statsample-glm 0.1.1 → 0.2.0
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- checksums.yaml +4 -4
- data/.gitignore +1 -0
- data/.travis.yml +6 -0
- data/History.md +3 -0
- data/{README.rdoc → README.md} +20 -21
- data/lib/statsample-glm/glm.rb +5 -5
- data/lib/statsample-glm/glm/base.rb +7 -9
- data/lib/statsample-glm/glm/irls/base.rb +1 -3
- data/lib/statsample-glm/glm/mle/base.rb +2 -2
- data/lib/statsample-glm/version.rb +1 -1
- data/spec/logistic_spec.rb +4 -4
- data/spec/normal_spec.rb +5 -4
- data/spec/poisson_spec.rb +4 -4
- data/spec/probit_spec.rb +1 -1
- data/spec/spec_helper.rb +1 -1
- data/statsample-glm.gemspec +8 -5
- metadata +28 -13
checksums.yaml
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data.tar.gz: 320cbe0310e2ba5ae1d61c5433c56b4bd3a469b4dbecaee88b5f34f76d4f7954c4c5dfeddc51889fb4422c6654ee4fd1aae3ab3cc5740f5476162d8ceace21b0
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data/.gitignore
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data/.travis.yml
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data/History.md
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data/{README.rdoc → README.md}
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# statsample-glm
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src="https://secure.travis-ci.org/AnkurGel/statsample-glm.png"
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/>}[http://travis-ci.org/#!/AnkurGel/statsample-glm]
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[![Build Status](https://travis-ci.org/SciRuby/statsample-glm.svg?branch=master)](https://travis-ci.org/SciRuby/statsample-glm)
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[![Gem Version](https://badge.fury.io/rb/statsample-glm.svg)](http://badge.fury.io/rb/statsample-glm)
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Statsample-GLM is an extension of *Generalized Linear Models* to [Statsample](https://github.com/SciRuby/statsample), a suite of advance statistics in Ruby.
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Requires ruby 1.9.3 or higher.
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## Description
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Statsample-glm includes the following Generalized Linear Models:
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* Iteratively Reweighted Least Squares
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Statsample-GLM was created by Ankur Goel as part of Google's Summer of Code 2013. It is the part of {the SciRuby Project}[http://sciruby.com].
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## Installation
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`gem install statsample-glm`
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gem install statsample-glm
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== Usage
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## Usage
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To use the library
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`require 'statsample-glm'`
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### Blogs
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* [Generalized Linear Models: Introduction and implementation in Ruby](http://v0dro.github.io/blog/2014/09/21/code-generalized-linear-models-introduction-and-implementation-in-ruby/).
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### Case Studies
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* [Logistic Regression Analysis with daru and statsample-glm](http://nbviewer.ipython.org/github/SciRuby/sciruby-notebooks/blob/master/Data%20Analysis/Logistic%20Regression%20with%20daru%20and%20statsample-glm.ipynb)
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## Documentation
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The API doc is {online}[http://rubygems.org/gems/statsample-glm]. For more code examples see also the spec files in the source tree.
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## Project home page
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http://github.com/sciruby/statsample-glm
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## Copyright
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Copyright (c) 2013 Ankur Goel and the Ruby Science Foundation. See LICENSE.txt for further details.
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data/lib/statsample-glm/glm.rb
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#
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# * x = model matrix
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# * y = response vector
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# * method = symbol; choice of glm strategy, default = :poisson
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#
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# == Usage
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# require 'statsample-glm'
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# x1=
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# x2=
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#
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#
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# x1 = Daru::Vector.new([0.537322309644812,-0.717124209978434,-0.519166718891331,0.434970973986765,-0.761822002215759,1.51170030921189,0.883854199811195,-0.908689798854196,1.70331977539793,-0.246971150634099,-1.59077593922623,-0.721548040910253,0.467025703920194,-0.510132788447137,0.430106510266798,-0.144353683251536,-1.54943800728303,0.849307651309298,-0.640304240933579,1.31462478279425,-0.399783455165345,0.0453055645017902,-2.58212161987746,-1.16484414309359,-1.08829266466281,-0.243893919684792,-1.96655661929441,0.301335373291024,-0.665832694463588,-0.0120650855753837,1.5116066367604,0.557300353673344,1.12829931872045,0.234443748015922,-2.03486690662651,0.275544751380246,-0.231465849558696,-0.356880153225012,-0.57746647541923,1.35758352580655,1.23971669378224,-0.662466275100489,0.313263561921793,-1.08783223256362,1.41964722846899,1.29325100940785,0.72153880625103,0.440580131022748,0.0351917814720056, -0.142353224879252])
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# x2 = Daru::Vector.new([-0.866655707911859,-0.367820249977585,0.361486610435,0.857332626245179,0.133438466268095,0.716104533073575,1.77206093023382,-0.10136697295802,-0.777086491435508,-0.204573554913706,0.963353531412233,-1.10103024900542,-0.404372761837392,-0.230226345183469,0.0363730246866971,-0.838265540390497,1.12543549657924,-0.57929175648001,-0.747060244805248,0.58946979365152,-0.531952663697324,1.53338594419818,0.521992029051441,1.41631763288724,0.611402316795129,-0.518355638373296,-0.515192557101107,-0.672697937866108,1.84347042325327,-0.21195540664804,-0.269869371631611,0.296155694010096,-2.18097898069634,-1.21314663927206,1.49193669881581,1.38969280369493,-0.400680808117106,-1.87282814976479,1.82394870451051,0.637864732838274,-0.141155946382493,0.0699950644281617,1.32568550595165,-0.412599258349398,0.14436832227506,-1.16507785388489,-2.16782049922428,0.24318371493798,0.258954871320764,-0.151966534521183])
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# y_pois = Daru::Vector.new([1,2,1,3,3,1,10,1,1,2,15,0,0,2,1,2,18,2,1,1,1,8,18,13,7,1,1,0,26,0,2,2,0,0,25,7,0,0,21,0,0,1,5,0,3,0,0,1,0,0])
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# x=Daru::DataFrame.new({:x1 => x1,:x2 => x2, :y => y_pois})
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# obj = Statsample::GLM.compute(x, :y, :poisson, {algorithm: :irls})
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# #=> Logistic Regression object
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#
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# == Returns
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set_default_opts_if_any
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@data_set = ds.dup(ds.
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@dependent = ds[y
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@data_set = ds.dup(ds.vectors.to_a - [y])
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@dependent = ds[y]
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add_constant_vector if @opts[:constant]
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add_constant_vector(1) if self.is_a? Statsample::GLM::Normal
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def coefficients as_a=:array
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if as_a == :hash
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c = {}
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@data_set.
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@data_set.vectors.to_a.each_with_index do |f,i|
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c[f.to_sym] = @regression.coefficients[i]
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end
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return c
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def standard_error as_a=:array
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if as_a == :hash
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se = {}
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@data_set.
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@data_set.vectors.to_a.each_with_index do |f,i|
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se[f.to_sym] = @regression.standard_error[i]
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end
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return se
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end
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def create_vector arr
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Daru::Vector.new(arr)
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end
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def add_constant_vector x=nil
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@data_set.add_vector
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(([@opts[:constant]]*@data_set.cases).to_vector(:scale))
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@data_set.add_vector :constant, [@opts[:constant]]*@data_set.nrows
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unless x.nil?
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@data_set.add_vector
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(([1]*@data_set.cases).to_vector(:scale))
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@data_set.add_vector :constant, [1]*@data_set.nrows
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end
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end
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end
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private
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def irls
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max_iter = @opts[:iterations]
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b = Matrix.column_vector Array.new(@data_set.column_size,0.0)
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1.upto(max_iter) do
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intermediate = (hessian(@data_set,b).inverse *
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jacobian(@data_set, b, @dependent))
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b_new = b - intermediate
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if((b_new - b).map(&:abs)).to_a.flatten.inject(:+) < @opts[:epsilon]
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end
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def create_vector arr
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Daru::Vector.new(arr)
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end
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end
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end
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def standard_error
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out = []
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@data_set.
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@data_set.vectors.to_a.each_index do |i|
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out << Math::sqrt(@var_cov_matrix[i,i])
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end
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end
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def create_vector arr
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Daru::Vector.new(arr)
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end
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end
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end
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data/spec/logistic_spec.rb
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describe Statsample::GLM::Logistic do
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context "IRLS algorithm" do
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before do
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@data_set =
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@glm = Statsample::GLM.compute @data_set,
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@data_set = Daru::DataFrame.from_csv "spec/data/logistic.csv"
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@glm = Statsample::GLM.compute @data_set, :y, :logistic, {constant: 1}
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end
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it "reports correct coefficients as an array" do
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context "MLE algorithm" do
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before do
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@data_set =
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@glm = Statsample::GLM.compute @data_set
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@data_set = Daru::DataFrame.from_csv("spec/data/logistic_mle.csv")
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@glm = Statsample::GLM.compute @data_set,:y, :logistic, {constant: 1, algorithm: :mle}
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end
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it "reports correct regression values as an array" do
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data/spec/normal_spec.rb
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describe Statsample::GLM::Normal do
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context "MLE algorithm"
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context "MLE algorithm" do
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before do
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# Below data set taken from http://dl.dropbox.com/u/10246536/Web/RTutorialSeries/dataset_multipleRegression.csv
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@ds =
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@ds = Daru::DataFrame.from_csv "spec/data/normal.csv",
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order: [:ROLL, :UNEM, :HGRAD, :INC]
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end
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it "reports correct values as an array" do
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@glm = Statsample::GLM.compute @ds,
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it "reports correct values as an array", focus: true do
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@glm = Statsample::GLM.compute @ds, :ROLL, :normal, {algorithm: :mle}
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expect_similar_vector @glm.coefficients, [450.12450365911894,
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0.4064837278023981, 4.27485769721736,-9153.254462671905]
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data/spec/poisson_spec.rb
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describe Statsample::GLM::Poisson do
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context "IRLS algorithm" do
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before :each do
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x1 =
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x2 =
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@y_pois =
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x1 = Daru::Vector.new([0.537322309644812,-0.717124209978434,-0.519166718891331,0.434970973986765,-0.761822002215759,1.51170030921189,0.883854199811195,-0.908689798854196,1.70331977539793,-0.246971150634099,-1.59077593922623,-0.721548040910253,0.467025703920194,-0.510132788447137,0.430106510266798,-0.144353683251536,-1.54943800728303,0.849307651309298,-0.640304240933579,1.31462478279425,-0.399783455165345,0.0453055645017902,-2.58212161987746,-1.16484414309359,-1.08829266466281,-0.243893919684792,-1.96655661929441,0.301335373291024,-0.665832694463588,-0.0120650855753837,1.5116066367604,0.557300353673344,1.12829931872045,0.234443748015922,-2.03486690662651,0.275544751380246,-0.231465849558696,-0.356880153225012,-0.57746647541923,1.35758352580655,1.23971669378224,-0.662466275100489,0.313263561921793,-1.08783223256362,1.41964722846899,1.29325100940785,0.72153880625103,0.440580131022748,0.0351917814720056, -0.142353224879252])
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x2 = Daru::Vector.new([-0.866655707911859,-0.367820249977585,0.361486610435,0.857332626245179,0.133438466268095,0.716104533073575,1.77206093023382,-0.10136697295802,-0.777086491435508,-0.204573554913706,0.963353531412233,-1.10103024900542,-0.404372761837392,-0.230226345183469,0.0363730246866971,-0.838265540390497,1.12543549657924,-0.57929175648001,-0.747060244805248,0.58946979365152,-0.531952663697324,1.53338594419818,0.521992029051441,1.41631763288724,0.611402316795129,-0.518355638373296,-0.515192557101107,-0.672697937866108,1.84347042325327,-0.21195540664804,-0.269869371631611,0.296155694010096,-2.18097898069634,-1.21314663927206,1.49193669881581,1.38969280369493,-0.400680808117106,-1.87282814976479,1.82394870451051,0.637864732838274,-0.141155946382493,0.0699950644281617,1.32568550595165,-0.412599258349398,0.14436832227506,-1.16507785388489,-2.16782049922428,0.24318371493798,0.258954871320764,-0.151966534521183])
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@y_pois = Daru::Vector.new([1,2,1,3,3,1,10,1,1,2,15,0,0,2,1,2,18,2,1,1,1,8,18,13,7,1,1,0,26,0,2,2,0,0,25,7,0,0,21,0,0,1,5,0,3,0,0,1,0,0])
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@df =
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@df = Daru::DataFrame.new({:x1 => x1,:x2 => x2, :y => @y_pois})
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end
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data/spec/probit_spec.rb
CHANGED
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context "MLE algorithm" do
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before do
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@data_set =
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@data_set = Daru::DataFrame.from_csv 'spec/data/logistic_mle.csv'
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9
|
@glm = Statsample::GLM.compute @data_set, :y, :probit,
|
10
10
|
{algorithm: :mle, constant: 1}
|
11
11
|
end
|
data/spec/spec_helper.rb
CHANGED
@@ -17,7 +17,7 @@ require 'statsample-glm'
|
|
17
17
|
def expect_similar_vector(exp, obs, delta=1e-10,msg=nil)
|
18
18
|
expect(exp.size).to eq(obs.size)
|
19
19
|
|
20
|
-
exp.
|
20
|
+
exp.to_a.each_with_index do |v,i|
|
21
21
|
expect(v).to be_within(delta).of(obs[i])
|
22
22
|
end
|
23
23
|
end
|
data/statsample-glm.gemspec
CHANGED
@@ -3,9 +3,11 @@ $:.unshift File.expand_path("../lib", __FILE__)
|
|
3
3
|
|
4
4
|
require 'statsample-glm/version'
|
5
5
|
|
6
|
-
DESCRIPTION = <<MSG
|
6
|
+
Statsample::GLM::DESCRIPTION = <<MSG
|
7
7
|
Statsample-GLM is an extension to Statsample, an advance statistics suite in
|
8
|
-
Ruby.
|
8
|
+
Ruby.
|
9
|
+
|
10
|
+
This gem includes modules for Regression techniques such as Poisson
|
9
11
|
and Logistic Regression using the IRLS algorithm and Logistic,
|
10
12
|
Probit and Normal Regression using the Newton Raphson algorithm.
|
11
13
|
MSG
|
@@ -16,7 +18,7 @@ Gem::Specification.new do |spec|
|
|
16
18
|
spec.authors = ['Ankur Goel', 'Sameer Deshmukh']
|
17
19
|
spec.email = ['sameer.deshmukh93@gmail.com']
|
18
20
|
spec.summary = %q{Generalized Linear Models for Statsample}
|
19
|
-
spec.description = DESCRIPTION
|
21
|
+
spec.description = Statsample::GLM::DESCRIPTION
|
20
22
|
spec.homepage = "http://github.com/sciruby/statsample-glm"
|
21
23
|
spec.license = 'BSD-2'
|
22
24
|
|
@@ -25,9 +27,10 @@ Gem::Specification.new do |spec|
|
|
25
27
|
spec.test_files = spec.files.grep(%r{^(test|spec|features)/})
|
26
28
|
spec.require_paths = ["lib"]
|
27
29
|
|
28
|
-
spec.add_runtime_dependency '
|
30
|
+
spec.add_runtime_dependency 'daru', '~> 0.1'
|
31
|
+
spec.add_runtime_dependency 'statsample', '~> 2.0'
|
29
32
|
|
30
|
-
spec.add_development_dependency 'bundler'
|
33
|
+
spec.add_development_dependency 'bundler', '~> 1.10'
|
31
34
|
spec.add_development_dependency 'rake'
|
32
35
|
spec.add_development_dependency 'rspec'
|
33
36
|
spec.add_development_dependency 'awesome_print'
|
metadata
CHANGED
@@ -1,7 +1,7 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: statsample-glm
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
version: 0.
|
4
|
+
version: 0.2.0
|
5
5
|
platform: ruby
|
6
6
|
authors:
|
7
7
|
- Ankur Goel
|
@@ -9,36 +9,50 @@ authors:
|
|
9
9
|
autorequire:
|
10
10
|
bindir: bin
|
11
11
|
cert_chain: []
|
12
|
-
date:
|
12
|
+
date: 2015-07-02 00:00:00.000000000 Z
|
13
13
|
dependencies:
|
14
|
+
- !ruby/object:Gem::Dependency
|
15
|
+
name: daru
|
16
|
+
requirement: !ruby/object:Gem::Requirement
|
17
|
+
requirements:
|
18
|
+
- - "~>"
|
19
|
+
- !ruby/object:Gem::Version
|
20
|
+
version: '0.1'
|
21
|
+
type: :runtime
|
22
|
+
prerelease: false
|
23
|
+
version_requirements: !ruby/object:Gem::Requirement
|
24
|
+
requirements:
|
25
|
+
- - "~>"
|
26
|
+
- !ruby/object:Gem::Version
|
27
|
+
version: '0.1'
|
14
28
|
- !ruby/object:Gem::Dependency
|
15
29
|
name: statsample
|
16
30
|
requirement: !ruby/object:Gem::Requirement
|
17
31
|
requirements:
|
18
32
|
- - "~>"
|
19
33
|
- !ruby/object:Gem::Version
|
20
|
-
version: '
|
34
|
+
version: '2.0'
|
21
35
|
type: :runtime
|
22
36
|
prerelease: false
|
23
37
|
version_requirements: !ruby/object:Gem::Requirement
|
24
38
|
requirements:
|
25
39
|
- - "~>"
|
26
40
|
- !ruby/object:Gem::Version
|
27
|
-
version: '
|
41
|
+
version: '2.0'
|
28
42
|
- !ruby/object:Gem::Dependency
|
29
43
|
name: bundler
|
30
44
|
requirement: !ruby/object:Gem::Requirement
|
31
45
|
requirements:
|
32
|
-
- - "
|
46
|
+
- - "~>"
|
33
47
|
- !ruby/object:Gem::Version
|
34
|
-
version: '
|
48
|
+
version: '1.10'
|
35
49
|
type: :development
|
36
50
|
prerelease: false
|
37
51
|
version_requirements: !ruby/object:Gem::Requirement
|
38
52
|
requirements:
|
39
|
-
- - "
|
53
|
+
- - "~>"
|
40
54
|
- !ruby/object:Gem::Version
|
41
|
-
version: '
|
55
|
+
version: '1.10'
|
42
56
|
- !ruby/object:Gem::Dependency
|
43
57
|
name: rake
|
44
58
|
requirement: !ruby/object:Gem::Requirement
|
@@ -96,9 +110,9 @@ dependencies:
|
|
96
110
|
- !ruby/object:Gem::Version
|
97
111
|
version: '3.12'
|
98
112
|
description: "Statsample-GLM is an extension to Statsample, an advance statistics
|
99
|
-
suite in\nRuby.
|
100
|
-
\nand Logistic Regression using the IRLS algorithm and Logistic, \nProbit
|
101
|
-
Regression using the Newton Raphson algorithm.\n"
|
113
|
+
suite in\nRuby. \n\nThis gem includes modules for Regression techniques such as
|
114
|
+
Poisson \nand Logistic Regression using the IRLS algorithm and Logistic, \nProbit
|
115
|
+
and Normal Regression using the Newton Raphson algorithm.\n"
|
102
116
|
email:
|
103
117
|
- sameer.deshmukh93@gmail.com
|
104
118
|
executables: []
|
@@ -110,8 +124,9 @@ files:
|
|
110
124
|
- ".rspec"
|
111
125
|
- ".travis.yml"
|
112
126
|
- Gemfile
|
127
|
+
- History.md
|
113
128
|
- LICENSE.txt
|
114
|
-
- README.
|
129
|
+
- README.md
|
115
130
|
- Rakefile
|
116
131
|
- lib/statsample-glm.rb
|
117
132
|
- lib/statsample-glm/glm.rb
|
@@ -157,7 +172,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
|
|
157
172
|
version: '0'
|
158
173
|
requirements: []
|
159
174
|
rubyforge_project:
|
160
|
-
rubygems_version: 2.4.
|
175
|
+
rubygems_version: 2.4.6
|
161
176
|
signing_key:
|
162
177
|
specification_version: 4
|
163
178
|
summary: Generalized Linear Models for Statsample
|