Interface base class for all Multivariate Statistical Models. More...

#include <STK_IMultiStatModel.h>

Inheritance diagram for STK::IMultiStatModel< Derived >:

Public Types
typedef hidden::StatModelTraits< Derived >::Data	Data
	Type of the container with the data.

typedef hidden::StatModelTraits< Derived >::Type	Type
	Type of the data in the container.

typedef hidden::StatModelTraits< Derived >::WColVector	WColVector
	Type of the vector with the weights.

typedef hidden::StatModelTraits< Derived >::Parameters	Parameters
	Type of the parameters of the Model.

Public Member Functions
Data const *const	p_data () const

Parameters const &	param () const

String const &	error () const

void	setData (Data const *p_data)
	Set the data set.

bool	run ()
	Estimate the parameters of the model and update the model.

bool	run (WColVector const &weights)
	compute the weighted empirical probability of success based on the observed variables.

void	writeParameters (ostream &os)

void	writeParametersImpl (ostream &os)
	default implementation of the writeParameters method.

Public Member Functions inherited from STK::IStatModelBase
int	nbSample () const

Real	lnNbSample () const

int	nbVariable () const

Real	lnLikelihood () const

Real	likelihood () const

int	nbFreeParameter () const

Real	computeBIC () const

Real	computeAIC () const

Real	computeML () const

Public Member Functions inherited from STK::IRecursiveTemplate< Derived >
Derived &	asDerived ()
	static cast : return a reference of this with a cast to the derived class.

Derived const &	asDerived () const
	static cast : return a const reference of this with a cast to the derived class.

Derived *	asPtrDerived ()
	static cast : return a ptr on a `Derived` of this with a cast to the derived class.

Derived const *	asPtrDerived () const
	static cast : return a ptr on a constant `Derived` of this with a cast to the derived class.

Derived *	clone () const
	create a leaf using the copy constructor of the Derived class.

Derived *	clone (bool isRef) const
	create a leaf using the copy constructor of the Derived class and a flag determining if the clone is a reference or not.

Protected Member Functions
	IMultiStatModel ()
	default constructor.

	IMultiStatModel (Data const &data)
	Constructor with data set.

	IMultiStatModel (Data const *p_data)
	Constructor with a ptr on the data set.

	IMultiStatModel (IMultiStatModel const &model)
	Copy constructor.

	~IMultiStatModel ()
	destructor

Parameters &	param ()

Real	computeLnLikelihood () const
	compute the log Likelihood of the statistical model.

void	update ()
	update the model if a new data set is set

Protected Member Functions inherited from STK::IStatModelBase
	IStatModelBase ()
	Default constructor.

	IStatModelBase (int nbSample)
	Constructor with specified dimension.

	IStatModelBase (int nbSample, int nbVariable)
	Constructor with specified dimension.

	IStatModelBase (IStatModelBase const &model)
	Copy constructor.

	~IStatModelBase ()
	destructor

void	setNbFreeParameter (int const &nbFreeParameter)
	set the number of free parameters of the model

void	setNbSample (int const &nbSample)
	set the number of samples of the model

void	setNbVariable (int const &nbVariable)
	set the number of variables of the model

void	setLnLikelihood (Real const &lnLikelihood)
	set the log-likelihood of the model

void	initialize (int nbSample, int nbVariable)
	set the dimensions of the parameters of the model

Protected Member Functions inherited from STK::IRecursiveTemplate< Derived >
	IRecursiveTemplate ()
	constructor.

	~IRecursiveTemplate ()
	destructor.

Protected Attributes
Data const *	p_data_
	Pointer on the parameters of the model.

Parameters	param_
	Pointer on the parameters of the model.

String	msg_error_
	String with the last error message.

Detailed Description

template<class Derived>
class STK::IMultiStatModel< Derived >

Interface base class for all Multivariate Statistical Models.

A Statistical model, $\mathcal{P}$ , is a collection of multivariate probability distribution functions or probability density functions (collectively referred to as ''distributions'' for brevity). A parametric model is a collection of distributions, each of which is indexed by a unique finite-dimensional parameter: $\mathcal{P}=\{\mathbb{P}_{\theta} : \theta \in \Theta\}$ , where $\theta$ is a parameter and $\Theta \subseteq \mathbb{R}^d$ is the feasible region of parameters, which is a subset of d-dimensional Euclidean space.

A statistical model may be used to describe the set of distributions from which one assumes that a particular data set is sampled. For example, if one assumes that data arise from a multivariate Gaussian distribution, then one has assumed a Gaussian model: $\mathcal{P}=\{\mathbb{P}(x; \mu, \Sigma) = \frac{1}{\sqrt{2 \pi |\Sigma|} } \exp\left\{ -\frac{1}{2}(x-\mu)'\Sigma^{-1}(x-\mu)\right\} : \mu \in \mathbb{R}^p, \Sigma > 0\}$ .

From a computational point of view a statistical model is defined with the help of two elements

A data set where the number of samples is the number of rows and the number of variable is the number of columns. This data set is stored in a Container of type Data.
A set of parameters stored in a class of type Parameters. These parameters can be created using the createParameters method with the effect to call the default constructor of the Parameters class, or can be set to this class using the method setParameters.

The design for this class is the Curious Recursive Pattern. Derived implementations of this interface have to implement the following psudo virtual methods:

int computeNbFreeParameters() const;
Real computeLnLikelihood( RowVector const& rowData) const;
void computeParameters();
void computeParameters(ColVector const& weights);
void writeParameters(ostream& os);

Template Parameters

Dervived any kind of multidimensionnal model.

See also: IMixtureDensity.

Definition at line 112 of file STK_IMultiStatModel.h.

Member Typedef Documentation

◆ Data

template<class Derived >

typedef hidden::StatModelTraits<Derived>::Data STK::IMultiStatModel< Derived >::Data

Type of the container with the data.

Definition at line 116 of file STK_IMultiStatModel.h.

◆ Parameters

template<class Derived >

typedef hidden::StatModelTraits<Derived>::Parameters STK::IMultiStatModel< Derived >::Parameters

Type of the parameters of the Model.

Definition at line 122 of file STK_IMultiStatModel.h.

◆ Type

template<class Derived >

typedef hidden::StatModelTraits<Derived>::Type STK::IMultiStatModel< Derived >::Type

Type of the data in the container.

Definition at line 118 of file STK_IMultiStatModel.h.

◆ WColVector

template<class Derived >

typedef hidden::StatModelTraits<Derived>::WColVector STK::IMultiStatModel< Derived >::WColVector

Type of the vector with the weights.

Definition at line 120 of file STK_IMultiStatModel.h.

Constructor & Destructor Documentation

◆ IMultiStatModel() [1/4]

template<class Derived >

STK::IMultiStatModel< Derived >::IMultiStatModel ( )

inlineprotected

default constructor.

Definition at line 126 of file STK_IMultiStatModel.h.

126: IStatModelBase(), p_data_(0), param_() {}

STK::IMultiStatModel::p_data_

Data const * p_data_

Pointer on the parameters of the model.

Definition STK_IMultiStatModel.h:226

STK::IMultiStatModel::param_

Parameters param_

Pointer on the parameters of the model.

Definition STK_IMultiStatModel.h:228

STK::IStatModelBase::IStatModelBase

IStatModelBase()

Default constructor.

Definition STK_IStatModelBase.h:59

◆ IMultiStatModel() [2/4]

template<class Derived >

STK::IMultiStatModel< Derived >::IMultiStatModel ( Data const & data )

inlineprotected

Constructor with data set.

Definition at line 128 of file STK_IMultiStatModel.h.

128 : IStatModelBase(), p_data_(&data), param_(data.dataij().cols())

129 { this->initialize(data.dataij().sizeRows(), data.dataij().sizeCols());}

STK::IStatModelBase::initialize

void initialize(int nbSample, int nbVariable)

set the dimensions of the parameters of the model

Definition STK_IStatModelBase.h:132

References STK::IStatModelBase::initialize().

◆ IMultiStatModel() [3/4]

template<class Derived >

STK::IMultiStatModel< Derived >::IMultiStatModel ( Data const * p_data )

inlineprotected

Constructor with a ptr on the data set.

Definition at line 131 of file STK_IMultiStatModel.h.

                                        : IStatModelBase(), p_data_(p_data), param_()
    {
      if (p_data)
      {
        this->initialize(p_data->sizeRows(), p_data->sizeCols());
        param_.resize(p_data_->cols());
      }
    }

References STK::IStatModelBase::initialize(), STK::IMultiStatModel< Derived >::p_data(), STK::IMultiStatModel< Derived >::p_data_, and STK::IMultiStatModel< Derived >::param_.

◆ IMultiStatModel() [4/4]

template<class Derived >

STK::IMultiStatModel< Derived >::IMultiStatModel ( IMultiStatModel< Derived > const & model )

inlineprotected

Copy constructor.

Parameters

model the model to copy

Definition at line 142 of file STK_IMultiStatModel.h.

                   : IStatModelBase(model)
                   , p_data_(model.p_data_)
                   , param_(param_)
    {}

◆ ~IMultiStatModel()

template<class Derived >

STK::IMultiStatModel< Derived >::~IMultiStatModel ( )

inlineprotected

destructor

Definition at line 148 of file STK_IMultiStatModel.h.

148{}

Member Function Documentation

◆ computeLnLikelihood()

template<class Derived >

Real STK::IMultiStatModel< Derived >::computeLnLikelihood ( ) const

inlineprotected

compute the log Likelihood of the statistical model.

Definition at line 234 of file STK_IMultiStatModel.h.

    {
      Real sum = 0.0;
      for (int i= p_data()->dataij().beginRows(); i< p_data()->dataij().endRows(); i++)
      { sum += this->asDerived().computeLnLikelihood(p_data()->dataij().row(i));}
      return(sum);
    }

References STK::IRecursiveTemplate< Derived >::asDerived(), STK::IMultiStatModel< Derived >::p_data(), and STK::sum().

Referenced by STK::IMultiStatModel< Derived >::run(), and STK::IMultiStatModel< Derived >::run().

◆ error()

template<class Derived >

String const & STK::IMultiStatModel< Derived >::error ( ) const

inline

Returns: the last error message

Definition at line 156 of file STK_IMultiStatModel.h.

156{ return msg_error_;}

STK::IMultiStatModel::msg_error_

String msg_error_

String with the last error message.

Definition STK_IMultiStatModel.h:230

References STK::IMultiStatModel< Derived >::msg_error_.

◆ p_data()

template<class Derived >

Data const *const STK::IMultiStatModel< Derived >::p_data ( ) const

inline

Returns: the pointer on the parameters

Definition at line 152 of file STK_IMultiStatModel.h.

152{ return (p_data_);}

References STK::IMultiStatModel< Derived >::p_data_.

Referenced by STK::IMultiStatModel< Derived >::computeLnLikelihood(), STK::IMultiStatModel< Derived >::IMultiStatModel(), STK::IMultiStatModel< Derived >::run(), STK::IMultiStatModel< Derived >::run(), STK::IMultiStatModel< Derived >::setData(), and STK::IMultiStatModel< Derived >::update().

◆ param() [1/2]

template<class Derived >

Parameters & STK::IMultiStatModel< Derived >::param ( )

inlineprotected

Returns: the reference on the parameters

Definition at line 232 of file STK_IMultiStatModel.h.

232{ return (param_);}

References STK::IMultiStatModel< Derived >::param_.

◆ param() [2/2]

template<class Derived >

Parameters const & STK::IMultiStatModel< Derived >::param ( ) const

inline

Returns: a reference on the parameters

Definition at line 154 of file STK_IMultiStatModel.h.

154{ return (param_);}

References STK::IMultiStatModel< Derived >::param_.

◆ run() [1/2]

template<class Derived >

bool STK::IMultiStatModel< Derived >::run ( )

inline

Estimate the parameters of the model and update the model.

Definition at line 167 of file STK_IMultiStatModel.h.

    {
#ifdef STK_DEBUG
      if (!p_data())
      { this->msg_error_ = STKERROR_NO_ARG(IMultiStatModel::run,data have not be set);
        return false;
      }
#endif
      try
      {
        // compute parameters
        this->asDerived().computeParameters();
        // compute log-likelihood
        this->setLnLikelihood(computeLnLikelihood());
        // set the number of free parameters
        this->setNbFreeParameter(this->asDerived().computeNbFreeParameters());
      }
      catch (Exception const& e)
      { this->msg_error_ = e.error(); return false;}
      return true;
    }

References STK::IRecursiveTemplate< Derived >::asDerived(), STK::IMultiStatModel< Derived >::computeLnLikelihood(), STK::Exception::error(), STK::IMultiStatModel< Derived >::msg_error_, STK::IMultiStatModel< Derived >::p_data(), STK::IMultiStatModel< Derived >::run(), STK::IStatModelBase::setLnLikelihood(), STK::IStatModelBase::setNbFreeParameter(), and STKERROR_NO_ARG.

Referenced by STK::IMultiStatModel< Derived >::run(), and STK::IMultiStatModel< Derived >::run().

◆ run() [2/2]

template<class Derived >

bool STK::IMultiStatModel< Derived >::run ( WColVector const & weights )

inline

compute the weighted empirical probability of success based on the observed variables.

The NA values are discarded.

Parameters

weights the weights of the observations

Definition at line 192 of file STK_IMultiStatModel.h.

    {
#ifdef STK_DEBUG
      if (!p_data())
      { this->msg_error_ = STKERROR_NO_ARG(IMultiStatModel::run(weights),data have not be set);
        return false;
      }
#endif
      try
      {
        // compute weighted parameters
        this->asDerived().computeParameters(weights);
        // compute log-likelihood
        this->setLnLikelihood(computeLnLikelihood());
        // set the number of free parameters
        this->setNbFreeParameter(this->asDerived().computeNbFreeParameters());
      }
      catch (Exception const& e)
      { this->msg_error_ = e.error(); return false;}
      return true;
    }

References STK::IRecursiveTemplate< Derived >::asDerived(), STK::IMultiStatModel< Derived >::computeLnLikelihood(), STK::Exception::error(), STK::IMultiStatModel< Derived >::msg_error_, STK::IMultiStatModel< Derived >::p_data(), STK::IMultiStatModel< Derived >::run(), STK::IStatModelBase::setLnLikelihood(), STK::IStatModelBase::setNbFreeParameter(), and STKERROR_NO_ARG.

◆ setData()

template<class Derived >

void STK::IMultiStatModel< Derived >::setData ( Data const * p_data )

inline

Set the data set.

If the state of the derived runner change when a new data set is set the user have to overload the udpate() method.

Parameters

p_data A pointer on the data set to run

Definition at line 161 of file STK_IMultiStatModel.h.

    {
      p_data_ = p_data;
      update();
    }

References STK::IMultiStatModel< Derived >::p_data(), STK::IMultiStatModel< Derived >::p_data_, and STK::IMultiStatModel< Derived >::update().

◆ update()

template<class Derived >

void STK::IMultiStatModel< Derived >::update ( )

inlineprotected

update the model if a new data set is set

Definition at line 242 of file STK_IMultiStatModel.h.

    {
      if (p_data_)
      {
        this->initialize(p_data()->dataij().sizeRows(), p_data()->dataij().sizeCols());
        param_.resize(p_data()->dataij().cols());
      }
      else
      { this->initialize(0,0); }
    }

References STK::IStatModelBase::initialize(), STK::IMultiStatModel< Derived >::p_data(), STK::IMultiStatModel< Derived >::p_data_, and STK::IMultiStatModel< Derived >::param_.

Referenced by STK::IMultiStatModel< Derived >::setData().

◆ writeParameters()

template<class Derived >

void STK::IMultiStatModel< Derived >::writeParameters ( ostream & os )

inline

Parameters

os	the output stream for the parameters

Definition at line 214 of file STK_IMultiStatModel.h.

214{ this->asDerived().writeParametersImpl(os);}

References STK::IRecursiveTemplate< Derived >::asDerived().

◆ writeParametersImpl()

template<class Derived >

void STK::IMultiStatModel< Derived >::writeParametersImpl ( ostream & os )

inline

default implementation of the writeParameters method.

Parameters

os	the output stream for the parameters

Definition at line 217 of file STK_IMultiStatModel.h.

    {
#ifdef STK_DEBUG
        stk_cout << _T("You should implement this method in your derived class\n");
#endif
    }

References _T, and stk_cout.

Member Data Documentation

◆ msg_error_

template<class Derived >

String STK::IMultiStatModel< Derived >::msg_error_

protected

String with the last error message.

Definition at line 230 of file STK_IMultiStatModel.h.

Referenced by STK::IMultiStatModel< Derived >::error(), STK::IMultiStatModel< Derived >::run(), and STK::IMultiStatModel< Derived >::run().

◆ p_data_

template<class Derived >

Data const* STK::IMultiStatModel< Derived >::p_data_

protected

Pointer on the parameters of the model.

Definition at line 226 of file STK_IMultiStatModel.h.

Referenced by STK::IMultiStatModel< Derived >::IMultiStatModel(), STK::IMultiStatModel< Derived >::p_data(), STK::IMultiStatModel< Derived >::setData(), and STK::IMultiStatModel< Derived >::update().

◆ param_

template<class Derived >

Parameters STK::IMultiStatModel< Derived >::param_

protected

Pointer on the parameters of the model.

Definition at line 228 of file STK_IMultiStatModel.h.

Referenced by STK::IMultiStatModel< Derived >::IMultiStatModel(), STK::IMultiStatModel< Derived >::param(), STK::IMultiStatModel< Derived >::param(), and STK::IMultiStatModel< Derived >::update().

The documentation for this class was generated from the following file:

STK_IMultiStatModel.h

Public Types

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Member Typedef Documentation

◆ Data

◆ Parameters

◆ Type

◆ WColVector

Constructor & Destructor Documentation

◆ IMultiStatModel() [1/4]

◆ IMultiStatModel() [2/4]

◆ IMultiStatModel() [3/4]

◆ IMultiStatModel() [4/4]

◆ ~IMultiStatModel()

Member Function Documentation

◆ computeLnLikelihood()

◆ error()

◆ p_data()

◆ param() [1/2]

◆ param() [2/2]

◆ run() [1/2]

◆ run() [2/2]

◆ setData()

◆ update()

◆ writeParameters()

◆ writeParametersImpl()

Member Data Documentation

◆ msg_error_

◆ p_data_

◆ param_