first commit delong_test

Project.toml

@@ -3,19 +3,21 @@ uuid = "f535d66d-59bb-5153-8d2b-ef0a426c6aff"
 repo = "https://github.com/davidavdav/ROCAnalysis.jl.git"
 version = "0.3.3"
 
-[compat]
-julia = "1"
-RecipesBase = "1"
-SpecialFunctions = "0.7, 0.8, 0.9, 0.10, 1"
-DataFrames = "0.20, 0.21, 0.22, 1"
-
 [deps]
-SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
-RecipesBase = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
 DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
+Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 Printf = "de0858da-6303-5e67-8744-51eddeeeb8d7"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+RecipesBase = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
+SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
+StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
+
+[compat]
+DataFrames = "0.20, 0.21, 0.22, 1"
+RecipesBase = "1"
+SpecialFunctions = "0.7, 0.8, 0.9, 0.10, 1"
+julia = "1"
 
 [extras]
 CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"

src/delong.jl

@@ -0,0 +1,64 @@
+using Distributions
+
+function ψ(x,y)
+    return if x > y 
+        1
+        elseif x < y
+        0
+        else
+        1/2
+    end
+end
+
+function V₁₀(x::Float64; Y)
+    sum(ψ.(x,Y)) / length(Y)
+end
+
+function V₀₁(y::Float64; X)
+    sum(ψ.(X, y)) / length(X)
+end
+
+function V₁₀(X::Vector{N},Y::Vector{N}) where {N<:Real}
+    V₁₀.(X, Y=Y)
+end
+
+function V₀₁(X::Vector{N},Y::Vector{N}) where {N<:Real}
+    V₀₁.(Y, X=X)
+end
+
+function S₁₀(tars, nontars, θs)
+    Xs = hcat(map(zip(tars, nontars, θs)) do (tar, nontar, θ)
+        V₁₀.(tar, Y=nontar) .- θ
+    end...)
+    cov(Xs)
+end
+
+function S₀₁(tars, nontars, θs)
+    Xs = hcat(map(zip(tars, nontars, θs)) do (tar, nontar, θ)
+        V₀₁.(nontar, X=tar) .- θ
+    end...)
+    cov(Xs)
+end
+
+function delong_test(tar1, nontar1, tar2, nontar2)
+
+
+    # Adjust the lengths in case of different lengths
+    m = minimum(length.([tar1, tar2]))
+    n = minimum(length.([nontar1, nontar2]))
+
+    tars = [tar1[1:m], tar2[1:m]]
+    nontars = [nontar1[1:n], nontar2[1:n]]
+
+    θ₁ = auc(tar1, nontar1)
+    θ₂ = auc(tar2, nontar2)
+    θ  = [θ₁, θ₂]
+
+    l = [1, -1]
+
+    S₁₀(tars, nontars, θ)
+    S₀₁(tars, nontars, θ)
+    Delon_stat = abs((θ₁ - θ₂)) /  √(l' * (S₁₀(tars, nontars, θ)/m + S₀₁(tars, nontars, θ)/n) * l)
+
+    1 - cdf(Normal(0,1), Delon_stat) + cdf(Normal(0,1), -Delon_stat)
+end

src/includes.jl

@@ -13,3 +13,5 @@ include("dcf.jl")
 include("plotrecipes.jl")
 
 include("dataframes.jl")
+
+include("delong.jl")

test/delong.jl

@@ -0,0 +1,17 @@
+@testset "test delong" begin
+    target = [0,0,1,1,1]
+    modela = [0.1, 0.2, 0.6, 0.7, 0.8]
+    modelb = [0.3,0.6,0.2,0.7,0.9]
+    nontara, tara = modela[1:2], modela[3:end]
+    nontarb, tarb = modelb[1:2], modelb[3:end]
+
+    @test round(ROCAnalysis.delong_test(tara, nontara, tarb, nontarb), digits=4) == 0.3173 
+
+    target = [0,0,0,0,0,0,1,1,1,1,1,1,1]
+    modela = [0.1,0.2,0.05,0.3,0.1,0.6,0.6,0.7,0.8,0.99,0.8,0.67,0.5]
+    modelb = [0.3,0.6,0.2,0.1,0.1,0.9,0.23,0.7,0.9,0.4,0.77,0.3,0.89]
+    nontara, tara = modela[1:6], modela[7:end]
+    nontarb, tarb = modelb[1:6], modelb[7:end]
+
+    @test round(ROCAnalysis.delong_test(tara, nontara, tarb, nontarb), digits=5) == 0.09453
+end

test/runtests.jl

@@ -10,3 +10,4 @@ using Random
 include("extremes.jl")
 include("big.jl")
 include("dcf.jl")
+include("delong.jl")