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zeros, arange, sort, amin, amax, any, atleast_1d, sqrt, ceil, floor, array, compress, pi, exp, ravel, count_nonzero, sin, cos, arctan2, hypot)
'bayes_mvs', 'kstat', 'kstatvar', 'probplot', 'ppcc_max', 'ppcc_plot', 'boxcox_llf', 'boxcox', 'boxcox_normmax', 'boxcox_normplot', 'shapiro', 'anderson', 'ansari', 'bartlett', 'levene', 'binom_test', 'fligner', 'mood', 'wilcoxon', 'median_test', 'circmean', 'circvar', 'circstd', 'anderson_ksamp' ]
r""" Bayesian confidence intervals for the mean, var, and std.
Parameters ---------- data : array_like Input data, if multi-dimensional it is flattened to 1-D by `bayes_mvs`. Requires 2 or more data points. alpha : float, optional Probability that the returned confidence interval contains the true parameter.
Returns ------- mean_cntr, var_cntr, std_cntr : tuple The three results are for the mean, variance and standard deviation, respectively. Each result is a tuple of the form::
(center, (lower, upper))
with `center` the mean of the conditional pdf of the value given the data, and `(lower, upper)` a confidence interval, centered on the median, containing the estimate to a probability ``alpha``.
See Also -------- mvsdist
Notes ----- Each tuple of mean, variance, and standard deviation estimates represent the (center, (lower, upper)) with center the mean of the conditional pdf of the value given the data and (lower, upper) is a confidence interval centered on the median, containing the estimate to a probability ``alpha``.
Converts data to 1-D and assumes all data has the same mean and variance. Uses Jeffrey's prior for variance and std.
Equivalent to ``tuple((x.mean(), x.interval(alpha)) for x in mvsdist(dat))``
References ---------- T.E. Oliphant, "A Bayesian perspective on estimating mean, variance, and standard-deviation from data", http://scholarsarchive.byu.edu/facpub/278, 2006.
Examples -------- First a basic example to demonstrate the outputs:
>>> from scipy import stats >>> data = [6, 9, 12, 7, 8, 8, 13] >>> mean, var, std = stats.bayes_mvs(data) >>> mean Mean(statistic=9.0, minmax=(7.103650222612533, 10.896349777387467)) >>> var Variance(statistic=10.0, minmax=(3.176724206..., 24.45910382...)) >>> std Std_dev(statistic=2.9724954732045084, minmax=(1.7823367265645143, 4.945614605014631))
Now we generate some normally distributed random data, and get estimates of mean and standard deviation with 95% confidence intervals for those estimates:
>>> n_samples = 100000 >>> data = stats.norm.rvs(size=n_samples) >>> res_mean, res_var, res_std = stats.bayes_mvs(data, alpha=0.95)
>>> import matplotlib.pyplot as plt >>> fig = plt.figure() >>> ax = fig.add_subplot(111) >>> ax.hist(data, bins=100, density=True, label='Histogram of data') >>> ax.vlines(res_mean.statistic, 0, 0.5, colors='r', label='Estimated mean') >>> ax.axvspan(res_mean.minmax[0],res_mean.minmax[1], facecolor='r', ... alpha=0.2, label=r'Estimated mean (95% limits)') >>> ax.vlines(res_std.statistic, 0, 0.5, colors='g', label='Estimated scale') >>> ax.axvspan(res_std.minmax[0],res_std.minmax[1], facecolor='g', alpha=0.2, ... label=r'Estimated scale (95% limits)')
>>> ax.legend(fontsize=10) >>> ax.set_xlim([-4, 4]) >>> ax.set_ylim([0, 0.5]) >>> plt.show()
""" m, v, s = mvsdist(data) if alpha >= 1 or alpha <= 0: raise ValueError("0 < alpha < 1 is required, but alpha=%s was given." % alpha)
m_res = Mean(m.mean(), m.interval(alpha)) v_res = Variance(v.mean(), v.interval(alpha)) s_res = Std_dev(s.mean(), s.interval(alpha))
return m_res, v_res, s_res
""" 'Frozen' distributions for mean, variance, and standard deviation of data.
Parameters ---------- data : array_like Input array. Converted to 1-D using ravel. Requires 2 or more data-points.
Returns ------- mdist : "frozen" distribution object Distribution object representing the mean of the data vdist : "frozen" distribution object Distribution object representing the variance of the data sdist : "frozen" distribution object Distribution object representing the standard deviation of the data
See Also -------- bayes_mvs
Notes ----- The return values from ``bayes_mvs(data)`` is equivalent to ``tuple((x.mean(), x.interval(0.90)) for x in mvsdist(data))``.
In other words, calling ``<dist>.mean()`` and ``<dist>.interval(0.90)`` on the three distribution objects returned from this function will give the same results that are returned from `bayes_mvs`.
References ---------- T.E. Oliphant, "A Bayesian perspective on estimating mean, variance, and standard-deviation from data", http://scholarsarchive.byu.edu/facpub/278, 2006.
Examples -------- >>> from scipy import stats >>> data = [6, 9, 12, 7, 8, 8, 13] >>> mean, var, std = stats.mvsdist(data)
We now have frozen distribution objects "mean", "var" and "std" that we can examine:
>>> mean.mean() 9.0 >>> mean.interval(0.95) (6.6120585482655692, 11.387941451734431) >>> mean.std() 1.1952286093343936
""" x = ravel(data) n = len(x) if n < 2: raise ValueError("Need at least 2 data-points.") xbar = x.mean() C = x.var() if n > 1000: # gaussian approximations for large n mdist = distributions.norm(loc=xbar, scale=math.sqrt(C / n)) sdist = distributions.norm(loc=math.sqrt(C), scale=math.sqrt(C / (2. * n))) vdist = distributions.norm(loc=C, scale=math.sqrt(2.0 / n) * C) else: nm1 = n - 1 fac = n * C / 2. val = nm1 / 2. mdist = distributions.t(nm1, loc=xbar, scale=math.sqrt(C / nm1)) sdist = distributions.gengamma(val, -2, scale=math.sqrt(fac)) vdist = distributions.invgamma(val, scale=fac) return mdist, vdist, sdist
r""" Return the nth k-statistic (1<=n<=4 so far).
The nth k-statistic k_n is the unique symmetric unbiased estimator of the nth cumulant kappa_n.
Parameters ---------- data : array_like Input array. Note that n-D input gets flattened. n : int, {1, 2, 3, 4}, optional Default is equal to 2.
Returns ------- kstat : float The nth k-statistic.
See Also -------- kstatvar: Returns an unbiased estimator of the variance of the k-statistic. moment: Returns the n-th central moment about the mean for a sample.
Notes ----- For a sample size n, the first few k-statistics are given by:
.. math::
k_{1} = \mu k_{2} = \frac{n}{n-1} m_{2} k_{3} = \frac{ n^{2} } {(n-1) (n-2)} m_{3} k_{4} = \frac{ n^{2} [(n + 1)m_{4} - 3(n - 1) m^2_{2}]} {(n-1) (n-2) (n-3)}
where :math:`\mu` is the sample mean, :math:`m_2` is the sample variance, and :math:`m_i` is the i-th sample central moment.
References ---------- http://mathworld.wolfram.com/k-Statistic.html
http://mathworld.wolfram.com/Cumulant.html
Examples -------- >>> from scipy import stats >>> rndm = np.random.RandomState(1234)
As sample size increases, n-th moment and n-th k-statistic converge to the same number (although they aren't identical). In the case of the normal distribution, they converge to zero.
>>> for n in [2, 3, 4, 5, 6, 7]: ... x = rndm.normal(size=10**n) ... m, k = stats.moment(x, 3), stats.kstat(x, 3) ... print("%.3g %.3g %.3g" % (m, k, m-k)) -0.631 -0.651 0.0194 0.0282 0.0283 -8.49e-05 -0.0454 -0.0454 1.36e-05 7.53e-05 7.53e-05 -2.26e-09 0.00166 0.00166 -4.99e-09 -2.88e-06 -2.88e-06 8.63e-13 """ if n > 4 or n < 1: raise ValueError("k-statistics only supported for 1<=n<=4") n = int(n) S = np.zeros(n + 1, np.float64) data = ravel(data) N = data.size
# raise ValueError on empty input if N == 0: raise ValueError("Data input must not be empty")
# on nan input, return nan without warning if np.isnan(np.sum(data)): return np.nan
for k in range(1, n + 1): S[k] = np.sum(data**k, axis=0) if n == 1: return S[1] * 1.0/N elif n == 2: return (N*S[2] - S[1]**2.0) / (N*(N - 1.0)) elif n == 3: return (2*S[1]**3 - 3*N*S[1]*S[2] + N*N*S[3]) / (N*(N - 1.0)*(N - 2.0)) elif n == 4: return ((-6*S[1]**4 + 12*N*S[1]**2 * S[2] - 3*N*(N-1.0)*S[2]**2 - 4*N*(N+1)*S[1]*S[3] + N*N*(N+1)*S[4]) / (N*(N-1.0)*(N-2.0)*(N-3.0))) else: raise ValueError("Should not be here.")
r""" Returns an unbiased estimator of the variance of the k-statistic.
See `kstat` for more details of the k-statistic.
Parameters ---------- data : array_like Input array. Note that n-D input gets flattened. n : int, {1, 2}, optional Default is equal to 2.
Returns ------- kstatvar : float The nth k-statistic variance.
See Also -------- kstat: Returns the n-th k-statistic. moment: Returns the n-th central moment about the mean for a sample.
Notes ----- The variances of the first few k-statistics are given by:
.. math::
var(k_{1}) = \frac{\kappa^2}{n} var(k_{2}) = \frac{\kappa^4}{n} + \frac{2\kappa^2_{2}}{n - 1} var(k_{3}) = \frac{\kappa^6}{n} + \frac{9 \kappa_2 \kappa_4}{n - 1} + \frac{9 \kappa^2_{3}}{n - 1} + \frac{6 n \kappa^3_{2}}{(n-1) (n-2)} var(k_{4}) = \frac{\kappa^8}{n} + \frac{16 \kappa_2 \kappa_6}{n - 1} + \frac{48 \kappa_{3} \kappa_5}{n - 1} + \frac{34 \kappa^2_{4}}{n-1} + \frac{72 n \kappa^2_{2} \kappa_4}{(n - 1) (n - 2)} + \frac{144 n \kappa_{2} \kappa^2_{3}}{(n - 1) (n - 2)} + \frac{24 (n + 1) n \kappa^4_{2}}{(n - 1) (n - 2) (n - 3)} """ data = ravel(data) N = len(data) if n == 1: return kstat(data, n=2) * 1.0/N elif n == 2: k2 = kstat(data, n=2) k4 = kstat(data, n=4) return (2*N*k2**2 + (N-1)*k4) / (N*(N+1)) else: raise ValueError("Only n=1 or n=2 supported.")
""" Approximations of uniform order statistic medians.
Parameters ---------- n : int Sample size.
Returns ------- v : 1d float array Approximations of the order statistic medians.
References ---------- .. [1] James J. Filliben, "The Probability Plot Correlation Coefficient Test for Normality", Technometrics, Vol. 17, pp. 111-117, 1975.
Examples -------- Order statistics of the uniform distribution on the unit interval are marginally distributed according to beta distributions. The expectations of these order statistic are evenly spaced across the interval, but the distributions are skewed in a way that pushes the medians slightly towards the endpoints of the unit interval:
>>> n = 4 >>> k = np.arange(1, n+1) >>> from scipy.stats import beta >>> a = k >>> b = n-k+1 >>> beta.mean(a, b) array([ 0.2, 0.4, 0.6, 0.8]) >>> beta.median(a, b) array([ 0.15910358, 0.38572757, 0.61427243, 0.84089642])
The Filliben approximation uses the exact medians of the smallest and greatest order statistics, and the remaining medians are approximated by points spread evenly across a sub-interval of the unit interval:
>>> from scipy.morestats import _calc_uniform_order_statistic_medians >>> _calc_uniform_order_statistic_medians(n) array([ 0.15910358, 0.38545246, 0.61454754, 0.84089642])
This plot shows the skewed distributions of the order statistics of a sample of size four from a uniform distribution on the unit interval:
>>> import matplotlib.pyplot as plt >>> x = np.linspace(0.0, 1.0, num=50, endpoint=True) >>> pdfs = [beta.pdf(x, a[i], b[i]) for i in range(n)] >>> plt.figure() >>> plt.plot(x, pdfs[0], x, pdfs[1], x, pdfs[2], x, pdfs[3])
""" v = np.zeros(n, dtype=np.float64) v[-1] = 0.5**(1.0 / n) v[0] = 1 - v[-1] i = np.arange(2, n) v[1:-1] = (i - 0.3175) / (n + 0.365) return v
"""Parse `dist` keyword.
Parameters ---------- dist : str or stats.distributions instance. Several functions take `dist` as a keyword, hence this utility function. enforce_subclass : bool, optional If True (default), `dist` needs to be a `_distn_infrastructure.rv_generic` instance. It can sometimes be useful to set this keyword to False, if a function wants to accept objects that just look somewhat like such an instance (for example, they have a ``ppf`` method).
""" if isinstance(dist, rv_generic): pass elif isinstance(dist, string_types): try: dist = getattr(distributions, dist) except AttributeError: raise ValueError("%s is not a valid distribution name" % dist) elif enforce_subclass: msg = ("`dist` should be a stats.distributions instance or a string " "with the name of such a distribution.") raise ValueError(msg)
return dist
"""Helper function to add axes labels and a title to stats plots""" try: if hasattr(plot, 'set_title'): # Matplotlib Axes instance or something that looks like it plot.set_title(title) plot.set_xlabel(xlabel) plot.set_ylabel(ylabel) else: # matplotlib.pyplot module plot.title(title) plot.xlabel(xlabel) plot.ylabel(ylabel) except: # Not an MPL object or something that looks (enough) like it. # Don't crash on adding labels or title pass
""" Calculate quantiles for a probability plot, and optionally show the plot.
Generates a probability plot of sample data against the quantiles of a specified theoretical distribution (the normal distribution by default). `probplot` optionally calculates a best-fit line for the data and plots the results using Matplotlib or a given plot function.
Parameters ---------- x : array_like Sample/response data from which `probplot` creates the plot. sparams : tuple, optional Distribution-specific shape parameters (shape parameters plus location and scale). dist : str or stats.distributions instance, optional Distribution or distribution function name. The default is 'norm' for a normal probability plot. Objects that look enough like a stats.distributions instance (i.e. they have a ``ppf`` method) are also accepted. fit : bool, optional Fit a least-squares regression (best-fit) line to the sample data if True (default). plot : object, optional If given, plots the quantiles and least squares fit. `plot` is an object that has to have methods "plot" and "text". The `matplotlib.pyplot` module or a Matplotlib Axes object can be used, or a custom object with the same methods. Default is None, which means that no plot is created.
Returns ------- (osm, osr) : tuple of ndarrays Tuple of theoretical quantiles (osm, or order statistic medians) and ordered responses (osr). `osr` is simply sorted input `x`. For details on how `osm` is calculated see the Notes section. (slope, intercept, r) : tuple of floats, optional Tuple containing the result of the least-squares fit, if that is performed by `probplot`. `r` is the square root of the coefficient of determination. If ``fit=False`` and ``plot=None``, this tuple is not returned.
Notes ----- Even if `plot` is given, the figure is not shown or saved by `probplot`; ``plt.show()`` or ``plt.savefig('figname.png')`` should be used after calling `probplot`.
`probplot` generates a probability plot, which should not be confused with a Q-Q or a P-P plot. Statsmodels has more extensive functionality of this type, see ``statsmodels.api.ProbPlot``.
The formula used for the theoretical quantiles (horizontal axis of the probability plot) is Filliben's estimate::
quantiles = dist.ppf(val), for
0.5**(1/n), for i = n val = (i - 0.3175) / (n + 0.365), for i = 2, ..., n-1 1 - 0.5**(1/n), for i = 1
where ``i`` indicates the i-th ordered value and ``n`` is the total number of values.
Examples -------- >>> from scipy import stats >>> import matplotlib.pyplot as plt >>> nsample = 100 >>> np.random.seed(7654321)
A t distribution with small degrees of freedom:
>>> ax1 = plt.subplot(221) >>> x = stats.t.rvs(3, size=nsample) >>> res = stats.probplot(x, plot=plt)
A t distribution with larger degrees of freedom:
>>> ax2 = plt.subplot(222) >>> x = stats.t.rvs(25, size=nsample) >>> res = stats.probplot(x, plot=plt)
A mixture of two normal distributions with broadcasting:
>>> ax3 = plt.subplot(223) >>> x = stats.norm.rvs(loc=[0,5], scale=[1,1.5], ... size=(nsample//2,2)).ravel() >>> res = stats.probplot(x, plot=plt)
A standard normal distribution:
>>> ax4 = plt.subplot(224) >>> x = stats.norm.rvs(loc=0, scale=1, size=nsample) >>> res = stats.probplot(x, plot=plt)
Produce a new figure with a loggamma distribution, using the ``dist`` and ``sparams`` keywords:
>>> fig = plt.figure() >>> ax = fig.add_subplot(111) >>> x = stats.loggamma.rvs(c=2.5, size=500) >>> res = stats.probplot(x, dist=stats.loggamma, sparams=(2.5,), plot=ax) >>> ax.set_title("Probplot for loggamma dist with shape parameter 2.5")
Show the results with Matplotlib:
>>> plt.show()
""" x = np.asarray(x) _perform_fit = fit or (plot is not None) if x.size == 0: if _perform_fit: return (x, x), (np.nan, np.nan, 0.0) else: return x, x
osm_uniform = _calc_uniform_order_statistic_medians(len(x)) dist = _parse_dist_kw(dist, enforce_subclass=False) if sparams is None: sparams = () if isscalar(sparams): sparams = (sparams,) if not isinstance(sparams, tuple): sparams = tuple(sparams)
osm = dist.ppf(osm_uniform, *sparams) osr = sort(x) if _perform_fit: # perform a linear least squares fit. slope, intercept, r, prob, sterrest = stats.linregress(osm, osr)
if plot is not None: plot.plot(osm, osr, 'bo', osm, slope*osm + intercept, 'r-') _add_axis_labels_title(plot, xlabel='Theoretical quantiles', ylabel='Ordered Values', title='Probability Plot')
# Add R^2 value to the plot as text if rvalue: xmin = amin(osm) xmax = amax(osm) ymin = amin(x) ymax = amax(x) posx = xmin + 0.70 * (xmax - xmin) posy = ymin + 0.01 * (ymax - ymin) plot.text(posx, posy, "$R^2=%1.4f$" % r**2)
if fit: return (osm, osr), (slope, intercept, r) else: return osm, osr
""" Calculate the shape parameter that maximizes the PPCC
The probability plot correlation coefficient (PPCC) plot can be used to determine the optimal shape parameter for a one-parameter family of distributions. ppcc_max returns the shape parameter that would maximize the probability plot correlation coefficient for the given data to a one-parameter family of distributions.
Parameters ---------- x : array_like Input array. brack : tuple, optional Triple (a,b,c) where (a<b<c). If bracket consists of two numbers (a, c) then they are assumed to be a starting interval for a downhill bracket search (see `scipy.optimize.brent`). dist : str or stats.distributions instance, optional Distribution or distribution function name. Objects that look enough like a stats.distributions instance (i.e. they have a ``ppf`` method) are also accepted. The default is ``'tukeylambda'``.
Returns ------- shape_value : float The shape parameter at which the probability plot correlation coefficient reaches its max value.
See also -------- ppcc_plot, probplot, boxcox
Notes ----- The brack keyword serves as a starting point which is useful in corner cases. One can use a plot to obtain a rough visual estimate of the location for the maximum to start the search near it.
References ---------- .. [1] J.J. Filliben, "The Probability Plot Correlation Coefficient Test for Normality", Technometrics, Vol. 17, pp. 111-117, 1975.
.. [2] http://www.itl.nist.gov/div898/handbook/eda/section3/ppccplot.htm
Examples -------- First we generate some random data from a Tukey-Lambda distribution, with shape parameter -0.7:
>>> from scipy import stats >>> x = stats.tukeylambda.rvs(-0.7, loc=2, scale=0.5, size=10000, ... random_state=1234567) + 1e4
Now we explore this data with a PPCC plot as well as the related probability plot and Box-Cox normplot. A red line is drawn where we expect the PPCC value to be maximal (at the shape parameter -0.7 used above):
>>> import matplotlib.pyplot as plt >>> fig = plt.figure(figsize=(8, 6)) >>> ax = fig.add_subplot(111) >>> res = stats.ppcc_plot(x, -5, 5, plot=ax)
We calculate the value where the shape should reach its maximum and a red line is drawn there. The line should coincide with the highest point in the ppcc_plot.
>>> max = stats.ppcc_max(x) >>> ax.vlines(max, 0, 1, colors='r', label='Expected shape value')
>>> plt.show()
""" dist = _parse_dist_kw(dist) osm_uniform = _calc_uniform_order_statistic_medians(len(x)) osr = sort(x)
# this function computes the x-axis values of the probability plot # and computes a linear regression (including the correlation) # and returns 1-r so that a minimization function maximizes the # correlation def tempfunc(shape, mi, yvals, func): xvals = func(mi, shape) r, prob = stats.pearsonr(xvals, yvals) return 1 - r
return optimize.brent(tempfunc, brack=brack, args=(osm_uniform, osr, dist.ppf))
""" Calculate and optionally plot probability plot correlation coefficient.
The probability plot correlation coefficient (PPCC) plot can be used to determine the optimal shape parameter for a one-parameter family of distributions. It cannot be used for distributions without shape parameters (like the normal distribution) or with multiple shape parameters.
By default a Tukey-Lambda distribution (`stats.tukeylambda`) is used. A Tukey-Lambda PPCC plot interpolates from long-tailed to short-tailed distributions via an approximately normal one, and is therefore particularly useful in practice.
Parameters ---------- x : array_like Input array. a, b: scalar Lower and upper bounds of the shape parameter to use. dist : str or stats.distributions instance, optional Distribution or distribution function name. Objects that look enough like a stats.distributions instance (i.e. they have a ``ppf`` method) are also accepted. The default is ``'tukeylambda'``. plot : object, optional If given, plots PPCC against the shape parameter. `plot` is an object that has to have methods "plot" and "text". The `matplotlib.pyplot` module or a Matplotlib Axes object can be used, or a custom object with the same methods. Default is None, which means that no plot is created. N : int, optional Number of points on the horizontal axis (equally distributed from `a` to `b`).
Returns ------- svals : ndarray The shape values for which `ppcc` was calculated. ppcc : ndarray The calculated probability plot correlation coefficient values.
See also -------- ppcc_max, probplot, boxcox_normplot, tukeylambda
References ---------- J.J. Filliben, "The Probability Plot Correlation Coefficient Test for Normality", Technometrics, Vol. 17, pp. 111-117, 1975.
Examples -------- First we generate some random data from a Tukey-Lambda distribution, with shape parameter -0.7:
>>> from scipy import stats >>> import matplotlib.pyplot as plt >>> np.random.seed(1234567) >>> x = stats.tukeylambda.rvs(-0.7, loc=2, scale=0.5, size=10000) + 1e4
Now we explore this data with a PPCC plot as well as the related probability plot and Box-Cox normplot. A red line is drawn where we expect the PPCC value to be maximal (at the shape parameter -0.7 used above):
>>> fig = plt.figure(figsize=(12, 4)) >>> ax1 = fig.add_subplot(131) >>> ax2 = fig.add_subplot(132) >>> ax3 = fig.add_subplot(133) >>> res = stats.probplot(x, plot=ax1) >>> res = stats.boxcox_normplot(x, -5, 5, plot=ax2) >>> res = stats.ppcc_plot(x, -5, 5, plot=ax3) >>> ax3.vlines(-0.7, 0, 1, colors='r', label='Expected shape value') >>> plt.show()
""" if b <= a: raise ValueError("`b` has to be larger than `a`.")
svals = np.linspace(a, b, num=N) ppcc = np.empty_like(svals) for k, sval in enumerate(svals): _, r2 = probplot(x, sval, dist=dist, fit=True) ppcc[k] = r2[-1]
if plot is not None: plot.plot(svals, ppcc, 'x') _add_axis_labels_title(plot, xlabel='Shape Values', ylabel='Prob Plot Corr. Coef.', title='(%s) PPCC Plot' % dist)
return svals, ppcc
r"""The boxcox log-likelihood function.
Parameters ---------- lmb : scalar Parameter for Box-Cox transformation. See `boxcox` for details. data : array_like Data to calculate Box-Cox log-likelihood for. If `data` is multi-dimensional, the log-likelihood is calculated along the first axis.
Returns ------- llf : float or ndarray Box-Cox log-likelihood of `data` given `lmb`. A float for 1-D `data`, an array otherwise.
See Also -------- boxcox, probplot, boxcox_normplot, boxcox_normmax
Notes ----- The Box-Cox log-likelihood function is defined here as
.. math::
llf = (\lambda - 1) \sum_i(\log(x_i)) - N/2 \log(\sum_i (y_i - \bar{y})^2 / N),
where ``y`` is the Box-Cox transformed input data ``x``.
Examples -------- >>> from scipy import stats >>> import matplotlib.pyplot as plt >>> from mpl_toolkits.axes_grid1.inset_locator import inset_axes >>> np.random.seed(1245)
Generate some random variates and calculate Box-Cox log-likelihood values for them for a range of ``lmbda`` values:
>>> x = stats.loggamma.rvs(5, loc=10, size=1000) >>> lmbdas = np.linspace(-2, 10) >>> llf = np.zeros(lmbdas.shape, dtype=float) >>> for ii, lmbda in enumerate(lmbdas): ... llf[ii] = stats.boxcox_llf(lmbda, x)
Also find the optimal lmbda value with `boxcox`:
>>> x_most_normal, lmbda_optimal = stats.boxcox(x)
Plot the log-likelihood as function of lmbda. Add the optimal lmbda as a horizontal line to check that that's really the optimum:
>>> fig = plt.figure() >>> ax = fig.add_subplot(111) >>> ax.plot(lmbdas, llf, 'b.-') >>> ax.axhline(stats.boxcox_llf(lmbda_optimal, x), color='r') >>> ax.set_xlabel('lmbda parameter') >>> ax.set_ylabel('Box-Cox log-likelihood')
Now add some probability plots to show that where the log-likelihood is maximized the data transformed with `boxcox` looks closest to normal:
>>> locs = [3, 10, 4] # 'lower left', 'center', 'lower right' >>> for lmbda, loc in zip([-1, lmbda_optimal, 9], locs): ... xt = stats.boxcox(x, lmbda=lmbda) ... (osm, osr), (slope, intercept, r_sq) = stats.probplot(xt) ... ax_inset = inset_axes(ax, width="20%", height="20%", loc=loc) ... ax_inset.plot(osm, osr, 'c.', osm, slope*osm + intercept, 'k-') ... ax_inset.set_xticklabels([]) ... ax_inset.set_yticklabels([]) ... ax_inset.set_title('$\lambda=%1.2f$' % lmbda)
>>> plt.show()
""" data = np.asarray(data) N = data.shape[0] if N == 0: return np.nan
y = boxcox(data, lmb) y_mean = np.mean(y, axis=0) llf = (lmb - 1) * np.sum(np.log(data), axis=0) llf -= N / 2.0 * np.log(np.sum((y - y_mean)**2. / N, axis=0)) return llf
# Need to find the lambda for which # f(x,lmbda) >= f(x,lmax) - 0.5*chi^2_alpha;1 fac = 0.5 * distributions.chi2.ppf(1 - alpha, 1) target = boxcox_llf(lmax, x) - fac
def rootfunc(lmbda, data, target): return boxcox_llf(lmbda, data) - target
# Find positive endpoint of interval in which answer is to be found newlm = lmax + 0.5 N = 0 while (rootfunc(newlm, x, target) > 0.0) and (N < 500): newlm += 0.1 N += 1
if N == 500: raise RuntimeError("Could not find endpoint.")
lmplus = optimize.brentq(rootfunc, lmax, newlm, args=(x, target))
# Now find negative interval in the same way newlm = lmax - 0.5 N = 0 while (rootfunc(newlm, x, target) > 0.0) and (N < 500): newlm -= 0.1 N += 1
if N == 500: raise RuntimeError("Could not find endpoint.")
lmminus = optimize.brentq(rootfunc, newlm, lmax, args=(x, target)) return lmminus, lmplus
r""" Return a positive dataset transformed by a Box-Cox power transformation.
Parameters ---------- x : ndarray Input array. Should be 1-dimensional. lmbda : {None, scalar}, optional If `lmbda` is not None, do the transformation for that value.
If `lmbda` is None, find the lambda that maximizes the log-likelihood function and return it as the second output argument. alpha : {None, float}, optional If ``alpha`` is not None, return the ``100 * (1-alpha)%`` confidence interval for `lmbda` as the third output argument. Must be between 0.0 and 1.0.
Returns ------- boxcox : ndarray Box-Cox power transformed array. maxlog : float, optional If the `lmbda` parameter is None, the second returned argument is the lambda that maximizes the log-likelihood function. (min_ci, max_ci) : tuple of float, optional If `lmbda` parameter is None and ``alpha`` is not None, this returned tuple of floats represents the minimum and maximum confidence limits given ``alpha``.
See Also -------- probplot, boxcox_normplot, boxcox_normmax, boxcox_llf
Notes ----- The Box-Cox transform is given by::
y = (x**lmbda - 1) / lmbda, for lmbda > 0 log(x), for lmbda = 0
`boxcox` requires the input data to be positive. Sometimes a Box-Cox transformation provides a shift parameter to achieve this; `boxcox` does not. Such a shift parameter is equivalent to adding a positive constant to `x` before calling `boxcox`.
The confidence limits returned when ``alpha`` is provided give the interval where:
.. math::
llf(\hat{\lambda}) - llf(\lambda) < \frac{1}{2}\chi^2(1 - \alpha, 1),
with ``llf`` the log-likelihood function and :math:`\chi^2` the chi-squared function.
References ---------- G.E.P. Box and D.R. Cox, "An Analysis of Transformations", Journal of the Royal Statistical Society B, 26, 211-252 (1964).
Examples -------- >>> from scipy import stats >>> import matplotlib.pyplot as plt
We generate some random variates from a non-normal distribution and make a probability plot for it, to show it is non-normal in the tails:
>>> fig = plt.figure() >>> ax1 = fig.add_subplot(211) >>> x = stats.loggamma.rvs(5, size=500) + 5 >>> prob = stats.probplot(x, dist=stats.norm, plot=ax1) >>> ax1.set_xlabel('') >>> ax1.set_title('Probplot against normal distribution')
We now use `boxcox` to transform the data so it's closest to normal:
>>> ax2 = fig.add_subplot(212) >>> xt, _ = stats.boxcox(x) >>> prob = stats.probplot(xt, dist=stats.norm, plot=ax2) >>> ax2.set_title('Probplot after Box-Cox transformation')
>>> plt.show()
""" x = np.asarray(x) if x.size == 0: return x
if any(x <= 0): raise ValueError("Data must be positive.")
if lmbda is not None: # single transformation return special.boxcox(x, lmbda)
# If lmbda=None, find the lmbda that maximizes the log-likelihood function. lmax = boxcox_normmax(x, method='mle') y = boxcox(x, lmax)
if alpha is None: return y, lmax else: # Find confidence interval interval = _boxcox_conf_interval(x, lmax, alpha) return y, lmax, interval
"""Compute optimal Box-Cox transform parameter for input data.
Parameters ---------- x : array_like Input array. brack : 2-tuple, optional The starting interval for a downhill bracket search with `optimize.brent`. Note that this is in most cases not critical; the final result is allowed to be outside this bracket. method : str, optional The method to determine the optimal transform parameter (`boxcox` ``lmbda`` parameter). Options are:
'pearsonr' (default) Maximizes the Pearson correlation coefficient between ``y = boxcox(x)`` and the expected values for ``y`` if `x` would be normally-distributed.
'mle' Minimizes the log-likelihood `boxcox_llf`. This is the method used in `boxcox`.
'all' Use all optimization methods available, and return all results. Useful to compare different methods.
Returns ------- maxlog : float or ndarray The optimal transform parameter found. An array instead of a scalar for ``method='all'``.
See Also -------- boxcox, boxcox_llf, boxcox_normplot
Examples -------- >>> from scipy import stats >>> import matplotlib.pyplot as plt >>> np.random.seed(1234) # make this example reproducible
Generate some data and determine optimal ``lmbda`` in various ways:
>>> x = stats.loggamma.rvs(5, size=30) + 5 >>> y, lmax_mle = stats.boxcox(x) >>> lmax_pearsonr = stats.boxcox_normmax(x)
>>> lmax_mle 7.177... >>> lmax_pearsonr 7.916... >>> stats.boxcox_normmax(x, method='all') array([ 7.91667384, 7.17718692])
>>> fig = plt.figure() >>> ax = fig.add_subplot(111) >>> prob = stats.boxcox_normplot(x, -10, 10, plot=ax) >>> ax.axvline(lmax_mle, color='r') >>> ax.axvline(lmax_pearsonr, color='g', ls='--')
>>> plt.show()
"""
def _pearsonr(x, brack): osm_uniform = _calc_uniform_order_statistic_medians(len(x)) xvals = distributions.norm.ppf(osm_uniform)
def _eval_pearsonr(lmbda, xvals, samps): # This function computes the x-axis values of the probability plot # and computes a linear regression (including the correlation) and # returns ``1 - r`` so that a minimization function maximizes the # correlation. y = boxcox(samps, lmbda) yvals = np.sort(y) r, prob = stats.pearsonr(xvals, yvals) return 1 - r
return optimize.brent(_eval_pearsonr, brack=brack, args=(xvals, x))
def _mle(x, brack): def _eval_mle(lmb, data): # function to minimize return -boxcox_llf(lmb, data)
return optimize.brent(_eval_mle, brack=brack, args=(x,))
def _all(x, brack): maxlog = np.zeros(2, dtype=float) maxlog[0] = _pearsonr(x, brack) maxlog[1] = _mle(x, brack) return maxlog
methods = {'pearsonr': _pearsonr, 'mle': _mle, 'all': _all} if method not in methods.keys(): raise ValueError("Method %s not recognized." % method)
optimfunc = methods[method] return optimfunc(x, brack)
"""Compute parameters for a Box-Cox normality plot, optionally show it.
A Box-Cox normality plot shows graphically what the best transformation parameter is to use in `boxcox` to obtain a distribution that is close to normal.
Parameters ---------- x : array_like Input array. la, lb : scalar The lower and upper bounds for the ``lmbda`` values to pass to `boxcox` for Box-Cox transformations. These are also the limits of the horizontal axis of the plot if that is generated. plot : object, optional If given, plots the quantiles and least squares fit. `plot` is an object that has to have methods "plot" and "text". The `matplotlib.pyplot` module or a Matplotlib Axes object can be used, or a custom object with the same methods. Default is None, which means that no plot is created. N : int, optional Number of points on the horizontal axis (equally distributed from `la` to `lb`).
Returns ------- lmbdas : ndarray The ``lmbda`` values for which a Box-Cox transform was done. ppcc : ndarray Probability Plot Correlelation Coefficient, as obtained from `probplot` when fitting the Box-Cox transformed input `x` against a normal distribution.
See Also -------- probplot, boxcox, boxcox_normmax, boxcox_llf, ppcc_max
Notes ----- Even if `plot` is given, the figure is not shown or saved by `boxcox_normplot`; ``plt.show()`` or ``plt.savefig('figname.png')`` should be used after calling `probplot`.
Examples -------- >>> from scipy import stats >>> import matplotlib.pyplot as plt
Generate some non-normally distributed data, and create a Box-Cox plot:
>>> x = stats.loggamma.rvs(5, size=500) + 5 >>> fig = plt.figure() >>> ax = fig.add_subplot(111) >>> prob = stats.boxcox_normplot(x, -20, 20, plot=ax)
Determine and plot the optimal ``lmbda`` to transform ``x`` and plot it in the same plot:
>>> _, maxlog = stats.boxcox(x) >>> ax.axvline(maxlog, color='r')
>>> plt.show()
""" x = np.asarray(x) if x.size == 0: return x
if lb <= la: raise ValueError("`lb` has to be larger than `la`.")
lmbdas = np.linspace(la, lb, num=N) ppcc = lmbdas * 0.0 for i, val in enumerate(lmbdas): # Determine for each lmbda the correlation coefficient of transformed x z = boxcox(x, lmbda=val) _, r2 = probplot(z, dist='norm', fit=True) ppcc[i] = r2[-1]
if plot is not None: plot.plot(lmbdas, ppcc, 'x') _add_axis_labels_title(plot, xlabel='$\\lambda$', ylabel='Prob Plot Corr. Coef.', title='Box-Cox Normality Plot')
return lmbdas, ppcc
""" Perform the Shapiro-Wilk test for normality.
The Shapiro-Wilk test tests the null hypothesis that the data was drawn from a normal distribution.
Parameters ---------- x : array_like Array of sample data.
Returns ------- W : float The test statistic. p-value : float The p-value for the hypothesis test.
See Also -------- anderson : The Anderson-Darling test for normality kstest : The Kolmogorov-Smirnov test for goodness of fit.
Notes ----- The algorithm used is described in [4]_ but censoring parameters as described are not implemented. For N > 5000 the W test statistic is accurate but the p-value may not be.
The chance of rejecting the null hypothesis when it is true is close to 5% regardless of sample size.
References ---------- .. [1] http://www.itl.nist.gov/div898/handbook/prc/section2/prc213.htm .. [2] Shapiro, S. S. & Wilk, M.B (1965). An analysis of variance test for normality (complete samples), Biometrika, Vol. 52, pp. 591-611. .. [3] Razali, N. M. & Wah, Y. B. (2011) Power comparisons of Shapiro-Wilk, Kolmogorov-Smirnov, Lilliefors and Anderson-Darling tests, Journal of Statistical Modeling and Analytics, Vol. 2, pp. 21-33. .. [4] ALGORITHM AS R94 APPL. STATIST. (1995) VOL. 44, NO. 4.
Examples -------- >>> from scipy import stats >>> np.random.seed(12345678) >>> x = stats.norm.rvs(loc=5, scale=3, size=100) >>> stats.shapiro(x) (0.9772805571556091, 0.08144091814756393)
""" x = np.ravel(x)
N = len(x) if N < 3: raise ValueError("Data must be at least length 3.")
a = zeros(N, 'f') init = 0
y = sort(x) a, w, pw, ifault = statlib.swilk(y, a[:N//2], init) if ifault not in [0, 2]: warnings.warn("Input data for shapiro has range zero. The results " "may not be accurate.") if N > 5000: warnings.warn("p-value may not be accurate for N > 5000.")
return w, pw
# Values from Stephens, M A, "EDF Statistics for Goodness of Fit and # Some Comparisons", Journal of he American Statistical # Association, Vol. 69, Issue 347, Sept. 1974, pp 730-737 # From Stephens, M A, "Goodness of Fit for the Extreme Value Distribution", # Biometrika, Vol. 64, Issue 3, Dec. 1977, pp 583-588. # From Stephens, M A, "Tests of Fit for the Logistic Distribution Based # on the Empirical Distribution Function.", Biometrika, # Vol. 66, Issue 3, Dec. 1979, pp 591-595.
'critical_values', 'significance_level'))
""" Anderson-Darling test for data coming from a particular distribution
The Anderson-Darling tests the null hypothesis that a sample is drawn from a population that follows a particular distribution. For the Anderson-Darling test, the critical values depend on which distribution is being tested against. This function works for normal, exponential, logistic, or Gumbel (Extreme Value Type I) distributions.
Parameters ---------- x : array_like array of sample data dist : {'norm','expon','logistic','gumbel','gumbel_l', gumbel_r', 'extreme1'}, optional the type of distribution to test against. The default is 'norm' and 'extreme1', 'gumbel_l' and 'gumbel' are synonyms.
Returns ------- statistic : float The Anderson-Darling test statistic critical_values : list The critical values for this distribution significance_level : list The significance levels for the corresponding critical values in percents. The function returns critical values for a differing set of significance levels depending on the distribution that is being tested against.
See Also -------- kstest : The Kolmogorov-Smirnov test for goodness-of-fit.
Notes ----- Critical values provided are for the following significance levels:
normal/exponenential 15%, 10%, 5%, 2.5%, 1% logistic 25%, 10%, 5%, 2.5%, 1%, 0.5% Gumbel 25%, 10%, 5%, 2.5%, 1%
If the returned statistic is larger than these critical values then for the corresponding significance level, the null hypothesis that the data come from the chosen distribution can be rejected. The returned statistic is referred to as 'A2' in the references.
References ---------- .. [1] http://www.itl.nist.gov/div898/handbook/prc/section2/prc213.htm .. [2] Stephens, M. A. (1974). EDF Statistics for Goodness of Fit and Some Comparisons, Journal of the American Statistical Association, Vol. 69, pp. 730-737. .. [3] Stephens, M. A. (1976). Asymptotic Results for Goodness-of-Fit Statistics with Unknown Parameters, Annals of Statistics, Vol. 4, pp. 357-369. .. [4] Stephens, M. A. (1977). Goodness of Fit for the Extreme Value Distribution, Biometrika, Vol. 64, pp. 583-588. .. [5] Stephens, M. A. (1977). Goodness of Fit with Special Reference to Tests for Exponentiality , Technical Report No. 262, Department of Statistics, Stanford University, Stanford, CA. .. [6] Stephens, M. A. (1979). Tests of Fit for the Logistic Distribution Based on the Empirical Distribution Function, Biometrika, Vol. 66, pp. 591-595.
""" if dist not in ['norm', 'expon', 'gumbel', 'gumbel_l', 'gumbel_r', 'extreme1', 'logistic']: raise ValueError("Invalid distribution; dist must be 'norm', " "'expon', 'gumbel', 'extreme1' or 'logistic'.") y = sort(x) xbar = np.mean(x, axis=0) N = len(y) if dist == 'norm': s = np.std(x, ddof=1, axis=0) w = (y - xbar) / s logcdf = distributions.norm.logcdf(w) logsf = distributions.norm.logsf(w) sig = array([15, 10, 5, 2.5, 1]) critical = around(_Avals_norm / (1.0 + 4.0/N - 25.0/N/N), 3) elif dist == 'expon': w = y / xbar logcdf = distributions.expon.logcdf(w) logsf = distributions.expon.logsf(w) sig = array([15, 10, 5, 2.5, 1]) critical = around(_Avals_expon / (1.0 + 0.6/N), 3) elif dist == 'logistic': def rootfunc(ab, xj, N): a, b = ab tmp = (xj - a) / b tmp2 = exp(tmp) val = [np.sum(1.0/(1+tmp2), axis=0) - 0.5*N, np.sum(tmp*(1.0-tmp2)/(1+tmp2), axis=0) + N] return array(val)
sol0 = array([xbar, np.std(x, ddof=1, axis=0)]) sol = optimize.fsolve(rootfunc, sol0, args=(x, N), xtol=1e-5) w = (y - sol[0]) / sol[1] logcdf = distributions.logistic.logcdf(w) logsf = distributions.logistic.logsf(w) sig = array([25, 10, 5, 2.5, 1, 0.5]) critical = around(_Avals_logistic / (1.0 + 0.25/N), 3) elif dist == 'gumbel_r': xbar, s = distributions.gumbel_r.fit(x) w = (y - xbar) / s logcdf = distributions.gumbel_r.logcdf(w) logsf = distributions.gumbel_r.logsf(w) sig = array([25, 10, 5, 2.5, 1]) critical = around(_Avals_gumbel / (1.0 + 0.2/sqrt(N)), 3) else: # (dist == 'gumbel') or (dist == 'gumbel_l') or (dist == 'extreme1') xbar, s = distributions.gumbel_l.fit(x) w = (y - xbar) / s logcdf = distributions.gumbel_l.logcdf(w) logsf = distributions.gumbel_l.logsf(w) sig = array([25, 10, 5, 2.5, 1]) critical = around(_Avals_gumbel / (1.0 + 0.2/sqrt(N)), 3)
i = arange(1, N + 1) A2 = -N - np.sum((2*i - 1.0) / N * (logcdf + logsf[::-1]), axis=0)
return AndersonResult(A2, critical, sig)
""" Compute A2akN equation 7 of Scholz and Stephens.
Parameters ---------- samples : sequence of 1-D array_like Array of sample arrays. Z : array_like Sorted array of all observations. Zstar : array_like Sorted array of unique observations. k : int Number of samples. n : array_like Number of observations in each sample. N : int Total number of observations.
Returns ------- A2aKN : float The A2aKN statistics of Scholz and Stephens 1987. """
A2akN = 0. Z_ssorted_left = Z.searchsorted(Zstar, 'left') if N == Zstar.size: lj = 1. else: lj = Z.searchsorted(Zstar, 'right') - Z_ssorted_left Bj = Z_ssorted_left + lj / 2. for i in arange(0, k): s = np.sort(samples[i]) s_ssorted_right = s.searchsorted(Zstar, side='right') Mij = s_ssorted_right.astype(float) fij = s_ssorted_right - s.searchsorted(Zstar, 'left') Mij -= fij / 2. inner = lj / float(N) * (N*Mij - Bj*n[i])**2 / (Bj*(N - Bj) - N*lj/4.) A2akN += inner.sum() / n[i] A2akN *= (N - 1.) / N return A2akN
""" Compute A2akN equation 6 of Scholz & Stephens.
Parameters ---------- samples : sequence of 1-D array_like Array of sample arrays. Z : array_like Sorted array of all observations. Zstar : array_like Sorted array of unique observations. k : int Number of samples. n : array_like Number of observations in each sample. N : int Total number of observations.
Returns ------- A2KN : float The A2KN statistics of Scholz and Stephens 1987. """
A2kN = 0. lj = Z.searchsorted(Zstar[:-1], 'right') - Z.searchsorted(Zstar[:-1], 'left') Bj = lj.cumsum() for i in arange(0, k): s = np.sort(samples[i]) Mij = s.searchsorted(Zstar[:-1], side='right') inner = lj / float(N) * (N * Mij - Bj * n[i])**2 / (Bj * (N - Bj)) A2kN += inner.sum() / n[i] return A2kN
('statistic', 'critical_values', 'significance_level'))
"""The Anderson-Darling test for k-samples.
The k-sample Anderson-Darling test is a modification of the one-sample Anderson-Darling test. It tests the null hypothesis that k-samples are drawn from the same population without having to specify the distribution function of that population. The critical values depend on the number of samples.
Parameters ---------- samples : sequence of 1-D array_like Array of sample data in arrays. midrank : bool, optional Type of Anderson-Darling test which is computed. Default (True) is the midrank test applicable to continuous and discrete populations. If False, the right side empirical distribution is used.
Returns ------- statistic : float Normalized k-sample Anderson-Darling test statistic. critical_values : array The critical values for significance levels 25%, 10%, 5%, 2.5%, 1%. significance_level : float An approximate significance level at which the null hypothesis for the provided samples can be rejected.
Raises ------ ValueError If less than 2 samples are provided, a sample is empty, or no distinct observations are in the samples.
See Also -------- ks_2samp : 2 sample Kolmogorov-Smirnov test anderson : 1 sample Anderson-Darling test
Notes ----- [1]_ Defines three versions of the k-sample Anderson-Darling test: one for continuous distributions and two for discrete distributions, in which ties between samples may occur. The default of this routine is to compute the version based on the midrank empirical distribution function. This test is applicable to continuous and discrete data. If midrank is set to False, the right side empirical distribution is used for a test for discrete data. According to [1]_, the two discrete test statistics differ only slightly if a few collisions due to round-off errors occur in the test not adjusted for ties between samples.
.. versionadded:: 0.14.0
References ---------- .. [1] Scholz, F. W and Stephens, M. A. (1987), K-Sample Anderson-Darling Tests, Journal of the American Statistical Association, Vol. 82, pp. 918-924.
Examples -------- >>> from scipy import stats >>> np.random.seed(314159)
The null hypothesis that the two random samples come from the same distribution can be rejected at the 5% level because the returned test value is greater than the critical value for 5% (1.961) but not at the 2.5% level. The interpolation gives an approximate significance level of 3.1%:
>>> stats.anderson_ksamp([np.random.normal(size=50), ... np.random.normal(loc=0.5, size=30)]) (2.4615796189876105, array([ 0.325, 1.226, 1.961, 2.718, 3.752]), 0.03134990135800783)
The null hypothesis cannot be rejected for three samples from an identical distribution. The approximate p-value (87%) has to be computed by extrapolation and may not be very accurate:
>>> stats.anderson_ksamp([np.random.normal(size=50), ... np.random.normal(size=30), np.random.normal(size=20)]) (-0.73091722665244196, array([ 0.44925884, 1.3052767 , 1.9434184 , 2.57696569, 3.41634856]), 0.8789283903979661)
""" k = len(samples) if (k < 2): raise ValueError("anderson_ksamp needs at least two samples")
samples = list(map(np.asarray, samples)) Z = np.sort(np.hstack(samples)) N = Z.size Zstar = np.unique(Z) if Zstar.size < 2: raise ValueError("anderson_ksamp needs more than one distinct " "observation")
n = np.array([sample.size for sample in samples]) if any(n == 0): raise ValueError("anderson_ksamp encountered sample without " "observations")
if midrank: A2kN = _anderson_ksamp_midrank(samples, Z, Zstar, k, n, N) else: A2kN = _anderson_ksamp_right(samples, Z, Zstar, k, n, N)
H = (1. / n).sum() hs_cs = (1. / arange(N - 1, 1, -1)).cumsum() h = hs_cs[-1] + 1 g = (hs_cs / arange(2, N)).sum()
a = (4*g - 6) * (k - 1) + (10 - 6*g)*H b = (2*g - 4)*k**2 + 8*h*k + (2*g - 14*h - 4)*H - 8*h + 4*g - 6 c = (6*h + 2*g - 2)*k**2 + (4*h - 4*g + 6)*k + (2*h - 6)*H + 4*h d = (2*h + 6)*k**2 - 4*h*k sigmasq = (a*N**3 + b*N**2 + c*N + d) / ((N - 1.) * (N - 2.) * (N - 3.)) m = k - 1 A2 = (A2kN - m) / math.sqrt(sigmasq)
# The b_i values are the interpolation coefficients from Table 2 # of Scholz and Stephens 1987 b0 = np.array([0.675, 1.281, 1.645, 1.96, 2.326]) b1 = np.array([-0.245, 0.25, 0.678, 1.149, 1.822]) b2 = np.array([-0.105, -0.305, -0.362, -0.391, -0.396]) critical = b0 + b1 / math.sqrt(m) + b2 / m pf = np.polyfit(critical, log(np.array([0.25, 0.1, 0.05, 0.025, 0.01])), 2) if A2 < critical.min() or A2 > critical.max(): warnings.warn("approximate p-value will be computed by extrapolation") try: p = math.exp(np.polyval(pf, A2)) except (OverflowError,): p = float("inf") return Anderson_ksampResult(A2, critical, p)
""" Perform the Ansari-Bradley test for equal scale parameters
The Ansari-Bradley test is a non-parametric test for the equality of the scale parameter of the distributions from which two samples were drawn.
Parameters ---------- x, y : array_like arrays of sample data
Returns ------- statistic : float The Ansari-Bradley test statistic pvalue : float The p-value of the hypothesis test
See Also -------- fligner : A non-parametric test for the equality of k variances mood : A non-parametric test for the equality of two scale parameters
Notes ----- The p-value given is exact when the sample sizes are both less than 55 and there are no ties, otherwise a normal approximation for the p-value is used.
References ---------- .. [1] Sprent, Peter and N.C. Smeeton. Applied nonparametric statistical methods. 3rd ed. Chapman and Hall/CRC. 2001. Section 5.8.2.
""" x, y = asarray(x), asarray(y) n = len(x) m = len(y) if m < 1: raise ValueError("Not enough other observations.") if n < 1: raise ValueError("Not enough test observations.")
N = m + n xy = r_[x, y] # combine rank = stats.rankdata(xy) symrank = amin(array((rank, N - rank + 1)), 0) AB = np.sum(symrank[:n], axis=0) uxy = unique(xy) repeats = (len(uxy) != len(xy)) exact = ((m < 55) and (n < 55) and not repeats) if repeats and (m < 55 or n < 55): warnings.warn("Ties preclude use of exact statistic.") if exact: astart, a1, ifault = statlib.gscale(n, m) ind = AB - astart total = np.sum(a1, axis=0) if ind < len(a1)/2.0: cind = int(ceil(ind)) if ind == cind: pval = 2.0 * np.sum(a1[:cind+1], axis=0) / total else: pval = 2.0 * np.sum(a1[:cind], axis=0) / total else: find = int(floor(ind)) if ind == floor(ind): pval = 2.0 * np.sum(a1[find:], axis=0) / total else: pval = 2.0 * np.sum(a1[find+1:], axis=0) / total return AnsariResult(AB, min(1.0, pval))
# otherwise compute normal approximation if N % 2: # N odd mnAB = n * (N+1.0)**2 / 4.0 / N varAB = n * m * (N+1.0) * (3+N**2) / (48.0 * N**2) else: mnAB = n * (N+2.0) / 4.0 varAB = m * n * (N+2) * (N-2.0) / 48 / (N-1.0) if repeats: # adjust variance estimates # compute np.sum(tj * rj**2,axis=0) fac = np.sum(symrank**2, axis=0) if N % 2: # N odd varAB = m * n * (16*N*fac - (N+1)**4) / (16.0 * N**2 * (N-1)) else: # N even varAB = m * n * (16*fac - N*(N+2)**2) / (16.0 * N * (N-1))
z = (AB - mnAB) / sqrt(varAB) pval = distributions.norm.sf(abs(z)) * 2.0 return AnsariResult(AB, pval)
""" Perform Bartlett's test for equal variances
Bartlett's test tests the null hypothesis that all input samples are from populations with equal variances. For samples from significantly non-normal populations, Levene's test `levene` is more robust.
Parameters ---------- sample1, sample2,... : array_like arrays of sample data. May be different lengths.
Returns ------- statistic : float The test statistic. pvalue : float The p-value of the test.
See Also -------- fligner : A non-parametric test for the equality of k variances levene : A robust parametric test for equality of k variances
Notes ----- Conover et al. (1981) examine many of the existing parametric and nonparametric tests by extensive simulations and they conclude that the tests proposed by Fligner and Killeen (1976) and Levene (1960) appear to be superior in terms of robustness of departures from normality and power [3]_.
References ---------- .. [1] http://www.itl.nist.gov/div898/handbook/eda/section3/eda357.htm
.. [2] Snedecor, George W. and Cochran, William G. (1989), Statistical Methods, Eighth Edition, Iowa State University Press.
.. [3] Park, C. and Lindsay, B. G. (1999). Robust Scale Estimation and Hypothesis Testing based on Quadratic Inference Function. Technical Report #99-03, Center for Likelihood Studies, Pennsylvania State University.
.. [4] Bartlett, M. S. (1937). Properties of Sufficiency and Statistical Tests. Proceedings of the Royal Society of London. Series A, Mathematical and Physical Sciences, Vol. 160, No.901, pp. 268-282.
""" # Handle empty input for a in args: if np.asanyarray(a).size == 0: return BartlettResult(np.nan, np.nan)
k = len(args) if k < 2: raise ValueError("Must enter at least two input sample vectors.") Ni = zeros(k) ssq = zeros(k, 'd') for j in range(k): Ni[j] = len(args[j]) ssq[j] = np.var(args[j], ddof=1) Ntot = np.sum(Ni, axis=0) spsq = np.sum((Ni - 1)*ssq, axis=0) / (1.0*(Ntot - k)) numer = (Ntot*1.0 - k) * log(spsq) - np.sum((Ni - 1.0)*log(ssq), axis=0) denom = 1.0 + 1.0/(3*(k - 1)) * ((np.sum(1.0/(Ni - 1.0), axis=0)) - 1.0/(Ntot - k)) T = numer / denom pval = distributions.chi2.sf(T, k - 1) # 1 - cdf
return BartlettResult(T, pval)
""" Perform Levene test for equal variances.
The Levene test tests the null hypothesis that all input samples are from populations with equal variances. Levene's test is an alternative to Bartlett's test `bartlett` in the case where there are significant deviations from normality.
Parameters ---------- sample1, sample2, ... : array_like The sample data, possibly with different lengths center : {'mean', 'median', 'trimmed'}, optional Which function of the data to use in the test. The default is 'median'. proportiontocut : float, optional When `center` is 'trimmed', this gives the proportion of data points to cut from each end. (See `scipy.stats.trim_mean`.) Default is 0.05.
Returns ------- statistic : float The test statistic. pvalue : float The p-value for the test.
Notes ----- Three variations of Levene's test are possible. The possibilities and their recommended usages are:
* 'median' : Recommended for skewed (non-normal) distributions> * 'mean' : Recommended for symmetric, moderate-tailed distributions. * 'trimmed' : Recommended for heavy-tailed distributions.
References ---------- .. [1] http://www.itl.nist.gov/div898/handbook/eda/section3/eda35a.htm .. [2] Levene, H. (1960). In Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling, I. Olkin et al. eds., Stanford University Press, pp. 278-292. .. [3] Brown, M. B. and Forsythe, A. B. (1974), Journal of the American Statistical Association, 69, 364-367
""" # Handle keyword arguments. center = 'median' proportiontocut = 0.05 for kw, value in kwds.items(): if kw not in ['center', 'proportiontocut']: raise TypeError("levene() got an unexpected keyword " "argument '%s'" % kw) if kw == 'center': center = value else: proportiontocut = value
k = len(args) if k < 2: raise ValueError("Must enter at least two input sample vectors.") Ni = zeros(k) Yci = zeros(k, 'd')
if center not in ['mean', 'median', 'trimmed']: raise ValueError("Keyword argument <center> must be 'mean', 'median'" " or 'trimmed'.")
if center == 'median': func = lambda x: np.median(x, axis=0) elif center == 'mean': func = lambda x: np.mean(x, axis=0) else: # center == 'trimmed' args = tuple(stats.trimboth(np.sort(arg), proportiontocut) for arg in args) func = lambda x: np.mean(x, axis=0)
for j in range(k): Ni[j] = len(args[j]) Yci[j] = func(args[j]) Ntot = np.sum(Ni, axis=0)
# compute Zij's Zij = [None] * k for i in range(k): Zij[i] = abs(asarray(args[i]) - Yci[i])
# compute Zbari Zbari = zeros(k, 'd') Zbar = 0.0 for i in range(k): Zbari[i] = np.mean(Zij[i], axis=0) Zbar += Zbari[i] * Ni[i]
Zbar /= Ntot numer = (Ntot - k) * np.sum(Ni * (Zbari - Zbar)**2, axis=0)
# compute denom_variance dvar = 0.0 for i in range(k): dvar += np.sum((Zij[i] - Zbari[i])**2, axis=0)
denom = (k - 1.0) * dvar
W = numer / denom pval = distributions.f.sf(W, k-1, Ntot-k) # 1 - cdf return LeveneResult(W, pval)
""" Perform a test that the probability of success is p.
This is an exact, two-sided test of the null hypothesis that the probability of success in a Bernoulli experiment is `p`.
Parameters ---------- x : integer or array_like the number of successes, or if x has length 2, it is the number of successes and the number of failures. n : integer the number of trials. This is ignored if x gives both the number of successes and failures p : float, optional The hypothesized probability of success. 0 <= p <= 1. The default value is p = 0.5 alternative : {'two-sided', 'greater', 'less'}, optional Indicates the alternative hypothesis. The default value is 'two-sided'.
Returns ------- p-value : float The p-value of the hypothesis test
References ---------- .. [1] http://en.wikipedia.org/wiki/Binomial_test
""" x = atleast_1d(x).astype(np.integer) if len(x) == 2: n = x[1] + x[0] x = x[0] elif len(x) == 1: x = x[0] if n is None or n < x: raise ValueError("n must be >= x") n = np.int_(n) else: raise ValueError("Incorrect length for x.")
if (p > 1.0) or (p < 0.0): raise ValueError("p must be in range [0,1]")
if alternative not in ('two-sided', 'less', 'greater'): raise ValueError("alternative not recognized\n" "should be 'two-sided', 'less' or 'greater'")
if alternative == 'less': pval = distributions.binom.cdf(x, n, p) return pval
if alternative == 'greater': pval = distributions.binom.sf(x-1, n, p) return pval
# if alternative was neither 'less' nor 'greater', then it's 'two-sided' d = distributions.binom.pmf(x, n, p) rerr = 1 + 1e-7 if x == p * n: # special case as shortcut, would also be handled by `else` below pval = 1. elif x < p * n: i = np.arange(np.ceil(p * n), n+1) y = np.sum(distributions.binom.pmf(i, n, p) <= d*rerr, axis=0) pval = (distributions.binom.cdf(x, n, p) + distributions.binom.sf(n - y, n, p)) else: i = np.arange(np.floor(p*n) + 1) y = np.sum(distributions.binom.pmf(i, n, p) <= d*rerr, axis=0) pval = (distributions.binom.cdf(y-1, n, p) + distributions.binom.sf(x-1, n, p))
return min(1.0, pval)
# g is list of indices into x # separating x into different groups # func should be applied over the groups g = unique(r_[0, g, len(x)]) output = [] for k in range(len(g) - 1): output.append(func(x[g[k]:g[k+1]]))
return asarray(output)
""" Perform Fligner-Killeen test for equality of variance.
Fligner's test tests the null hypothesis that all input samples are from populations with equal variances. Fligner-Killeen's test is distribution free when populations are identical [2]_.
Parameters ---------- sample1, sample2, ... : array_like Arrays of sample data. Need not be the same length. center : {'mean', 'median', 'trimmed'}, optional Keyword argument controlling which function of the data is used in computing the test statistic. The default is 'median'. proportiontocut : float, optional When `center` is 'trimmed', this gives the proportion of data points to cut from each end. (See `scipy.stats.trim_mean`.) Default is 0.05.
Returns ------- statistic : float The test statistic. pvalue : float The p-value for the hypothesis test.
See Also -------- bartlett : A parametric test for equality of k variances in normal samples levene : A robust parametric test for equality of k variances
Notes ----- As with Levene's test there are three variants of Fligner's test that differ by the measure of central tendency used in the test. See `levene` for more information.
Conover et al. (1981) examine many of the existing parametric and nonparametric tests by extensive simulations and they conclude that the tests proposed by Fligner and Killeen (1976) and Levene (1960) appear to be superior in terms of robustness of departures from normality and power [3]_.
References ---------- .. [1] Park, C. and Lindsay, B. G. (1999). Robust Scale Estimation and Hypothesis Testing based on Quadratic Inference Function. Technical Report #99-03, Center for Likelihood Studies, Pennsylvania State University. http://cecas.clemson.edu/~cspark/cv/paper/qif/draftqif2.pdf
.. [2] Fligner, M.A. and Killeen, T.J. (1976). Distribution-free two-sample tests for scale. 'Journal of the American Statistical Association.' 71(353), 210-213.
.. [3] Park, C. and Lindsay, B. G. (1999). Robust Scale Estimation and Hypothesis Testing based on Quadratic Inference Function. Technical Report #99-03, Center for Likelihood Studies, Pennsylvania State University.
.. [4] Conover, W. J., Johnson, M. E. and Johnson M. M. (1981). A comparative study of tests for homogeneity of variances, with applications to the outer continental shelf biding data. Technometrics, 23(4), 351-361.
""" # Handle empty input for a in args: if np.asanyarray(a).size == 0: return FlignerResult(np.nan, np.nan)
# Handle keyword arguments. center = 'median' proportiontocut = 0.05 for kw, value in kwds.items(): if kw not in ['center', 'proportiontocut']: raise TypeError("fligner() got an unexpected keyword " "argument '%s'" % kw) if kw == 'center': center = value else: proportiontocut = value
k = len(args) if k < 2: raise ValueError("Must enter at least two input sample vectors.")
if center not in ['mean', 'median', 'trimmed']: raise ValueError("Keyword argument <center> must be 'mean', 'median'" " or 'trimmed'.")
if center == 'median': func = lambda x: np.median(x, axis=0) elif center == 'mean': func = lambda x: np.mean(x, axis=0) else: # center == 'trimmed' args = tuple(stats.trimboth(arg, proportiontocut) for arg in args) func = lambda x: np.mean(x, axis=0)
Ni = asarray([len(args[j]) for j in range(k)]) Yci = asarray([func(args[j]) for j in range(k)]) Ntot = np.sum(Ni, axis=0) # compute Zij's Zij = [abs(asarray(args[i]) - Yci[i]) for i in range(k)] allZij = [] g = [0] for i in range(k): allZij.extend(list(Zij[i])) g.append(len(allZij))
ranks = stats.rankdata(allZij) a = distributions.norm.ppf(ranks / (2*(Ntot + 1.0)) + 0.5)
# compute Aibar Aibar = _apply_func(a, g, np.sum) / Ni anbar = np.mean(a, axis=0) varsq = np.var(a, axis=0, ddof=1) Xsq = np.sum(Ni * (asarray(Aibar) - anbar)**2.0, axis=0) / varsq pval = distributions.chi2.sf(Xsq, k - 1) # 1 - cdf return FlignerResult(Xsq, pval)
""" Perform Mood's test for equal scale parameters.
Mood's two-sample test for scale parameters is a non-parametric test for the null hypothesis that two samples are drawn from the same distribution with the same scale parameter.
Parameters ---------- x, y : array_like Arrays of sample data. axis : int, optional The axis along which the samples are tested. `x` and `y` can be of different length along `axis`. If `axis` is None, `x` and `y` are flattened and the test is done on all values in the flattened arrays.
Returns ------- z : scalar or ndarray The z-score for the hypothesis test. For 1-D inputs a scalar is returned. p-value : scalar ndarray The p-value for the hypothesis test.
See Also -------- fligner : A non-parametric test for the equality of k variances ansari : A non-parametric test for the equality of 2 variances bartlett : A parametric test for equality of k variances in normal samples levene : A parametric test for equality of k variances
Notes ----- The data are assumed to be drawn from probability distributions ``f(x)`` and ``f(x/s) / s`` respectively, for some probability density function f. The null hypothesis is that ``s == 1``.
For multi-dimensional arrays, if the inputs are of shapes ``(n0, n1, n2, n3)`` and ``(n0, m1, n2, n3)``, then if ``axis=1``, the resulting z and p values will have shape ``(n0, n2, n3)``. Note that ``n1`` and ``m1`` don't have to be equal, but the other dimensions do.
Examples -------- >>> from scipy import stats >>> np.random.seed(1234) >>> x2 = np.random.randn(2, 45, 6, 7) >>> x1 = np.random.randn(2, 30, 6, 7) >>> z, p = stats.mood(x1, x2, axis=1) >>> p.shape (2, 6, 7)
Find the number of points where the difference in scale is not significant:
>>> (p > 0.1).sum() 74
Perform the test with different scales:
>>> x1 = np.random.randn(2, 30) >>> x2 = np.random.randn(2, 35) * 10.0 >>> stats.mood(x1, x2, axis=1) (array([-5.7178125 , -5.25342163]), array([ 1.07904114e-08, 1.49299218e-07]))
""" x = np.asarray(x, dtype=float) y = np.asarray(y, dtype=float)
if axis is None: x = x.flatten() y = y.flatten() axis = 0
# Determine shape of the result arrays res_shape = tuple([x.shape[ax] for ax in range(len(x.shape)) if ax != axis]) if not (res_shape == tuple([y.shape[ax] for ax in range(len(y.shape)) if ax != axis])): raise ValueError("Dimensions of x and y on all axes except `axis` " "should match")
n = x.shape[axis] m = y.shape[axis] N = m + n if N < 3: raise ValueError("Not enough observations.")
xy = np.concatenate((x, y), axis=axis) if axis != 0: xy = np.rollaxis(xy, axis)
xy = xy.reshape(xy.shape[0], -1)
# Generalized to the n-dimensional case by adding the axis argument, and # using for loops, since rankdata is not vectorized. For improving # performance consider vectorizing rankdata function. all_ranks = np.zeros_like(xy) for j in range(xy.shape[1]): all_ranks[:, j] = stats.rankdata(xy[:, j])
Ri = all_ranks[:n] M = np.sum((Ri - (N + 1.0) / 2)**2, axis=0) # Approx stat. mnM = n * (N * N - 1.0) / 12 varM = m * n * (N + 1.0) * (N + 2) * (N - 2) / 180 z = (M - mnM) / sqrt(varM)
# sf for right tail, cdf for left tail. Factor 2 for two-sidedness z_pos = z > 0 pval = np.zeros_like(z) pval[z_pos] = 2 * distributions.norm.sf(z[z_pos]) pval[~z_pos] = 2 * distributions.norm.cdf(z[~z_pos])
if res_shape == (): # Return scalars, not 0-D arrays z = z[0] pval = pval[0] else: z.shape = res_shape pval.shape = res_shape
return z, pval
""" Calculate the Wilcoxon signed-rank test.
The Wilcoxon signed-rank test tests the null hypothesis that two related paired samples come from the same distribution. In particular, it tests whether the distribution of the differences x - y is symmetric about zero. It is a non-parametric version of the paired T-test.
Parameters ---------- x : array_like The first set of measurements. y : array_like, optional The second set of measurements. If `y` is not given, then the `x` array is considered to be the differences between the two sets of measurements. zero_method : string, {"pratt", "wilcox", "zsplit"}, optional "pratt": Pratt treatment: includes zero-differences in the ranking process (more conservative) "wilcox": Wilcox treatment: discards all zero-differences "zsplit": Zero rank split: just like Pratt, but spliting the zero rank between positive and negative ones correction : bool, optional If True, apply continuity correction by adjusting the Wilcoxon rank statistic by 0.5 towards the mean value when computing the z-statistic. Default is False.
Returns ------- statistic : float The sum of the ranks of the differences above or below zero, whichever is smaller. pvalue : float The two-sided p-value for the test.
Notes ----- Because the normal approximation is used for the calculations, the samples used should be large. A typical rule is to require that n > 20.
References ---------- .. [1] http://en.wikipedia.org/wiki/Wilcoxon_signed-rank_test
"""
if zero_method not in ["wilcox", "pratt", "zsplit"]: raise ValueError("Zero method should be either 'wilcox' " "or 'pratt' or 'zsplit'")
if y is None: d = asarray(x) else: x, y = map(asarray, (x, y)) if len(x) != len(y): raise ValueError('Unequal N in wilcoxon. Aborting.') d = x - y
if zero_method == "wilcox": # Keep all non-zero differences d = compress(np.not_equal(d, 0), d, axis=-1)
count = len(d) if count < 10: warnings.warn("Warning: sample size too small for normal approximation.")
r = stats.rankdata(abs(d)) r_plus = np.sum((d > 0) * r, axis=0) r_minus = np.sum((d < 0) * r, axis=0)
if zero_method == "zsplit": r_zero = np.sum((d == 0) * r, axis=0) r_plus += r_zero / 2. r_minus += r_zero / 2.
T = min(r_plus, r_minus) mn = count * (count + 1.) * 0.25 se = count * (count + 1.) * (2. * count + 1.)
if zero_method == "pratt": r = r[d != 0]
replist, repnum = find_repeats(r) if repnum.size != 0: # Correction for repeated elements. se -= 0.5 * (repnum * (repnum * repnum - 1)).sum()
se = sqrt(se / 24) correction = 0.5 * int(bool(correction)) * np.sign(T - mn) z = (T - mn - correction) / se prob = 2. * distributions.norm.sf(abs(z))
return WilcoxonResult(T, prob)
""" Mood's median test.
Test that two or more samples come from populations with the same median.
Let ``n = len(args)`` be the number of samples. The "grand median" of all the data is computed, and a contingency table is formed by classifying the values in each sample as being above or below the grand median. The contingency table, along with `correction` and `lambda_`, are passed to `scipy.stats.chi2_contingency` to compute the test statistic and p-value.
Parameters ---------- sample1, sample2, ... : array_like The set of samples. There must be at least two samples. Each sample must be a one-dimensional sequence containing at least one value. The samples are not required to have the same length. ties : str, optional Determines how values equal to the grand median are classified in the contingency table. The string must be one of::
"below": Values equal to the grand median are counted as "below". "above": Values equal to the grand median are counted as "above". "ignore": Values equal to the grand median are not counted.
The default is "below". correction : bool, optional If True, *and* there are just two samples, apply Yates' correction for continuity when computing the test statistic associated with the contingency table. Default is True. lambda_ : float or str, optional. By default, the statistic computed in this test is Pearson's chi-squared statistic. `lambda_` allows a statistic from the Cressie-Read power divergence family to be used instead. See `power_divergence` for details. Default is 1 (Pearson's chi-squared statistic). nan_policy : {'propagate', 'raise', 'omit'}, optional Defines how to handle when input contains nan. 'propagate' returns nan, 'raise' throws an error, 'omit' performs the calculations ignoring nan values. Default is 'propagate'.
Returns ------- stat : float The test statistic. The statistic that is returned is determined by `lambda_`. The default is Pearson's chi-squared statistic. p : float The p-value of the test. m : float The grand median. table : ndarray The contingency table. The shape of the table is (2, n), where n is the number of samples. The first row holds the counts of the values above the grand median, and the second row holds the counts of the values below the grand median. The table allows further analysis with, for example, `scipy.stats.chi2_contingency`, or with `scipy.stats.fisher_exact` if there are two samples, without having to recompute the table. If ``nan_policy`` is "propagate" and there are nans in the input, the return value for ``table`` is ``None``.
See Also -------- kruskal : Compute the Kruskal-Wallis H-test for independent samples. mannwhitneyu : Computes the Mann-Whitney rank test on samples x and y.
Notes ----- .. versionadded:: 0.15.0
References ---------- .. [1] Mood, A. M., Introduction to the Theory of Statistics. McGraw-Hill (1950), pp. 394-399. .. [2] Zar, J. H., Biostatistical Analysis, 5th ed. Prentice Hall (2010). See Sections 8.12 and 10.15.
Examples -------- A biologist runs an experiment in which there are three groups of plants. Group 1 has 16 plants, group 2 has 15 plants, and group 3 has 17 plants. Each plant produces a number of seeds. The seed counts for each group are::
Group 1: 10 14 14 18 20 22 24 25 31 31 32 39 43 43 48 49 Group 2: 28 30 31 33 34 35 36 40 44 55 57 61 91 92 99 Group 3: 0 3 9 22 23 25 25 33 34 34 40 45 46 48 62 67 84
The following code applies Mood's median test to these samples.
>>> g1 = [10, 14, 14, 18, 20, 22, 24, 25, 31, 31, 32, 39, 43, 43, 48, 49] >>> g2 = [28, 30, 31, 33, 34, 35, 36, 40, 44, 55, 57, 61, 91, 92, 99] >>> g3 = [0, 3, 9, 22, 23, 25, 25, 33, 34, 34, 40, 45, 46, 48, 62, 67, 84] >>> from scipy.stats import median_test >>> stat, p, med, tbl = median_test(g1, g2, g3)
The median is
>>> med 34.0
and the contingency table is
>>> tbl array([[ 5, 10, 7], [11, 5, 10]])
`p` is too large to conclude that the medians are not the same:
>>> p 0.12609082774093244
The "G-test" can be performed by passing ``lambda_="log-likelihood"`` to `median_test`.
>>> g, p, med, tbl = median_test(g1, g2, g3, lambda_="log-likelihood") >>> p 0.12224779737117837
The median occurs several times in the data, so we'll get a different result if, for example, ``ties="above"`` is used:
>>> stat, p, med, tbl = median_test(g1, g2, g3, ties="above") >>> p 0.063873276069553273
>>> tbl array([[ 5, 11, 9], [11, 4, 8]])
This example demonstrates that if the data set is not large and there are values equal to the median, the p-value can be sensitive to the choice of `ties`.
""" ties = kwds.pop('ties', 'below') correction = kwds.pop('correction', True) lambda_ = kwds.pop('lambda_', None) nan_policy = kwds.pop('nan_policy', 'propagate')
if len(kwds) > 0: bad_kwd = kwds.keys()[0] raise TypeError("median_test() got an unexpected keyword " "argument %r" % bad_kwd)
if len(args) < 2: raise ValueError('median_test requires two or more samples.')
ties_options = ['below', 'above', 'ignore'] if ties not in ties_options: raise ValueError("invalid 'ties' option '%s'; 'ties' must be one " "of: %s" % (ties, str(ties_options)[1:-1]))
data = [np.asarray(arg) for arg in args]
# Validate the sizes and shapes of the arguments. for k, d in enumerate(data): if d.size == 0: raise ValueError("Sample %d is empty. All samples must " "contain at least one value." % (k + 1)) if d.ndim != 1: raise ValueError("Sample %d has %d dimensions. All " "samples must be one-dimensional sequences." % (k + 1, d.ndim))
cdata = np.concatenate(data) contains_nan, nan_policy = _contains_nan(cdata, nan_policy) if contains_nan and nan_policy == 'propagate': return np.nan, np.nan, np.nan, None
if contains_nan: grand_median = np.median(cdata[~np.isnan(cdata)]) else: grand_median = np.median(cdata) # When the minimum version of numpy supported by scipy is 1.9.0, # the above if/else statement can be replaced by the single line: # grand_median = np.nanmedian(cdata)
# Create the contingency table. table = np.zeros((2, len(data)), dtype=np.int64) for k, sample in enumerate(data): sample = sample[~np.isnan(sample)]
nabove = count_nonzero(sample > grand_median) nbelow = count_nonzero(sample < grand_median) nequal = sample.size - (nabove + nbelow) table[0, k] += nabove table[1, k] += nbelow if ties == "below": table[1, k] += nequal elif ties == "above": table[0, k] += nequal
# Check that no row or column of the table is all zero. # Such a table can not be given to chi2_contingency, because it would have # a zero in the table of expected frequencies. rowsums = table.sum(axis=1) if rowsums[0] == 0: raise ValueError("All values are below the grand median (%r)." % grand_median) if rowsums[1] == 0: raise ValueError("All values are above the grand median (%r)." % grand_median) if ties == "ignore": # We already checked that each sample has at least one value, but it # is possible that all those values equal the grand median. If `ties` # is "ignore", that would result in a column of zeros in `table`. We # check for that case here. zero_cols = np.where((table == 0).all(axis=0))[0] if len(zero_cols) > 0: msg = ("All values in sample %d are equal to the grand " "median (%r), so they are ignored, resulting in an " "empty sample." % (zero_cols[0] + 1, grand_median)) raise ValueError(msg)
stat, p, dof, expected = chi2_contingency(table, lambda_=lambda_, correction=correction) return stat, p, grand_median, table
samples = np.asarray(samples) if samples.size == 0: return np.nan, np.nan
ang = (samples - low)*2.*pi / (high - low) return samples, ang
""" Compute the circular mean for samples in a range.
Parameters ---------- samples : array_like Input array. high : float or int, optional High boundary for circular mean range. Default is ``2*pi``. low : float or int, optional Low boundary for circular mean range. Default is 0. axis : int, optional Axis along which means are computed. The default is to compute the mean of the flattened array.
Returns ------- circmean : float Circular mean.
Examples -------- >>> from scipy.stats import circmean >>> circmean([0.1, 2*np.pi+0.2, 6*np.pi+0.3]) 0.2
>>> from scipy.stats import circmean >>> circmean([0.2, 1.4, 2.6], high = 1, low = 0) 0.4
""" samples, ang = _circfuncs_common(samples, high, low) S = sin(ang).sum(axis=axis) C = cos(ang).sum(axis=axis) res = arctan2(S, C) mask = res < 0 if mask.ndim > 0: res[mask] += 2*pi elif mask: res += 2*pi return res*(high - low)/2.0/pi + low
""" Compute the circular variance for samples assumed to be in a range
Parameters ---------- samples : array_like Input array. low : float or int, optional Low boundary for circular variance range. Default is 0. high : float or int, optional High boundary for circular variance range. Default is ``2*pi``. axis : int, optional Axis along which variances are computed. The default is to compute the variance of the flattened array.
Returns ------- circvar : float Circular variance.
Notes ----- This uses a definition of circular variance that in the limit of small angles returns a number close to the 'linear' variance.
Examples -------- >>> from scipy.stats import circvar >>> circvar([0, 2*np.pi/3, 5*np.pi/3]) 2.19722457734
""" samples, ang = _circfuncs_common(samples, high, low) S = sin(ang).mean(axis=axis) C = cos(ang).mean(axis=axis) R = hypot(S, C) return ((high - low)/2.0/pi)**2 * 2 * log(1/R)
""" Compute the circular standard deviation for samples assumed to be in the range [low to high].
Parameters ---------- samples : array_like Input array. low : float or int, optional Low boundary for circular standard deviation range. Default is 0. high : float or int, optional High boundary for circular standard deviation range. Default is ``2*pi``. axis : int, optional Axis along which standard deviations are computed. The default is to compute the standard deviation of the flattened array.
Returns ------- circstd : float Circular standard deviation.
Notes ----- This uses a definition of circular standard deviation that in the limit of small angles returns a number close to the 'linear' standard deviation.
Examples -------- >>> from scipy.stats import circstd >>> circstd([0, 0.1*np.pi/2, 0.001*np.pi, 0.03*np.pi/2]) 0.063564063306
""" samples, ang = _circfuncs_common(samples, high, low) S = sin(ang).mean(axis=axis) C = cos(ang).mean(axis=axis) R = hypot(S, C) return ((high - low)/2.0/pi) * sqrt(-2*log(R)) |