import numpy as np import pandas as pd from scipy.stats import norm # モデルで使う関数定義 def logit(x): p = 1 / (1 + np.exp(-x)) dp = p * (1 - p) return p, dp def probit(x): p = norm.cdf(x) dp = norm.pdf(x) return p, dp def bhood(func, param, y, z): xb = np.dot(z, param) p, dp = func(xb) p = np.clip(p, 1e-8, 1 - 1e-8) # log(0)防止 lhood = np.sum(y * np.log(p) + (1 - y) * np.log(1 - p)) grad = np.dot(z.T, y - p) hess = -np.dot(z.T * dp.flatten(), z) return lhood, grad, hess # メインクラス class BinaryLogit: def __init__(self, mode="logit", tol=1e-4): self.mode = mode self.tol = tol self.coef = None self.se = None self.t = None self.APE = None self.PEA = None self.p = None self.likelihood = None self.n = None self.k = None def _get_func(self): if self.mode == "logit": return logit elif self.mode == "probit": return probit else: raise NotImplementedError(f"Unknown mode: {self.mode}") def _get_z_y(self, x, y=None): # Pandas から NumPy に変換 if isinstance(x, pd.DataFrame): x_array = x.values x_names = ["const"] + x.columns.tolist() else: x_array = np.asarray(x) x_names = ["const"] + [f"x{i}" for i in range(x_array.shape[1])] self.n, self.k = x_array.shape const = np.ones((self.n, 1)) z = np.hstack([const, x_array]) self.x_names = x_names if y is None: return z if isinstance(y, (pd.Series, pd.DataFrame)): y_array = np.asarray(y).flatten() self.y_name = y.name if hasattr(y, 'name') else "y" else: y_array = np.asarray(y).flatten() self.y_name = "y" return z, y_array def fit(self, x, y): z, y = self._get_z_y(x, y) func = self._get_func() param = np.zeros(z.shape[1]) f = bhood(func, param, y, z) r = np.max(np.abs(f[1])) while r > self.tol: param = param - np.dot(np.linalg.inv(f[2]), f[1]) f = bhood(func, param, y, z) r = np.max(np.abs(f[1])) self.coef = param self.intercept_ = param[0] self.coef_ = param[1:] self.likelihood = f[0] self.se = np.sqrt(np.diag(np.linalg.inv(-f[2]))) self.t = self.coef / self.se self.p = (1 - norm.cdf(np.abs(self.t))) * 2 u = func(np.dot(z, param.reshape(-1, 1))) self.APE = np.mean(u[1]) * param u = func(np.dot(np.mean(z, axis=0), param)) self.PEA = u[1] * param return self def predict(self, x): if isinstance(x, pd.DataFrame): x_array = x.values else: x_array = np.asarray(x) if x_array.shape[1] != self.k: raise ValueError(f"Expected {self.k} features, got {x_array.shape[1]}") const = np.ones((x_array.shape[0], 1)) z = np.hstack([const, x_array]) func = self._get_func() return func(np.dot(z, self.coef))[0] def summary(self): col_names = ["coef", "se", "t", "p", "PEA", "APE"] df = pd.DataFrame(np.c_[self.coef, self.se, self.t, self.p, self.PEA, self.APE], index=self.x_names, columns=col_names) return df