"""
Multivariate Conditional and Unconditional Kernel Density Estimation
with Mixed Data Types.

References
----------
[1] Racine, J., Li, Q. Nonparametric econometrics: theory and practice.
    Princeton University Press. (2007)
[2] Racine, Jeff. "Nonparametric Econometrics: A Primer," Foundation
    and Trends in Econometrics: Vol 3: No 1, pp1-88. (2008)
    http://dx.doi.org/10.1561/0800000009
[3] Racine, J., Li, Q. "Nonparametric Estimation of Distributions
    with Categorical and Continuous Data." Working Paper. (2000)
[4] Racine, J. Li, Q. "Kernel Estimation of Multivariate Conditional
    Distributions Annals of Economics and Finance 5, 211-235 (2004)
[5] Liu, R., Yang, L. "Kernel estimation of multivariate
    cumulative distribution function."
    Journal of Nonparametric Statistics (2008)
[6] Li, R., Ju, G. "Nonparametric Estimation of Multivariate CDF
    with Categorical and Continuous Data." Working Paper
[7] Li, Q., Racine, J. "Cross-validated local linear nonparametric
    regression" Statistica Sinica 14(2004), pp. 485-512
[8] Racine, J.: "Consistent Significance Testing for Nonparametric
        Regression" Journal of Business & Economics Statistics
[9] Racine, J., Hart, J., Li, Q., "Testing the Significance of
        Categorical Predictor Variables in Nonparametric Regression
        Models", 2006, Econometric Reviews 25, 523-544

"""

# TODO: make default behavior efficient=True above a certain n_obs

from statsmodels.compat.python import range, next
import numpy as np

from . import kernels
from ._kernel_base import GenericKDE, EstimatorSettings, gpke, \
    LeaveOneOut, _adjust_shape


__all__ = ['KDEMultivariate', 'KDEMultivariateConditional', 'EstimatorSettings']


class KDEMultivariate(GenericKDE):
    """
    Multivariate kernel density estimator.

    This density estimator can handle univariate as well as multivariate data,
    including mixed continuous / ordered discrete / unordered discrete data.
    It also provides cross-validated bandwidth selection methods (least
    squares, maximum likelihood).

    Parameters
    ----------
    data: list of ndarrays or 2-D ndarray
        The training data for the Kernel Density Estimation, used to determine
        the bandwidth(s).  If a 2-D array, should be of shape
        (num_observations, num_variables).  If a list, each list element is a
        separate observation.
    var_type: str
        The type of the variables:

            - c : continuous
            - u : unordered (discrete)
            - o : ordered (discrete)

        The string should contain a type specifier for each variable, so for
        example ``var_type='ccuo'``.
    bw: array_like or str, optional
        If an array, it is a fixed user-specified bandwidth.  If a string,
        should be one of:

            - normal_reference: normal reference rule of thumb (default)
            - cv_ml: cross validation maximum likelihood
            - cv_ls: cross validation least squares

    defaults: EstimatorSettings instance, optional
        The default values for (efficient) bandwidth estimation.

    Attributes
    ----------
    bw: array_like
        The bandwidth parameters.

    See Also
    --------
    KDEMultivariateConditional

    Examples
    --------
    >>> import statsmodels.api as sm
    >>> nobs = 300
    >>> np.random.seed(1234)  # Seed random generator
    >>> c1 = np.random.normal(size=(nobs,1))
    >>> c2 = np.random.normal(2, 1, size=(nobs,1))

    Estimate a bivariate distribution and display the bandwidth found:

    >>> dens_u = sm.nonparametric.KDEMultivariate(data=[c1,c2],
    ...     var_type='cc', bw='normal_reference')
    >>> dens_u.bw
    array([ 0.39967419,  0.38423292])
    """
    def __init__(self, data, var_type, bw=None, defaults=EstimatorSettings()):
        self.var_type = var_type
        self.k_vars = len(self.var_type)
        self.data = _adjust_shape(data, self.k_vars)
        self.data_type = var_type
        self.nobs, self.k_vars = np.shape(self.data)
        if self.nobs <= self.k_vars:
            raise ValueError("The number of observations must be larger " \
                             "than the number of variables.")

        self._set_defaults(defaults)
        if not self.efficient:
            self.bw = self._compute_bw(bw)
        else:
            self.bw = self._compute_efficient(bw)

    def __repr__(self):
        """Provide something sane to print."""
        rpr = "KDE instance\n"
        rpr += "Number of variables: k_vars = " + str(self.k_vars) + "\n"
        rpr += "Number of samples:   nobs = " + str(self.nobs) + "\n"
        rpr += "Variable types:      " + self.var_type + "\n"
        rpr += "BW selection method: " + self._bw_method + "\n"
        return rpr

    def loo_likelihood(self, bw, func=lambda x: x):
        r"""
        Returns the leave-one-out likelihood function.

        The leave-one-out likelihood function for the unconditional KDE.

        Parameters
        ----------
        bw: array_like
            The value for the bandwidth parameter(s).
        func: callable, optional
            Function to transform the likelihood values (before summing); for
            the log likelihood, use ``func=np.log``.  Default is ``f(x) = x``.

        Notes
        -----
        The leave-one-out kernel estimator of :math:`f_{-i}` is:

        .. math:: f_{-i}(X_{i})=\frac{1}{(n-1)h}
                    \sum_{j=1,j\neq i}K_{h}(X_{i},X_{j})

        where :math:`K_{h}` represents the generalized product kernel
        estimator:

        .. math:: K_{h}(X_{i},X_{j}) =
            \prod_{s=1}^{q}h_{s}^{-1}k\left(\frac{X_{is}-X_{js}}{h_{s}}\right)
        """
        LOO = LeaveOneOut(self.data)
        L = 0
        for i, X_not_i in enumerate(LOO):
            f_i = gpke(bw, data=-X_not_i, data_predict=-self.data[i, :],
                       var_type=self.var_type)
            L += func(f_i)

        return -L

    def pdf(self, data_predict=None):
        r"""
        Evaluate the probability density function.

        Parameters
        ----------
        data_predict: array_like, optional
            Points to evaluate at.  If unspecified, the training data is used.

        Returns
        -------
        pdf_est: array_like
            Probability density function evaluated at `data_predict`.

        Notes
        -----
        The probability density is given by the generalized product kernel
        estimator:

        .. math:: K_{h}(X_{i},X_{j}) =
            \prod_{s=1}^{q}h_{s}^{-1}k\left(\frac{X_{is}-X_{js}}{h_{s}}\right)
        """
        if data_predict is None:
            data_predict = self.data
        else:
            data_predict = _adjust_shape(data_predict, self.k_vars)

        pdf_est = []
        for i in range(np.shape(data_predict)[0]):
            pdf_est.append(gpke(self.bw, data=self.data,
                                data_predict=data_predict[i, :],
                                var_type=self.var_type) / self.nobs)

        pdf_est = np.squeeze(pdf_est)
        return pdf_est

    def cdf(self, data_predict=None):
        r"""
        Evaluate the cumulative distribution function.

        Parameters
        ----------
        data_predict: array_like, optional
            Points to evaluate at.  If unspecified, the training data is used.

        Returns
        -------
        cdf_est: array_like
            The estimate of the cdf.

        Notes
        -----
        See http://en.wikipedia.org/wiki/Cumulative_distribution_function
        For more details on the estimation see Ref. [5] in module docstring.

        The multivariate CDF for mixed data (continuous and ordered/unordered
        discrete) is estimated by:

        ..math:: F(x^{c},x^{d})=n^{-1}\sum_{i=1}^{n}\left[G(
            \frac{x^{c}-X_{i}}{h})\sum_{u\leq x^{d}}L(X_{i}^{d},x_{i}^{d},
            \lambda)\right]

        where G() is the product kernel CDF estimator for the continuous
        and L() for the discrete variables.

        Used bandwidth is ``self.bw``.
        """
        if data_predict is None:
            data_predict = self.data
        else:
            data_predict = _adjust_shape(data_predict, self.k_vars)

        cdf_est = []
        for i in range(np.shape(data_predict)[0]):
            cdf_est.append(gpke(self.bw, data=self.data,
                                data_predict=data_predict[i, :],
                                var_type=self.var_type,
                                ckertype="gaussian_cdf",
                                ukertype="aitchisonaitken_cdf",
                                okertype='wangryzin_cdf') / self.nobs)

        cdf_est = np.squeeze(cdf_est)
        return cdf_est

    def imse(self, bw):
        r"""
        Returns the Integrated Mean Square Error for the unconditional KDE.

        Parameters
        ----------
        bw: array_like
            The bandwidth parameter(s).

        Returns
        -------
        CV: float
            The cross-validation objective function.

        Notes
        -----
        See p. 27 in [1]_ for details on how to handle the multivariate
        estimation with mixed data types see p.6 in [2]_.

        The formula for the cross-validation objective function is:

        .. math:: CV=\frac{1}{n^{2}}\sum_{i=1}^{n}\sum_{j=1}^{N}
            \bar{K}_{h}(X_{i},X_{j})-\frac{2}{n(n-1)}\sum_{i=1}^{n}
            \sum_{j=1,j\neq i}^{N}K_{h}(X_{i},X_{j})

        Where :math:`\bar{K}_{h}` is the multivariate product convolution
        kernel (consult [2]_ for mixed data types).

        References
        ----------
        .. [1] Racine, J., Li, Q. Nonparametric econometrics: theory and
                practice. Princeton University Press. (2007)
        .. [2] Racine, J., Li, Q. "Nonparametric Estimation of Distributions
                with Categorical and Continuous Data." Working Paper. (2000)
        """
        #F = 0
        #for i in range(self.nobs):
        #    k_bar_sum = gpke(bw, data=-self.data,
        #                     data_predict=-self.data[i, :],
        #                     var_type=self.var_type,
        #                     ckertype='gauss_convolution',
        #                     okertype='wangryzin_convolution',
        #                     ukertype='aitchisonaitken_convolution')
        #    F += k_bar_sum
        ## there is a + because loo_likelihood returns the negative
        #return (F / self.nobs**2 + self.loo_likelihood(bw) * \
        #        2 / ((self.nobs) * (self.nobs - 1)))

        # The code below is equivalent to the commented-out code above.  It's
        # about 20% faster due to some code being moved outside the for-loops
        # and shared by gpke() and loo_likelihood().
        F = 0
        kertypes = dict(c=kernels.gaussian_convolution,
                        o=kernels.wang_ryzin_convolution,
                        u=kernels.aitchison_aitken_convolution)
        nobs = self.nobs
        data = -self.data
        var_type = self.var_type
        ix_cont = np.array([c == 'c' for c in var_type])
        _bw_cont_product = bw[ix_cont].prod()
        Kval = np.empty(data.shape)
        for i in range(nobs):
            for ii, vtype in enumerate(var_type):
                Kval[:, ii] = kertypes[vtype](bw[ii],
                                              data[:, ii],
                                              data[i, ii])

            dens = Kval.prod(axis=1) / _bw_cont_product
            k_bar_sum = dens.sum(axis=0)
            F += k_bar_sum  # sum of prod kernel over nobs

        kertypes = dict(c=kernels.gaussian,
                        o=kernels.wang_ryzin,
                        u=kernels.aitchison_aitken)
        LOO = LeaveOneOut(self.data)
        L = 0   # leave-one-out likelihood
        Kval = np.empty((data.shape[0]-1, data.shape[1]))
        for i, X_not_i in enumerate(LOO):
            for ii, vtype in enumerate(var_type):
                Kval[:, ii] = kertypes[vtype](bw[ii],
                                              -X_not_i[:, ii],
                                              data[i, ii])
            dens = Kval.prod(axis=1) / _bw_cont_product
            L += dens.sum(axis=0)

        # CV objective function, eq. (2.4) of Ref. [3]
        return (F / nobs**2 - 2 * L / (nobs * (nobs - 1)))

    def _get_class_vars_type(self):
        """Helper method to be able to pass needed vars to _compute_subset."""
        class_type = 'KDEMultivariate'
        class_vars = (self.var_type, )
        return class_type, class_vars


class KDEMultivariateConditional(GenericKDE):
    """
    Conditional multivariate kernel density estimator.

    Calculates ``P(Y_1,Y_2,...Y_n | X_1,X_2...X_m) =
    P(X_1, X_2,...X_n, Y_1, Y_2,..., Y_m)/P(X_1, X_2,..., X_m)``.
    The conditional density is by definition the ratio of the two densities,
    see [1]_.

    Parameters
    ----------
    endog: list of ndarrays or 2-D ndarray
        The training data for the dependent variables, used to determine
        the bandwidth(s).  If a 2-D array, should be of shape
        (num_observations, num_variables).  If a list, each list element is a
        separate observation.
    exog: list of ndarrays or 2-D ndarray
        The training data for the independent variable; same shape as `endog`.
    dep_type: str
        The type of the dependent variables:

            c : Continuous
            u : Unordered (Discrete)
            o : Ordered (Discrete)

        The string should contain a type specifier for each variable, so for
        example ``dep_type='ccuo'``.
    indep_type: str
        The type of the independent variables; specifed like `dep_type`.
    bw: array_like or str, optional
        If an array, it is a fixed user-specified bandwidth.  If a string,
        should be one of:

            - normal_reference: normal reference rule of thumb (default)
            - cv_ml: cross validation maximum likelihood
            - cv_ls: cross validation least squares

    defaults: Instance of class EstimatorSettings
        The default values for the efficient bandwidth estimation

    Attributes
    ---------
    bw: array_like
        The bandwidth parameters

    See Also
    --------
    KDEMultivariate

    References
    ----------
    .. [1] http://en.wikipedia.org/wiki/Conditional_probability_distribution

    Examples
    --------
    >>> import statsmodels.api as sm
    >>> nobs = 300
    >>> c1 = np.random.normal(size=(nobs,1))
    >>> c2 = np.random.normal(2,1,size=(nobs,1))

    >>> dens_c = sm.nonparametric.KDEMultivariateConditional(endog=[c1],
    ...     exog=[c2], dep_type='c', indep_type='c', bw='normal_reference')
    >>> dens_c.bw   # show computed bandwidth
    array([ 0.41223484,  0.40976931])
    """

    def __init__(self, endog, exog, dep_type, indep_type, bw,
                 defaults=EstimatorSettings()):
        self.dep_type = dep_type
        self.indep_type = indep_type
        self.data_type = dep_type + indep_type
        self.k_dep = len(self.dep_type)
        self.k_indep = len(self.indep_type)
        self.endog = _adjust_shape(endog, self.k_dep)
        self.exog = _adjust_shape(exog, self.k_indep)
        self.nobs, self.k_dep = np.shape(self.endog)
        self.data = np.column_stack((self.endog, self.exog))
        self.k_vars = np.shape(self.data)[1]
        self._set_defaults(defaults)
        if not self.efficient:
            self.bw = self._compute_bw(bw)
        else:
            self.bw = self._compute_efficient(bw)

    def __repr__(self):
        """Provide something sane to print."""
        rpr = "KDEMultivariateConditional instance\n"
        rpr += "Number of independent variables: k_indep = " + \
               str(self.k_indep) + "\n"
        rpr += "Number of dependent variables: k_dep = " + \
               str(self.k_dep) + "\n"
        rpr += "Number of observations: nobs = " + str(self.nobs) + "\n"
        rpr += "Independent variable types:      " + self.indep_type + "\n"
        rpr += "Dependent variable types:      " + self.dep_type + "\n"
        rpr += "BW selection method: " + self._bw_method + "\n"
        return rpr

    def loo_likelihood(self, bw, func=lambda x: x):
        """
        Returns the leave-one-out conditional likelihood of the data.

        If `func` is not equal to the default, what's calculated is a function
        of the leave-one-out conditional likelihood.

        Parameters
        ----------
        bw: array_like
            The bandwidth parameter(s).
        func: callable, optional
            Function to transform the likelihood values (before summing); for
            the log likelihood, use ``func=np.log``.  Default is ``f(x) = x``.

        Returns
        -------
        L: float
            The value of the leave-one-out function for the data.

        Notes
        -----
        Similar to ``KDE.loo_likelihood`, but substitute ``f(y|x)=f(x,y)/f(y)``
        for ``f(x)``.
        """
        yLOO = LeaveOneOut(self.data)
        xLOO = LeaveOneOut(self.exog).__iter__()
        L = 0
        for i, Y_j in enumerate(yLOO):
            X_not_i = next(xLOO)
            f_yx = gpke(bw, data=-Y_j, data_predict=-self.data[i, :],
                        var_type=(self.dep_type + self.indep_type))
            f_x = gpke(bw[self.k_dep:], data=-X_not_i,
                       data_predict=-self.exog[i, :],
                       var_type=self.indep_type)
            f_i = f_yx / f_x
            L += func(f_i)

        return -L

    def pdf(self, endog_predict=None, exog_predict=None):
        r"""
        Evaluate the probability density function.

        Parameters
        ----------
        endog_predict: array_like, optional
            Evaluation data for the dependent variables.  If unspecified, the
            training data is used.
        exog_predict: array_like, optional
            Evaluation data for the independent variables.

        Returns
        -------
        pdf: array_like
            The value of the probability density at `endog_predict` and `exog_predict`.

        Notes
        -----
        The formula for the conditional probability density is:

        .. math:: f(X|Y)=\frac{f(X,Y)}{f(Y)}

        with

        .. math:: f(X)=\prod_{s=1}^{q}h_{s}^{-1}k
                            \left(\frac{X_{is}-X_{js}}{h_{s}}\right)

        where :math:`k` is the appropriate kernel for each variable.
        """
        if endog_predict is None:
            endog_predict = self.endog
        else:
            endog_predict = _adjust_shape(endog_predict, self.k_dep)
        if exog_predict is None:
            exog_predict = self.exog
        else:
            exog_predict = _adjust_shape(exog_predict, self.k_indep)

        pdf_est = []
        data_predict = np.column_stack((endog_predict, exog_predict))
        for i in range(np.shape(data_predict)[0]):
            f_yx = gpke(self.bw, data=self.data,
                        data_predict=data_predict[i, :],
                        var_type=(self.dep_type + self.indep_type))
            f_x = gpke(self.bw[self.k_dep:], data=self.exog,
                       data_predict=exog_predict[i, :],
                       var_type=self.indep_type)
            pdf_est.append(f_yx / f_x)

        return np.squeeze(pdf_est)

    def cdf(self, endog_predict=None, exog_predict=None):
        r"""
        Cumulative distribution function for the conditional density.

        Parameters
        ----------
        endog_predict: array_like, optional
            The evaluation dependent variables at which the cdf is estimated.
            If not specified the training dependent variables are used.
        exog_predict: array_like, optional
            The evaluation independent variables at which the cdf is estimated.
            If not specified the training independent variables are used.

        Returns
        -------
        cdf_est: array_like
            The estimate of the cdf.

        Notes
        -----
        For more details on the estimation see [2]_, and p.181 in [1]_.

        The multivariate conditional CDF for mixed data (continuous and
        ordered/unordered discrete) is estimated by:

        ..math:: F(y|x)=\frac{n^{-1}\sum_{i=1}^{n}G(\frac{y-Y_{i}}{h_{0}})
                              W_{h}(X_{i},x)}{\widehat{\mu}(x)}

        where G() is the product kernel CDF estimator for the dependent (y)
        variable(s) and W() is the product kernel CDF estimator for the
        independent variable(s).

        References
        ----------
        .. [1] Racine, J., Li, Q. Nonparametric econometrics: theory and
                practice. Princeton University Press. (2007)
        .. [2] Liu, R., Yang, L. "Kernel estimation of multivariate cumulative
                    distribution function." Journal of Nonparametric
                    Statistics (2008)
        """
        if endog_predict is None:
            endog_predict = self.endog
        else:
            endog_predict = _adjust_shape(endog_predict, self.k_dep)
        if exog_predict is None:
            exog_predict = self.exog
        else:
            exog_predict = _adjust_shape(exog_predict, self.k_indep)

        N_data_predict = np.shape(exog_predict)[0]
        cdf_est = np.empty(N_data_predict)
        for i in range(N_data_predict):
            mu_x = gpke(self.bw[self.k_dep:], data=self.exog,
                        data_predict=exog_predict[i, :],
                        var_type=self.indep_type) / self.nobs
            mu_x = np.squeeze(mu_x)
            cdf_endog = gpke(self.bw[0:self.k_dep], data=self.endog,
                             data_predict=endog_predict[i, :],
                             var_type=self.dep_type,
                             ckertype="gaussian_cdf",
                             ukertype="aitchisonaitken_cdf",
                             okertype='wangryzin_cdf', tosum=False)

            cdf_exog = gpke(self.bw[self.k_dep:], data=self.exog,
                            data_predict=exog_predict[i, :],
                            var_type=self.indep_type, tosum=False)
            S = (cdf_endog * cdf_exog).sum(axis=0)
            cdf_est[i] = S / (self.nobs * mu_x)

        return cdf_est

    def imse(self, bw):
        r"""
        The integrated mean square error for the conditional KDE.

        Parameters
        ----------
        bw: array_like
            The bandwidth parameter(s).

        Returns
        -------
        CV: float
            The cross-validation objective function.

        Notes
        -----
        For more details see pp. 156-166 in [1]_. For details on how to
        handle the mixed variable types see [2]_.

        The formula for the cross-validation objective function for mixed
        variable types is:

        .. math:: CV(h,\lambda)=\frac{1}{n}\sum_{l=1}^{n}
            \frac{G_{-l}(X_{l})}{\left[\mu_{-l}(X_{l})\right]^{2}}-
            \frac{2}{n}\sum_{l=1}^{n}\frac{f_{-l}(X_{l},Y_{l})}{\mu_{-l}(X_{l})}

        where

        .. math:: G_{-l}(X_{l}) = n^{-2}\sum_{i\neq l}\sum_{j\neq l}
                        K_{X_{i},X_{l}} K_{X_{j},X_{l}}K_{Y_{i},Y_{j}}^{(2)}

        where :math:`K_{X_{i},X_{l}}` is the multivariate product kernel and
        :math:`\mu_{-l}(X_{l})` is the leave-one-out estimator of the pdf.

        :math:`K_{Y_{i},Y_{j}}^{(2)}` is the convolution kernel.

        The value of the function is minimized by the ``_cv_ls`` method of the
        `GenericKDE` class to return the bw estimates that minimize the
        distance between the estimated and "true" probability density.

        References
        ----------
        .. [1] Racine, J., Li, Q. Nonparametric econometrics: theory and
                practice. Princeton University Press. (2007)
        .. [2] Racine, J., Li, Q. "Nonparametric Estimation of Distributions
                with Categorical and Continuous Data." Working Paper. (2000)
        """
        zLOO = LeaveOneOut(self.data)
        CV = 0
        nobs = float(self.nobs)
        expander = np.ones((self.nobs - 1, 1))
        for ii, Z in enumerate(zLOO):
            X = Z[:, self.k_dep:]
            Y = Z[:, :self.k_dep]
            Ye_L = np.kron(Y, expander)
            Ye_R = np.kron(expander, Y)
            Xe_L = np.kron(X, expander)
            Xe_R = np.kron(expander, X)
            K_Xi_Xl = gpke(bw[self.k_dep:], data=Xe_L,
                           data_predict=self.exog[ii, :],
                           var_type=self.indep_type, tosum=False)
            K_Xj_Xl = gpke(bw[self.k_dep:], data=Xe_R,
                           data_predict=self.exog[ii, :],
                           var_type=self.indep_type, tosum=False)
            K2_Yi_Yj = gpke(bw[0:self.k_dep], data=Ye_L,
                            data_predict=Ye_R, var_type=self.dep_type,
                            ckertype='gauss_convolution',
                            okertype='wangryzin_convolution',
                            ukertype='aitchisonaitken_convolution',
                            tosum=False)
            G = (K_Xi_Xl * K_Xj_Xl * K2_Yi_Yj).sum() / nobs**2
            f_X_Y = gpke(bw, data=-Z, data_predict=-self.data[ii, :],
                         var_type=(self.dep_type + self.indep_type)) / nobs
            m_x = gpke(bw[self.k_dep:], data=-X,
                       data_predict=-self.exog[ii, :],
                       var_type=self.indep_type) / nobs
            CV += (G / m_x ** 2) - 2 * (f_X_Y / m_x)

        return CV / nobs

    def _get_class_vars_type(self):
        """Helper method to be able to pass needed vars to _compute_subset."""
        class_type = 'KDEMultivariateConditional'
        class_vars = (self.k_dep, self.dep_type, self.indep_type)
        return class_type, class_vars

