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Fixes #77 to use correct BIC formula
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cokelaer committed Aug 8, 2023
1 parent 7cf1fe8 commit 470e712
Showing 1 changed file with 22 additions and 10 deletions.
32 changes: 22 additions & 10 deletions src/fitter/fitter.py
Original file line number Diff line number Diff line change
Expand Up @@ -127,15 +127,23 @@ class Fitter(object):
>>> # fit and plot
>>> f.fit()
>>> f.summary()
sumsquare_error
gamma 0.000095
beta 0.000179
chi 0.012247
cauchy 0.044443
anglit 0.051672
[5 rows x 1 columns]
Once the data has been fitted, the :meth:`summary` metod returns a sorted dataframe where the
sumsquare_error aic bic kl_div ks_statistic ks_pvalue
loggamma 0.001176 995.866732 -159536.164644 inf 0.008459 0.469031
gennorm 0.001181 993.145832 -159489.437372 inf 0.006833 0.736164
norm 0.001189 992.975187 -159427.247523 inf 0.007138 0.685416
truncnorm 0.001189 996.975182 -159408.826771 inf 0.007138 0.685416
crystalball 0.001189 996.975078 -159408.821960 inf 0.007138 0.685434
Once the data has been fitted, the :meth:`summary` method returns a sorted dataframe where
the index represents the distribution names.
The AIC is computed using :math:`aic = 2 * k - 2 * log(Lik)`,
and the BIC is computed as :math:`k * log(n) - 2 * log(Lik)`.
where Lik is the maximized value of the likelihood function of the model,
n the number of data point and k the number of parameter.
Looping over the 80 distributions in SciPy could takes some times so you can overwrite the
:attr:`distributions` with a subset if you want. In order to reload all distributions,
Expand Down Expand Up @@ -316,7 +324,11 @@ def _fit_single_distribution(self, distribution):
k = len(param[:])
n = len(self._data)
aic = 2 * k - 2 * logLik
bic = n * np.log(sq_error / n) + k * np.log(n)

# special case of gaussian distribution
#bic = n * np.log(sq_error / n) + k * np.log(n)
# general case:
bic = k * pylab.log(n) - 2 * logLik

# calculate kullback leibler divergence
kullback_leibler = kl_div(self.fitted_pdf[distribution], self.y)
Expand Down Expand Up @@ -427,7 +439,7 @@ def get_best(self, method="sumsquare_error"):
return {name: param_dict}

def summary(self, Nbest=5, lw=2, plot=True, method="sumsquare_error", clf=True):
"""Plots the distribution of the data and Nbest distribution"""
"""Plots the distribution of the data and N best distributions"""
if plot:
if clf:
pylab.clf()
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