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fitting "indep" instead of "tll" for hashed data #157

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tagas opened this issue Nov 23, 2018 · 2 comments
Closed

fitting "indep" instead of "tll" for hashed data #157

tagas opened this issue Nov 23, 2018 · 2 comments

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@tagas
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tagas commented Nov 23, 2018

Hi,

I have a strange issue when I try to fit a nonparametric copula with mult=0.1, it actually fits an "indep" copula. I'm attaching a script and data to reproduce the issue.

git_issue.zip
@tnagler
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tnagler commented Nov 23, 2018

Hey, thanks for the issue. The indep copula thing should be fixed in this branch: https://github.com/vinecopulib/rvinecopulib/tree/fix-bicop-select.

However, it appears that the margin fits are terrible anyway:

hist(kde1d::pkde1d(real_traj_data[, 1], vine_obj$margins[[1]]))

This should resemble a uniform distribution, but is far from it. I'll look into that as well.

@tnagler
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tnagler commented Nov 29, 2018

OK, the marginal distributions just seem to be super weird and cannot be approximated better using the interpolation approach in kde1d. I may work on this some time in the near future, but that will take time. In the meanwhile, you could fit the margins separately, use pseudo_obs(), and then fit the vine. This should make it more stable.

@tnagler tnagler closed this as completed Nov 29, 2018
tnagler pushed a commit to tnagler/kde1d that referenced this issue Sep 25, 2019
decrease lower bound for interpolation, related to vinecopulib/rvinec…
5701b3b 
…opulib#157
tnagler added a commit to tnagler/kde1d that referenced this issue Sep 25, 2019
@tnagler
some improvements to interpolation (#32)
18de9d9 
* use sample quantiles as grid points

* fix unweighted quantile computation

* improve safety of integral computations.

* make sure that weighted version is consistent

* improve grid extensions

* fix boundary handling for bounded domain

* fix interpolation bug when grid distance is small

* install gsl

* extend grid a bit further

* fix bug for  weighted quantile with zero weight

* decrease lower bound for interpolation, related to vinecopulib/rvinecopulib#157
tnagler added a commit to tnagler/kde1d that referenced this issue Nov 15, 2019
@tnagler
Release 1.0.0 (#45)
5eaf81f 
* bump version

* add weights argument (#29)

* remove unused variable (#26)

* fix edf computation for deg = 2

* bump version + update docs

* remove package cache on appveyor

* weighted bandwidth selection

* weighted fitting

* adjust R interface

* add unit tests

* a few more sanity checks

* update docs

* update docs

* fix devtools install link

* stabilize weighted quantiles

* ensure scale != 0 in case of too many ties

* remove stripping of debug symbols

* prepare release

* update docs

* allow already jittered input to be treated as continuous

* some improvements to interpolation (#32)

* use sample quantiles as grid points

* fix unweighted quantile computation

* improve safety of integral computations.

* make sure that weighted version is consistent

* improve grid extensions

* fix boundary handling for bounded domain

* fix interpolation bug when grid distance is small

* install gsl

* extend grid a bit further

* fix bug for  weighted quantile with zero weight

* decrease lower bound for interpolation, related to vinecopulib/rvinecopulib#157

* More numerical stability (#35)

* hybrid quantile/equidist grid

* normalize weights

* fix weighted influence and use it as safeguard

* avoid double computation of influence fot deg = 0

* interpolant positivity and smooth extrapolation (#37)

* switch to linear interpolation if result is negative

* use positive constraints for spline coefficients

* Gaussian tail for extrapolation

* optimal bandwidths for all degrees (#38)

* missing inline

* fix levels in pkde1d

* stabilize edf computation

* tabs = 2 spaces (#39)

* simplified, deterministic jittering (#40)

* tabs = 2 spaces

* simplified, deterministic jittering

* prepare standalone c++ version with interface (#41)

* rename lpdens -> kde1d

* use namespaces

* bw selection in Kde1d class

* jittering + nan handling in cpp

* statistical functions

* constructor from interpolation grid

* all discrete functionality in cpp

* kde1d dir structure

* seperate wrappers from interface

* adapt R code

* go to office

* fix nans in grid

* fix boundary transform order

* refactor unit tests

* Fast integration (#42)

* rename lpdens -> kde1d

* use namespaces

* bw selection in Kde1d class

* jittering + nan handling in cpp

* statistical functions

* constructor from interpolation grid

* all discrete functionality in cpp

* kde1d dir structure

* seperate wrappers from interface

* adapt R code

* go to office

* fix nans in grid

* fix boundary transform order

* refactor unit tests

* unnormalized algorithm

* faster integration by sorting input

* Fit models with the fast fourier transform (#43)

* isolate KdeFFT class

* almost done with fft

* proper weights in edf calculation

* fix grid related issues

* eliminate dead code

* safer integration

* reorder arguments for the feels

* prepare release (#44)

* Release 0.4.0 (#31)

* bump version

* add weights argument (#29)

* remove unused variable (#26)

* fix edf computation for deg = 2

* bump version + update docs

* remove package cache on appveyor

* weighted bandwidth selection

* weighted fitting

* adjust R interface

* add unit tests

* a few more sanity checks

* update docs

* update docs

* fix devtools install link

* stabilize weighted quantiles

* ensure scale != 0 in case of too many ties

* remove stripping of debug symbols

* prepare release

* update docs

* bump version

* update NEWS

* update docs

* update NEWS and DESCRIPTION

* update API docs

* backwards compatibility with bad code in rvineocpulib *sigh*

* initialization order warning

* typo in API doc

* CRAN comments

* API docs one more time
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@tagas @tnagler