C-vine pdf #23
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C-vine pdf #23
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… uses quadrature in quadpy for integration
wgurecky
commented
Oct 10, 2019
starvine/vine/C_vine.py
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| j += 1 | ||
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| dim = len(x.columns) | ||
| scheme = quadpy.ncube.stroud_cn_5_9(dim) |
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probably best to rework this. Unfortunately this can become extremely expensive in higher dimensions. Split hypercube up into chunks, then integrate pdf over each chunk. Try scipy.spatial.Delaunay to chop up integration domain, then use quadpy to perform the integration on each chunk.
wgurecky
commented
Oct 10, 2019
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| tstX['1a'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['2b'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['3c'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['4d'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['5e'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| pdf_at_tstX = tstVine.vinePdf(tstX) | ||
| print(pdf_at_tstX) | ||
| self.assertTrue(np.all(pdf_at_tstX > 0.0)) |
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only check pdf on diagonal?
wgurecky
commented
Oct 10, 2019
| self.assertTrue(np.all(pdf_at_tstX > 0.0)) | ||
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| # check vine cdf values | ||
| cdf_at_tstX = tstVine.vineCdf(tstX) |
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