Exemplo n.º 1
0
def eigh_lw_samples(samples, grad_samples, n_eigs):
    class LinOp(slinalg.LinearOperator):
        def __init__(self, cov):
            super().__init__(shape=(cov.n, cov.n), dtype=np.float64)
            self._cov = cov

        def _matvec(self, v):
            out = np.empty_like(v)
            self._cov.matmult(v, out)
            return out

    shrinkage = covariance.ledoit_wolf_shrinkage(samples)
    cov = covadapt.matrix.LedoitWolf(samples, shrinkage)
    vals, vecs = slinalg.eigsh(LinOp(cov), n_eigs, which='LM')

    return vals, vecs
Exemplo n.º 2
0
def test_ledoit_wolf():
    # Tests LedoitWolf module on a simple dataset.
    # test shrinkage coeff on a simple data set
    X_centered = X - X.mean(axis=0)
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_centered)
    shrinkage_ = lw.shrinkage_
    score_ = lw.score(X_centered)
    assert_almost_equal(
        ledoit_wolf_shrinkage(X_centered, assume_centered=True), shrinkage_)
    assert_almost_equal(
        ledoit_wolf_shrinkage(X_centered, assume_centered=True, block_size=6),
        shrinkage_)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_centered,
                                                         assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_, assume_centered=True)
    scov.fit(X_centered)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_1d,
                                                         assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    assert_array_almost_equal((X_1d**2).sum() / n_samples, lw.covariance_, 4)

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False, assume_centered=True)
    lw.fit(X_centered)
    assert_almost_equal(lw.score(X_centered), score_, 4)
    assert (lw.precision_ is None)

    # (too) large data set
    X_large = np.ones((20, 200))
    assert_raises(MemoryError, ledoit_wolf, X_large, block_size=100)

    # Same tests without assuming centered data
    # test shrinkage coeff on a simple data set
    lw = LedoitWolf()
    lw.fit(X)
    assert_almost_equal(lw.shrinkage_, shrinkage_, 4)
    assert_almost_equal(lw.shrinkage_, ledoit_wolf_shrinkage(X))
    assert_almost_equal(lw.shrinkage_, ledoit_wolf(X)[1])
    assert_almost_equal(lw.score(X), score_, 4)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_)
    scov.fit(X)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf()
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_1d)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    assert_array_almost_equal(empirical_covariance(X_1d), lw.covariance_, 4)

    # test with one sample
    # FIXME I don't know what this test does
    X_1sample = np.arange(5)
    lw = LedoitWolf()
    assert_warns(UserWarning, lw.fit, X_1sample)
    assert_array_almost_equal(lw.covariance_,
                              np.zeros(shape=(5, 5), dtype=np.float64))

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False)
    lw.fit(X)
    assert_almost_equal(lw.score(X), score_, 4)
    assert (lw.precision_ is None)
Exemplo n.º 3
0
def test_ledoit_wolf():
    # Tests LedoitWolf module on a simple dataset.
    # test shrinkage coeff on a simple data set
    X_centered = X - X.mean(axis=0)
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_centered)
    shrinkage_ = lw.shrinkage_

    score_ = lw.score(X_centered)
    assert_almost_equal(
        ledoit_wolf_shrinkage(X_centered, assume_centered=True), shrinkage_)
    assert_almost_equal(
        ledoit_wolf_shrinkage(X_centered, assume_centered=True, block_size=6),
        shrinkage_)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X_centered,
                                                         assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_, assume_centered=True)
    scov.fit(X_centered)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X_1d,
                                                         assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    assert_array_almost_equal((X_1d**2).sum() / n_samples, lw.covariance_, 4)

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False, assume_centered=True)
    lw.fit(X_centered)
    assert_almost_equal(lw.score(X_centered), score_, 4)
    assert (lw.precision_ is None)

    # Same tests without assuming centered data
    # test shrinkage coeff on a simple data set
    lw = LedoitWolf()
    lw.fit(X)
    assert_almost_equal(lw.shrinkage_, shrinkage_, 4)
    assert_almost_equal(lw.shrinkage_, ledoit_wolf_shrinkage(X))
    assert_almost_equal(lw.shrinkage_, ledoit_wolf(X)[1])
    assert_almost_equal(lw.score(X), score_, 4)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_)
    scov.fit(X)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf()
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X_1d)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    assert_array_almost_equal(empirical_covariance(X_1d), lw.covariance_, 4)

    # test with one sample
    # warning should be raised when using only 1 sample
    X_1sample = np.arange(5).reshape(1, 5)
    lw = LedoitWolf()

    warn_msg = (
        "Only one sample available. You may want to reshape your data array")
    with pytest.warns(UserWarning, match=warn_msg):
        lw.fit(X_1sample)

    assert_array_almost_equal(lw.covariance_,
                              np.zeros(shape=(5, 5), dtype=np.float64))

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False)
    lw.fit(X)
    assert_almost_equal(lw.score(X), score_, 4)
    assert (lw.precision_ is None)
Exemplo n.º 4
0
def test_ledoit_wolf():
    """Tests LedoitWolf module on a simple dataset.

    """
    # test shrinkage coeff on a simple data set
    X_centered = X - X.mean(axis=0)
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_centered)
    shrinkage_ = lw.shrinkage_
    score_ = lw.score(X_centered)
    assert_almost_equal(ledoit_wolf_shrinkage(X_centered,
                                              assume_centered=True),
                        shrinkage_)
    assert_almost_equal(ledoit_wolf_shrinkage(X_centered,
                                assume_centered=True, block_size=6),
                        shrinkage_)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_centered,
                                                        assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_, assume_centered=True)
    scov.fit(X_centered)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_1d,
                                                         assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    assert_array_almost_equal((X_1d ** 2).sum() / n_samples, lw.covariance_, 4)

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False, assume_centered=True)
    lw.fit(X_centered)
    assert_almost_equal(lw.score(X_centered), score_, 4)
    assert(lw.precision_ is None)

    # (too) large data set
    X_large = np.ones((20, 200))
    assert_raises(MemoryError, ledoit_wolf, X_large, block_size=100)

    # Same tests without assuming centered data
    # test shrinkage coeff on a simple data set
    lw = LedoitWolf()
    lw.fit(X)
    assert_almost_equal(lw.shrinkage_, shrinkage_, 4)
    assert_almost_equal(lw.shrinkage_, ledoit_wolf_shrinkage(X))
    assert_almost_equal(lw.shrinkage_, ledoit_wolf(X)[1])
    assert_almost_equal(lw.score(X), score_, 4)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_)
    scov.fit(X)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf()
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_1d)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
    assert_array_almost_equal(empirical_covariance(X_1d), lw.covariance_, 4)

    # test with one sample
    X_1sample = np.arange(5)
    lw = LedoitWolf()
    with warnings.catch_warnings(record=True):
        lw.fit(X_1sample)

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False)
    lw.fit(X)
    assert_almost_equal(lw.score(X), score_, 4)
    assert(lw.precision_ is None)
Exemplo n.º 5
0
def test_ledoit_wolf():
    # Tests LedoitWolf module on a simple dataset.
    # test shrinkage coeff on a simple data set
    X_centered = X - X.mean(axis=0)
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_centered)
    shrinkage_ = lw.shrinkage_

    score_ = lw.score(X_centered)
    assert_almost_equal(ledoit_wolf_shrinkage(X_centered,
                                              assume_centered=True),
                        shrinkage_)
    assert_almost_equal(ledoit_wolf_shrinkage(X_centered, assume_centered=True,
                                              block_size=6),
                        shrinkage_)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X_centered,
                                                         assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_, assume_centered=True)
    scov.fit(X_centered)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf(assume_centered=True)
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X_1d,
                                                         assume_centered=True)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    assert_array_almost_equal((X_1d ** 2).sum() / n_samples, lw.covariance_, 4)

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False, assume_centered=True)
    lw.fit(X_centered)
    assert_almost_equal(lw.score(X_centered), score_, 4)
    assert(lw.precision_ is None)

    # Same tests without assuming centered data
    # test shrinkage coeff on a simple data set
    lw = LedoitWolf()
    lw.fit(X)
    assert_almost_equal(lw.shrinkage_, shrinkage_, 4)
    assert_almost_equal(lw.shrinkage_, ledoit_wolf_shrinkage(X))
    assert_almost_equal(lw.shrinkage_, ledoit_wolf(X)[1])
    assert_almost_equal(lw.score(X), score_, 4)
    # compare shrunk covariance obtained from data and from MLE estimate
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    # compare estimates given by LW and ShrunkCovariance
    scov = ShrunkCovariance(shrinkage=lw.shrinkage_)
    scov.fit(X)
    assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)

    # test with n_features = 1
    X_1d = X[:, 0].reshape((-1, 1))
    lw = LedoitWolf()
    lw.fit(X_1d)
    lw_cov_from_mle, lw_shrinkage_from_mle = ledoit_wolf(X_1d)
    assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
    assert_almost_equal(lw_shrinkage_from_mle, lw.shrinkage_)
    assert_array_almost_equal(empirical_covariance(X_1d), lw.covariance_, 4)

    # test with one sample
    # warning should be raised when using only 1 sample
    X_1sample = np.arange(5).reshape(1, 5)
    lw = LedoitWolf()
    assert_warns(UserWarning, lw.fit, X_1sample)
    assert_array_almost_equal(lw.covariance_,
                              np.zeros(shape=(5, 5), dtype=np.float64))

    # test shrinkage coeff on a simple data set (without saving precision)
    lw = LedoitWolf(store_precision=False)
    lw.fit(X)
    assert_almost_equal(lw.score(X), score_, 4)
    assert(lw.precision_ is None)