Ejemplo n.º 1
0
  /**
   * Takes a Cholesky decomposition from the Cholesky.cholesky method and a set of data simulated
   * using the information in that matrix. Written by Don Crimbchin. Modified June 8, Matt
   * Easterday: added a random # seed so that data can be recalculated with the same result in
   * Causality lab
   *
   * @param cholesky the result from cholesky above.
   * @param randomUtil a random number generator, if null the method will make a new generator for
   *     each random number needed
   * @return an array the same length as the width or length (cholesky should have the same width
   *     and length) containing a randomly generate data set.
   */
  private double[] exogenousData(TetradMatrix cholesky, RandomUtil randomUtil) {

    // Step 1. Generate normal samples.
    double exoData[] = new double[cholesky.rows()];

    for (int i = 0; i < exoData.length; i++) {
      exoData[i] = randomUtil.nextNormal(0, 1);
    }

    // Step 2. Multiply by cholesky to get correct covariance.
    double point[] = new double[exoData.length];

    for (int i = 0; i < exoData.length; i++) {
      double sum = 0.0;

      for (int j = 0; j <= i; j++) {
        sum += cholesky.get(i, j) * exoData[j];
      }

      point[i] = sum;
    }

    return point;
  }
Ejemplo n.º 2
0
  /**
   * @param sampleSize The sample size of the desired data set.
   * @param latentDataSaved True if latent variables should be included in the data set.
   * @return This returns a standardized data set simulated from the model, using the reduced form
   *     method.
   */
  public DataSet simulateDataReducedForm(int sampleSize, boolean latentDataSaved) {
    int numVars = getVariableNodes().size();

    // Calculate inv(I - edgeCoef)
    TetradMatrix edgeCoef = edgeCoef().copy().transpose();

    //        TetradMatrix iMinusB = TetradAlgebra.identity(edgeCoef.rows());
    //        iMinusB.assign(edgeCoef, Functions.minus);

    TetradMatrix iMinusB = TetradAlgebra.identity(edgeCoef.rows()).minus(edgeCoef);

    TetradMatrix inv = iMinusB.inverse();

    // Pick error values e, for each calculate inv * e.
    TetradMatrix sim = new TetradMatrix(sampleSize, numVars);

    // Generate error data with the right variances and covariances, then override this
    // with error data for varaibles that have special distributions defined. Not ideal,
    // but not sure what else to do at the moment. It's better than not taking covariances
    // into account!
    TetradMatrix cholesky = MatrixUtils.choleskyC(errCovar(errorVariances()));

    for (int i = 0; i < sampleSize; i++) {
      TetradVector e = new TetradVector(exogenousData(cholesky, RandomUtil.getInstance()));
      TetradVector ePrime = inv.times(e);
      sim.assignRow(i, ePrime); // sim.viewRow(i).assign(ePrime);
    }

    DataSet fullDataSet = ColtDataSet.makeContinuousData(getVariableNodes(), sim);

    if (latentDataSaved) {
      return fullDataSet;
    } else {
      return DataUtils.restrictToMeasured(fullDataSet);
    }
  }