mixedvine.py 文件源码

def _heuristic_element_order(samples):
        '''
        Finds an order of elements that heuristically facilitates vine
        modelling.  For this purpose, Kendall's tau is calculated between
        samples of pairs of elements and elements are scored according to the
        sum of absolute Kendall's taus of pairs the elements appear in.

        Parameters
        ----------
        samples : array_like
            n-by-d matrix of samples where n is the number of samples and d is
            the number of marginals.

        Returns
        -------
        order : array_like
            Permutation of all element indices reflecting descending scores.
        '''
        dim = samples.shape[1]
        # Score elements according to total absolute Kendall's tau
        score = np.zeros(dim)
        for i in range(1, dim):
            for j in range(i):
                tau, _ = kendalltau(samples[:, i], samples[:, j])
                score[i] += np.abs(tau)
                score[j] += np.abs(tau)
        # Get order indices for descending score
        order = score.argsort()[::-1]
        return order