# Source code for statsmodels.nonparametric.bandwidths

import numpy as np
from scipy.stats import scoreatpercentile as sap

from statsmodels.compat.pandas import Substitution
from statsmodels.sandbox.nonparametric import kernels

def _select_sigma(X):
"""
Returns the smaller of std(X, ddof=1) or normalized IQR(X) over axis 0.

References
----------
Silverman (1986) p.47
"""
#    normalize = norm.ppf(.75) - norm.ppf(.25)
normalize = 1.349
#    IQR = np.subtract.reduce(percentile(X, [75,25],
#                             axis=axis), axis=axis)/normalize
IQR = (sap(X, 75) - sap(X, 25))/normalize
return np.minimum(np.std(X, axis=0, ddof=1), IQR)

## Univariate Rule of Thumb Bandwidths ##
[docs]def bw_scott(x, kernel=None):
"""
Scott's Rule of Thumb

Parameters
----------
x : array_like
Array for which to get the bandwidth
kernel : CustomKernel object
Unused

Returns
-------
bw : float
The estimate of the bandwidth

Notes
-----
Returns 1.059 * A * n ** (-1/5.) where ::

A = min(std(x, ddof=1), IQR/1.349)
IQR = np.subtract.reduce(np.percentile(x, [75,25]))

References
----------

Scott, D.W. (1992) Multivariate Density Estimation: Theory, Practice, and
Visualization.
"""
A = _select_sigma(x)
n = len(x)
return 1.059 * A * n ** (-0.2)

[docs]def bw_silverman(x, kernel=None):
"""
Silverman's Rule of Thumb

Parameters
----------
x : array_like
Array for which to get the bandwidth
kernel : CustomKernel object
Unused

Returns
-------
bw : float
The estimate of the bandwidth

Notes
-----
Returns .9 * A * n ** (-1/5.) where ::

A = min(std(x, ddof=1), IQR/1.349)
IQR = np.subtract.reduce(np.percentile(x, [75,25]))

References
----------

Silverman, B.W. (1986) Density Estimation.
"""
A = _select_sigma(x)
n = len(x)
return .9 * A * n ** (-0.2)

def bw_normal_reference(x, kernel=kernels.Gaussian):
"""
Plug-in bandwidth with kernel specific constant based on normal reference.

This bandwidth minimizes the mean integrated square error if the true
distribution is the normal. This choice is an appropriate bandwidth for
single peaked distributions that are similar to the normal distribution.

Parameters
----------
x : array_like
Array for which to get the bandwidth
kernel : CustomKernel object
Used to calculate the constant for the plug-in bandwidth.

Returns
-------
bw : float
The estimate of the bandwidth

Notes
-----
Returns C * A * n ** (-1/5.) where ::

A = min(std(x, ddof=1), IQR/1.349)
IQR = np.subtract.reduce(np.percentile(x, [75,25]))
C = constant from Hansen (2009)

When using a Gaussian kernel this is equivalent to the 'scott' bandwidth up
to two decimal places. This is the accuracy to which the 'scott' constant is
specified.

References
----------

Silverman, B.W. (1986) Density Estimation.
Hansen, B.E. (2009) Lecture Notes on Nonparametrics.
"""
C = kernel.normal_reference_constant
A = _select_sigma(x)
n = len(x)
return C * A * n ** (-0.2)

## Plug-In Methods ##

## Least Squares Cross-Validation ##

## Helper Functions ##

bandwidth_funcs = {
"scott": bw_scott,
"silverman": bw_silverman,
"normal_reference": bw_normal_reference,
}

[docs]@Substitution(", ".join(sorted(bandwidth_funcs.keys())))
def select_bandwidth(x, bw, kernel):
"""
Selects bandwidth for a selection rule bw

this is a wrapper around existing bandwidth selection rules

Parameters
----------
x : array_like
Array for which to get the bandwidth
bw : str
name of bandwidth selection rule, currently supported are:
%s
kernel : not used yet

Returns
-------
bw : float
The estimate of the bandwidth
"""
bw = bw.lower()
if bw not in bandwidth_funcs:
raise ValueError("Bandwidth %s not understood" % bw)
bandwidth = bandwidth_funcs[bw](x, kernel)
if np.any(bandwidth == 0):
# eventually this can fall back on another selection criterion.
err = "Selected KDE bandwidth is 0. Cannot estimate density."
raise RuntimeError(err)
else:
return bandwidth