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391 lines
13 KiB
Python
391 lines
13 KiB
Python
5 years ago
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from collections import namedtuple
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import numpy as np
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from . import distributions
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__all__ = ['_find_repeats', 'linregress', 'theilslopes', 'siegelslopes']
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LinregressResult = namedtuple('LinregressResult', ('slope', 'intercept',
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'rvalue', 'pvalue',
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'stderr'))
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def linregress(x, y=None):
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"""
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Calculate a linear least-squares regression for two sets of measurements.
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Parameters
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----------
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x, y : array_like
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Two sets of measurements. Both arrays should have the same length.
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If only x is given (and y=None), then it must be a two-dimensional
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array where one dimension has length 2. The two sets of measurements
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are then found by splitting the array along the length-2 dimension.
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Returns
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-------
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slope : float
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slope of the regression line
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intercept : float
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intercept of the regression line
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rvalue : float
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correlation coefficient
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pvalue : float
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two-sided p-value for a hypothesis test whose null hypothesis is
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that the slope is zero, using Wald Test with t-distribution of
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the test statistic.
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stderr : float
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Standard error of the estimated gradient.
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See also
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--------
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:func:`scipy.optimize.curve_fit` : Use non-linear
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least squares to fit a function to data.
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:func:`scipy.optimize.leastsq` : Minimize the sum of
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squares of a set of equations.
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Examples
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--------
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>>> import matplotlib.pyplot as plt
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>>> from scipy import stats
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Generate some data:
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>>> np.random.seed(12345678)
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>>> x = np.random.random(10)
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>>> y = 1.6*x + np.random.random(10)
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Perform the linear regression:
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>>> slope, intercept, r_value, p_value, std_err = stats.linregress(x, y)
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>>> print("slope: %f intercept: %f" % (slope, intercept))
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slope: 1.944864 intercept: 0.268578
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To get coefficient of determination (r_squared):
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>>> print("r-squared: %f" % r_value**2)
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r-squared: 0.735498
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Plot the data along with the fitted line:
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>>> plt.plot(x, y, 'o', label='original data')
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>>> plt.plot(x, intercept + slope*x, 'r', label='fitted line')
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>>> plt.legend()
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>>> plt.show()
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"""
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TINY = 1.0e-20
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if y is None: # x is a (2, N) or (N, 2) shaped array_like
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x = np.asarray(x)
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if x.shape[0] == 2:
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x, y = x
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elif x.shape[1] == 2:
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x, y = x.T
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else:
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msg = ("If only `x` is given as input, it has to be of shape "
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"(2, N) or (N, 2), provided shape was %s" % str(x.shape))
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raise ValueError(msg)
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else:
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x = np.asarray(x)
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y = np.asarray(y)
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if x.size == 0 or y.size == 0:
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raise ValueError("Inputs must not be empty.")
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n = len(x)
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xmean = np.mean(x, None)
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ymean = np.mean(y, None)
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# average sum of squares:
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ssxm, ssxym, ssyxm, ssym = np.cov(x, y, bias=1).flat
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r_num = ssxym
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r_den = np.sqrt(ssxm * ssym)
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if r_den == 0.0:
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r = 0.0
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else:
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r = r_num / r_den
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# test for numerical error propagation
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if r > 1.0:
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r = 1.0
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elif r < -1.0:
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r = -1.0
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df = n - 2
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slope = r_num / ssxm
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intercept = ymean - slope*xmean
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if n == 2:
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# handle case when only two points are passed in
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if y[0] == y[1]:
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prob = 1.0
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else:
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prob = 0.0
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sterrest = 0.0
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else:
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t = r * np.sqrt(df / ((1.0 - r + TINY)*(1.0 + r + TINY)))
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prob = 2 * distributions.t.sf(np.abs(t), df)
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sterrest = np.sqrt((1 - r**2) * ssym / ssxm / df)
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return LinregressResult(slope, intercept, r, prob, sterrest)
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def theilslopes(y, x=None, alpha=0.95):
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r"""
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Computes the Theil-Sen estimator for a set of points (x, y).
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`theilslopes` implements a method for robust linear regression. It
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computes the slope as the median of all slopes between paired values.
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Parameters
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----------
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y : array_like
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Dependent variable.
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x : array_like or None, optional
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Independent variable. If None, use ``arange(len(y))`` instead.
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alpha : float, optional
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Confidence degree between 0 and 1. Default is 95% confidence.
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Note that `alpha` is symmetric around 0.5, i.e. both 0.1 and 0.9 are
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interpreted as "find the 90% confidence interval".
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Returns
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-------
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medslope : float
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Theil slope.
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medintercept : float
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Intercept of the Theil line, as ``median(y) - medslope*median(x)``.
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lo_slope : float
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Lower bound of the confidence interval on `medslope`.
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up_slope : float
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Upper bound of the confidence interval on `medslope`.
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See also
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--------
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siegelslopes : a similar technique using repeated medians
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Notes
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-----
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The implementation of `theilslopes` follows [1]_. The intercept is
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not defined in [1]_, and here it is defined as ``median(y) -
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medslope*median(x)``, which is given in [3]_. Other definitions of
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the intercept exist in the literature. A confidence interval for
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the intercept is not given as this question is not addressed in
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[1]_.
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References
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----------
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.. [1] P.K. Sen, "Estimates of the regression coefficient based on Kendall's tau",
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J. Am. Stat. Assoc., Vol. 63, pp. 1379-1389, 1968.
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.. [2] H. Theil, "A rank-invariant method of linear and polynomial
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regression analysis I, II and III", Nederl. Akad. Wetensch., Proc.
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53:, pp. 386-392, pp. 521-525, pp. 1397-1412, 1950.
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.. [3] W.L. Conover, "Practical nonparametric statistics", 2nd ed.,
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John Wiley and Sons, New York, pp. 493.
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Examples
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--------
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>>> from scipy import stats
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>>> import matplotlib.pyplot as plt
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>>> x = np.linspace(-5, 5, num=150)
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>>> y = x + np.random.normal(size=x.size)
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>>> y[11:15] += 10 # add outliers
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>>> y[-5:] -= 7
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Compute the slope, intercept and 90% confidence interval. For comparison,
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also compute the least-squares fit with `linregress`:
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>>> res = stats.theilslopes(y, x, 0.90)
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>>> lsq_res = stats.linregress(x, y)
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Plot the results. The Theil-Sen regression line is shown in red, with the
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dashed red lines illustrating the confidence interval of the slope (note
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that the dashed red lines are not the confidence interval of the regression
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as the confidence interval of the intercept is not included). The green
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line shows the least-squares fit for comparison.
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>>> fig = plt.figure()
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>>> ax = fig.add_subplot(111)
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>>> ax.plot(x, y, 'b.')
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>>> ax.plot(x, res[1] + res[0] * x, 'r-')
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>>> ax.plot(x, res[1] + res[2] * x, 'r--')
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>>> ax.plot(x, res[1] + res[3] * x, 'r--')
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>>> ax.plot(x, lsq_res[1] + lsq_res[0] * x, 'g-')
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>>> plt.show()
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"""
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# We copy both x and y so we can use _find_repeats.
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y = np.array(y).flatten()
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if x is None:
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x = np.arange(len(y), dtype=float)
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else:
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x = np.array(x, dtype=float).flatten()
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if len(x) != len(y):
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raise ValueError("Incompatible lengths ! (%s<>%s)" % (len(y), len(x)))
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# Compute sorted slopes only when deltax > 0
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deltax = x[:, np.newaxis] - x
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deltay = y[:, np.newaxis] - y
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slopes = deltay[deltax > 0] / deltax[deltax > 0]
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slopes.sort()
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medslope = np.median(slopes)
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medinter = np.median(y) - medslope * np.median(x)
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# Now compute confidence intervals
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if alpha > 0.5:
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alpha = 1. - alpha
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z = distributions.norm.ppf(alpha / 2.)
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# This implements (2.6) from Sen (1968)
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_, nxreps = _find_repeats(x)
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_, nyreps = _find_repeats(y)
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nt = len(slopes) # N in Sen (1968)
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ny = len(y) # n in Sen (1968)
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# Equation 2.6 in Sen (1968):
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sigsq = 1/18. * (ny * (ny-1) * (2*ny+5) -
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sum(k * (k-1) * (2*k + 5) for k in nxreps) -
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sum(k * (k-1) * (2*k + 5) for k in nyreps))
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# Find the confidence interval indices in `slopes`
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sigma = np.sqrt(sigsq)
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Ru = min(int(np.round((nt - z*sigma)/2.)), len(slopes)-1)
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Rl = max(int(np.round((nt + z*sigma)/2.)) - 1, 0)
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delta = slopes[[Rl, Ru]]
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return medslope, medinter, delta[0], delta[1]
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def _find_repeats(arr):
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# This function assumes it may clobber its input.
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if len(arr) == 0:
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return np.array(0, np.float64), np.array(0, np.intp)
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# XXX This cast was previously needed for the Fortran implementation,
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# should we ditch it?
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arr = np.asarray(arr, np.float64).ravel()
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arr.sort()
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# Taken from NumPy 1.9's np.unique.
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change = np.concatenate(([True], arr[1:] != arr[:-1]))
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unique = arr[change]
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change_idx = np.concatenate(np.nonzero(change) + ([arr.size],))
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freq = np.diff(change_idx)
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atleast2 = freq > 1
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return unique[atleast2], freq[atleast2]
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def siegelslopes(y, x=None, method="hierarchical"):
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r"""
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Computes the Siegel estimator for a set of points (x, y).
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`siegelslopes` implements a method for robust linear regression
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using repeated medians (see [1]_) to fit a line to the points (x, y).
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The method is robust to outliers with an asymptotic breakdown point
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of 50%.
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Parameters
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----------
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y : array_like
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Dependent variable.
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x : array_like or None, optional
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Independent variable. If None, use ``arange(len(y))`` instead.
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method : {'hierarchical', 'separate'}
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If 'hierarchical', estimate the intercept using the estimated
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slope ``medslope`` (default option).
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If 'separate', estimate the intercept independent of the estimated
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slope. See Notes for details.
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Returns
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-------
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medslope : float
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Estimate of the slope of the regression line.
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medintercept : float
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Estimate of the intercept of the regression line.
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See also
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--------
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theilslopes : a similar technique without repeated medians
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Notes
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-----
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With ``n = len(y)``, compute ``m_j`` as the median of
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the slopes from the point ``(x[j], y[j])`` to all other `n-1` points.
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``medslope`` is then the median of all slopes ``m_j``.
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Two ways are given to estimate the intercept in [1]_ which can be chosen
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via the parameter ``method``.
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The hierarchical approach uses the estimated slope ``medslope``
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and computes ``medintercept`` as the median of ``y - medslope*x``.
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The other approach estimates the intercept separately as follows: for
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each point ``(x[j], y[j])``, compute the intercepts of all the `n-1`
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lines through the remaining points and take the median ``i_j``.
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``medintercept`` is the median of the ``i_j``.
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The implementation computes `n` times the median of a vector of size `n`
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which can be slow for large vectors. There are more efficient algorithms
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(see [2]_) which are not implemented here.
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References
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----------
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.. [1] A. Siegel, "Robust Regression Using Repeated Medians",
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Biometrika, Vol. 69, pp. 242-244, 1982.
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.. [2] A. Stein and M. Werman, "Finding the repeated median regression
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line", Proceedings of the Third Annual ACM-SIAM Symposium on
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Discrete Algorithms, pp. 409-413, 1992.
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Examples
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--------
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>>> from scipy import stats
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>>> import matplotlib.pyplot as plt
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>>> x = np.linspace(-5, 5, num=150)
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>>> y = x + np.random.normal(size=x.size)
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>>> y[11:15] += 10 # add outliers
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>>> y[-5:] -= 7
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Compute the slope and intercept. For comparison, also compute the
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least-squares fit with `linregress`:
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>>> res = stats.siegelslopes(y, x)
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>>> lsq_res = stats.linregress(x, y)
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Plot the results. The Siegel regression line is shown in red. The green
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line shows the least-squares fit for comparison.
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>>> fig = plt.figure()
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>>> ax = fig.add_subplot(111)
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>>> ax.plot(x, y, 'b.')
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>>> ax.plot(x, res[1] + res[0] * x, 'r-')
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>>> ax.plot(x, lsq_res[1] + lsq_res[0] * x, 'g-')
|
||
|
|
>>> plt.show()
|
||
|
|
|
||
|
|
"""
|
||
|
|
if method not in ['hierarchical', 'separate']:
|
||
|
|
raise ValueError("method can only be 'hierarchical' or 'separate'")
|
||
|
|
y = np.asarray(y).ravel()
|
||
|
|
if x is None:
|
||
|
|
x = np.arange(len(y), dtype=float)
|
||
|
|
else:
|
||
|
|
x = np.asarray(x, dtype=float).ravel()
|
||
|
|
if len(x) != len(y):
|
||
|
|
raise ValueError("Incompatible lengths ! (%s<>%s)" % (len(y), len(x)))
|
||
|
|
|
||
|
|
deltax = x[:, np.newaxis] - x
|
||
|
|
deltay = y[:, np.newaxis] - y
|
||
|
|
slopes, intercepts = [], []
|
||
|
|
|
||
|
|
for j in range(len(x)):
|
||
|
|
id_nonzero = deltax[j, :] != 0
|
||
|
|
slopes_j = deltay[j, id_nonzero] / deltax[j, id_nonzero]
|
||
|
|
medslope_j = np.median(slopes_j)
|
||
|
|
slopes.append(medslope_j)
|
||
|
|
if method == 'separate':
|
||
|
|
z = y*x[j] - y[j]*x
|
||
|
|
medintercept_j = np.median(z[id_nonzero] / deltax[j, id_nonzero])
|
||
|
|
intercepts.append(medintercept_j)
|
||
|
|
|
||
|
|
medslope = np.median(np.asarray(slopes))
|
||
|
|
if method == "separate":
|
||
|
|
medinter = np.median(np.asarray(intercepts))
|
||
|
|
else:
|
||
|
|
medinter = np.median(y - medslope*x)
|
||
|
|
|
||
|
|
return medslope, medinter
|