src/algorithms/bootstrap.lisp

   1 ;;; -*- mode: lisp -*-
   2
   3 ;;; Time-stamp: <2009-03-12 17:46:34 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 (n (list-of-sources-and-vars) @body)
  23   "A proposed lispy implementation, such as:
  24      (with-data-bootstrap n
  25                           ((a dataset1)
  26                            (b dataset2))
  27         (some-form-with-inputs a b c))
  28 where there could be multiple datasets, with a and b, etc, being
  29 bootstrap realizations of dataset1 and dataset2."
  30   (Destructure list-of-sources-and-var)
  31   (loop repeat n
  32         (progn (pull-samples sources)
  33                @body)
  34      accumulate in result-list))
  35
  36 ;; (defmacro with-correlated-data-bootstrap ())
  37
  38 ;; The point of this goes away when we have assurance that
  39 ;; observations are independent.  And by being able to embed complex
  40 ;; objects (temporal / spatial / network structures) into the dataset
  41 ;; as typed variables, we now are able to assure such a probability
  42 ;; structure.
  43
  44 ;;; functional approach
  45
  46 (defgeneric bootstrap-sample (data &optional n replace)
  47   (:documentation "generate a dataset of N obs from DATA either with
  48   or without replace(ment)")
  49   (:default-method (data &optional n replace)))
  50
  51 (defgeneric bootstrap (data function args)
  52   (:documentation  "used such as: (bootstrap dataset t-test :significance 0.5)")
  53   (:default-method (funcall #'function (bootstrap-sample data) (values args))))
  54
  55
  56 #|
  57   2 possible paradigms:
  58
  59    (with-data-bootstrap ((a dataset1))
  60       (t-test a :significance 0.05))
  61
  62    (bootstrap #'t-test a :significance 0.05)
  63 |#