arviz 0.23.3__py3-none-any.whl → 1.0.0rc0__py3-none-any.whl

arviz/stats/stats_refitting.py

@@ -1,119 +0,0 @@
-"""Stats functions that require refitting the model."""
-
-import logging
-import warnings
-
-import numpy as np
-
-from .stats import loo
-from .stats_utils import logsumexp as _logsumexp
-
-__all__ = ["reloo"]
-
-_log = logging.getLogger(__name__)
-
-
-def reloo(wrapper, loo_orig=None, k_thresh=0.7, scale=None, verbose=True):
-    """Recalculate exact Leave-One-Out cross validation refitting where the approximation fails.
-
-    ``az.loo`` estimates the values of Leave-One-Out (LOO) cross validation using Pareto
-    Smoothed Importance Sampling (PSIS) to approximate its value. PSIS works well when
-    the posterior and the posterior_i (excluding observation i from the data used to fit)
-    are similar. In some cases, there are highly influential observations for which PSIS
-    cannot approximate the LOO-CV, and a warning of a large Pareto shape is sent by ArviZ.
-    This cases typically have a handful of bad or very bad Pareto shapes and a majority of
-    good or ok shapes.
-
-    Therefore, this may not indicate that the model is not robust enough
-    nor that these observations are inherently bad, only that PSIS cannot approximate LOO-CV
-    correctly. Thus, we can use PSIS for all observations where the Pareto shape is below a
-    threshold and refit the model to perform exact cross validation for the handful of
-    observations where PSIS cannot be used. This approach allows to properly approximate
-    LOO-CV with only a handful of refits, which in most cases is still much less computationally
-    expensive than exact LOO-CV, which needs one refit per observation.
-
-    Parameters
-    ----------
-    wrapper: SamplingWrapper-like
-        Class (preferably a subclass of ``az.SamplingWrapper``, see :ref:`wrappers_api`
-        for details) implementing the methods described
-        in the SamplingWrapper docs. This allows ArviZ to call **any** sampling backend
-        (like PyStan or emcee) using always the same syntax.
-    loo_orig : ELPDData, optional
-        ELPDData instance with pointwise loo results. The pareto_k attribute will be checked
-        for values above the threshold.
-    k_thresh : float, optional
-        Pareto shape threshold. Each pareto shape value above ``k_thresh`` will trigger
-        a refit excluding that observation.
-    scale : str, optional
-        Only taken into account when loo_orig is None. See ``az.loo`` for valid options.
-
-    Returns
-    -------
-    ELPDData
-        ELPDData instance containing the PSIS approximation where possible and the exact
-        LOO-CV result where PSIS failed. The Pareto shape of the observations where exact
-        LOO-CV was performed is artificially set to 0, but as PSIS is not performed, it
-        should be ignored.
-
-    Notes
-    -----
-    It is strongly recommended to first compute ``az.loo`` on the inference results to
-    confirm that the number of values above the threshold is small enough. Otherwise,
-    prohibitive computation time may be needed to perform all required refits.
-
-    As an extreme case, artificially assigning all ``pareto_k`` values to something
-    larger than the threshold would make ``reloo`` perform the whole exact LOO-CV.
-    This is not generally recommended
-    nor intended, however, if needed, this function can be used to achieve the result.
-
-    Warnings
-    --------
-    Sampling wrappers are an experimental feature in a very early stage. Please use them
-    with caution.
-    """
-    required_methods = ("sel_observations", "sample", "get_inference_data", "log_likelihood__i")
-    not_implemented = wrapper.check_implemented_methods(required_methods)
-    if not_implemented:
-        raise TypeError(
-            "Passed wrapper instance does not implement all methods required for reloo "
-            f"to work. Check the documentation of SamplingWrapper. {not_implemented} must be "
-            "implemented and were not found."
-        )
-    if loo_orig is None:
-        loo_orig = loo(wrapper.idata_orig, pointwise=True, scale=scale)
-    loo_refitted = loo_orig.copy()
-    khats = loo_refitted.pareto_k
-    loo_i = loo_refitted.loo_i
-    scale = loo_orig.scale
-
-    if scale.lower() == "deviance":
-        scale_value = -2
-    elif scale.lower() == "log":
-        scale_value = 1
-    elif scale.lower() == "negative_log":
-        scale_value = -1
-    lppd_orig = loo_orig.p_loo + loo_orig.elpd_loo / scale_value
-    n_data_points = loo_orig.n_data_points
-
-    if verbose:
-        warnings.warn("reloo is an experimental and untested feature", UserWarning)
-
-    if np.any(khats > k_thresh):
-        for idx in np.argwhere(khats.values > k_thresh):
-            if verbose:
-                _log.info("Refitting model excluding observation %d", idx)
-            new_obs, excluded_obs = wrapper.sel_observations(idx)
-            fit = wrapper.sample(new_obs)
-            idata_idx = wrapper.get_inference_data(fit)
-            log_like_idx = wrapper.log_likelihood__i(excluded_obs, idata_idx).values.flatten()
-            loo_lppd_idx = scale_value * _logsumexp(log_like_idx, b_inv=len(log_like_idx))
-            khats[idx] = 0
-            loo_i[idx] = loo_lppd_idx
-        loo_refitted.elpd_loo = loo_i.values.sum()
-        loo_refitted.se = (n_data_points * np.var(loo_i.values)) ** 0.5
-        loo_refitted.p_loo = lppd_orig - loo_refitted.elpd_loo / scale_value
-        return loo_refitted
-    else:
-        _log.info("No problematic observations")
-        return loo_orig