def correlate(X, Y, axes=None, output='r2,p', pbar=None):
# {{{
r'''Computes correlation between variables X and Y.
Parameters
==========
X, Y : :class:`Var`
Variables to correlate. Must have at least one axis in common.
axes : list, optional
Axes over which to compute correlation; if nothing is specified, the correlation
is computed over all axes common to shared by X and Y.
output : string, optional
A string determining which parameters are returned; see list of possible outputs
in the Returns section. The specifications must be separated by a comma. Defaults
to 'r2,p'.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
Returns
=======
results : :class:`Dataset`
The names of the variables match the output request string (i.e. if ``ds``
is the returned dataset, the correlation coefficient can be obtained
through ``ds.r2``).
* 'r2': The correlation coefficient :math:`\rho_{XY}`
* 'p': The p-value; see notes.
Notes
=====
The coefficient :math:`\rho_{XY}` is computed following von Storch and Zwiers
1999, section 8.2.2. The p-value is the probability of finding a correlation
coeefficient of equal or greater magnitude (two-sided) to the given result
under the hypothesis that the true correlation coefficient between X and Y is
zero. It is computed from the t-statistic given in eq (8.7), in section
8.2.3, and assumes normally distributed quantities.'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npnansum
from pygeode.view import View
# Split output request now
ovars = ['r2', 'p']
output = [o for o in output.split(',') if o in ovars]
if len(output) < 1:
raise ValueError(
'No valid outputs are requested from correlation. Possible outputs are %s.'
% str(ovars))
# Put all the axes being reduced over at the end
# so that we can reshape
srcaxes = combine_axes([X, Y])
oiaxes, riaxes = shared_axes(srcaxes, [X.axes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
i = whichaxis(srcaxes, a)
if i not in riaxes:
raise KeyError('%s axis not shared by X ("%s") and Y ("%s")' %
(a, X.name, Y.name))
ri_new.append(i)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = [srcaxes[i] for i in oiaxes]
inaxes = oaxes + [srcaxes[i] for i in riaxes]
oview = View(oaxes)
iview = View(inaxes)
siaxes = list(range(len(oaxes), len(srcaxes)))
# Construct work arrays
x = np.full(oview.shape, np.nan, 'd')
y = np.full(oview.shape, np.nan, 'd')
xx = np.full(oview.shape, np.nan, 'd')
yy = np.full(oview.shape, np.nan, 'd')
xy = np.full(oview.shape, np.nan, 'd')
Na = np.full(oview.shape, np.nan, 'd')
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
for outsl, (xdata, ydata) in loopover([X, Y], oview, inaxes, pbar=pbar):
xdata = xdata.astype('d')
ydata = ydata.astype('d')
xydata = xdata * ydata
xbc = [s1 // s2 for s1, s2 in zip(xydata.shape, xdata.shape)]
ybc = [s1 // s2 for s1, s2 in zip(xydata.shape, ydata.shape)]
xdata = np.tile(xdata, xbc)
ydata = np.tile(ydata, ybc)
xdata[np.isnan(xydata)] = np.nan
ydata[np.isnan(xydata)] = np.nan
# It seems np.nansum does not broadcast its arguments automatically
# so there must be a better way of doing this...
x[outsl] = np.nansum([x[outsl], npnansum(xdata, siaxes)], 0)
y[outsl] = np.nansum([y[outsl], npnansum(ydata, siaxes)], 0)
xx[outsl] = np.nansum([xx[outsl], npnansum(xdata**2, siaxes)], 0)
yy[outsl] = np.nansum([yy[outsl], npnansum(ydata**2, siaxes)], 0)
xy[outsl] = np.nansum([xy[outsl], npnansum(xydata, siaxes)], 0)
# Count of non-NaN data points
Na[outsl] = np.nansum(
[Na[outsl], npnansum(~np.isnan(xydata), siaxes)], 0)
imsk = (Na > 0)
xx[imsk] -= (x * x)[imsk] / Na[imsk]
yy[imsk] -= (y * y)[imsk] / Na[imsk]
xy[imsk] -= (x * y)[imsk] / Na[imsk]
# Ensure variances are non-negative
xx[xx <= 0.] = 0.
yy[yy <= 0.] = 0.
# Compute correlation coefficient, t-statistic, p-value
den = np.zeros(oview.shape, 'd')
rho = np.zeros(oview.shape, 'd')
den[imsk] = np.sqrt((xx * yy)[imsk])
dmsk = (den > 0.)
rho[dmsk] = xy[dmsk] / np.sqrt(xx * yy)[dmsk]
den = 1 - rho**2
# Saturate the denominator (when correlation is perfect) to avoid div by zero warnings
den[den < eps] = eps
t = np.zeros(oview.shape, 'd')
p = np.zeros(oview.shape, 'd')
t[imsk] = np.abs(rho)[imsk] * np.sqrt((Na[imsk] - 2.) / den[imsk])
p[imsk] = 2. * (1. - tdist.cdf(t[imsk], Na[imsk] - 2))
p[~imsk] = np.nan
rho[~imsk] = np.nan
p[~dmsk] = np.nan
rho[~dmsk] = np.nan
# Construct and return variables
xn = X.name if X.name != '' else 'X' # Note: could write: xn = X.name or 'X'
yn = Y.name if Y.name != '' else 'Y'
from pygeode.var import Var
from pygeode.dataset import asdataset
rvs = []
if 'r2' in output:
r2 = Var(oaxes, values=rho, name='r2')
r2.atts['longname'] = 'Correlation coefficient between %s and %s' % (
xn, yn)
rvs.append(r2)
if 'p' in output:
p = Var(oaxes, values=p, name='p')
p.atts[
'longname'] = 'p-value for correlation coefficient between %s and %s' % (
xn, yn)
rvs.append(p)
ds = asdataset(rvs)
ds.atts['description'] = 'correlation analysis %s against %s' % (yn, xn)
return ds
def difference(X,
Y,
axes=None,
alpha=0.05,
Nx_fac=None,
Ny_fac=None,
output='d,p,ci',
pbar=None):
# {{{
r'''Computes the mean value and statistics of X - Y.
Parameters
==========
X, Y : :class:`Var`
Variables to difference. Must have at least one axis in common.
axes : list, optional, defaults to None
Axes over which to compute means; if othing is specified, the mean
is computed over all axes common to X and Y.
alpha : float, optional; defaults to 0.05
Confidence level for which to compute confidence interval.
Nx_fac : integer, optional: defaults to None
A factor by which to rescale the estimated number of degrees of freedom of
X; the effective number will be given by the number estimated from the
dataset divided by ``Nx_fac``.
Ny_fac : integer, optional: defaults to None
A factor by which to rescale the estimated number of degrees of freedom of
Y; the effective number will be given by the number estimated from the
dataset divided by ``Ny_fac``.
output : string, optional
A string determining which parameters are returned; see list of possible outputs
in the Returns section. The specifications must be separated by a comma. Defaults
to 'd,p,ci'.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
Returns
=======
results : :class:`Dataset`
The returned variables are specified by the ``output`` argument. The names
of the variables match the output request string (i.e. if ``ds`` is the
returned dataset, the average of the difference can be obtained by
``ds.d``). The following four quantities can be computed:
* 'd': The difference in the means, X - Y
* 'df': The effective number of degrees of freedom, :math:`df`
* 'p': The p-value; see notes.
* 'ci': The confidence interval of the difference at the level specified by ``alpha``
See Also
========
isnonzero
paired_difference
Notes
=====
The effective number of degrees of freedom is estimated using eq (6.20) of
von Storch and Zwiers 1999, in which :math:`n_X` and :math:`n_Y` are scaled by
Nx_fac and Ny_fac, respectively. This provides a means of taking into account
serial correlation in the data (see sections 6.6.7-9), but the number of effective
degrees of freedom are not calculated explicitly by this routine. The p-value and
confidence interval are computed based on the t-statistic in eq (6.19).'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npnansum
from pygeode.view import View
# Split output request now
ovars = ['d', 'df', 'p', 'ci']
output = [o for o in output.split(',') if o in ovars]
if len(output) < 1:
raise ValueError(
'No valid outputs are requested from correlation. Possible outputs are %s.'
% str(ovars))
srcaxes = combine_axes([X, Y])
oiaxes, riaxes = shared_axes(srcaxes, [X.axes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
i = whichaxis(srcaxes, a)
if i not in riaxes:
raise KeyError('%s axis not shared by X ("%s") and Y ("%s")' %
(a, X.name, Y.name))
ri_new.append(i)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = [a for i, a in enumerate(srcaxes) if i not in riaxes]
oview = View(oaxes)
ixaxes = [X.whichaxis(n) for n in axes if X.hasaxis(n)]
iyaxes = [Y.whichaxis(n) for n in axes if Y.hasaxis(n)]
Nx = np.product([len(X.axes[i]) for i in ixaxes])
Ny = np.product([len(Y.axes[i]) for i in iyaxes])
assert Nx > 1, '%s has only one element along the reduction axes' % X.name
assert Ny > 1, '%s has only one element along the reduction axes' % Y.name
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
# Construct work arrays
x = np.full(oview.shape, np.nan, 'd')
y = np.full(oview.shape, np.nan, 'd')
xx = np.full(oview.shape, np.nan, 'd')
yy = np.full(oview.shape, np.nan, 'd')
Nx = np.full(oview.shape, np.nan, 'd')
Ny = np.full(oview.shape, np.nan, 'd')
# Accumulate data
for outsl, (xdata, ) in loopover([X], oview, pbar=pbar):
xdata = xdata.astype('d')
x[outsl] = np.nansum([x[outsl], npnansum(xdata, ixaxes)], 0)
xx[outsl] = np.nansum([xx[outsl], npnansum(xdata**2, ixaxes)], 0)
# Count of non-NaN data points
Nx[outsl] = np.nansum(
[Nx[outsl], npnansum(~np.isnan(xdata), ixaxes)], 0)
for outsl, (ydata, ) in loopover([Y], oview, pbar=pbar):
ydata = ydata.astype('d')
y[outsl] = np.nansum([y[outsl], npnansum(ydata, iyaxes)], 0)
yy[outsl] = np.nansum([yy[outsl], npnansum(ydata**2, iyaxes)], 0)
# Count of non-NaN data points
Ny[outsl] = np.nansum(
[Ny[outsl], npnansum(~np.isnan(ydata), iyaxes)], 0)
# remove the mean (NOTE: numerically unstable if mean >> stdev)
imsk = (Nx > 1) & (Ny > 1)
xx[imsk] -= (x * x)[imsk] / Nx[imsk]
xx[imsk] /= (Nx[imsk] - 1)
x[imsk] /= Nx[imsk]
yy[imsk] -= (y * y)[imsk] / Ny[imsk]
yy[imsk] /= (Ny[imsk] - 1)
y[imsk] /= Ny[imsk]
# Ensure variances are non-negative
xx[xx <= 0.] = 0.
yy[yy <= 0.] = 0.
if Nx_fac is not None: eNx = Nx // Nx_fac
else: eNx = Nx
if Ny_fac is not None: eNy = Ny // Ny_fac
else: eNy = Ny
emsk = (eNx > 1) & (eNy > 1)
# Compute difference
d = x - y
den = np.zeros(oview.shape, 'd')
df = np.zeros(oview.shape, 'd')
p = np.zeros(oview.shape, 'd')
ci = np.zeros(oview.shape, 'd')
# Convert to variance of the mean of each sample
xx[emsk] /= eNx[emsk]
yy[emsk] /= eNy[emsk]
den[emsk] = xx[emsk]**2 / (eNx[emsk] - 1) + yy[emsk]**2 / (eNy[emsk] - 1)
dmsk = (den > 0.)
df[dmsk] = (xx[dmsk] + yy[dmsk])**2 / den[dmsk]
den[emsk] = np.sqrt(xx[emsk] + yy[emsk])
dmsk &= (den > 0.)
p[dmsk] = np.abs(d[dmsk] / den[dmsk])
p[dmsk] = 2. * (1. - tdist.cdf(p[dmsk], df[dmsk]))
ci[dmsk] = tdist.ppf(1. - alpha / 2, df[dmsk]) * den[dmsk]
df[~dmsk] = np.nan
p[~dmsk] = np.nan
ci[~dmsk] = np.nan
# Construct dataset to return
xn = X.name if X.name != '' else 'X'
yn = Y.name if Y.name != '' else 'Y'
from pygeode.var import Var
from pygeode.dataset import asdataset
rvs = []
if 'd' in output:
d = Var(oaxes, values=d, name='d')
d.atts['longname'] = 'Difference (%s - %s)' % (xn, yn)
rvs.append(d)
if 'df' in output:
df = Var(oaxes, values=df, name='df')
df.atts['longname'] = 'Degrees of freedom used for t-test'
rvs.append(df)
if 'p' in output:
p = Var(oaxes, values=p, name='p')
p.atts['longname'] = 'p-value for t-test of difference (%s - %s)' % (
xn, yn)
rvs.append(p)
if 'ci' in output:
ci = Var(oaxes, values=ci, name='ci')
ci.atts[
'longname'] = 'Confidence Interval (alpha = %.2f) of difference (%s - %s)' % (
alpha, xn, yn)
rvs.append(ci)
ds = asdataset(rvs)
ds.atts['alpha'] = alpha
ds.atts['Nx_fac'] = Nx_fac
ds.atts['Ny_fac'] = Ny_fac
ds.atts['description'] = 't-test of difference (%s - %s)' % (yn, xn)
return ds
def paired_difference(X,
Y,
axes=None,
alpha=0.05,
N_fac=None,
output='d,p,ci',
pbar=None):
# {{{
r'''Computes the mean value and statistics of X - Y, assuming that individual elements
of X and Y can be directly paired. In contrast to :func:`difference`, X and Y must have the same
shape.
Parameters
==========
X, Y : :class:`Var`
Variables to difference. Must share all axes over which the means are being computed.
axes : list, optional
Axes over which to compute means; if nothing is specified, the mean
is computed over all axes common to X and Y.
alpha : float
Confidence level for which to compute confidence interval.
N_fac : integer
A factor by which to rescale the estimated number of degrees of freedom of
X and Y; the effective number will be given by the number estimated from the
dataset divided by ``N_fac``.
output : string, optional
A string determining which parameters are returned; see list of possible outputs
in the Returns section. The specifications must be separated by a comma. Defaults
to 'd,p,ci'.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
Returns
=======
results : :class:`Dataset`
The returned variables are specified by the ``output`` argument. The names
of the variables match the output request string (i.e. if ``ds`` is the
returned dataset, the average of the difference can be obtained by
``ds.d``). The following four quantities can be computed:
* 'd': The difference in the means, X - Y
* 'df': The effective number of degrees of freedom, :math:`df`
* 'p': The p-value; see notes.
* 'ci': The confidence interval of the difference at the level specified by ``alpha``
See Also
========
isnonzero
difference
Notes
=====
Following section 6.6.6 of von Storch and Zwiers 1999, a one-sample t test is used to test the
hypothesis. The number of degrees of freedom is the sample size scaled by N_fac, less one. This
provides a means of taking into account serial correlation in the data (see sections 6.6.7-9), but
the appropriate number of effective degrees of freedom are not calculated explicitly by this
routine. The p-value and confidence interval are computed based on the t-statistic in eq
(6.21).'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npnansum
from pygeode.view import View
# Split output request now
ovars = ['d', 'df', 'p', 'ci']
output = [o for o in output.split(',') if o in ovars]
if len(output) < 1:
raise ValueError(
'No valid outputs are requested from correlation. Possible outputs are %s.'
% str(ovars))
srcaxes = combine_axes([X, Y])
oiaxes, riaxes = shared_axes(srcaxes, [X.axes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
i = whichaxis(srcaxes, a)
if i not in riaxes:
raise KeyError('%s axis not shared by X ("%s") and Y ("%s")' %
(a, X.name, Y.name))
ri_new.append(i)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = [a for i, a in enumerate(srcaxes) if i not in riaxes]
oview = View(oaxes)
ixaxes = [X.whichaxis(n) for n in axes if X.hasaxis(n)]
Nx = np.product([len(X.axes[i]) for i in ixaxes])
iyaxes = [Y.whichaxis(n) for n in axes if Y.hasaxis(n)]
Ny = np.product([len(Y.axes[i]) for i in iyaxes])
assert ixaxes == iyaxes and Nx == Ny, 'For the paired difference test, X and Y must have the same size along the reduction axes.'
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
assert Nx > 1, '%s has only one element along the reduction axes' % X.name
assert Ny > 1, '%s has only one element along the reduction axes' % Y.name
# Construct work arrays
d = np.full(oview.shape, np.nan, 'd')
dd = np.full(oview.shape, np.nan, 'd')
N = np.full(oview.shape, np.nan, 'd')
# Accumulate data
for outsl, (xdata, ydata) in loopover([X, Y],
oview,
inaxes=srcaxes,
pbar=pbar):
ddata = xdata.astype('d') - ydata.astype('d')
d[outsl] = np.nansum([d[outsl], npnansum(ddata, ixaxes)], 0)
dd[outsl] = np.nansum([dd[outsl], npnansum(ddata**2, ixaxes)], 0)
# Count of non-NaN data points
N[outsl] = np.nansum([N[outsl], npnansum(~np.isnan(ddata), ixaxes)], 0)
# remove the mean (NOTE: numerically unstable if mean >> stdev)
imsk = (N > 1)
dd[imsk] -= (d * d)[imsk] / N[imsk]
dd[imsk] /= (N[imsk] - 1)
d[imsk] /= N[imsk]
# Ensure variance is non-negative
dd[dd <= 0.] = 0.
if N_fac is not None: eN = N // N_fac
else: eN = N
emsk = (eN > 1)
den = np.zeros(oview.shape, 'd')
p = np.zeros(oview.shape, 'd')
ci = np.zeros(oview.shape, 'd')
den = np.zeros(oview.shape, 'd')
den[emsk] = np.sqrt(dd[emsk] / (eN[emsk] - 1))
dmsk = (den > 0.)
p[dmsk] = np.abs(d[dmsk] / den[dmsk])
p[dmsk] = 2. * (1. - tdist.cdf(p[dmsk], eN[dmsk] - 1))
ci[dmsk] = tdist.ppf(1. - alpha / 2, eN[dmsk] - 1) * den[dmsk]
# Construct dataset to return
xn = X.name if X.name != '' else 'X'
yn = Y.name if Y.name != '' else 'Y'
from pygeode.var import Var
from pygeode.dataset import asdataset
rvs = []
if 'd' in output:
d = Var(oaxes, values=d, name='d')
d.atts['longname'] = 'Difference (%s - %s)' % (xn, yn)
rvs.append(d)
if 'df' in output:
df = Var(oaxes, values=eN - 1, name='df')
df.atts['longname'] = 'Degrees of freedom used for t-test'
rvs.append(df)
if 'p' in output:
p = Var(oaxes, values=p, name='p')
p.atts[
'longname'] = 'p-value for t-test of paired difference (%s - %s)' % (
xn, yn)
rvs.append(p)
if 'ci' in output:
ci = Var(oaxes, values=ci, name='ci')
ci.atts[
'longname'] = 'Confidence Interval (alpha = %.2f) of paired difference (%s - %s)' % (
alpha, xn, yn)
rvs.append(ci)
ds = asdataset(rvs)
ds.atts['alpha'] = alpha
ds.atts['N_fac'] = N_fac
ds.atts['description'] = 't-test of paired difference (%s - %s)' % (yn, xn)
return ds
def multiple_regress(Xs, Y, axes=None, N_fac=None, output='B,p', pbar=None):
# {{{
r'''Computes least-squares multiple regression of Y against variables Xs.
Parameters
==========
Xs : list of :class:`Var` instances
Variables to treat as independent regressors. Must have at least one axis
in common with each other and with Y.
Y : :class:`Var`
The dependent variable. Must have at least one axis in common with the Xs.
axes : list, optional
Axes over which to compute correlation; if nothing is specified, the correlation
is computed over all axes common to the Xs and Y.
N_fac : integer
A factor by which to rescale the estimated number of degrees of freedom; the effective
number will be given by the number estimated from the dataset divided by ``N_fac``.
output : string, optional
A string determining which parameters are returned; see list of possible outputs
in the Returns section. The specifications must be separated by a comma. Defaults
to 'B,p'.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
Returns
=======
results : tuple of floats or :class:`Var` instances.
The return values are specified by the ``output`` argument. The names of the
variables match the output request string (i.e. if ``ds`` is the returned dataset, the
linear coefficient of the regression can be obtained by ``ds.m``).
A fit of the form :math:`Y = \sum_i \beta_i X_i + \epsilon` is assumed.
Note that a constant term is not included by default. The following
parameters can be returned:
* 'B': Linear coefficients :math:`\beta_i` of each regressor
* 'r2': Fraction of the variance in Y explained by all Xs (:math:`R^2`)
* 'p': p-value of regession; see notes.
* 'sb': Standard deviation of each linear coefficient
* 'covb': Covariance matrix of the linear coefficients
* 'se': Standard deviation of residuals
The outputs 'B', 'p', and 'sb' will produce as many outputs as there are
regressors.
Notes
=====
The statistics described are computed following von Storch and Zwiers 1999,
section 8.4. The p-value 'p' is computed using the t-statistic appropriate
for the multi-variate normal estimator :math:`\hat{\vec{a}}` given in section
8.4.2; it corresponds to the probability of obtaining the regression
coefficient under the null hypothesis that there is no linear relationship.
Note this may not be the best way to determine if a given parameter is
contributing a significant fraction to the explained variance of Y. The
variances 'se' and 'sb' are :math:`\hat{\sigma}_E` and the square root of the
diagonal elements of :math:`\hat{\sigma}^2_E (\chi^T\chi)` in von Storch and
Zwiers, respectively. The data is assumed to be normally distributed.'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npsum
from pygeode.view import View
# Split output request now
ovars = ['beta', 'r2', 'p', 'sb', 'covb', 'se']
output = [o for o in output.split(',') if o in ovars]
if len(output) < 1:
raise ValueError(
'No valid outputs are requested from correlation. Possible outputs are %s.'
% str(ovars))
Nr = len(Xs)
Xaxes = combine_axes(Xs)
srcaxes = combine_axes([Xaxes, Y])
oiaxes, riaxes = shared_axes(srcaxes, [Xaxes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
ia = whichaxis(srcaxes, a)
if ia in riaxes: ri_new.append(ia)
else:
raise KeyError(
'One of the Xs or Y does not have the axis %s.' % a)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = tuple([srcaxes[i] for i in oiaxes])
inaxes = oaxes + tuple([srcaxes[i] for i in riaxes])
oview = View(oaxes)
siaxes = list(range(len(oaxes), len(srcaxes)))
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
assert len(
riaxes) > 0, 'Regressors and %s share no axes to be regressed over' % (
Y.name)
# Construct work arrays
os = oview.shape
os1 = os + (Nr, )
os2 = os + (Nr, Nr)
y = np.zeros(os, 'd')
yy = np.zeros(os, 'd')
xy = np.zeros(os1, 'd')
xx = np.zeros(os2, 'd')
xxinv = np.zeros(os2, 'd')
N = np.prod([len(srcaxes[i]) for i in riaxes])
# Accumulate data
for outsl, datatuple in loopover(Xs + [Y], oview, inaxes, pbar=pbar):
ydata = datatuple[-1].astype('d')
xdata = [datatuple[i].astype('d') for i in range(Nr)]
y[outsl] += npsum(ydata, siaxes)
yy[outsl] += npsum(ydata**2, siaxes)
for i in range(Nr):
xy[outsl + (i, )] += npsum(xdata[i] * ydata, siaxes)
for j in range(i + 1):
xx[outsl + (i, j)] += npsum(xdata[i] * xdata[j], siaxes)
# Fill in opposite side of xTx
for i in range(Nr):
for j in range(i):
xx[..., j, i] = xx[..., i, j]
# Compute inverse of covariance matrix (could be done more intellegently? certainly the python
# loop over oview does not help)
xx = xx.reshape(-1, Nr, Nr)
xxinv = xxinv.reshape(-1, Nr, Nr)
for i in range(xx.shape[0]):
xxinv[i, :, :] = np.linalg.inv(xx[i, :, :])
xx = xx.reshape(os2)
xxinv = xxinv.reshape(os2)
beta = np.sum(xy.reshape(os + (1, Nr)) * xxinv, -1)
vare = np.sum(xy * beta, -1)
if N_fac is None: N_eff = N
else: N_eff = N // N_fac
sigbeta = [
np.sqrt((yy - vare) * xxinv[..., i, i] / N_eff) for i in range(Nr)
]
xns = [X.name if X.name != '' else 'X%d' % i for i, X in enumerate(Xs)]
yn = Y.name if Y.name != '' else 'Y'
from .var import Var
from .dataset import asdataset
from .axis import NonCoordinateAxis
ra = NonCoordinateAxis(values=np.arange(Nr),
regressor=xns,
name='regressor')
ra2 = NonCoordinateAxis(values=np.arange(Nr),
regressor=xns,
name='regressor2')
Nd = len(oaxes)
rvs = []
if 'beta' in output:
B = Var(oaxes + (ra, ), values=beta, name='beta')
B.atts['longname'] = 'regression coefficient'
rvs.append(B)
if 'r2' in output:
vary = (yy - y**2 / N)
R2 = 1 - (yy - vare) / vary
R2 = Var(oaxes, values=R2, name='R2')
R2.atts['longname'] = 'fraction of variance explained'
rvs.append(R2)
if 'p' in output:
p = [
2. *
(1. - tdist.cdf(np.abs(beta[..., i] / sigbeta[i]), N_eff - Nr))
for i in range(Nr)
]
p = np.transpose(np.array(p), [Nd] + list(range(Nd)))
p = Var(oaxes + (ra, ), values=p, name='p')
p.atts['longname'] = 'p-values'
rvs.append(p)
if 'sb' in output:
sigbeta = np.transpose(np.array(sigbeta), [Nd] + list(range(Nd)))
sb = Var(oaxes + (ra, ), values=sigbeta, name='sb')
sb.atts['longname'] = 'standard deviation of linear coefficients'
rvs.append(sb)
if 'covb' in output:
sigmat = np.zeros(os2, 'd')
for i in range(Nr):
for j in range(Nr):
#sigmat[..., i, j] = np.sqrt((yy - vare) * xxinv[..., i, j] / N_eff)
sigmat[..., i, j] = (yy - vare) * xxinv[..., i, j] / N_eff
covb = Var(oaxes + (ra, ra2), values=sigmat, name='covb')
covb.atts['longname'] = 'Covariance matrix of the linear coefficients'
rvs.append(covb)
if 'se' in output:
se = np.sqrt((yy - vare) / N_eff)
se = Var(oaxes, values=se, name='se')
se.atts['longname'] = 'standard deviation of residual'
rvs.append(se)
ds = asdataset(rvs)
ds.atts[
'description'] = 'multiple linear regression parameters for %s regressed against %s' % (
yn, xns)
return ds
def regress(X, Y, axes=None, N_fac=None, output='m,b,p', pbar=None):
# {{{
r'''Computes least-squares linear regression of Y against X.
Parameters
==========
X, Y : :class:`Var`
Variables to regress. Must have at least one axis in common.
axes : list, optional
Axes over which to compute correlation; if nothing is specified, the correlation
is computed over all axes common to X and Y.
N_fac : integer
A factor by which to rescale the estimated number of degrees of freedom; the effective
number will be given by the number estimated from the dataset divided by ``N_fac``.
output : string, optional
A string determining which parameters are returned; see list of possible outputs
in the Returns section. The specifications must be separated by a comma. Defaults
to 'm,b,p'.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
Returns
=======
results : :class:`Dataset`
The returned variables are specified by the ``output`` argument. The names of the
variables match the output request string (i.e. if ``ds`` is the returned dataset, the
linear coefficient of the regression can be obtained by ``ds.m``).
A fit of the form :math:`Y = m X + b + \epsilon` is assumed, and the
following parameters can be returned:
* 'm': Linear coefficient of the regression
* 'b': Constant coefficient of the regression
* 'r2': Fraction of the variance in Y explained by X (:math:`R^2`)
* 'p': p-value of regression; see notes.
* 'sm': Standard deviation of linear coefficient estimate
* 'se': Standard deviation of residuals
Notes
=====
The statistics described are computed following von Storch and Zwiers 1999,
section 8.3. The p-value 'p' is computed using the t-statistic given in
section 8.3.8, and confidence intervals for the slope and intercept can be
computed from 'se' and 'se' (:math:`\hat{\sigma}_E` and
:math:`\hat{\sigma}_E/\sqrt{S_{XX}}` in von Storch and Zwiers, respectively).
The data is assumed to be normally distributed.'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npnansum
from pygeode.view import View
# Split output request now
ovars = ['m', 'b', 'r2', 'p', 'sm', 'se']
output = [o for o in output.split(',') if o in ovars]
if len(output) < 1:
raise ValueError(
'No valid outputs are requested from regression. Possible outputs are %s.'
% str(ovars))
srcaxes = combine_axes([X, Y])
oiaxes, riaxes = shared_axes(srcaxes, [X.axes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
i = whichaxis(srcaxes, a)
if i not in riaxes:
raise KeyError('%s axis not shared by X ("%s") and Y ("%s")' %
(a, X.name, Y.name))
ri_new.append(i)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = [srcaxes[i] for i in oiaxes]
inaxes = oaxes + [srcaxes[i] for i in riaxes]
oview = View(oaxes)
siaxes = list(range(len(oaxes), len(srcaxes)))
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
assert len(riaxes) > 0, '%s and %s share no axes to be regressed over' % (
X.name, Y.name)
# Construct work arrays
x = np.full(oview.shape, np.nan, 'd')
y = np.full(oview.shape, np.nan, 'd')
xx = np.full(oview.shape, np.nan, 'd')
yy = np.full(oview.shape, np.nan, 'd')
xy = np.full(oview.shape, np.nan, 'd')
Na = np.full(oview.shape, np.nan, 'd')
# Accumulate data
for outsl, (xdata, ydata) in loopover([X, Y], oview, inaxes, pbar=pbar):
xdata = xdata.astype('d')
ydata = ydata.astype('d')
xydata = xdata * ydata
xbc = [s1 // s2 for s1, s2 in zip(xydata.shape, xdata.shape)]
ybc = [s1 // s2 for s1, s2 in zip(xydata.shape, ydata.shape)]
xdata = np.tile(xdata, xbc)
ydata = np.tile(ydata, ybc)
xdata[np.isnan(xydata)] = np.nan
ydata[np.isnan(xydata)] = np.nan
# It seems np.nansum does not broadcast its arguments automatically
# so there must be a better way of doing this...
x[outsl] = np.nansum([x[outsl], npnansum(xdata, siaxes)], 0)
y[outsl] = np.nansum([y[outsl], npnansum(ydata, siaxes)], 0)
xx[outsl] = np.nansum([xx[outsl], npnansum(xdata**2, siaxes)], 0)
yy[outsl] = np.nansum([yy[outsl], npnansum(ydata**2, siaxes)], 0)
xy[outsl] = np.nansum([xy[outsl], npnansum(xydata, siaxes)], 0)
# Sum of weights
Na[outsl] = np.nansum(
[Na[outsl], npnansum(~np.isnan(xydata), siaxes)], 0)
if N_fac is None:
N_eff = Na - 2.
else:
N_eff = Na / N_fac - 2.
nmsk = (N_eff > 0.)
xx[nmsk] -= (x * x)[nmsk] / Na[nmsk]
yy[nmsk] -= (y * y)[nmsk] / Na[nmsk]
xy[nmsk] -= (x * y)[nmsk] / Na[nmsk]
dmsk = (xx > 0.)
m = np.zeros(oview.shape, 'd')
b = np.zeros(oview.shape, 'd')
r2 = np.zeros(oview.shape, 'd')
m[dmsk] = xy[dmsk] / xx[dmsk]
b[nmsk] = (y[nmsk] - m[nmsk] * x[nmsk]) / Na[nmsk]
r2den = xx * yy
d2msk = (r2den > 0.)
r2[d2msk] = xy[d2msk]**2 / r2den[d2msk]
sige = np.zeros(oview.shape, 'd')
sigm = np.zeros(oview.shape, 'd')
t = np.zeros(oview.shape, 'd')
p = np.zeros(oview.shape, 'd')
sige[nmsk] = (yy[nmsk] - m[nmsk] * xy[nmsk]) / N_eff[nmsk]
sigm[dmsk] = np.sqrt(sige[dmsk] / xx[dmsk])
sige[nmsk] = np.sqrt(sige[dmsk])
t[dmsk] = np.abs(m[dmsk]) / sigm[dmsk]
p[nmsk] = 2. * (1. - tdist.cdf(t[nmsk], N_eff[nmsk]))
msk = nmsk & dmsk
m[~msk] = np.nan
b[~msk] = np.nan
sige[~msk] = np.nan
sigm[~msk] = np.nan
p[~msk] = np.nan
msk = nmsk & d2msk
r2[~msk] = np.nan
xn = X.name if X.name != '' else 'X'
yn = Y.name if Y.name != '' else 'Y'
from pygeode.var import Var
from pygeode.dataset import asdataset
rvs = []
if 'm' in output:
M = Var(oaxes, values=m, name='m')
M.atts['longname'] = 'slope'
rvs.append(M)
if 'b' in output:
B = Var(oaxes, values=b, name='b')
B.atts['longname'] = 'intercept'
rvs.append(B)
if 'r2' in output:
R2 = Var(oaxes, values=r2, name='r2')
R2.atts['longname'] = 'fraction of variance explained'
rvs.append(R2)
if 'p' in output:
P = Var(oaxes, values=p, name='p')
P.atts['longname'] = 'p-value'
rvs.append(P)
if 'sm' in output:
SM = Var(oaxes, values=sigm, name='sm')
SM.atts['longname'] = 'standard deviation of slope parameter'
rvs.append(SM)
if 'se' in output:
SE = Var(oaxes, values=sige, name='se')
SE.atts['longname'] = 'standard deviation of residual'
rvs.append(SE)
ds = asdataset(rvs)
ds.atts[
'description'] = 'linear regression parameters for %s regressed against %s' % (
yn, xn)
return ds
def correlate(X, Y, axes=None, pbar=None):
# {{{
r'''Computes correlation between variables X and Y.
Parameters
==========
X, Y : :class:`Var`
Variables to correlate. Must have at least one axis in common.
axes : list, optional
Axes over which to compute correlation; if nothing is specified, the correlation
is computed over all axes common to shared by X and Y.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
Returns
=======
rho, p : :class:`Var`
The correlation coefficient :math:`\rho_{XY}` and p-value, respectively.
Notes
=====
The coefficient :math:`\rho_{XY}` is computed following von Storch and Zwiers
1999, section 8.2.2. The p-value is the probability of finding the given
result under the hypothesis that the true correlation coefficient between X
and Y is zero. It is computed from the t-statistic given in eq (8.7), in
section 8.2.3, and assumes normally distributed quantities.'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npnansum
from pygeode.view import View
# Put all the axes being reduced over at the end
# so that we can reshape
srcaxes = combine_axes([X, Y])
oiaxes, riaxes = shared_axes(srcaxes, [X.axes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
i = whichaxis(srcaxes, a)
if i not in riaxes:
raise KeyError('%s axis not shared by X ("%s") and Y ("%s")' % (a, X.name, Y.name))
ri_new.append(i)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = [srcaxes[i] for i in oiaxes]
inaxes = oaxes + [srcaxes[i] for i in riaxes]
oview = View(oaxes)
iview = View(inaxes)
siaxes = list(range(len(oaxes), len(srcaxes)))
# Construct work arrays
x = np.zeros(oview.shape, 'd')*np.nan
y = np.zeros(oview.shape, 'd')*np.nan
xx = np.zeros(oview.shape, 'd')*np.nan
yy = np.zeros(oview.shape, 'd')*np.nan
xy = np.zeros(oview.shape, 'd')*np.nan
Na = np.zeros(oview.shape, 'd')*np.nan
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
for outsl, (xdata, ydata) in loopover([X, Y], oview, inaxes, pbar=pbar):
xdata = xdata.astype('d')
ydata = ydata.astype('d')
xydata = xdata*ydata
xbc = [s1 // s2 for s1, s2 in zip(xydata.shape, xdata.shape)]
ybc = [s1 // s2 for s1, s2 in zip(xydata.shape, ydata.shape)]
xdata = np.tile(xdata, xbc)
ydata = np.tile(ydata, ybc)
xdata[np.isnan(xydata)] = np.nan
ydata[np.isnan(xydata)] = np.nan
# It seems np.nansum does not broadcast its arguments automatically
# so there must be a better way of doing this...
x[outsl] = np.nansum([x[outsl], npnansum(xdata, siaxes)], 0)
y[outsl] = np.nansum([y[outsl], npnansum(ydata, siaxes)], 0)
xx[outsl] = np.nansum([xx[outsl], npnansum(xdata**2, siaxes)], 0)
yy[outsl] = np.nansum([yy[outsl], npnansum(ydata**2, siaxes)], 0)
xy[outsl] = np.nansum([xy[outsl], npnansum(xydata, siaxes)], 0)
# Sum of weights
Na[outsl] = np.nansum([Na[outsl], npnansum(~np.isnan(xydata), siaxes)], 0)
eps = 1e-14
imsk = ~(Na < eps)
xx[imsk] -= (x*x)[imsk]/Na[imsk]
yy[imsk] -= (y*y)[imsk]/Na[imsk]
xy[imsk] -= (x*y)[imsk]/Na[imsk]
# Compute correlation coefficient, t-statistic, p-value
den = np.zeros(oview.shape, 'd')
rho = np.zeros(oview.shape, 'd')
den[imsk] = np.sqrt((xx*yy)[imsk])
rho[den > 0.] = xy[den > 0.] / np.sqrt(xx*yy)[den > 0.]
den = 1 - rho**2
# Saturate the denominator (when correlation is perfect) to avoid div by zero warnings
den[den < eps] = eps
t = np.zeros(oview.shape, 'd')
p = np.zeros(oview.shape, 'd')
t[imsk] = np.abs(rho)[imsk] * np.sqrt((Na[imsk] - 2.)/den[imsk])
p[imsk] = tdist.cdf(t[imsk], Na[imsk]-2) * np.sign(rho[imsk])
p[~imsk] = np.nan
rho[~imsk] = np.nan
# Construct and return variables
xn = X.name if X.name != '' else 'X' # Note: could write: xn = X.name or 'X'
yn = Y.name if Y.name != '' else 'Y'
from pygeode.var import Var
Rho = Var(oaxes, values=rho, name='C(%s, %s)' % (xn, yn))
P = Var(oaxes, values=p, name='P(C(%s,%s) != 0)' % (xn, yn))
return Rho, P
def multiple_regress(Xs, Y, axes=None, pbar=None, N_fac=None, output='B,p'):
# {{{
r'''Computes least-squares multiple regression of Y against variables Xs.
Parameters
==========
Xs : list of :class:`Var` instances
Variables to treat as independent regressors. Must have at least one axis
in common with each other and with Y.
Y : :class:`Var`
The dependent variable. Must have at least one axis in common with the Xs.
axes : list, optional
Axes over which to compute correlation; if nothing is specified, the correlation
is computed over all axes common to the Xs and Y.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
N_fac : integer
A factor by which to rescale the estimated number of degrees of freedom; the effective
number will be given by the number estimated from the dataset divided by ``N_fac``.
output : string, optional
A string determining which parameters are returned; see list of possible outputs
in the Returns section. The specifications must be separated by a comma. Defaults
to 'B,p'.
Returns
=======
results : tuple of floats or :class:`Var` instances.
The return values are specified by the ``output`` argument. A fit of the form
:math:`Y = \sum_i \beta_i X_i + \epsilon` is assumed. Note that a constant term
is not included by default. The following parameters can be returned:
* 'B': Linear coefficients :math:`\beta_i` of each regressor
* 'r': Fraction of the variance in Y explained by all Xs (:math:`R^2`)
* 'p': Probability of this fit if the true linear coefficient was zero for each regressor
* 'sb': Standard deviation of each linear coefficient
* 'covb': Covariance matrix of the linear coefficients
* 'se': Standard deviation of residuals
If the regression is computed over all axes so that the result is a scalar,
the above are returned as a tuple of floats in the order specified by
``output``. Otherwise they are returned as :class:`Var` instances. The outputs
'B', 'p', and 'sb' will produce as many outputs as there are regressors.
Notes
=====
The statistics described are computed following von Storch and Zwiers 1999,
section 8.4. The p-value 'p' is computed using the t-statistic appropriate
for the multi-variate normal estimator :math:`\hat{\vec{a}}` given in section
8.4.2; note this may not be the best way to determine if a given parameter is
contributing a significant fraction to the explained variance of Y. The
variances 'se' and 'sb' are :math:`\hat{\sigma}_E` and the square root of the
diagonal elements of :math:`\hat{\sigma}^2_E (\chi^T\chi)` in von Storch and
Zwiers, respectively. The data is assumed to be normally distributed.'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npsum
from pygeode.view import View
Nr = len(Xs)
Xaxes = combine_axes(Xs)
srcaxes = combine_axes([Xaxes, Y])
oiaxes, riaxes = shared_axes(srcaxes, [Xaxes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
ia = whichaxis(srcaxes, a)
if ia in riaxes: ri_new.append(ia)
else: raise KeyError('One of the Xs or Y does not have the axis %s.' % a)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = [srcaxes[i] for i in oiaxes]
inaxes = oaxes + [srcaxes[i] for i in riaxes]
oview = View(oaxes)
siaxes = list(range(len(oaxes), len(srcaxes)))
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
assert len(riaxes) > 0, 'Regressors and %s share no axes to be regressed over' % (Y.name)
# Construct work arrays
os = oview.shape
os1 = os + (Nr,)
os2 = os + (Nr,Nr)
y = np.zeros(os, 'd')
yy = np.zeros(os, 'd')
xy = np.zeros(os1, 'd')
xx = np.zeros(os2, 'd')
xxinv = np.zeros(os2, 'd')
N = np.prod([len(srcaxes[i]) for i in riaxes])
# Accumulate data
for outsl, datatuple in loopover(Xs + [Y], oview, inaxes, pbar=pbar):
ydata = datatuple[-1].astype('d')
xdata = [datatuple[i].astype('d') for i in range(Nr)]
y[outsl] += npsum(ydata, siaxes)
yy[outsl] += npsum(ydata**2, siaxes)
for i in range(Nr):
xy[outsl+(i,)] += npsum(xdata[i]*ydata, siaxes)
for j in range(i+1):
xx[outsl+(i,j)] += npsum(xdata[i]*xdata[j], siaxes)
# Fill in opposite side of xTx
for i in range(Nr):
for j in range(i):
xx[..., j, i] = xx[..., i, j]
# Compute inverse of covariance matrix (could be done more intellegently? certainly the python
# loop over oview does not help)
xx = xx.reshape(-1, Nr, Nr)
xxinv = xxinv.reshape(-1, Nr, Nr)
for i in range(xx.shape[0]):
xxinv[i,:,:] = np.linalg.inv(xx[i,:,:])
xx = xx.reshape(os2)
xxinv = xxinv.reshape(os2)
beta = np.sum(xy.reshape(os + (1, Nr)) * xxinv, -1)
vare = np.sum(xy * beta, -1)
if N_fac is None: N_eff = N
else: N_eff = N // N_fac
sigbeta = [np.sqrt((yy - vare) * xxinv[..., i, i] / N_eff) for i in range(Nr)]
xns = [X.name if X.name != '' else 'X%d' % i for i, X in enumerate(Xs)]
yn = Y.name if Y.name != '' else 'Y'
from pygeode.var import Var
output = output.split(',')
ret = []
for o in output:
if o == 'B':
if len(oaxes) == 0:
ret.append(beta)
else:
ret.append([Var(oaxes, values=beta[...,i], name='beta_%s' % xns[i]) for i in range(Nr)])
elif o == 'r':
vary = (yy - y**2/N)
R2 = 1 - (yy - vare) / vary
if len(oaxes) == 0:
ret.append(R2)
else:
ret.append(Var(oaxes, values=R2, name='R2'))
elif o == 'p':
ps = [tdist.cdf(np.abs(beta[...,i]/sigbeta[i]), N_eff-Nr) * np.sign(beta[...,i]) for i in range(Nr)]
if len(oaxes) == 0:
ret.append(ps)
else:
ret.append([Var(oaxes, values=ps[i], name='p_%s' % xns[i]) for i in range(Nr)])
elif o == 'sb':
if len(oaxes) == 0:
ret.append(sigbeta)
else:
ret.append([Var(oaxes, values=sigbeta[i], name='sig_%s' % xns[i]) for i in range(Nr)])
elif o == 'covb':
from .axis import NonCoordinateAxis as nca
cr1 = nca(values=list(range(Nr)), regressor1=[X.name for X in Xs], name='regressor1')
cr2 = nca(values=list(range(Nr)), regressor2=[X.name for X in Xs], name='regressor2')
sigmat = np.zeros(os2, 'd')
for i in range(Nr):
for j in range(Nr):
#sigmat[..., i, j] = np.sqrt((yy - vare) * xxinv[..., i, j] / N_eff)
sigmat[..., i, j] = (yy - vare) * xxinv[..., i, j] / N_eff
ret.append(Var(oaxes + [cr1, cr2], values=sigmat, name='smat'))
elif o == 'se':
se = np.sqrt((yy - vare) / N_eff)
if len(oaxes) == 0:
ret.append(se)
else:
ret.append(Var(oaxes, values=se, name='sig_resid'))
else:
print('multiple_regress: unrecognized output "%s"' % o)
return ret
def regress(X, Y, axes=None, pbar=None, N_fac=None, output='m,b,p'):
# {{{
r'''Computes least-squares linear regression of Y against X.
Parameters
==========
X, Y : :class:`Var`
Variables to regress. Must have at least one axis in common.
axes : list, optional
Axes over which to compute correlation; if nothing is specified, the correlation
is computed over all axes common to X and Y.
pbar : progress bar, optional
A progress bar object. If nothing is provided, a progress bar will be displayed
if the calculation takes sufficiently long.
N_fac : integer
A factor by which to rescale the estimated number of degrees of freedom; the effective
number will be given by the number estimated from the dataset divided by ``N_fac``.
output : string, optional
A string determining which parameters are returned; see list of possible outputs
in the Returns section. The specifications must be separated by a comma. Defaults
to 'm,b,p'.
Returns
=======
results : list of :class:`Var` instances.
The return values are specified by the ``output`` argument. A fit of the form
:math:`Y = m X + b + \epsilon` is assumed, and the following parameters
can be returned:
* 'm': Linear coefficient of the regression
* 'b': Constant coefficient of the regression
* 'r': Fraction of the variance in Y explained by X (:math:`R^2`)
* 'p': Probability of this fit if the true linear coefficient was zero
* 'sm': Variance in linear coefficient
* 'se': Variance of residuals
Notes
=====
The statistics described are computed following von Storch and Zwiers 1999,
section 8.3. The p-value 'p' is computed using the t-statistic given in
section 8.3.8, and confidence intervals for the slope and intercept can be
computed from 'se' and 'se' (:math:`\hat{\sigma}_E` and
:math:`\hat{\sigma}_E/\sqrt{S_{XX}}` in von Storch and Zwiers, respectively).
The data is assumed to be normally distributed.'''
from pygeode.tools import loopover, whichaxis, combine_axes, shared_axes, npsum
from pygeode.view import View
srcaxes = combine_axes([X, Y])
oiaxes, riaxes = shared_axes(srcaxes, [X.axes, Y.axes])
if axes is not None:
ri_new = []
for a in axes:
i = whichaxis(srcaxes, a)
if i not in riaxes:
raise KeyError('%s axis not shared by X ("%s") and Y ("%s")' % (a, X.name, Y.name))
ri_new.append(i)
oiaxes.extend([r for r in riaxes if r not in ri_new])
riaxes = ri_new
oaxes = [srcaxes[i] for i in oiaxes]
inaxes = oaxes + [srcaxes[i] for i in riaxes]
oview = View(oaxes)
siaxes = list(range(len(oaxes), len(srcaxes)))
if pbar is None:
from pygeode.progress import PBar
pbar = PBar()
assert len(riaxes) > 0, '%s and %s share no axes to be regressed over' % (X.name, Y.name)
# Construct work arrays
x = np.zeros(oview.shape, 'd')
y = np.zeros(oview.shape, 'd')
xx = np.zeros(oview.shape, 'd')
xy = np.zeros(oview.shape, 'd')
yy = np.zeros(oview.shape, 'd')
# Accumulate data
for outsl, (xdata, ydata) in loopover([X, Y], oview, inaxes, pbar=pbar):
xdata = xdata.astype('d')
ydata = ydata.astype('d')
x[outsl] += npsum(xdata, siaxes)
y[outsl] += npsum(ydata, siaxes)
xx[outsl] += npsum(xdata**2, siaxes)
yy[outsl] += npsum(ydata**2, siaxes)
xy[outsl] += npsum(xdata*ydata, siaxes)
N = np.prod([len(srcaxes[i]) for i in riaxes])
# remove the mean (NOTE: numerically unstable if mean >> stdev)
xx -= x**2/N
yy -= y**2/N
xy -= (x*y)/N
m = xy/xx
b = (y - m*x)/float(N)
if N_fac is None: N_eff = N
else: N_eff = N // N_fac
sige = (yy - m * xy) / (N_eff - 2.)
sigm = np.sqrt(sige / xx)
t = np.abs(m) / sigm
p = tdist.cdf(t, N-2) * np.sign(m)
xn = X.name if X.name != '' else 'X'
yn = Y.name if Y.name != '' else 'Y'
from pygeode.var import Var
output = output.split(',')
ret = []
if 'm' in output:
M = Var(oaxes, values=m, name='%s vs. %s' % (yn, xn))
ret.append(M)
if 'b' in output:
B = Var(oaxes, values=b, name='Intercept (%s vs. %s)' % (yn, xn))
ret.append(B)
if 'r' in output:
ret.append(Var(oaxes, values=xy**2/(xx*yy), name='R2(%s vs. %s)' % (yn, xn)))
if 'p' in output:
P = Var(oaxes, values=p, name='P(%s vs. %s != 0)' % (yn, xn))
ret.append(P)
if 'sm' in output:
ret.append(Var(oaxes, values=sigm, name='Sig. Intercept (%s vs. %s != 0)' % (yn, xn)))
if 'se' in output:
ret.append(Var(oaxes, values=np.sqrt(sige), name='Sig. Resid. (%s vs. %s != 0)' % (yn, xn)))
return ret