`\Delta \mathrm{BIC}` the stronger is the evidence against the model with higher BIC. The general rule of thumb is: :math:`0 < \Delta\mathrm{BIC} \leq 2`: weak evidence that model low is better :math:`2 < \Delta\mathrm{BIC} \leq 6`: moderate evidence that model low is better :math:`6 < \Delta\mathrm{BIC} \leq 10`: strong evidence that model low is better :math:`\Delta\mathrm{BIC} > 10`: very strong evidence that model low is better For a detailed explanation, see [1]_ - [5]_. Parameters ---------- log_likelihood : float Logarithm of the likelihood function of the model evaluated at the point of maxima (with respect to the parameter space). n_params : int Number of free parameters of the model, i.e., dimension of the parameter space. n_samples : int Number of observations. Returns ------- bic : float Bayesian Information Criterion. Examples -------- The following example was originally presented in [1]_. Consider a Gaussian model (mu, sigma) and a t-Student model (mu, sigma, delta). In addition, assume that the t model has presented a higher likelihood. The question that the BIC is proposed to answer is: "Is the increase in likelihood due to larger number of parameters?" >>> from astropy.stats.info_theory import bayesian_info_criterion >>> lnL_g = -176.4 >>> lnL_t = -173.0 >>> n_params_g = 2 >>> n_params_t = 3 >>> n_samples = 100 >>> bic_g = bayesian_info_criterion(lnL_g, n_params_g, n_samples) >>> bic_t = bayesian_info_criterion(lnL_t, n_params_t, n_samples) >>> bic_g - bic_t # doctest: +FLOAT_CMP 2.1948298140119391 Therefore, there exist a moderate evidence that the increasing in likelihood for t-Student model is due to the larger number of parameters. References ---------- .. [1] Richards, D. Maximum Likelihood Estimation and the Bayesian Information Criterion. <https://hea-www.harvard.edu/astrostat/Stat310_0910/dr_20100323_mle.pdf> .. [2] Wikipedia. Bayesian Information Criterion. <https://en.wikipedia.org/wiki/Bayesian_information_criterion> .. [3] Origin Lab. Comparing Two Fitting Functions. <https://www.originlab.com/doc/Origin-Help/PostFit-CompareFitFunc> .. [4] Liddle, A. R. Information Criteria for Astrophysical Model Selection. 2008. <https://arxiv.org/pdf/astro-ph/0701113v2.pdf> .. [5] Liddle, A. R. How many cosmological parameters? 2008. <https://arxiv.org/pdf/astro-ph/0401198v3.pdf> """ return n_params*np.log(n_samples) - 2.0*log_likelihood
[docs]def bayesian_info_criterion_lsq(ssr, n_params, n_samples): r""" Computes the Bayesian Information Criterion (BIC) assuming that the observations come from a Gaussian distribution. In this case, BIC is given as .. math:: \mathrm{BIC} = n\ln\left(\dfrac{\mathrm{SSR}}{n}\right) + k\ln(n) in which :math:`n` is the sample size, :math:`k` is the number of free parameters and :math:`\mathrm{SSR}` stands for the sum of squared residuals between model and data. This is applicable, for instance, when the parameters of a model are estimated using the least squares statistic. See [1]_ and [2]_. Parameters ---------- ssr : float Sum of squared residuals (SSR) between model and data. n_params : int Number of free parameters of the model, i.e., dimension of the parameter space. n_samples : int Number of observations. Returns ------- bic : float Examples -------- Consider the simple 1-D fitting example presented in the Astropy modeling webpage [3]_. There, two models (Box and Gaussian) were fitted to a source flux using the least squares statistic. However, the fittings themselves do not tell much about which model better represents this hypothetical source. Therefore, we are going to apply to BIC in order to decide in favor of a model. >>> import numpy as np >>> from astropy.modeling import models, fitting >>> from astropy.stats.info_theory import bayesian_info_criterion_lsq >>> # Generate fake data >>> np.random.seed(0) >>> x = np.linspace(-5., 5., 200) >>> y = 3 * np.exp(-0.5 * (x - 1.3)**2 / 0.8**2) >>> y += np.random.normal(0., 0.2, x.shape) >>> # Fit the data using a Box model. >>> # Bounds are not really needed but included here to demonstrate usage. >>> t_init = models.Trapezoid1D(amplitude=1., x_0=0., width=1., slope=0.5, ... bounds={"x_0": (-5., 5.)}) >>> fit_t = fitting.LevMarLSQFitter() >>> t = fit_t(t_init, x, y) >>> # Fit the data using a Gaussian >>> g_init = models.Gaussian1D(amplitude=1., mean=0, stddev=1.) >>> fit_g = fitting.LevMarLSQFitter() >>> g = fit_g(g_init, x, y) >>> # Compute the mean squared errors >>> ssr_t = np.sum((t(x) - y)*(t(x) - y)) >>> ssr_g = np.sum((g(x) - y)*(g(x) - y)) >>> # Compute the bics >>> bic_t = bayesian_info_criterion_lsq(ssr_t, 4, x.shape[0]) >>> bic_g = bayesian_info_criterion_lsq(ssr_g, 3, x.shape[0]) >>> bic_t - bic_g # doctest: +FLOAT_CMP 30.644474706065466 Hence, there is a very strong evidence that the Gaussian model has a significantly better representation of the data than the Box model. This is, obviously, expected since the true model is Gaussian. References ---------- .. [1] Wikipedia. Bayesian Information Criterion. <https://en.wikipedia.org/wiki/Bayesian_information_criterion> .. [2] Origin Lab. Comparing Two Fitting Functions. <https://www.originlab.com/doc/Origin-Help/PostFit-CompareFitFunc> .. [3] Astropy Models and Fitting <http://docs.astropy.org/en/stable/modeling> """ return bayesian_info_criterion(-0.5 * n_samples * np.log(ssr / n_samples), n_params, n_samples)
[docs]def akaike_info_criterion(log_likelihood, n_params, n_samples): r""" Computes the Akaike Information Criterion (AIC). Like the Bayesian Information Criterion, the AIC is a measure of relative fitting quality which is used for fitting evaluation and model selection. The decision is in favor of the model with the lowest AIC. AIC is given as .. math:: \mathrm{AIC} = 2(k - L) in which :math:`n` is the sample size, :math:`k` is the number of free parameters, and :math:`L` is the log likelihood function of the model evaluated at the maximum likelihood estimate (i. e., the parameters for which L is maximized). In case that the sample size is not "large enough" a correction is applied, i.e. .. math:: \mathrm{AIC} = 2(k - L) + \dfrac{2k(k+1)}{n - k - 1} Rule of thumb [1]_: :math:`\Delta\mathrm{AIC}_i = \mathrm{AIC}_i - \mathrm{AIC}_{min}` :math:`\Delta\mathrm{AIC}_i < 2`: substantial support for model i :math:`3 < \Delta\mathrm{AIC}_i < 7`: considerably less support for model i :math:`\Delta\mathrm{AIC}_i > 10`: essentially none support for model i in which :math:`\mathrm{AIC}_{min}` stands for the lower AIC among the models which are being compared. For detailed explanations see [1]_-[6]_. Parameters ---------- log_likelihood : float Logarithm of the likelihood function of the model evaluated at the point of maxima (with respect to the parameter space). n_params : int Number of free parameters of the model, i.e., dimension of the parameter space. n_samples : int Number of observations. Returns ------- aic : float Akaike Information Criterion. Examples -------- The following example was originally presented in [2]_. Basically, two models are being compared. One with six parameters (model 1) and another with five parameters (model 2). Despite of the fact that model 2 has a lower AIC, we could decide in favor of model 1 since the difference (in AIC) between them is only about 1.0. >>> n_samples = 121 >>> lnL1 = -3.54 >>> n1_params = 6 >>> lnL2 = -4.17 >>> n2_params = 5 >>> aic1 = akaike_info_criterion(lnL1, n1_params, n_samples) >>> aic2 = akaike_info_criterion(lnL2, n2_params, n_samples) >>> aic1 - aic2 # doctest: +FLOAT_CMP 0.9551029748283746 Therefore, we can strongly support the model 1 with the advantage that it has more free parameters. References ---------- .. [1] Cavanaugh, J. E. Model Selection Lecture II: The Akaike Information Criterion. <http://machinelearning102.pbworks.com/w/file/fetch/47699383/ms_lec_2_ho.pdf> .. [2] Mazerolle, M. J. Making sense out of Akaike's Information Criterion (AIC): its use and interpretation in model selection and inference from ecological data. <https://corpus.ulaval.ca/jspui/handle/20.500.11794/17461> .. [3] Wikipedia. Akaike Information Criterion. <https://en.wikipedia.org/wiki/Akaike_information_criterion> .. [4] Origin Lab. Comparing Two Fitting Functions. <https://www.originlab.com/doc/Origin-Help/PostFit-CompareFitFunc> .. [5] Liddle, A. R. Information Criteria for Astrophysical Model Selection. 2008. <https://arxiv.org/pdf/astro-ph/0701113v2.pdf> .. [6] Liddle, A. R. How many cosmological parameters? 2008. <https://arxiv.org/pdf/astro-ph/0401198v3.pdf> """ # Correction in case of small number of observations if n_samples/float(n_params) >= 40.0: aic = 2.0 * (n_params - log_likelihood) else: aic = (2.0 * (n_params - log_likelihood) + 2.0 * n_params * (n_params + 1.0) / (n_samples - n_params - 1.0)) return aic
[docs]def akaike_info_criterion_lsq(ssr, n_params, n_samples): r""" Computes the Akaike Information Criterion assuming that the observations are Gaussian distributed. In this case, AIC is given as .. math:: \mathrm{AIC} = n\ln\left(\dfrac{\mathrm{SSR}}{n}\right) + 2k In case that the sample size is not "large enough", a correction is applied, i.e. .. math:: \mathrm{AIC} = n\ln\left(\dfrac{\mathrm{SSR}}{n}\right) + 2k + \dfrac{2k(k+1)}{n-k-1} in which :math:`n` is the sample size, :math:`k` is the number of free parameters and :math:`\mathrm{SSR}` stands for the sum of squared residuals between model and data. This is applicable, for instance, when the parameters of a model are estimated using the least squares statistic. Parameters ---------- ssr : float Sum of squared residuals (SSR) between model and data. n_params : int Number of free parameters of the model, i.e., the dimension of the parameter space. n_samples : int Number of observations. Returns ------- aic : float Akaike Information Criterion. Examples -------- This example is based on Astropy Modeling webpage, Compound models section. >>> import numpy as np >>> from astropy.modeling import models, fitting >>> from astropy.stats.info_theory import akaike_info_criterion_lsq >>> np.random.seed(42) >>> # Generate fake data >>> g1 = models.Gaussian1D(.1, 0, 0.2) # changed this to noise level >>> g2 = models.Gaussian1D(.1, 0.3, 0.2) # and added another Gaussian >>> g3 = models.Gaussian1D(2.5, 0.5, 0.1) >>> x = np.linspace(-1, 1, 200) >>> y = g1(x) + g2(x) + g3(x) + np.random.normal(0., 0.2, x.shape) >>> # Fit with three Gaussians >>> g3_init = (models.Gaussian1D(.1, 0, 0.1) ... + models.Gaussian1D(.1, 0.2, 0.15) ... + models.Gaussian1D(2.4, .4, 0.1)) >>> fitter = fitting.LevMarLSQFitter() >>> g3_fit = fitter(g3_init, x, y) >>> # Fit with two Gaussians >>> g2_init = (models.Gaussian1D(.1, 0, 0.1) + ... models.Gaussian1D(2, 0.5, 0.1)) >>> g2_fit = fitter(g2_init, x, y) >>> # Fit with only one Gaussian >>> g1_init = models.Gaussian1D(amplitude=2., mean=0.3, stddev=.5) >>> g1_fit = fitter(g1_init, x, y) >>> # Compute the mean squared errors >>> ssr_g3 = np.sum((g3_fit(x) - y)**2.0) >>> ssr_g2 = np.sum((g2_fit(x) - y)**2.0) >>> ssr_g1 = np.sum((g1_fit(x) - y)**2.0) >>> akaike_info_criterion_lsq(ssr_g3, 9, x.shape[0]) # doctest: +FLOAT_CMP -634.5257517810961 >>> akaike_info_criterion_lsq(ssr_g2, 6, x.shape[0]) # doctest: +FLOAT_CMP -662.83834510232043 >>> akaike_info_criterion_lsq(ssr_g1, 3, x.shape[0]) # doctest: +FLOAT_CMP -647.47312032659499 Hence, from the AIC values, we would prefer to choose the model g2_fit. However, we can considerably support the model g3_fit, since the difference in AIC is about 2.4. We should reject the model g1_fit. References ---------- .. [1] Akaike Information Criterion. <https://en.wikipedia.org/wiki/Akaike_information_criterion> .. [2] Origin Lab. Comparing Two Fitting Functions. <https://www.originlab.com/doc/Origin-Help/PostFit-CompareFitFunc> """ return akaike_info_criterion(-0.5 * n_samples * np.log(ssr / n_samples), n_params, n_samples)