def summary_frame(self, what='all', alpha=0.05):
# TODO: finish and cleanup
import pandas as pd
from statsmodels.compat.collections import OrderedDict
#ci_obs = self.conf_int(alpha=alpha, obs=True) # need to split
ci_mean = self.conf_int(alpha=alpha)
to_include = OrderedDict()
to_include['mean'] = self.predicted_mean
to_include['mean_se'] = self.se_mean
to_include['mean_ci_lower'] = ci_mean[:, 0]
to_include['mean_ci_upper'] = ci_mean[:, 1]
self.table = to_include
#OrderedDict doesn't work to preserve sequence
# pandas dict doesn't handle 2d_array
#data = np.column_stack(list(to_include.values()))
#names = ....
res = pd.DataFrame(to_include, index=self.row_labels,
columns=to_include.keys())
return res
def summary_frame(self, what='all', alpha=0.05):
# TODO: finish and cleanup
import pandas as pd
from statsmodels.compat.collections import OrderedDict
#ci_obs = self.conf_int(alpha=alpha, obs=True) # need to split
ci_mean = self.conf_int(alpha=alpha)
to_include = OrderedDict()
to_include['mean'] = self.predicted_mean
to_include['mean_se'] = self.se_mean
to_include['mean_ci_lower'] = ci_mean[:, 0]
to_include['mean_ci_upper'] = ci_mean[:, 1]
self.table = to_include
#OrderedDict doesn't work to preserve sequence
# pandas dict doesn't handle 2d_array
#data = np.column_stack(list(to_include.values()))
#names = ....
res = pd.DataFrame(to_include,
index=self.row_labels,
columns=to_include.keys())
return res
def hdrboxplot(data,
ncomp=2,
alpha=None,
threshold=0.95,
bw=None,
xdata=None,
labels=None,
ax=None):
"""
High Density Region boxplot
Parameters
----------
data : sequence of ndarrays or 2-D ndarray
The vectors of functions to create a functional boxplot from. If a
sequence of 1-D arrays, these should all be the same size.
The first axis is the function index, the second axis the one along
which the function is defined. So ``data[0, :]`` is the first
functional curve.
ncomp : int, optional
Number of components to use. If None, returns the as many as the
smaller of the number of rows or columns in data.
alpha : list of floats between 0 and 1, optional
Extra quantile values to compute. Default is None
threshold : float between 0 and 1, optional
Percentile threshold value for outliers detection. High value means
a lower sensitivity to outliers. Default is `0.95`.
bw: array_like or str, optional
If an array, it is a fixed user-specified bandwidth. If `None`, set to
`normal_reference`. If a string, should be one of:
- normal_reference: normal reference rule of thumb (default)
- cv_ml: cross validation maximum likelihood
- cv_ls: cross validation least squares
xdata : ndarray, optional
The independent variable for the data. If not given, it is assumed to
be an array of integers 0..N-1 with N the length of the vectors in
`data`.
labels : sequence of scalar or str, optional
The labels or identifiers of the curves in `data`. If not given,
outliers are labeled in the plot with array indices.
ax : Matplotlib AxesSubplot instance, optional
If given, this subplot is used to plot in instead of a new figure being
created.
Returns
-------
fig : Matplotlib figure instance
If `ax` is None, the created figure. Otherwise the figure to which
`ax` is connected.
hdr_res : HdrResults instance
An `HdrResults` instance with the following attributes:
- 'median', array. Median curve.
- 'hdr_50', array. 50% quantile band. [sup, inf] curves
- 'hdr_90', list of array. 90% quantile band. [sup, inf]
curves.
- 'extra_quantiles', list of array. Extra quantile band.
[sup, inf] curves.
- 'outliers', ndarray. Outlier curves.
Notes
-----
The median curve is the curve with the highest probability on the reduced
space of a Principal Component Analysis (PCA).
Outliers are defined as curves that fall outside the band corresponding
to the quantile given by `threshold`.
The non-outlying region is defined as the band made up of all the
non-outlying curves.
Behind the scene, the dataset is represented as a matrix. Each line
corresponding to a 1D curve. This matrix is then decomposed using Principal
Components Analysis (PCA). This allows to represent the data using a finite
number of modes, or components. This compression process allows to turn the
functional representation into a scalar representation of the matrix. In
other words, you can visualize each curve from its components. Each curve
is thus a point in this reduced space. With 2 components, this is called a
bivariate plot (2D plot).
In this plot, if some points are adjacent (similar components), it means
that back in the original space, the curves are similar. Then, finding the
median curve means finding the higher density region (HDR) in the reduced
space. Moreover, the more you get away from this HDR, the more the curve is
unlikely to be similar to the other curves.
Using a kernel smoothing technique, the probability density function (PDF)
of the multivariate space can be recovered. From this PDF, it is possible to
compute the density probability linked to the cluster of points and plot
its contours.
Finally, using these contours, the different quantiles can be extracted
along with the median curve and the outliers.
Steps to produce the HDR boxplot include:
1. Compute a multivariate kernel density estimation
2. Compute contour lines for quantiles 90%, 50% and `alpha` %
3. Plot the bivariate plot
4. Compute median curve along with quantiles and outliers curves.
References
----------
[1] R.J. Hyndman and H.L. Shang, "Rainbow Plots, Bagplots, and Boxplots for
Functional Data", vol. 19, pp. 29-45, 2010.
Examples
--------
Load the El Nino dataset. Consists of 60 years worth of Pacific Ocean sea
surface temperature data.
>>> import matplotlib.pyplot as plt
>>> import statsmodels.api as sm
>>> data = sm.datasets.elnino.load()
Create a functional boxplot. We see that the years 1982-83 and 1997-98 are
outliers; these are the years where El Nino (a climate pattern
characterized by warming up of the sea surface and higher air pressures)
occurred with unusual intensity.
>>> fig = plt.figure()
>>> ax = fig.add_subplot(111)
>>> res = sm.graphics.hdrboxplot(data.raw_data[:, 1:],
... labels=data.raw_data[:, 0].astype(int),
... ax=ax)
>>> ax.set_xlabel("Month of the year")
>>> ax.set_ylabel("Sea surface temperature (C)")
>>> ax.set_xticks(np.arange(13, step=3) - 1)
>>> ax.set_xticklabels(["", "Mar", "Jun", "Sep", "Dec"])
>>> ax.set_xlim([-0.2, 11.2])
>>> plt.show()
.. plot:: plots/graphics_functional_hdrboxplot.py
See Also
--------
banddepth, rainbowplot, fboxplot
"""
fig, ax = utils.create_mpl_ax(ax)
if labels is None:
# For use with pandas, get the labels
if hasattr(data, 'index'):
labels = data.index
else:
labels = np.arange(len(data))
data = np.asarray(data)
if xdata is None:
xdata = np.arange(data.shape[1])
n_samples, dim = data.shape
# PCA and bivariate plot
pca = PCA(data, ncomp=ncomp)
data_r = pca.factors
# Create gaussian kernel
ks_gaussian = KDEMultivariate(data_r,
bw=bw,
var_type='c' * data_r.shape[1])
# Boundaries of the n-variate space
bounds = np.array([data_r.min(axis=0), data_r.max(axis=0)]).T
# Compute contour line of pvalue linked to a given probability level
if alpha is None:
alpha = [threshold, 0.9, 0.5]
else:
alpha.extend([threshold, 0.9, 0.5])
alpha = list(set(alpha))
alpha.sort(reverse=True)
n_quantiles = len(alpha)
pdf_r = ks_gaussian.pdf(data_r).flatten()
pvalues = [
np.percentile(pdf_r, (1 - alpha[i]) * 100, interpolation='linear')
for i in range(n_quantiles)
]
# Find mean, outliers curves
if have_de_optim:
median = differential_evolution(lambda x: -ks_gaussian.pdf(x),
bounds=bounds,
maxiter=5).x
else:
median = brute(lambda x: -ks_gaussian.pdf(x),
ranges=bounds,
finish=fmin)
outliers_idx = np.where(pdf_r < pvalues[alpha.index(threshold)])[0]
labels_outlier = [labels[i] for i in outliers_idx]
outliers = data[outliers_idx]
# Find HDR given some quantiles
def _band_quantiles(band):
"""Find extreme curves for a quantile band.
From the `band` of quantiles, the associated PDF extrema values
are computed. If `min_alpha` is not provided (single quantile value),
`max_pdf` is set to `1E6` in order not to constrain the problem on high
values.
An optimization is performed per component in order to find the min and
max curves. This is done by comparing the PDF value of a given curve
with the band PDF.
Parameters
----------
band : array_like
alpha values ``(max_alpha, min_alpha)`` ex: ``[0.9, 0.5]``
Returns
-------
band_quantiles : list of 1-D array
``(max_quantile, min_quantile)`` (2, n_features)
"""
min_pdf = pvalues[alpha.index(band[0])]
try:
max_pdf = pvalues[alpha.index(band[1])]
except IndexError:
max_pdf = 1E6
band = [min_pdf, max_pdf]
pool = Pool()
data = zip(range(dim),
itertools.repeat((band, pca, bounds, ks_gaussian)))
band_quantiles = pool.map(_min_max_band, data)
pool.terminate()
pool.close()
band_quantiles = list(zip(*band_quantiles))
return band_quantiles
extra_alpha = [
i for i in alpha if 0.5 != i and 0.9 != i and threshold != i
]
if extra_alpha != []:
extra_quantiles = [
y for x in extra_alpha for y in _band_quantiles([x])
]
else:
extra_quantiles = []
# Inverse transform from n-variate plot to dataset dataset's shape
median = _inverse_transform(pca, median)[0]
hdr_90 = _band_quantiles([0.9, 0.5])
hdr_50 = _band_quantiles([0.5])
hdr_res = HdrResults({
"median": median,
"hdr_50": hdr_50,
"hdr_90": hdr_90,
"extra_quantiles": extra_quantiles,
"outliers": outliers,
"outliers_idx": outliers_idx
})
# Plots
ax.plot(np.array([xdata] * n_samples).T,
data.T,
c='c',
alpha=.1,
label=None)
ax.plot(xdata, median, c='k', label='Median')
fill_betweens = []
fill_betweens.append(
ax.fill_between(xdata,
*hdr_50,
color='gray',
alpha=.4,
label='50% HDR'))
fill_betweens.append(
ax.fill_between(xdata,
*hdr_90,
color='gray',
alpha=.3,
label='90% HDR'))
if len(extra_quantiles) != 0:
ax.plot(np.array([xdata] * len(extra_quantiles)).T,
np.array(extra_quantiles).T,
c='y',
ls='-.',
alpha=.4,
label='Extra quantiles')
if len(outliers) != 0:
for ii, outlier in enumerate(outliers):
label = str(labels_outlier[ii]
) if labels_outlier is not None else 'Outliers'
ax.plot(xdata, outlier, ls='--', alpha=0.7, label=label)
handles, labels = ax.get_legend_handles_labels()
# Proxy artist for fill_between legend entry
# See http://matplotlib.org/1.3.1/users/legend_guide.html
plt = _import_mpl()
for label, fill_between in zip(['50% HDR', '90% HDR'], fill_betweens):
p = plt.Rectangle((0, 0), 1, 1, fc=fill_between.get_facecolor()[0])
handles.append(p)
labels.append(label)
by_label = OrderedDict(zip(labels, handles))
if len(outliers) != 0:
by_label.pop('Median')
by_label.pop('50% HDR')
by_label.pop('90% HDR')
ax.legend(by_label.values(), by_label.keys(), loc='best')
return fig, hdr_res
def hdrboxplot(data, ncomp=2, alpha=None, threshold=0.95, bw=None,
xdata=None, labels=None, ax=None):
"""
High Density Region boxplot
Parameters
----------
data : sequence of ndarrays or 2-D ndarray
The vectors of functions to create a functional boxplot from. If a
sequence of 1-D arrays, these should all be the same size.
The first axis is the function index, the second axis the one along
which the function is defined. So ``data[0, :]`` is the first
functional curve.
ncomp : int, optional
Number of components to use. If None, returns the as many as the
smaller of the number of rows or columns in data.
alpha : list of floats between 0 and 1, optional
Extra quantile values to compute. Default is None
threshold : float between 0 and 1, optional
Percentile threshold value for outliers detection. High value means
a lower sensitivity to outliers. Default is `0.95`.
bw: array_like or str, optional
If an array, it is a fixed user-specified bandwidth. If `None`, set to
`normal_reference`. If a string, should be one of:
- normal_reference: normal reference rule of thumb (default)
- cv_ml: cross validation maximum likelihood
- cv_ls: cross validation least squares
xdata : ndarray, optional
The independent variable for the data. If not given, it is assumed to
be an array of integers 0..N-1 with N the length of the vectors in
`data`.
labels : sequence of scalar or str, optional
The labels or identifiers of the curves in `data`. If not given,
outliers are labeled in the plot with array indices.
ax : Matplotlib AxesSubplot instance, optional
If given, this subplot is used to plot in instead of a new figure being
created.
Returns
-------
fig : Matplotlib figure instance
If `ax` is None, the created figure. Otherwise the figure to which
`ax` is connected.
hdr_res : HdrResults instance
An `HdrResults` instance with the following attributes:
- 'median', array. Median curve.
- 'hdr_50', array. 50% quantile band. [sup, inf] curves
- 'hdr_90', list of array. 90% quantile band. [sup, inf]
curves.
- 'extra_quantiles', list of array. Extra quantile band.
[sup, inf] curves.
- 'outliers', ndarray. Outlier curves.
Notes
-----
The median curve is the curve with the highest probability on the reduced
space of a Principal Component Analysis (PCA).
Outliers are defined as curves that fall outside the band corresponding
to the quantile given by `threshold`.
The non-outlying region is defined as the band made up of all the
non-outlying curves.
Behind the scene, the dataset is represented as a matrix. Each line
corresponding to a 1D curve. This matrix is then decomposed using Principal
Components Analysis (PCA). This allows to represent the data using a finite
number of modes, or components. This compression process allows to turn the
functional representation into a scalar representation of the matrix. In
other words, you can visualize each curve from its components. Each curve
is thus a point in this reduced space. With 2 components, this is called a
bivariate plot (2D plot).
In this plot, if some points are adjacent (similar components), it means
that back in the original space, the curves are similar. Then, finding the
median curve means finding the higher density region (HDR) in the reduced
space. Moreover, the more you get away from this HDR, the more the curve is
unlikely to be similar to the other curves.
Using a kernel smoothing technique, the probability density function (PDF)
of the multivariate space can be recovered. From this PDF, it is possible to
compute the density probability linked to the cluster of points and plot
its contours.
Finally, using these contours, the different quantiles can be extracted
along with the median curve and the outliers.
Steps to produce the HDR boxplot include:
1. Compute a multivariate kernel density estimation
2. Compute contour lines for quantiles 90%, 50% and `alpha` %
3. Plot the bivariate plot
4. Compute median curve along with quantiles and outliers curves.
References
----------
[1] R.J. Hyndman and H.L. Shang, "Rainbow Plots, Bagplots, and Boxplots for
Functional Data", vol. 19, pp. 29-45, 2010.
Examples
--------
Load the El Nino dataset. Consists of 60 years worth of Pacific Ocean sea
surface temperature data.
>>> import matplotlib.pyplot as plt
>>> import statsmodels.api as sm
>>> data = sm.datasets.elnino.load()
Create a functional boxplot. We see that the years 1982-83 and 1997-98 are
outliers; these are the years where El Nino (a climate pattern
characterized by warming up of the sea surface and higher air pressures)
occurred with unusual intensity.
>>> fig = plt.figure()
>>> ax = fig.add_subplot(111)
>>> res = sm.graphics.hdrboxplot(data.raw_data[:, 1:],
... labels=data.raw_data[:, 0].astype(int),
... ax=ax)
>>> ax.set_xlabel("Month of the year")
>>> ax.set_ylabel("Sea surface temperature (C)")
>>> ax.set_xticks(np.arange(13, step=3) - 1)
>>> ax.set_xticklabels(["", "Mar", "Jun", "Sep", "Dec"])
>>> ax.set_xlim([-0.2, 11.2])
>>> plt.show()
.. plot:: plots/graphics_functional_hdrboxplot.py
See Also
--------
banddepth, rainbowplot, fboxplot
"""
fig, ax = utils.create_mpl_ax(ax)
if labels is None:
# For use with pandas, get the labels
if hasattr(data, 'index'):
labels = data.index
else:
labels = np.arange(len(data))
data = np.asarray(data)
if xdata is None:
xdata = np.arange(data.shape[1])
n_samples, dim = data.shape
# PCA and bivariate plot
pca = PCA(data, ncomp=ncomp)
data_r = pca.factors
# Create gaussian kernel
ks_gaussian = KDEMultivariate(data_r, bw=bw,
var_type='c' * data_r.shape[1])
# Boundaries of the n-variate space
bounds = np.array([data_r.min(axis=0), data_r.max(axis=0)]).T
# Compute contour line of pvalue linked to a given probability level
if alpha is None:
alpha = [threshold, 0.9, 0.5]
else:
alpha.extend([threshold, 0.9, 0.5])
alpha = list(set(alpha))
alpha.sort(reverse=True)
n_quantiles = len(alpha)
pdf_r = ks_gaussian.pdf(data_r).flatten()
pvalues = [np.percentile(pdf_r, (1 - alpha[i]) * 100,
interpolation='linear')
for i in range(n_quantiles)]
# Find mean, outliers curves
if have_de_optim:
median = differential_evolution(lambda x: - ks_gaussian.pdf(x),
bounds=bounds, maxiter=5).x
else:
median = brute(lambda x: - ks_gaussian.pdf(x),
ranges=bounds, finish=fmin)
outliers_idx = np.where(pdf_r < pvalues[alpha.index(threshold)])[0]
labels_outlier = [labels[i] for i in outliers_idx]
outliers = data[outliers_idx]
# Find HDR given some quantiles
def _band_quantiles(band):
"""Find extreme curves for a quantile band.
From the `band` of quantiles, the associated PDF extrema values
are computed. If `min_alpha` is not provided (single quantile value),
`max_pdf` is set to `1E6` in order not to constrain the problem on high
values.
An optimization is performed per component in order to find the min and
max curves. This is done by comparing the PDF value of a given curve
with the band PDF.
Parameters
----------
band : array_like
alpha values ``(max_alpha, min_alpha)`` ex: ``[0.9, 0.5]``
Returns
-------
band_quantiles : list of 1-D array
``(max_quantile, min_quantile)`` (2, n_features)
"""
min_pdf = pvalues[alpha.index(band[0])]
try:
max_pdf = pvalues[alpha.index(band[1])]
except IndexError:
max_pdf = 1E6
band = [min_pdf, max_pdf]
pool = Pool()
data = zip(range(dim), itertools.repeat((band, pca,
bounds, ks_gaussian)))
band_quantiles = pool.map(_min_max_band, data)
pool.terminate()
pool.close()
band_quantiles = list(zip(*band_quantiles))
return band_quantiles
extra_alpha = [i for i in alpha
if 0.5 != i and 0.9 != i and threshold != i]
if extra_alpha != []:
extra_quantiles = [y for x in extra_alpha
for y in _band_quantiles([x])]
else:
extra_quantiles = []
# Inverse transform from n-variate plot to dataset dataset's shape
median = _inverse_transform(pca, median)[0]
hdr_90 = _band_quantiles([0.9, 0.5])
hdr_50 = _band_quantiles([0.5])
hdr_res = HdrResults({
"median": median,
"hdr_50": hdr_50,
"hdr_90": hdr_90,
"extra_quantiles": extra_quantiles,
"outliers": outliers,
"outliers_idx": outliers_idx
})
# Plots
ax.plot(np.array([xdata] * n_samples).T, data.T,
c='c', alpha=.1, label=None)
ax.plot(xdata, median, c='k', label='Median')
fill_betweens = []
fill_betweens.append(ax.fill_between(xdata, *hdr_50, color='gray',
alpha=.4, label='50% HDR'))
fill_betweens.append(ax.fill_between(xdata, *hdr_90, color='gray',
alpha=.3, label='90% HDR'))
if len(extra_quantiles) != 0:
ax.plot(np.array([xdata] * len(extra_quantiles)).T,
np.array(extra_quantiles).T,
c='y', ls='-.', alpha=.4, label='Extra quantiles')
if len(outliers) != 0:
for ii, outlier in enumerate(outliers):
label = str(labels_outlier[ii]) if labels_outlier is not None else 'Outliers'
ax.plot(xdata, outlier,
ls='--', alpha=0.7, label=label)
handles, labels = ax.get_legend_handles_labels()
# Proxy artist for fill_between legend entry
# See http://matplotlib.org/1.3.1/users/legend_guide.html
plt = _import_mpl()
for label, fill_between in zip(['50% HDR', '90% HDR'], fill_betweens):
p = plt.Rectangle((0, 0), 1, 1,
fc=fill_between.get_facecolor()[0])
handles.append(p)
labels.append(label)
by_label = OrderedDict(zip(labels, handles))
if len(outliers) != 0:
by_label.pop('Median')
by_label.pop('50% HDR')
by_label.pop('90% HDR')
ax.legend(by_label.values(), by_label.keys(), loc='best')
return fig, hdr_res