Clean eweights code to use the default Weights type and support alt…

…ernate methods.

Project.toml

@@ -13,8 +13,9 @@ SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 
 [extras]
+Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
 DelimitedFiles = "8bb1440f-4735-579b-a4ab-409b98df4dab"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
-test = ["DelimitedFiles", "Test"]
+test = ["Dates", "DelimitedFiles", "Test"]

docs/src/weights.md

@@ -41,23 +41,22 @@ w = ProbabilityWeights([0.2, 0.1, 0.3])
 w = pweights([0.2, 0.1, 0.3])
 ```
 
-### `ExponentialWeights`
+### `Weights`
 
-Exponential weights are a common form of temporal weights which assign exponentially decreasing
-weight to past observations.
+The `Weights` type describes a generic weights vector which does not support all operations possible for `FrequencyWeights`, `AnalyticWeights` and `ProbabilityWeights`.
 
 ```julia
-w = ExponentialWeights([0.1837, 0.2222, 0.2688, 0.3253])
-w = eweights(4, 0.173) # construction based on length and rate parameter
+w = Weights([1., 2., 3.])
+w = weights([1., 2., 3.])
 ```
 
-### `Weights`
+### `eweights`
 
-The `Weights` type describes a generic weights vector which does not support all operations possible for `FrequencyWeights`, `AnalyticWeights` and `ProbabilityWeights`.
+Exponential weights are a common form of temporal weights which assign exponentially decreasing
+weight to past observations.
 
 ```julia
-w = Weights([1., 2., 3.])
-w = weights([1., 2., 3.])
+w = eweights(4, 0.173) # construction based on length and rate parameter
 ```
 
 ## Methods

src/StatsBase.jl

@@ -30,12 +30,11 @@ export
     AnalyticWeights,    # to represent an analytic/precision/reliability weight vector
     FrequencyWeights,   # to representing a frequency/case/repeat weight vector
     ProbabilityWeights, # to representing a probability/sampling weight vector
-    ExponentialWeights, # to represent an exponential weight vector
     weights,            # construct a generic Weights vector
     aweights,           # construct an AnalyticWeights vector
     fweights,           # construct a FrequencyWeights vector
     pweights,           # construct a ProbabilityWeights vector
-    eweights,           # construct an ExponentialWeights vector
+    eweights,           # construct an exponential Weights vector
     wsum,               # weighted sum with vector as second argument
     wsum!,              # weighted sum across dimensions with provided storage
     wmean,              # weighted mean

src/weights.jl

@@ -193,34 +193,42 @@ pweights(vs::RealArray) = ProbabilityWeights(vec(vs))
     end
 end
 
-@weights ExponentialWeights
-
-@doc """
-    ExponentialWeights(vs, wsum=sum(vs))
-
-Construct an `ExponentialWeights` vector with weight values `vs`.
-A precomputed sum may be provided as `wsum`.
+"""
+    eweights(t::AbstractVector{<:Integer}, λ::Real)
+    eweights(t::AbstractVector{T}, r::StepRange{T}, λ::Real) where T
+    eweights(n::Integer, λ::Real)
 
-Exponential weights are a common form of temporal weights which assign exponentially
-decreasing weight to past observations, which in this case corresponds to the front of
-the vector. That is, newer observations are assumed to be at the end.
-""" ExponentialWeights
+Construct [`Weights`](@ref) vector which assigns exponentially decreasing weights to past
+observations, which in this case corresponds to larger integer values `i` in `t`.
 
-"""
-    eweights(n, λ)
+For each element `i` in `t` the weight value is computed as:
 
-Construct an [`ExponentialWeights`](@ref) vector with length `n`,
-where each element in position ``i`` is set to ``λ (1 - λ)^{1 - i}``.
+``λ (1 - λ)^{1 - i}``
 
 ``λ`` is a smoothing factor or rate parameter such that ``0 < λ \\leq 1``.
 As this value approaches 0, the resulting weights will be almost equal,
 while values closer to 1 will put greater weight on the tail elements of the vector.
 
 # Examples
+```julia-repl
+julia> eweights(1:10, 0.3)
+10-element Weights{Float64,Float64,Array{Float64,1}}:
+ 0.3
+ 0.42857142857142855
+ 0.6122448979591837
+ 0.8746355685131197
+ 1.249479383590171
+ 1.7849705479859588
+ 2.549957925694227
+ 3.642797036706039
+ 5.203995766722913
+ 7.434279666747019
+```
 
+Simply passing the number of observations `n` is equivalent to passing in `1:n`.
 ```julia-repl
 julia> eweights(10, 0.3)
-10-element ExponentialWeights{Float64,Float64,Array{Float64,1}}:
+10-element Weights{Float64,Float64,Array{Float64,1}}:
  0.3
  0.42857142857142855
  0.6122448979591837
@@ -232,20 +240,42 @@ julia> eweights(10, 0.3)
  5.203995766722913
  7.434279666747019
 ```
+
+Finally, passing arbitrary times and a step range is equivalent to passing
+`something.(indexin(t, r))`.
+```julia-repl
+julia> eweights([1, 3, 5], 1:10, 0.3)
+3-element Weights{Float64,Float64,Array{Float64,1}}:
+ 0.3
+ 0.6122448979591837
+ 1.249479383590171
+```
 """
+function eweights(t::AbstractVector{T}, λ::Real) where T<:Integer
+    0 < λ <= 1 || throw(ArgumentError("Smoothing factor must be between 0 and 1"))
+
+    w0 = map(t) do i
+        i > 0 || throw(ArgumentError("Time indices must be non-zero positive integers"))
+        λ * (1 - λ)^(1 - i)
+    end
+
+    s = sum(w0)
+    Weights{typeof(s), eltype(w0), typeof(w0)}(w0, s)
+end
+
 function eweights(n::Integer, λ::Real)
     n > 0 || throw(ArgumentError("cannot construct exponential weights of length < 1"))
-    0 < λ <= 1 || throw(ArgumentError("smoothing factor must be between 0 and 1"))
-    w0 = map(i -> λ * (1 - λ)^(1 - i), 1:n)
-    s = sum(w0)
-    ExponentialWeights{typeof(s), eltype(w0), typeof(w0)}(w0, s)
+    eweights(1:n, λ)
 end
 
+eweights(t::AbstractVector, r::AbstractRange, λ::Real) =
+    eweights(something.(indexin(t, r)), λ)
+
 # NOTE: No variance correction is implemented for exponential weights
 
 ##### Equality tests #####
 
-for w in (AnalyticWeights, FrequencyWeights, ProbabilityWeights, ExponentialWeights, Weights)
+for w in (AnalyticWeights, FrequencyWeights, ProbabilityWeights, Weights)
     @eval begin
         Base.isequal(x::$w, y::$w) = isequal(x.sum, y.sum) && isequal(x.values, y.values)
         Base.:(==)(x::$w, y::$w)   = (x.sum == y.sum) && (x.values == y.values)
@@ -531,7 +561,7 @@ _mean(A::AbstractArray{T}, w::AbstractWeights{W}, dims::Int) where {T,W} =
 Compute the weighted quantiles of a vector `v` at a specified set of probability
 values `p`, using weights given by a weight vector `w` (of type `AbstractWeights`).
 Weights must not be negative. The weights and data vectors must have the same length.
-`NaN` is returned if `x` contains any `NaN` values. An error is raised if `w` contains 
+`NaN` is returned if `x` contains any `NaN` values. An error is raised if `w` contains
 any `NaN` values.
 
 With [`FrequencyWeights`](@ref), the function returns the same result as
@@ -552,15 +582,15 @@ function quantile(v::RealVector{V}, w::AbstractWeights{W}, p::RealVector) where
     all(x -> 0 <= x <= 1, p) || throw(ArgumentError("input probability out of [0,1] range"))
 
     w.sum == 0 && throw(ArgumentError("weight vector cannot sum to zero"))
-    length(v) == length(w) || throw(ArgumentError("data and weight vectors must be the same size," * 
+    length(v) == length(w) || throw(ArgumentError("data and weight vectors must be the same size," *
         "got $(length(v)) and $(length(w))"))
     for x in w.values
         isnan(x) && throw(ArgumentError("weight vector cannot contain NaN entries"))
         x < 0 && throw(ArgumentError("weight vector cannot contain negative entries"))
     end
 
-    isa(w, FrequencyWeights) && !(eltype(w) <: Integer) && any(!isinteger, w) && 
-        throw(ArgumentError("The values of the vector of `FrequencyWeights` must be numerically" * 
+    isa(w, FrequencyWeights) && !(eltype(w) <: Integer) && any(!isinteger, w) &&
+        throw(ArgumentError("The values of the vector of `FrequencyWeights` must be numerically" *
                             "equal to integers. Use `ProbabilityWeights` or `AnalyticWeights` instead."))
 
     # remove zeros weights and sort

test/runtests.jl

@@ -1,4 +1,5 @@
 using StatsBase
+using Dates
 using LinearAlgebra
 using Random
 using Statistics

test/weights.jl

@@ -450,20 +450,50 @@ end
 end
 
 @testset "ExponentialWeights" begin
-    @testset "Basic Usage" begin
+    @testset "Usage" begin
         θ = 5.25
         λ = 1 - exp(-1 / θ)     # simple conversion for the more common/readable method
-
         v = [λ*(1-λ)^(1-i) for i = 1:4]
-        w = ExponentialWeights(v)
+        w = Weights(v)
 
         @test round.(w, digits=4) == [0.1734, 0.2098, 0.2539, 0.3071]
-        @test eweights(4, λ) ≈ w
+
+        @testset "basic" begin
+            @test eweights(1:4, λ) ≈ w
+        end
+
+        @testset "1:n" begin
+            @test eweights(4, λ) ≈ w
+        end
+
+        @testset "indexin" begin
+            v = [λ*(1-λ)^(1-i) for i = 1:10]
+
+            # Test that we should be able to skip indices easily
+            @test eweights([1, 3, 5, 7], 1:10, λ) ≈ Weights(v[[1, 3, 5, 7]])
+
+            # This should also work with actual time types
+            t1 = DateTime(2019, 1, 1, 1)
+            tx = t1 + Hour(7)
+            tn = DateTime(2019, 1, 2, 1)
+
+            @test eweights(t1:Hour(2):tx, t1:Hour(1):tn, λ) ≈ Weights(v[[1, 3, 5, 7]])
+        end
     end
 
     @testset "Failure Conditions" begin
+        # n == 0
         @test_throws ArgumentError eweights(0, 0.3)
+
+        # λ > 1.0
         @test_throws ArgumentError eweights(1, 1.1)
+
+        # time indices are not all positive non-zero integers
+        @test_throws ArgumentError eweights([0, 1, 2, 3], 0.3)
+
+        # Passing in an array of bools will work because Bool <: Integer,
+        # but any `false` values will trigger the same argument error as 0.0
+        @test_throws ArgumentError eweights([true, false, true, true], 0.3)
     end
 end