KSD: Goodness-of-Fit Tests using Kernelized Stein Discrepancy

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An adaptation of Kernelized Stein Discrepancy, this package provides a goodness-of-fit test of whether a given i.i.d. sample is drawn from a given distribution. It works for any distribution once its score function (the derivative of log-density) can be provided. This method is based on "A Kernelized Stein Discrepancy for Goodness-of-fit Tests and Model Evaluation" by Liu, Lee, and Jordan, available at <http://arxiv.org/abs/1602.03253>.

Author
Min Hyung Kang [aut, cre], Qiang Liu [aut]
Date of publication
2016-07-31 08:53:50
Maintainer
Min Hyung Kang <Minhyung.Daniel.Kang@gmail.com>
License
MIT + file LICENSE
Version
1.0.0

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Man pages

demo_gmm
Tests 1-dimensional Gaussian Mixture Models.
demo_gmm_multi
Tests multidimensional Gaussian Mixture Models.
demo_iris
Fits Gaussian Mixture model and computes the KSD value for...
demo_normal_performance
Shows KSD p value change with respect variation in noise
demo_simple_gamma
Tests 1-dimensional Gamma Distribution with customized...
demo_simple_gaussian
Tests 1-dimensional Gaussian Distribution with customized...
gmm
Returns a Gaussian Mixture Model
KSD
Estimate Kernelized Stein Discrepancy (KSD)
likelihoodgmm
Calculates the likelihood for a given dataset for a GMM
perturbgmm
Returns a perturbed model of given GMM
plotgmm
Plots histogram for 1-d GMM given the dataset
posteriorgmm
Calculates the posterior probability for a given dataset for...
rgmm
Generates dataset from Gaussian Mixture Model
scorefunctiongmm
Score function for given GMM : calculates score function...

Files in this package

KSD
KSD/NAMESPACE
KSD/NEWS.md
KSD/R
KSD/R/gmm.R
KSD/R/KSD.R
KSD/R/median_distance.R
KSD/R/demo_simple_gmm.R
KSD/R/helper.R
KSD/R/demo_iris.R
KSD/README.md
KSD/MD5
KSD/DESCRIPTION
KSD/man
KSD/man/demo_iris.Rd
KSD/man/KSD.Rd
KSD/man/rgmm.Rd
KSD/man/gmm.Rd
KSD/man/demo_normal_performance.Rd
KSD/man/demo_simple_gamma.Rd
KSD/man/scorefunctiongmm.Rd
KSD/man/demo_simple_gaussian.Rd
KSD/man/plotgmm.Rd
KSD/man/perturbgmm.Rd
KSD/man/demo_gmm.Rd
KSD/man/demo_gmm_multi.Rd
KSD/man/likelihoodgmm.Rd
KSD/man/posteriorgmm.Rd
KSD/LICENSE