diff --git a/tests/fits_test.py b/tests/fits_test.py index 4819633e..bb3599e2 100644 --- a/tests/fits_test.py +++ b/tests/fits_test.py @@ -414,6 +414,46 @@ def test_fit_vs_jackknife(): err = np.array([np.sqrt(np.var(ajfr[j][1:], ddof=0) * (samples - 1)) for j in range(2)]) assert np.allclose(err, [o.dvalue for o in fr], atol=1e-8) +def test_correlated_fit_vs_jackknife(): + od = 0.999999 + cov1 = np.array([[1, od, od], [od, 1.0, od], [od, od, 1.0]]) + cov1 *= 0.1 + nod = -0.44 + cov2 = np.array([[1, nod, nod], [nod, 1.0, nod], [nod, nod, 1.0]]) + cov2 *= 0.1 + cov3 = np.identity(3) + cov3 *= 0.01 + + samples = 250 + x_val = np.arange(1, 6, 2) + for i, cov in enumerate([cov1, cov2, cov3]): + dat = pe.misc.gen_correlated_data(x_val + x_val ** 2 + np.random.normal(0.0, 0.1, 3), cov, 'test', 0.5, samples=samples) + [o.gamma_method(S=0) for o in dat]; + dat + func = lambda a, x: a[0] * x + a[1] * x ** 2 + fr = pe.least_squares(x_val, dat, func, correlated_fit=True, silent=True) + [o.gamma_method(S=0) for o in fr] + + cov = pe.covariance(dat) + chol = np.linalg.cholesky(cov) + chol_inv = np.linalg.inv(chol) + + jd = np.array([o.export_jackknife() for o in dat]).T + jfr = [] + for jacks in jd: + + def chisqfunc_residuals(p): + model = func(p, x_val) + chisq = np.dot(chol_inv, (jacks - model)) + return chisq + + tf = scipy.optimize.least_squares(chisqfunc_residuals, [0.0, 0.0], method='lm', ftol=1e-15, gtol=1e-15, xtol=1e-15) + jfr.append(tf.x) + ajfr = np.array(jfr).T + err = np.array([np.sqrt(np.var(ajfr[j][1:], ddof=0) * (samples - 1)) for j in range(2)]) + assert np.allclose(err, [o.dvalue for o in fr], atol=1e-7) + assert np.allclose(ajfr.T[0], [o.value for o in fr], atol=1e-8) + def test_fit_no_autograd(): dim = 10