2 ;;; Copyright (c) 2005--2009, by A.J. Rossini <blindglobe@gmail.com>
3 ;;; See COPYRIGHT file for any additional restrictions (BSD license).
4 ;;; Since 1991, ANSI was finally finished. Edited for ANSI Common Lisp.
6 ;;; XLisp-ism's removed to focus on Common Lisp. Original source from:
7 ;;;; statistics.lsp XLISP-STAT statistics functions
8 ;;;; XLISP-STAT 2.1 Copyright (c) 1990, by Luke Tierney
9 ;;;; Additions to Xlisp 2.1, Copyright (c) 1989 by David Michael Betz
10 ;;;; You may give out copies of this software; for conditions see the file
11 ;;;; COPYING included with this distribution.
13 (in-package :lisp-stat-descriptive-statistics
)
16 ;;; Basic Summary Statistics
20 (:documentation
"compute the mean of lists, vectors, various objects")
24 (:method
((x vector-like
))
25 ;; (defparameter *x* (make-vector 5 :initial-contents '((1d0 2d0 3d0 4d0 5d0))))
26 (/ (loop for i from
0 to
(- (nelts x
) 1)
29 #|
;; a more traditional versino of the above...
30 (:method
((x vector-like
))
32 (type (if (col-vector-p x
) :column
:row
)))
34 (ecase type
(:row
1) (:column n
))
35 (ecase type
(:row n
) (:column
1))))
42 Returns the mean of the elements x. Vector reducing.
44 FIXME: Why is this so complex? When figure out, put into generic."
47 (labels ((add-to-mean (x)
48 (let ((count+1 (+ count
1.0)))
49 (setf mean
(+ (* (/ count count
+1) mean
) (* (/ count
+1) x
)))
50 (setf count count
+1)))
54 (let ((seq (compound-data-seq x
)))
57 (if (numberp x
) (add-to-mean x
) (find-mean x
)))
58 (let ((n (length seq
)))
61 (let ((x (aref seq i
)))
64 (find-mean x
))))))))))
69 ;; We do the variance, since the SD is simply the root.
70 (defgeneric variance
(x)
71 (:documentation
"compute the variance of the entity X, i.e. if a
72 scalar, vector, or (covariance) matrix.")
76 (sqrt (* (mean (* r r
)) (/ n
(- n
1))))))
77 (:method
((x vector-like
))
79 (let ((negresid (axpy (mean x
) negone x
))) ; -mu + x = x - mu
80 (/ (loop for i from
0 to
(- (nelts x
) 1)
81 summing
(* (vref negresid i
)
83 (- (nelts negresid
) 1))))
84 (:method
((x matrix-like
))
85 (error "FIXME: define variance for matrices as covariance (?).")))
87 (defun covariance-matrix (&rest args
)
89 Returns the sample covariance matrix of the data columns in ARGS. ARGS may
90 consist of lists, vectors or matrices."
91 (let ((columns (apply #'append
93 (if (typep x
'matrix-like
)
97 (/ (cross-product (reduce #'bind2
98 (- columns
(mapcar #'mean columns
))))
99 (- (length (car columns
)) 1))))
101 (defgeneric standard-deviation
(x)
102 (:documentation
"Compute standard deivation of entity X.")
103 (:method
((x vector-like
)) (sqrt (variance x
)))
105 ;; if elements are not numeric, error, otherwise
107 (:method
((x matrix-like
))
108 (error "FIXME: define SD for matrix-like objects")))
110 (defun standard-deviation-fn (x)
112 Returns the standard deviation of the elements x. Vector reducing.
114 FIXME AJR: This should be redone as square-root of the variance, and
115 defer to that structure for computation."
116 (let ((n (count-elements x
))
118 (sqrt (* (mean (* r r
)) (/ n
(- n
1))))))
120 (defgeneric quantile
(x p
)
121 (:documentation
"Returns the P-th quantile(s) of sequence X.")
122 (:method
((x sequence
) (p real
))
123 (let ((np (* p
(- n
1))))
124 (mean (aref x
(floor np
))
125 (aref x
(ceiling np
))))) ;; aref work in general for lists too, or use nth?
126 (:method
((x vector-like
) (p real
)) ;; average of sorted elements. Could store compile
127 (let ((np (* p
(- (nelts x
) 1))))
128 (mean (list (vref (sort x
) (floor np
))
129 (vref (sort x
) (ceiling np
))))))
130 (:method
((x sequence
) (p sequence
))
131 (error "FIXME: generalize. Basically, do mapcar or similar across a vector."))
132 (:method
((x vector-like
) (p sequence
))
133 (error "FIXME: generalize."))
134 (:method
((x vector-like
) (p vector-like
))
135 (error "FIXME: generalize.")))
138 ;;; things to build on top of quantiles...!
141 ;; Returns the median of the elements of X.
144 ;; (macroexpand '(median (list 1 2 3)))
145 ;; (median (list 1 2 3))
148 ;; Args: (number-data)
149 ;; Returns the interquartile range of the elements of X.
150 (defmacro interquartile-range
(x)
151 `(reduce #'-
(quantile ,x
'(0.75
0.25))))
155 Returns the five number summary (min, 1st quartile, medinan, 3rd quartile,
156 max) of the elements X."
157 (quantile x
'(0 .25 .5 .75 1)))
159 ;;;; Sampling / Resampling
161 (defgeneric sample
(x n
&optional replace weights
)
162 (:documentation
"Draw a sample of size n from sequence x, with/out
163 replacement, with weights per element of x as described as a
164 probability mass distribution vector.")
165 (:method
((x list
) (n fixnum
)
166 &optional
(replace list
) (weights list
))
168 (:method
((x vector-like
) (n fixnum
)
169 &optional
(replace vector-like
) (weights vector-like
))
173 (defun sample-fn (x ssize
&optional replace
)
174 "Args: (x n &optional (replace nil))
175 Returns a list of a random sample of size N from sequence X drawn with or
176 without replacement."
179 (x (if (consp x
) (coerce x
'vector
) (copy-vector x
)))
182 (dotimes (i ssize result
)
183 (let ((j (if replace
(random n
) (+ i
(random (- n i
))))))
184 (setf result
(cons (aref x j
) result
))
185 (unless replace
;; swap elements i and j
186 (let ((temp (aref x i
)))
187 (setf (aref x i
) (aref x j
))
188 (setf (aref x j
) temp
))))))))