# pylint: disable=no-name-in-module
import json
import re
import sys
from copy import deepcopy
from os.path import dirname, join
import numpy as np
import pandas as pd
from scipy.special import hyp2f1
from statsmodels.genmod import families as genmod_families
from statsmodels.genmod.generalized_linear_model import GLM
from statsmodels.tools.sm_exceptions import PerfectSeparationError
genmod_links = genmod_families.links
[docs]class Family:
"""A specification of model family.
Parameters
----------
name : str
Family name.
prior : Prior
A ``Prior`` instance specifying the model likelihood prior.
link : str
The name of the link function transforming the linear model prediction to a parameter of
the likelihood.
parent : str
The name of the prior parameter to set to the link-transformed predicted outcome
(e.g., ``'mu'``, ``'p'``, etc.).
"""
def __init__(self, name, prior, link, parent):
self.smlink = None
fams = {
"bernoulli": genmod_families.Binomial,
"gamma": genmod_families.Gamma,
"gaussian": genmod_families.Gaussian,
"wald": genmod_families.InverseGaussian,
"negativebinomial": genmod_families.NegativeBinomial,
"poisson": genmod_families.Poisson,
"t": None, # not implemented in statsmodels
}
self.name = name
self.prior = prior
self.link = link
self.parent = parent
self.smfamily = fams.get(name, None)
def _set_link(self, link):
"""Set new link function.
It updates both ``self.link`` (a string consumed by the backend) and ``self.smlink``
(the link instance for the statsmodel family)
"""
links = {
"identity": genmod_links.identity(),
"logit": genmod_links.logit(),
"probit": genmod_links.probit(),
"cloglog": genmod_links.cloglog(),
"inverse": genmod_links.inverse_power(),
"inverse_squared": genmod_links.inverse_squared(),
"log": genmod_links.log(),
}
self.link = link
if link in links:
self.smlink = links[link]
else:
raise ValueError("Link name is not supported.")
def __str__(self):
if self.smfamily is None:
str_ = "No family set"
else:
priors_str = ",\n ".join(
[
f"{k}: {np.round_(v, 8)}" if not isinstance(v, Prior) else f"{k}: {v}"
for k, v in self.prior.args.items()
if k not in ["observed", self.parent]
]
)
str_ = f"Response distribution: {self.smfamily.__name__}\n"
str_ += f"Link: {self.link}\n"
str_ += f"Priors:\n {priors_str}"
return str_
def __repr__(self):
return self.__str__()
[docs]class Prior:
"""Abstract specification of a term prior.
Parameters
----------
name : str
Name of prior distribution (e.g., ``'Normal'``, ``'Bernoulli'``, etc.)
kwargs : dict
Optional keywords specifying the parameters of the named distribution.
"""
def __init__(self, name, scale=None, **kwargs):
self.name = name
self._auto_scale = True
self.scale = scale
self.args = {}
self.update(**kwargs)
[docs] def update(self, **kwargs):
"""Update the model arguments with additional arguments.
Parameters
----------
kwargs : dict
Optional keyword arguments to add to prior args.
"""
# Backends expect numpy arrays, so make sure all numeric values are represented as such.
kwargs_ = {}
for key, val in kwargs.items():
if isinstance(val, (int, float)):
val = np.array(val)
elif isinstance(val, np.ndarray):
val = val.squeeze()
kwargs_[key] = val
self.args.update(kwargs_)
def __eq__(self, other):
if not isinstance(other, type(self)):
return False
else:
return self.__dict__ == other.__dict__
def __str__(self):
args = ", ".join(
[
f"{k}: {np.round_(v, 8)}" if not isinstance(v, Prior) else f"{k}: {v}"
for k, v in self.args.items()
]
)
return f"{self.name}({args})"
def __repr__(self):
return self.__str__()
[docs]class PriorFactory:
"""An object that supports specification and easy retrieval of default priors.
Parameters
----------
defaults : str or dict
Optional base configuration containing default priors for distribution, families, and term
types. If a string, the name of a JSON file containing the config. If a dict, must contain
keys for ``'dists'``, ``'terms'``, and ``'families'``; see the built-in JSON configuration
for an example. If ``None``, a built-in set of priors will be used as defaults.
dists : dict
Optional specification of named distributions to use as priors. Each key gives the name of
a newly defined distribution; values are two-element lists, where the first element is the
name of the built-in distribution to use (``'Normal'``, ``'Cauchy',`` etc.), and the second
element is a dictionary of parameters on that distribution
(e.g., ``{'mu': 0, 'sigma': 10}``). Priors can be nested to arbitrary depths by replacing
any parameter with another prior specification.
terms : dict
Optional specification of default priors for different model term types. Valid keys are
``'intercept'``, ``'common'``, or ``'group_specific'``. Values are either strings preprended
by a #, in which case they are interpreted as pointers to distributions named in
the dists dictionary, or key -> value specifications in the same format as elements in
the dists dictionary.
families : dict
Optional specification of default priors for named family objects. Keys are family names,
and values are dicts containing mandatory keys for ``'dist'``, ``'link'``, and ``'parent'``.
Examples
--------
>>> dists = {'my_dist': ['Normal', {'mu': 10, 'sigma': 1000}]}
>>> pf = PriorFactory(dists=dists)
>>> families = {'normalish': {'dist': ['normal', {sigma: '#my_dist'}],
>>> link:'identity', parent: 'mu'}}
>>> pf = PriorFactory(dists=dists, families=families)
"""
def __init__(self, defaults=None, dists=None, terms=None, families=None):
if defaults is None:
defaults = join(dirname(__file__), "config", "priors.json")
if isinstance(defaults, str):
with open(defaults, "r") as ofile:
defaults = json.load(ofile)
# Just in case the user plans to use the same defaults elsewhere
defaults = deepcopy(defaults)
if isinstance(dists, dict):
defaults["dists"].update(dists)
if isinstance(terms, dict):
defaults["terms"].update(terms)
if isinstance(families, dict):
defaults["families"].update(families)
self.dists = defaults["dists"]
self.terms = defaults["terms"]
self.families = defaults["families"]
def _get_prior(self, spec, **kwargs):
if isinstance(spec, str):
spec = re.sub(r"^\#", "", spec)
return self._get_prior(self.dists[spec])
elif isinstance(spec, (list, tuple)):
name, args = spec
if name.startswith("#"):
name = re.sub(r"^\#", "", name)
prior = self._get_prior(self.dists[name])
else:
prior = Prior(name, **kwargs)
args = {k: self._get_prior(v) for (k, v) in args.items()}
prior.update(**args)
return prior
else:
return spec
# pylint: disable=inconsistent-return-statements
[docs] def get(self, dist=None, term=None, family=None):
"""Retrieve default prior for a named distribution, term type, or family.
Parameters
----------
dist : str
Name of desired distribution. Note that the name is the key in the defaults dictionary,
not the name of the ``Distribution`` object used to construct the prior.
term : str
The type of term family to retrieve defaults for. Must be one of ``'intercept'``,
``'common'``, or ``'group_specific'``.
family : str
The name of the ``Family`` to retrieve. Must be a value defined internally.
In the default config, this is one of ``'gaussian'``, ``'bernoulli'``, ``'poisson'``,
``'gama'``, ``'wald'``, or ``'negativebinomial'``.
"""
if dist is not None:
if dist not in self.dists:
raise ValueError(f"{dist} is not a valid distribution name.")
return self._get_prior(self.dists[dist])
elif term is not None:
if term not in self.terms:
raise ValueError(f"{term} is not a valid term type.")
return self._get_prior(self.terms[term])
elif family is not None:
if family not in self.families:
raise ValueError(f"{family} is not a valid family name.")
_f = self.families[family]
prior = self._get_prior(_f["dist"])
return Family(family, prior, _f["link"], _f["parent"])
class PriorScaler:
# Default is 'wide'. The wide prior sigma is sqrt(1/3) = .577 on the partial
# corr scale, which is the sigma of a flat prior over [-1,1].
names = {"narrow": 0.2, "medium": 0.4, "wide": 3 ** -0.5, "superwide": 0.8}
def __init__(self, model, taylor):
self.model = model
self.stats = model.dm_statistics if hasattr(model, "dm_statistics") else None
self.dm = pd.DataFrame(
{
lev: term.data[:, i]
for term in model.common_terms.values()
for i, lev in enumerate(term.levels)
}
)
self.priors = {}
self.mle = None
self.taylor = taylor
with open(join(dirname(__file__), "config", "derivs.txt"), "r") as file:
self.deriv = [next(file).strip("\n") for x in range(taylor + 1)]
def _get_slope_stats(self, exog, predictor, sigma_corr, full_mod=None, points=4):
"""
Parameters
----------
full_mod : statsmodels.genmod.generalized_linear_model.GLM
Statsmodels GLM to replace MLE model. For when ``'predictor'`` is not in the common
part of the model.
points : int
Number of points to use for LL approximation.
"""
if full_mod is None:
full_mod = self.mle
# figure out which column of exog to drop for the null model
keeps = [
i
for i, x in enumerate(list(exog.columns))
if not np.array_equal(predictor, exog[x].values.flatten())
]
i = [x for x in range(exog.shape[1]) if x not in keeps][0]
# get log-likelihood values from beta=0 to beta=MLE
values = np.linspace(0.0, full_mod.params[i], points)
# if there are multiple predictors, use statsmodels to optimize the LL
if keeps:
null = [
GLM(
endog=self.model.response.data,
exog=exog,
family=self.model.family.smfamily(self.model.family.smlink),
).fit_constrained(str(exog.columns[i]) + "=" + str(val))
for val in values[:-1]
]
null = np.append(null, full_mod)
log_likelihood = np.array([x.llf for x in null])
# if just a single predictor, use statsmodels to evaluate the LL
else:
null = [
self.model.family.smfamily(self.model.family.smlink).loglike(
np.squeeze(self.model.response.data), val * predictor
)
for val in values[:-1]
]
log_likelihood = np.append(null, full_mod.llf)
# compute params of quartic approximatino to log-likelihood
# c: intercept, d: shift parameter
# a: quartic coefficient, b: quadratic coefficient
intercept, shift_parameter = log_likelihood[-1], -(full_mod.params[i].item())
X = np.array([(values + shift_parameter) ** 4, (values + shift_parameter) ** 2]).T
coef_a, coef_b = np.squeeze(
np.linalg.multi_dot(
[np.linalg.inv(np.dot(X.T, X)), X.T, (log_likelihood[:, None] - intercept)]
)
)
# m, v: mean and variance of beta distribution of correlations
# p, q: corresponding shape parameters of beta distribution
mean = 0.5
variance = sigma_corr ** 2 / 4
p = mean * (mean * (1 - mean) / variance - 1)
q = (1 - mean) * (mean * (1 - mean) / variance - 1)
# function to return central moments of rescaled beta distribution
def moment(k):
return (2 * p / (p + q)) ** k * hyp2f1(p, -k, p + q, (p + q) / p)
# evaluate the derivatives of beta = f(correlation).
# dict 'point' gives points about which to Taylor expand. We want to
# expand about the mean (generally 0), but some of the derivatives
# do not exist at 0. Evaluating at a point very close to 0 (e.g., .001)
# generally gives good results, but the higher order the expansion, the
# further from 0 we need to evaluate the derivatives, or they blow up.
point = dict(zip(range(1, 14), 2 ** np.linspace(-1, 5, 13) / 100))
vals = dict(a=coef_a, b=coef_b, n=len(self.model.response.data), r=point[self.taylor])
_deriv = [eval(x, globals(), vals) for x in self.deriv] # pylint: disable=eval-used
# compute and return the approximate sigma
def term(i, j):
return (
1
/ np.math.factorial(i)
* 1
/ np.math.factorial(j)
* _deriv[i]
* _deriv[j]
* (moment(i + j) - moment(i) * moment(j))
)
terms = [term(i, j) for i in range(1, self.taylor + 1) for j in range(1, self.taylor + 1)]
return np.array(terms).sum() ** 0.5
def _get_intercept_stats(self, add_slopes=True):
# start with mean and variance of Y on the link scale
mod = GLM(
endog=self.model.response.data,
exog=np.repeat(1, len(self.model.response.data)),
family=self.model.family.smfamily(self.model.family.smlink),
missing="drop" if self.model.dropna else "none",
).fit()
mu = mod.params
# multiply SE by sqrt(N) to turn it into (approx.) sigma(Y) on link scale
sigma = (mod.cov_params()[0] * len(mod.mu)) ** 0.5
# modify mu and sigma based on means and sigmas of slope priors.
if len(self.model.common_terms) > 1 and add_slopes:
means = np.array([x["mu"] for x in self.priors.values()])
sigmas = np.array([x["sigma"] for x in self.priors.values()])
# add to intercept prior
index = list(self.priors.keys())
mu -= np.dot(means, self.stats["mean_x"][index])
sigma = (sigma ** 2 + np.dot(sigmas ** 2, self.stats["mean_x"][index] ** 2)) ** 0.5
return mu, sigma
def _scale_common(self, term):
# these defaults are only defined for Normal priors
if term.prior.name != "Normal":
return
mu = []
sigma = []
sigma_corr = term.prior.scale
for pred in term.data.T:
mu += [0]
sigma += [self._get_slope_stats(exog=self.dm, predictor=pred, sigma_corr=sigma_corr)]
# save and set prior
for i, lev in enumerate(term.levels):
self.priors.update({lev: {"mu": mu[i], "sigma": sigma[i]}})
term.prior.update(mu=np.array(mu), sigma=np.array(sigma))
def _scale_intercept(self, term):
# default priors are only defined for Normal priors
if term.prior.name != "Normal":
return
# get prior mean and sigma for common intercept
mu, sigma = self._get_intercept_stats()
# save and set prior
term.prior.update(mu=mu, sigma=sigma)
def _scale_group_specific(self, term):
# these default priors are only defined for HalfNormal priors
if term.prior.args["sigma"].name != "HalfNormal":
return
sigma_corr = term.prior.scale
# recreate the corresponding common effect data
fix_data = term.data.sum(axis=1)
# handle intercepts and cell means
if term.constant:
_, sigma = self._get_intercept_stats()
sigma *= sigma_corr
# handle slopes
else:
exists = [
x
for x in self.dm.columns # pylint: disable=not-an-iterable
if np.array_equal(fix_data, self.dm[x].values)
]
# handle case where there IS a corresponding common effect
if exists and exists[0] in self.priors.keys():
sigma = self.priors[exists[0]]["sigma"]
# handle case where there IS NOT a corresponding common effect
else:
# the usual case: add the group specific effect data as a common effect
# in the design matrix
if not exists:
fix_dataframe = pd.DataFrame(fix_data)
# things break if column names are integers (the default)
fix_dataframe.rename(
columns={
c: "_" + str(c)
for c in fix_dataframe.columns # pylint: disable=not-an-iterable
},
inplace=True,
)
exog = self.dm.join(fix_dataframe)
# this handles the corner case where there technically is the
# corresponding common effect, but the parameterization differs
# between the common- and group-specific-effect specification. usually
# this means the common effects use cell-means coding but the
# group specific effects use k-1 coding
else:
group = term.name.split("|")[1]
exog = self.model.group_specific_terms.values()
exog = [v.data.sum(1) for v in exog if v.name.split("|")[-1] == group]
index = ["_" + str(i) for i in range(len(exog))]
exog = pd.DataFrame(exog, index=index).T
# this will replace self.mle (which is missing predictors)
missing = "drop" if self.model.dropna else "none"
full_mod = GLM(
endog=self.model.response.data,
exog=exog,
family=self.model.family.smfamily(self.model.family.smlink),
missing=missing,
).fit()
sigma = self._get_slope_stats(
exog=exog, predictor=fix_data, full_mod=full_mod, sigma_corr=sigma_corr
)
# set the prior sigma.
term.prior.args["sigma"].update(sigma=np.squeeze(np.atleast_1d(sigma)))
def scale(self):
# classify all terms
common_intercepts = [
term
for term in self.model.terms.values()
if not term.group_specific and term.data.sum(1).var() == 0
]
common_slopes = [
term
for term in self.model.terms.values()
if not term.group_specific and not term.data.sum(1).var() == 0
]
group_specific_terms = [term for term in self.model.terms.values() if term.group_specific]
# arrange them in the order in which they should be initialized
term_list = common_slopes + common_intercepts + group_specific_terms
term_types = (
["common"] * len(common_slopes)
+ ["intercept"] * len(common_intercepts)
+ ["group_specific"] * len(group_specific_terms)
)
# initialize them in order
for term, term_type in zip(term_list, term_types):
if term.prior.scale is None:
# pylint: disable=protected-access
if not term.prior._auto_scale or not self.model.auto_scale:
continue
term.prior.scale = "wide"
# MLE is fitted only once.
if self.mle is None:
self._fit_mle()
# Convert scale names to float
if isinstance(term.prior.scale, str):
term.prior.scale = PriorScaler.names[term.prior.scale]
# scale it!
getattr(self, f"_scale_{term_type}")(term)
def _fit_mle(self):
"""Fits MLE of the common part of the model.
This used to be called in the class instantiation, but there is no need to fit the GLM when
there are no automatic priors. So this method is only called when needed.
"""
missing = "drop" if self.model.dropna else "none"
try:
self.mle = GLM(
endog=self.model.response.data,
exog=self.dm,
family=self.model.family.smfamily(self.model.family.smlink),
missing=missing,
).fit()
except PerfectSeparationError as error:
msg = "Perfect separation detected, automatic priors are not available. "
msg += "Please indicate priors manually."
raise PerfectSeparationError(msg) from error
except:
print("Unexpected error:", sys.exc_info()[0])
raise