Merge pull request #175 from biaslab/kurtosis_skewness

Add: kurtosis and skewness, Fix: piracy to piracies

Project.toml

@@ -1,7 +1,7 @@
 name = "ExponentialFamily"
 uuid = "62312e5e-252a-4322-ace9-a5f4bf9b357b"
 authors = ["Ismail Senoz <i.senoz@tue.nl>", "Dmitry Bagaev <d.v.bagaev@tue.nl>"]
-version = "1.2.2"
+version = "1.3.0"
 
 [deps]
 BayesBase = "b4ee3484-f114-42fe-b91c-797d54a0c67e"
@@ -28,7 +28,7 @@ TinyHugeNumbers = "783c9a47-75a3-44ac-a16b-f1ab7b3acf04"
 
 [compat]
 Aqua = "0.7"
-BayesBase = "1.1"
+BayesBase = "1.2"
 Distributions = "0.25"
 DomainSets = "0.5.2, 0.6, 0.7"
 FastCholesky = "1.0"

src/distributions/gamma_family/gamma_shape_rate.jl

@@ -26,13 +26,15 @@ GammaShapeRate()                       = GammaShapeRate(1.0, 1.0)
 
 Distributions.@distr_support GammaShapeRate 0 Inf
 
-BayesBase.support(dist::GammaShapeRate) = Distributions.RealInterval(minimum(dist), maximum(dist))
-BayesBase.shape(dist::GammaShapeRate) = dist.a
-BayesBase.rate(dist::GammaShapeRate) = dist.b
-BayesBase.scale(dist::GammaShapeRate) = inv(dist.b)
-BayesBase.mean(dist::GammaShapeRate) = shape(dist) / rate(dist)
-BayesBase.var(dist::GammaShapeRate) = shape(dist) / abs2(rate(dist))
-BayesBase.params(dist::GammaShapeRate) = (shape(dist), rate(dist))
+BayesBase.support(dist::GammaShapeRate)  = Distributions.RealInterval(minimum(dist), maximum(dist))
+BayesBase.shape(dist::GammaShapeRate)    = dist.a
+BayesBase.rate(dist::GammaShapeRate)     = dist.b
+BayesBase.scale(dist::GammaShapeRate)    = inv(dist.b)
+BayesBase.mean(dist::GammaShapeRate)     = shape(dist) / rate(dist)
+BayesBase.var(dist::GammaShapeRate)      = shape(dist) / abs2(rate(dist))
+BayesBase.params(dist::GammaShapeRate)   = (shape(dist), rate(dist))
+BayesBase.kurtosis(dist::GammaShapeRate) = kurtosis(convert(Gamma, dist))
+BayesBase.skewness(dist::GammaShapeRate) = skewness(convert(Gamma, dist))
 
 BayesBase.mode(d::GammaShapeRate) =
     shape(d) >= 1 ? mode(Gamma(shape(d), scale(d))) : throw(error("Gamma has no mode when shape < 1"))

src/distributions/normal_family/normal_mean_precision.jl

@@ -27,15 +27,17 @@ BayesBase.support(dist::NormalMeanPrecision) = Distributions.RealInterval(minimu
 
 BayesBase.weightedmean(dist::NormalMeanPrecision) = precision(dist) * mean(dist)
 
-BayesBase.mean(dist::NormalMeanPrecision)    = dist.μ
-BayesBase.median(dist::NormalMeanPrecision)  = mean(dist)
-BayesBase.mode(dist::NormalMeanPrecision)    = mean(dist)
-BayesBase.var(dist::NormalMeanPrecision)     = inv(dist.w)
-BayesBase.std(dist::NormalMeanPrecision)     = sqrt(var(dist))
-BayesBase.cov(dist::NormalMeanPrecision)     = var(dist)
-BayesBase.invcov(dist::NormalMeanPrecision)  = dist.w
+BayesBase.mean(dist::NormalMeanPrecision) = dist.μ
+BayesBase.median(dist::NormalMeanPrecision) = mean(dist)
+BayesBase.mode(dist::NormalMeanPrecision) = mean(dist)
+BayesBase.var(dist::NormalMeanPrecision) = inv(dist.w)
+BayesBase.std(dist::NormalMeanPrecision) = sqrt(var(dist))
+BayesBase.cov(dist::NormalMeanPrecision) = var(dist)
+BayesBase.invcov(dist::NormalMeanPrecision) = dist.w
 BayesBase.entropy(dist::NormalMeanPrecision) = (1 + log2π - log(precision(dist))) / 2
-BayesBase.params(dist::NormalMeanPrecision)  = (mean(dist), precision(dist))
+BayesBase.params(dist::NormalMeanPrecision) = (mean(dist), precision(dist))
+BayesBase.kurtosis(dist::NormalMeanPrecision) = kurtosis(convert(Normal, dist))
+BayesBase.skewness(dist::NormalMeanPrecision) = skewness(convert(Normal, dist))
 
 BayesBase.pdf(dist::NormalMeanPrecision, x::Real)    = (invsqrt2π * exp(-abs2(x - mean(dist)) * precision(dist) / 2)) * sqrt(precision(dist))
 BayesBase.logpdf(dist::NormalMeanPrecision, x::Real) = -(log2π - log(precision(dist)) + abs2(x - mean(dist)) * precision(dist)) / 2

src/distributions/normal_family/normal_mean_variance.jl

@@ -32,15 +32,18 @@ function BayesBase.weightedmean_invcov(dist::NormalMeanVariance)
     return (xi, w)
 end
 
-BayesBase.mean(dist::NormalMeanVariance)            = dist.μ
-BayesBase.median(dist::NormalMeanVariance)          = mean(dist)
-BayesBase.mode(dist::NormalMeanVariance)            = mean(dist)
-BayesBase.var(dist::NormalMeanVariance)             = dist.v
-BayesBase.std(dist::NormalMeanVariance)             = sqrt(var(dist))
-BayesBase.cov(dist::NormalMeanVariance)             = var(dist)
-BayesBase.invcov(dist::NormalMeanVariance)          = inv(cov(dist))
-BayesBase.entropy(dist::NormalMeanVariance)         = (1 + log2π + log(var(dist))) / 2
-BayesBase.params(dist::NormalMeanVariance)          = (dist.μ, dist.v)
+BayesBase.mean(dist::NormalMeanVariance)     = dist.μ
+BayesBase.median(dist::NormalMeanVariance)   = mean(dist)
+BayesBase.mode(dist::NormalMeanVariance)     = mean(dist)
+BayesBase.var(dist::NormalMeanVariance)      = dist.v
+BayesBase.std(dist::NormalMeanVariance)      = sqrt(var(dist))
+BayesBase.cov(dist::NormalMeanVariance)      = var(dist)
+BayesBase.invcov(dist::NormalMeanVariance)   = inv(cov(dist))
+BayesBase.entropy(dist::NormalMeanVariance)  = (1 + log2π + log(var(dist))) / 2
+BayesBase.params(dist::NormalMeanVariance)   = (dist.μ, dist.v)
+BayesBase.kurtosis(dist::NormalMeanVariance) = kurtosis(convert(Normal, dist))
+BayesBase.skewness(dist::NormalMeanVariance) = skewness(convert(Normal, dist))
+
 BayesBase.pdf(dist::NormalMeanVariance, x::Real)    = (invsqrt2π * exp(-abs2(x - mean(dist)) / 2cov(dist))) / std(dist)
 BayesBase.logpdf(dist::NormalMeanVariance, x::Real) = -(log2π + log(var(dist)) + abs2(x - mean(dist)) / var(dist)) / 2
 

src/distributions/normal_family/normal_weighted_mean_precision.jl

@@ -42,6 +42,8 @@ BayesBase.cov(dist::NormalWeightedMeanPrecision)             = var(dist)
 BayesBase.invcov(dist::NormalWeightedMeanPrecision)          = dist.w
 BayesBase.entropy(dist::NormalWeightedMeanPrecision)         = (1 + log2π - log(precision(dist))) / 2
 BayesBase.params(dist::NormalWeightedMeanPrecision)          = (weightedmean(dist), precision(dist))
+BayesBase.kurtosis(dist::NormalWeightedMeanPrecision)        = kurtosis(convert(Normal, dist))
+BayesBase.skewness(dist::NormalWeightedMeanPrecision)        = skewness(convert(Normal, dist))
 BayesBase.pdf(dist::NormalWeightedMeanPrecision, x::Real)    = (invsqrt2π * exp(-abs2(x - mean(dist)) * precision(dist) / 2)) * sqrt(precision(dist))
 BayesBase.logpdf(dist::NormalWeightedMeanPrecision, x::Real) = -(log2π - log(precision(dist)) + abs2(x - mean(dist)) * precision(dist)) / 2
 

src/exponential_family.jl

@@ -830,6 +830,8 @@ BayesBase.mean(ef::ExponentialFamilyDistribution{T}) where {T <: Distribution} =
 BayesBase.var(ef::ExponentialFamilyDistribution{T}) where {T <: Distribution} = var(convert(T, ef))
 BayesBase.std(ef::ExponentialFamilyDistribution{T}) where {T <: Distribution} = std(convert(T, ef))
 BayesBase.cov(ef::ExponentialFamilyDistribution{T}) where {T <: Distribution} = cov(convert(T, ef))
+BayesBase.skewness(ef::ExponentialFamilyDistribution{T}) where {T <: Distribution} = skewness(convert(T, ef))
+BayesBase.kurtosis(ef::ExponentialFamilyDistribution{T}) where {T <: Distribution} = kurtosis(convert(T, ef))
 
 BayesBase.rand(ef::ExponentialFamilyDistribution, args...) = rand(Random.default_rng(), ef, args...)
 BayesBase.rand!(ef::ExponentialFamilyDistribution, args...) = rand!(Random.default_rng(), ef, args...)

test/distributions/distributions_setuptests.jl

@@ -57,7 +57,7 @@ function test_exponentialfamily_interface(distribution;
     test_fisherinformation_properties = true,
     test_fisherinformation_against_hessian = true,
     test_fisherinformation_against_jacobian = true,
-    option_assume_no_allocations = false,
+    option_assume_no_allocations = false
 )
     T = ExponentialFamily.exponential_family_typetag(distribution)
 
@@ -203,6 +203,17 @@ function run_test_basic_functions(distribution; nsamples = 10, test_gradients =
     # ! do not use fixed RNG
     samples = [rand(distribution) for _ in 1:nsamples]
 
+    # Not all methods are defined for all objects in Distributions.jl 
+    # For this methods we first test if the method is defined for the distribution
+    # And only then we test the method for the exponential family form
+    potentially_missing_methods = (
+        cov,
+        skewness,
+        kurtosis
+    )
+
+    argument_type = Tuple{typeof(distribution)}
+
     for x in samples
         # We believe in the implementation in the `Distributions.jl`
         @test @inferred(logpdf(ef, x)) ≈ logpdf(distribution, x)
@@ -214,6 +225,12 @@ function run_test_basic_functions(distribution; nsamples = 10, test_gradients =
         @test all(rand(StableRNG(42), ef, 10) .≈ rand(StableRNG(42), distribution, 10))
         @test all(rand!(StableRNG(42), ef, [deepcopy(x) for _ in 1:10]) .≈ rand!(StableRNG(42), distribution, [deepcopy(x) for _ in 1:10]))
 
+        for method in potentially_missing_methods
+            if hasmethod(method, argument_type)
+                @test @inferred(method(ef)) ≈ method(distribution)
+            end
+        end
+
         @test @inferred(isbasemeasureconstant(ef)) === isbasemeasureconstant(T)
         @test @inferred(basemeasure(ef, x)) == getbasemeasure(T, conditioner)(x)
         @test all(@inferred(sufficientstatistics(ef, x)) .== map(f -> f(x), getsufficientstatistics(T, conditioner)))

test/distributions/gamma_inverse_tests.jl

@@ -45,7 +45,7 @@ end
 @testitem "GammaInverse: ExponentialFamilyDistribution" begin
     include("distributions_setuptests.jl")
 
-    for α in 10rand(4), θ in 10rand(4)
+    for α in (10rand(4) .+ 4.0), θ in 10rand(4)
         @testset let d = InverseGamma(α, θ)
             ef = test_exponentialfamily_interface(d; option_assume_no_allocations = true)
 

test/distributions/mv_normal_wishart_tests.jl

@@ -14,7 +14,7 @@ end
 @testitem "MvNormalWishart: ExponentialFamilyDistribution" begin
     include("distributions_setuptests.jl")
 
-    for dim in (3), invS in rand(Wishart(10, Array(Eye(dim))), 4)
+    for dim in (3,), invS in rand(Wishart(10, Array(Eye(dim))), 4)
         ν = dim + 2
         @testset let (d = MvNormalWishart(rand(dim), invS, rand(), ν))
             ef = test_exponentialfamily_interface(
@@ -25,7 +25,7 @@ end
                 test_fisherinformation_against_jacobian = false
             )
 
-            run_test_basic_functions(ef; assume_no_allocations = false, test_samples_logpdf = false)
+            run_test_basic_functions(d; assume_no_allocations = false, test_samples_logpdf = false)
         end
     end
 end

test/distributions/pareto_tests.jl

@@ -5,7 +5,7 @@
 @testitem "Pareto: ExponentialFamilyDistribution" begin
     include("distributions_setuptests.jl")
 
-    for shape in (1.0, 2.0, 3.0), scale in (0.25, 0.5, 2.0)
+    for shape in (5.0, 6.0, 7.0), scale in (0.25, 0.5, 2.0)
         @testset let d = Pareto(shape, scale)
             ef = test_exponentialfamily_interface(d; option_assume_no_allocations = false)
             η1 = -shape - 1