def test_distribution_statistics_attributes_ks():
d1 = np.histogram(np.random.normal(size=1000), 10)[0]
d2 = np.histogram(np.random.normal(size=1000), 10)[0]
myTest = DistributionStatistics('ks', binning_strategy=None)
_ = myTest.compute(d1, d2, verbose=False)
ks_value, p_value = ks(d1, d2)
assert myTest.statistic == ks_value
def test_distribution_statistics_ks_no_binning():
d1 = np.histogram(np.random.normal(size=1000), 10)[0]
d2 = np.histogram(np.random.weibull(1, size=1000) - 1, 10)[0]
myTest = DistributionStatistics('ks', binning_strategy=None)
assert not myTest.fitted
res = myTest.compute(d1, d2)
assert myTest.fitted
assert isinstance(res, tuple)
def test_distribution_statistics_tuple_output():
d1 = np.histogram(np.random.normal(size=1000), 10)[0]
d2 = np.histogram(np.random.weibull(1, size=1000) - 1, 10)[0]
myTest = DistributionStatistics('ks', 'SimpleBucketer', bin_count=10)
assert not myTest.fitted
res = myTest.compute(d1, d2)
assert myTest.fitted
assert isinstance(res, tuple)
def test_distribution_statistics_psi():
d1 = np.histogram(np.random.normal(size=1000), 10)[0]
d2 = np.histogram(np.random.weibull(1, size=1000) - 1, 10)[0]
myTest = DistributionStatistics('psi', 'SimpleBucketer', bin_count=10)
assert not myTest.fitted
psi_test, p_value_test = myTest.compute(d1, d2)
assert myTest.fitted
assert isinstance(psi_test, numbers.Number)
def test_distribution_statistics_base():
with pytest.raises(NotImplementedError):
assert DistributionStatistics('doesnotexist',
'SimpleBucketer',
bin_count=10)
with pytest.raises(NotImplementedError):
assert DistributionStatistics('psi', 'doesnotexist', bin_count=10)
myTest = DistributionStatistics('psi', 'SimpleBucketer', bin_count=10)
assert repr(myTest).startswith('DistributionStatistics')
def test_distribution_statistics_attributes_psi():
a = np.random.normal(size=1000)
b = np.random.normal(size=1000)
d1 = np.histogram(a, 10)[0]
d2 = np.histogram(b, 10)[0]
myTest = DistributionStatistics('psi', binning_strategy=None)
_ = myTest.compute(d1, d2, verbose=False)
psi_value_test, p_value_test = psi(d1, d2, verbose=False)
assert myTest.statistic == psi_value_test
def test_distribution_statistics_base():
"""
Test.
"""
with pytest.raises(NotImplementedError):
assert DistributionStatistics("doesnotexist", "SimpleBucketer", bin_count=10)
with pytest.raises(NotImplementedError):
assert DistributionStatistics("psi", "doesnotexist", bin_count=10)
myTest = DistributionStatistics("psi", "SimpleBucketer", bin_count=10)
assert repr(myTest).startswith("DistributionStatistics")
def test_distribution_statistics_autodist_base():
"""
Test.
"""
nr_features = 2
size = 1000
np.random.seed(0)
df1 = pd.DataFrame(np.random.normal(size=(size, nr_features)), columns=[f"feat_{x}" for x in range(nr_features)])
df2 = pd.DataFrame(np.random.normal(size=(size, nr_features)), columns=[f"feat_{x}" for x in range(nr_features)])
features = df1.columns
myAutoDist = AutoDist(statistical_tests="all", binning_strategies="all", bin_count=[10, 20])
assert repr(myAutoDist).startswith("AutoDist")
assert not myAutoDist.fitted
res = myAutoDist.compute(df1, df2, column_names=features)
assert myAutoDist.fitted
pd.testing.assert_frame_equal(res, myAutoDist.result)
assert isinstance(res, pd.DataFrame)
assert res["column"].values.tolist() == features.to_list()
dist = DistributionStatistics(statistical_test="ks", binning_strategy="simplebucketer", bin_count=10)
dist.compute(df1["feat_0"], df2["feat_0"])
assert dist.p_value == res.loc[res["column"] == "feat_0", "p_value_KS_simplebucketer_10"][0]
assert dist.statistic == res.loc[res["column"] == "feat_0", "statistic_KS_simplebucketer_10"][0]
dist = DistributionStatistics(statistical_test="ks", binning_strategy=None, bin_count=10)
dist.compute(df1["feat_0"], df2["feat_0"])
assert dist.p_value == res.loc[res["column"] == "feat_0", "p_value_KS_no_bucketing_0"][0]
assert dist.statistic == res.loc[res["column"] == "feat_0", "statistic_KS_no_bucketing_0"][0]
def test_distribution_statistics_autodist_base():
'''DistributionStatiistics autodist base'''
nr_features = 2
size = 1000
np.random.seed(0)
df1 = pd.DataFrame(np.random.normal(size=(size, nr_features)),
columns=[f'feat_{x}' for x in range(nr_features)])
df2 = pd.DataFrame(np.random.normal(size=(size, nr_features)),
columns=[f'feat_{x}' for x in range(nr_features)])
features = df1.columns
myAutoDist = AutoDist(statistical_tests='all',
binning_strategies='all',
bin_count=[10, 20])
assert repr(myAutoDist).startswith('AutoDist')
assert not myAutoDist.fitted
res = myAutoDist.compute(df1, df2, column_names=features)
assert myAutoDist.fitted
pd.testing.assert_frame_equal(res, myAutoDist.result)
assert isinstance(res, pd.DataFrame)
assert res['column'].values.tolist() == features.to_list()
dist = DistributionStatistics(statistical_test='ks',
binning_strategy='simplebucketer',
bin_count=10)
dist.compute(df1['feat_0'], df2['feat_0'])
assert dist.p_value == res.loc[res['column'] == 'feat_0',
'p_value_KS_simplebucketer_10'][0]
assert dist.statistic == res.loc[res['column'] == 'feat_0',
'statistic_KS_simplebucketer_10'][0]
dist = DistributionStatistics(statistical_test='ks',
binning_strategy=None,
bin_count=10)
dist.compute(df1['feat_0'], df2['feat_0'])
assert dist.p_value == res.loc[res['column'] == 'feat_0',
'p_value_KS_no_bucketing_0'][0]
assert dist.statistic == res.loc[res['column'] == 'feat_0',
'statistic_KS_no_bucketing_0'][0]
def __init__(
self,
clf,
scoring="roc_auc",
test_prc=0.25,
n_jobs=1,
stats_tests_to_apply=None,
verbose=0,
random_state=None,
):
"""
Initializes the class.
Args:
clf (model object):
Binary classification model or pipeline.
scoring (string, list of strings, probatus.utils.Scorer or list of probatus.utils.Scorers, optional):
Metrics for which the score is calculated. It can be either a name or list of names metric names and
needs to be aligned with predefined classification scorers names in sklearn
([link](https://scikit-learn.org/stable/modules/model_evaluation.html)).
Another option is using probatus.utils.Scorer to define a custom metric.
test_prc (float, optional):
Percentage of input data used as test. By default 0.25.
n_jobs (int, optional):
Number of parallel executions. If -1 use all available cores. By default 1.
stats_tests_to_apply (None, string or list of strings, optional):
List of tests to apply. Available options:
- `'ES'`: Epps-Singleton,
- `'KS'`: Kolmogorov-Smirnov statistic,
- `'PSI'`: Population Stability Index,
- `'SW'`: Shapiro-Wilk based difference statistic,
- `'AD'`: Anderson-Darling TS.
verbose (int, optional):
Controls verbosity of the output:
- 0 - nether prints nor warnings are shown
- 1 - 50 - only most important warnings and indication of progress in fitting the object.
- 51 - 100 - shows other warnings and prints
- above 100 - presents all prints and all warnings (including SHAP warnings).
random_state (int, optional):
Random state set at each round of feature elimination. If it is None, the results will not be
reproducible and in random search at each iteration a different hyperparameters might be tested. For
reproducible results set it to integer.
"""
self.clf = clf
self.n_jobs = n_jobs
self.random_state = random_state
self.test_prc = test_prc
self.iterations_results = None
self.report = None
self.verbose = verbose
self.allowed_stats_tests = list(DistributionStatistics.statistical_test_dict.keys())
# TODO set reasonable default value for the parameter, to choose the statistical test for the user for different
# ways to compute volatility
if stats_tests_to_apply is not None:
self.stats_tests_to_apply = assure_list_of_strings(stats_tests_to_apply, "stats_tests_to_apply")
assure_list_values_allowed(
variable=self.stats_tests_to_apply,
variable_name="stats_tests_to_apply",
allowed_values=self.allowed_stats_tests,
)
else:
self.stats_tests_to_apply = []
self.stats_tests_objects = []
if len(self.stats_tests_to_apply) > 0:
if self.verbose > 0:
warnings.warn(
"Computing statistics for distributions is an experimental feature. While using it, keep "
"in mind that the samples of metrics might be correlated."
)
for test_name in self.stats_tests_to_apply:
self.stats_tests_objects.append(DistributionStatistics(statistical_test=test_name))
self.scorers = get_scorers(scoring)
