src/algorithms/bootstrap.lisp

   1 ;;; -*- mode: lisp -*-
   2
   3 ;;; Time-stamp: <2009-02-06 16:06:02 tony>
   4 ;;; Creation:   <2008-03-11 19:18:34 user>
   5 ;;; File:       bootstrap.lisp
   6 ;;; Author:     AJ Rossini <blindglobe@gmail.com>
   7 ;;; Copyright:  (c)2009--, AJ Rossini.  BSD, LLGPL, or GPLv2, depending
   8 ;;;             on how it arrives.
   9 ;;; Purpose:    bootstrapping algorithms for lispstat
  10
  11 ;;; What is this talk of 'release'? Klingons do not make software
  12 ;;; 'releases'.  Our software 'escapes', leaving a bloody trail of
  13 ;;; designers and quality assurance people in its wake.
  14
  15 (in-package :cls-algorithms-bootstrap)
  16
  17 ;;; implememented through general macros for a lispy approach.  There
  18 ;;; could be a functional approach as well, i.e.
  19 ;;;            (bootstrap data #'function args)
  20 ;;;
  21
  22 (defmacro with-data-bootstrap ((list-of-sources-and-var n) @body)
  23   "A proposed lispy implementation, such as:
  24      (with-data-bootstrap ((a dataset1)
  25                            (b dataset2))
  26         (some-form-with-inputs a b c))
  27 where there could be multiple datasets, with a and b, etc, being
  28 bootstrap realizations of dataset1 and dataset2."
  29   (Destructure list-of-sources-and-var)
  30   (loop repeat n
  31        (progn (pull-samples sources)
  32               @body)
  33      accumulate in result-list))
  34
  35 (defmacro with-correlated-data-bootstrap ())
  36
  37 ;;; functional
  38
  39 (defgeneric bootstrap-sample (data &optional n replace)
  40   (:documentation "generate a dataset of N obs from DATA either with
  41   or without replace(ment)")
  42   (:default-method (data &optional n replace)))
  43
  44 (defgeneric bootstrap (data function args)
  45   (:documentation  "used such as: (bootstrap dataset t-test :significance 0.5)")
  46   (:default-method (funcall #'function (bootstrap-sample data) (values args))))
  47
  48
  49 #|
  50   2 possible paradigms:
  51
  52    (with-data-bootstrap ((a dataset1))
  53       (t-test a :significance 0.05))
  54
  55    (bootstrap #'t-test a :significance 0.05)
  56 |#