.. DO NOT EDIT.
.. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY.
.. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE:
.. "auto_data_analysis/distribution_fitting/plot_smoothing_mixture.py"
.. LINE NUMBERS ARE GIVEN BELOW.

.. only:: html

    .. note::
        :class: sphx-glr-download-link-note

        :ref:`Go to the end <sphx_glr_download_auto_data_analysis_distribution_fitting_plot_smoothing_mixture.py>`
        to download the full example code.

.. rst-class:: sphx-glr-example-title

.. _sphx_glr_auto_data_analysis_distribution_fitting_plot_smoothing_mixture.py:


Bandwidth sensitivity in kernel smoothing
=========================================

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Introduction
------------

When we have a sample, we may estimate the probability density function of the
underlying distribution using kernel smoothing.
One of the parameters of this method is the bandwidth, which can be either
set by the user, or estimated from the data.
This is especially true when the density is multimodal.
In this example, we consider a bimodal distribution and see how the bandwidth
can change the estimated probability density function.

We consider the distribution:

.. math::
   f_1(x) = w_1 f_A(x) + w_2 f_B(x)


for any :math:`x\in\mathbb{R}` where :math:`f_A` is the density of the Normal distribution
:math:`\mathcal{N}(0,1)`, :math:`f_B` is the density of the Normal distribution
:math:`\mathcal{N}(3/2,(1/3)^2)` and the weights are :math:`w_1 = \frac{3}{4}` and :math:`w_2 = \frac{1}{4}`.

This is a mixture of two Normal distributions: 1/4th of the observations have the :math:`\mathcal{N}(0,1)`
distribution and 3/4th of the observations have the :math:`\mathcal{N}(3/2,(1/3)^2)` distribution.
This example is considered in (Wand, Jones, 1994), page 14, Figure 2.3.

We consider a sample generated from independent realizations of :math:`f_1` and
want to approximate the distribution from kernel smoothing.
More precisely, we want to observe the sensitivity of the resulting density to the
bandwidth.

References
----------

* "Kernel Smoothing", M.P.Wand, M.C.Jones. Chapman and Hall / CRC (1994).


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Generate the mixture by merging two samples
-------------------------------------------

In this section, we show that a mixture of two Normal distributions is
nothing more than the merged sample of two independent Normal distributions.
In order to generate a sample with size :math:`n`, we sample
:math:`\lfloor w_1 n\rfloor` points from the first Normal distribution
:math:`f_A` and :math:`\lfloor w_2 n\rfloor` points from the second Normal
distribution :math:`f_B`. Then we merge the two samples.

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.. code-block:: Python

    import openturns as ot
    import openturns.viewer as otv








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We choose a rather large sample size: :math:`n=1000`.

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.. code-block:: Python

    n = 1000








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Then we define the two Normal distributions and their parameters.

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.. code-block:: Python

    w1 = 0.75
    w2 = 1.0 - w1
    distribution1 = ot.Normal(0.0, 1.0)
    distribution2 = ot.Normal(1.5, 1.0 / 3.0)








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We generate two independent sub-samples from the two Normal distributions.

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.. code-block:: Python

    sample1 = distribution1.getSample(int(w1 * n))
    sample2 = distribution2.getSample(int(w2 * n))








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Then we merge the sub-samples into a larger one with the `add` method of the :class:`~openturns.Sample` class.

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.. code-block:: Python

    sample = ot.Sample(sample1)
    sample.add(sample2)
    sample.getSize()





.. rst-class:: sphx-glr-script-out

 .. code-block:: none


    1000



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In order to see the result, we build a kernel smoothing approximation on the sample. In order to keep it simple, let us use the default bandwidth selection rule.

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.. code-block:: Python

    factory = ot.KernelSmoothing()
    fit = factory.build(sample)








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.. code-block:: Python

    graph = fit.drawPDF()
    view = otv.View(graph)




.. image-sg:: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_001.png
   :alt: plot smoothing mixture
   :srcset: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_001.png
   :class: sphx-glr-single-img





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We see that the distribution of the merged sample has two modes.
However, these modes are not clearly distinct. To distinguish them, we could increase the sample size.
However, it might be interesting to see if the bandwidth selection rule can be better chosen: this is the purpose of the next section.

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Simulation based on a mixture
-----------------------------

Since the distribution that we approximate is a mixture, it will be more convenient to create it from the :class:`~openturns.Mixture` class.
It takes as input argument a list of distributions and a list of weights.

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.. code-block:: Python

    distribution = ot.Mixture([distribution1, distribution2], [w1, w2])








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Then we generate a sample from it.

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.. code-block:: Python

    sample = distribution.getSample(n)








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.. code-block:: Python

    factory = ot.KernelSmoothing()
    fit = factory.build(sample)








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.. code-block:: Python

    factory.getBandwidth()






.. raw:: html

    <div class="output_subarea output_html rendered_html output_result">
    class=Point name=Unnamed dimension=1 values=[0.239338]
    </div>
    <br />
    <br />

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We see that the default bandwidth is close to 0.17.

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.. code-block:: Python

    graph = distribution.drawPDF()
    curve = fit.drawPDF()
    graph.add(curve)
    graph.setLegends(["Mixture", "Kernel smoothing"])
    graph.setLegendPosition("upper left")
    view = otv.View(graph)




.. image-sg:: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_002.png
   :alt: plot smoothing mixture
   :srcset: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_002.png
   :class: sphx-glr-single-img





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We see that the result of the kernel smoothing approximation of the mixture is similar to the previous one and could be improved.

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Sensitivity to the bandwidth
----------------------------

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In this section, we observe the sensitivity of the kernel smoothing to the bandwidth.
We consider the three following bandwidths: the small bandwidth 0.05, the large bandwidth 0.54 and 0.18 which is in-between.
For each bandwidth, we use the second optional argument of the `build` method in order to select a specific bandwidth value.

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.. code-block:: Python

    hArray = [0.05, 0.54, 0.18]
    nLen = len(hArray)
    grid = ot.GridLayout(1, len(hArray))
    index = 0
    for i in range(nLen):
        fit = factory.build(sample, [hArray[i]])
        graph = fit.drawPDF()
        exact = distribution.drawPDF()
        curve = exact.getDrawable(0)
        curve.setLegend("Mixture")
        curve.setLineStyle("dashed")
        graph.add(curve)
        graph.setXTitle("X")
        graph.setTitle("h=%.4f" % (hArray[i]))
        graph.setLegends([""])
        bounding_box = graph.getBoundingBox()
        upper_bound = bounding_box.getUpperBound()
        upper_bound[1] = 0.5  # Common y-range
        graph.setBoundingBox(bounding_box)
        grid.setGraph(0, index, graph)
        index += 1

    view = otv.View(grid, figure_kw={"figsize": (10.0, 4.0)})



.. image-sg:: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_003.png
   :alt: , h=0.0500, h=0.5400, h=0.1800
   :srcset: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_003.png
   :class: sphx-glr-single-img





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We see that when the bandwidth is too small, the resulting kernel smoothing has many more modes than the distribution it is supposed to approximate.
When the bandwidth is too large, the approximated distribution is too smooth and has only one mode instead of the expected two modes which are in the mixture distribution.
When the bandwidth is equal to 0.18, the two modes are correctly represented.

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Sensitivity to the bandwidth rule
---------------------------------

The library provides three different rules to compute the bandwidth. In this section, we compare the results that we can get with them.

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.. code-block:: Python

    h1 = factory.computeSilvermanBandwidth(sample)[0]
    h1





.. rst-class:: sphx-glr-script-out

 .. code-block:: none


    0.33910032552397956



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.. code-block:: Python

    h2 = factory.computePluginBandwidth(sample)[0]
    h2





.. rst-class:: sphx-glr-script-out

 .. code-block:: none


    0.19662806234665328



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.. code-block:: Python

    h3 = factory.computeMixedBandwidth(sample)[0]
    h3





.. rst-class:: sphx-glr-script-out

 .. code-block:: none


    0.23933775186772988



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.. code-block:: Python

    factory.getBandwidth()[0]





.. rst-class:: sphx-glr-script-out

 .. code-block:: none


    0.18



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We see that the default rule is the "Mixed" rule. This is because the sample is in dimension 1 and the sample size is quite large.
For a small sample in 1 dimension, the "Plugin" rule would have been used.

The following script compares the results produced by the three rules.

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.. code-block:: Python

    hArray = [h1, h2, h3]
    legends = ["Silverman", "Plugin", "Mixed"]
    nLen = len(hArray)
    grid = ot.GridLayout(1, len(hArray))
    index = 0
    for i in range(nLen):
        fit = factory.build(sample, [hArray[i]])
        graph = fit.drawPDF()
        exact = distribution.drawPDF()
        curve = exact.getDrawable(0)
        curve.setLegend("Mixture")
        curve.setLineStyle("dashed")
        graph.add(curve)
        graph.setLegends([""])
        graph.setTitle("h=%.4f, %s" % (hArray[i], legends[i]))
        graph.setXTitle("X")
        if i > 0:
            graph.setYTitle("")
        bounding_box = graph.getBoundingBox()
        upper_bound = bounding_box.getUpperBound()
        upper_bound[1] = 0.5  # Common y-range
        graph.setBoundingBox(bounding_box)
        grid.setGraph(0, index, graph)
        index += 1

    view = otv.View(grid, figure_kw={"figsize": (10.0, 4.0)})

    otv.View.ShowAll()



.. image-sg:: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_004.png
   :alt: , h=0.3391, Silverman, h=0.1966, Plugin, h=0.2393, Mixed
   :srcset: /auto_data_analysis/distribution_fitting/images/sphx_glr_plot_smoothing_mixture_004.png
   :class: sphx-glr-single-img





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We see that the bandwidth produced by Silverman's rule is too large, leading to an oversmoothed distribution.
The results produced by the Plugin and Mixed rules are comparable in this case.


.. _sphx_glr_download_auto_data_analysis_distribution_fitting_plot_smoothing_mixture.py:

.. only:: html

  .. container:: sphx-glr-footer sphx-glr-footer-example

    .. container:: sphx-glr-download sphx-glr-download-jupyter

      :download:`Download Jupyter notebook: plot_smoothing_mixture.ipynb <plot_smoothing_mixture.ipynb>`

    .. container:: sphx-glr-download sphx-glr-download-python

      :download:`Download Python source code: plot_smoothing_mixture.py <plot_smoothing_mixture.py>`

    .. container:: sphx-glr-download sphx-glr-download-zip

      :download:`Download zipped: plot_smoothing_mixture.zip <plot_smoothing_mixture.zip>`