from __future__ import division import numpy as np import scipy.stats.kde as kde def calc_min_interval(x, alpha): """Internal method to determine the minimum interval of a given width Assumes that x is sorted numpy array. """ n = len(x) cred_mass = 1.0-alpha interval_idx_inc = int(np.floor(cred_mass*n)) n_intervals = n - interval_idx_inc interval_width = x[interval_idx_inc:] - x[:n_intervals] if len(interval_width) == 0: raise ValueError('Too few elements for interval calculation') min_idx = np.argmin(interval_width) hdi_min = x[min_idx] hdi_max = x[min_idx+interval_idx_inc] return hdi_min, hdi_max def hdi(x, alpha=0.05): """Calculate highest posterior density (HPD) of array for given alpha. The HPD is the minimum width Bayesian credible interval (BCI). :Arguments: x : Numpy array An array containing MCMC samples alpha : float Desired probability of type I error (defaults to 0.05) """ # Make a copy of trace x = x.copy() # For multivariate node if x.ndim > 1: # Transpose first, then sort tx = np.transpose(x, list(range(x.ndim))[1:]+[0]) dims = np.shape(tx) # Container list for intervals intervals = np.resize(0.0, dims[:-1]+(2,)) for index in make_indices(dims[:-1]): try: index = tuple(index) except TypeError: pass # Sort trace sx = np.sort(tx[index]) # Append to list intervals[index] = calc_min_interval(sx, alpha) # Transpose back before returning return np.array(intervals) else: # Sort univariate node sx = np.sort(x) return np.array(calc_min_interval(sx, alpha)) def hdi2(sample, alpha=0.05, roundto=2): """Calculate highest posterior density (HPD) of array for given alpha. The HPD is the minimum width Bayesian credible interval (BCI). The function works for multimodal distributions, returning more than one mode Parameters ---------- sample : Numpy array or python list An array containing MCMC samples alpha : float Desired probability of type I error (defaults to 0.05) roundto: integer Number of digits after the decimal point for the results Returns ---------- hpd: array with the lower """ sample = np.asarray(sample) sample = sample[~np.isnan(sample)] # get upper and lower bounds l = np.min(sample) u = np.max(sample) density = kde.gaussian_kde(sample) x = np.linspace(l, u, 2000) y = density.evaluate(x) #y = density.evaluate(x, l, u) waitting for PR to be accepted xy_zipped = zip(x, y/np.sum(y)) xy = sorted(xy_zipped, key=lambda x: x[1], reverse=True) xy_cum_sum = 0 hdv = [] for val in xy: xy_cum_sum += val[1] hdv.append(val[0]) if xy_cum_sum >= (1-alpha): break hdv.sort() diff = (u-l)/20 # differences of 5% hpd = [] hpd.append(round(min(hdv), roundto)) for i in range(1, len(hdv)): if hdv[i]-hdv[i-1] >= diff: hpd.append(round(hdv[i-1], roundto)) hpd.append(round(hdv[i], roundto)) hpd.append(round(max(hdv), roundto)) ite = iter(hpd) hpd = list(zip(ite, ite)) modes = [] for value in hpd: x_hpd = x[(x > value[0]) & (x < value[1])] y_hpd = y[(x > value[0]) & (x < value[1])] modes.append(round(x_hpd[np.argmax(y_hpd)], roundto)) return hpd, x, y, modes