MethodOfMomentsFactory¶

class MethodOfMomentsFactory(*args)¶

Estimation by method of moments.

Implements generic estimation by method of moments.

Parameters:

distributionDistribution: The distribution defining the parametric model to be adjusted to data.
boundsInterval, optional: Parameter bounds

See also

DistributionFactory

Notes

The underlying optimization problem seeks to minimize the sum of slacks between the central moments of the sample and the central moments of the parametric model:

$\Delta = \argmin_{\vect{\theta} \in \Rset^K} [ |\mu_1-m_1|/\sigma ]^2 + \sum_{i=2}^K[ (|\mu_i|^{1/i}-|m_i|^{1/i})/\sigma ]^2$

with $K$ the number of parameters of the distribution, $\mu_i$ and $m_i$ the central moments of the sample and the parametric model.

Examples

>>> import openturns as ot
>>> ot.RandomGenerator.SetSeed(0)
>>> distribution = ot.Normal(0.9, 1.7)
>>> sample = distribution.getSample(10)
>>> factory = ot.MethodOfMomentsFactory(ot.Normal())
>>> inf_distribution = factory.build(sample)

With parameter bounds:

>>> bounds = ot.Interval([0.8, 1.6], [1.0, 1.8])
>>> factory = ot.MethodOfMomentsFactory(ot.Normal(), bounds)
>>> inf_distribution = factory.build(sample)

Methods

`build`(*args)	Build the distribution.
`buildEstimator`(*args)	Build the distribution and the parameter distribution.
`buildFromMoments`(moments)	Build from moments.
`getBootstrapSize`()	Accessor to the bootstrap size.
`getClassName`()	Accessor to the object's name.
`getId`()	Accessor to the object's id.
`getKnownParameterIndices`()	Accessor to the known parameters indices.
`getKnownParameterValues`()	Accessor to the known parameters indices.
`getName`()	Accessor to the object's name.
`getOptimizationAlgorithm`()	Accessor to the solver.
`getOptimizationBounds`()	Accessor to the optimization bounds.
`getShadowedId`()	Accessor to the object's shadowed id.
`getVisibility`()	Accessor to the object's visibility state.
`hasName`()	Test if the object is named.
`hasVisibleName`()	Test if the object has a distinguishable name.
`setBootstrapSize`(bootstrapSize)	Accessor to the bootstrap size.
`setKnownParameter`(values, positions)	Accessor to the known parameters.
`setName`(name)	Accessor to the object's name.
`setOptimizationAlgorithm`(solver)	Accessor to the solver.
`setOptimizationBounds`(optimizationBounds)	Accessor to the optimization bounds.
`setShadowedId`(id)	Accessor to the object's shadowed id.
`setVisibility`(visible)	Accessor to the object's visibility state.

__init__(*args)¶

build(*args)¶

Build the distribution.

Available usages:

build(sample)

build(param)

Parameters:

sample2-d sequence of float: Sample from which the distribution parameters are estimated.
paramCollection of PointWithDescription: A vector of parameters of the distribution.

Returns:

distDistribution: The built distribution.

buildEstimator(*args)¶

Build the distribution and the parameter distribution.

Parameters:

sample2-d sequence of float: Sample from which the distribution parameters are estimated.
parametersDistributionParameters: Optional, the parametrization.

Returns:

resDistDistributionFactoryResult: The results.

Notes

According to the way the native parameters of the distribution are estimated, the parameters distribution differs:

Moments method: the asymptotic parameters distribution is normal and estimated by Bootstrap on the initial data;

Maximum likelihood method with a regular model: the asymptotic parameters distribution is normal and its covariance matrix is the inverse Fisher information matrix;

Other methods: the asymptotic parameters distribution is estimated by Bootstrap on the initial data and kernel fitting (see KernelSmoothing).

If another set of parameters is specified, the native parameters distribution is first estimated and the new distribution is determined from it:

if the native parameters distribution is normal and the transformation regular at the estimated parameters values: the asymptotic parameters distribution is normal and its covariance matrix determined from the inverse Fisher information matrix of the native parameters and the transformation;

in the other cases, the asymptotic parameters distribution is estimated by Bootstrap on the initial data and kernel fitting.

buildFromMoments(moments)¶

Build from moments.

Parameters:

momentssequence of float: Consists in the mean followed by consecutive central moments from order 2 (variance), of total size at least the distribution parameter dimension.

Returns:

distDistribution: Estimated distribution.

Notes

Depending on the parametric model choosed, not all moments define a valid distribution, so it should only used with empirical moments from the same model.

Examples

>>> import openturns as ot
>>> distribution = ot.Beta(2.3, 2.2, -1.0, 1.0)
>>> factory = ot.MethodOfMomentsFactory(ot.Beta())
>>> cm = [distribution.getCentralMoment(i + 2)[0] for i in range(3)]
>>> moments = [distribution.getMean()[0]] + cm
>>> inf_distribution = factory.buildFromMoments(moments)

getBootstrapSize()¶

Accessor to the bootstrap size.

Returns:

sizeinteger: Size of the bootstrap.

getClassName()¶

Accessor to the object’s name.

Returns:

class_namestr: The object class name (object.__class__.__name__).

getId()¶

Accessor to the object’s id.

Returns:

idint: Internal unique identifier.

getKnownParameterIndices()¶

Accessor to the known parameters indices.

Returns:

indicesIndices: Indices of fixed parameters.

getKnownParameterValues()¶

Accessor to the known parameters indices.

Returns:

valuesPoint: Values of fixed parameters.

getName()¶

Accessor to the object’s name.

Returns:

namestr: The name of the object.

getOptimizationAlgorithm()¶

Accessor to the solver.

Returns:

solverOptimizationAlgorithm: The solver used for numerical optimization of the moments.

getOptimizationBounds()¶

Accessor to the optimization bounds.

Returns:

boundsInterval: The bounds used for numerical optimization of the likelihood.

getShadowedId()¶

Accessor to the object’s shadowed id.

Returns:

idint: Internal unique identifier.

getVisibility()¶

Accessor to the object’s visibility state.

Returns:

visiblebool: Visibility flag.

hasName()¶

Test if the object is named.

Returns:

hasNamebool: True if the name is not empty.

hasVisibleName()¶

Test if the object has a distinguishable name.

Returns:

hasVisibleNamebool: True if the name is not empty and not the default one.

setBootstrapSize(bootstrapSize)¶

Accessor to the bootstrap size.

Parameters:

sizeinteger: Size of the bootstrap.

setKnownParameter(values, positions)¶

Accessor to the known parameters.

Parameters:

valuessequence of float: Values of fixed parameters.
indicessequence of int: Indices of fixed parameters.

Examples

>>> import openturns as ot
>>> ot.RandomGenerator.SetSeed(0)
>>> distribution = ot.Beta(2.3, 2.2, -1.0, 1.0)
>>> sample = distribution.getSample(10)
>>> factory = ot.MethodOfMomentsFactory(ot.Beta())
>>> # set (a,b) out of (r, t, a, b)
>>> factory.setKnownParameter([-1.0, 1.0], [2, 3])
>>> inf_distribution = factory.build(sample)

setName(name)¶

Accessor to the object’s name.

Parameters:

namestr: The name of the object.

setOptimizationAlgorithm(solver)¶

Accessor to the solver.

Parameters:

solverOptimizationAlgorithm: The solver used for numerical optimization of the moments.

setOptimizationBounds(optimizationBounds)¶

Accessor to the optimization bounds.

Parameters:

boundsInterval: The bounds used for numerical optimization of the likelihood.

setShadowedId(id)¶

Accessor to the object’s shadowed id.

Parameters:

idint: Internal unique identifier.

setVisibility(visible)¶

Accessor to the object’s visibility state.

Parameters:

visiblebool: Visibility flag.

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