Source code for statsmodels.stats.gof

'''extra statistical function and helper functions

contains:

* goodness-of-fit tests
- powerdiscrepancy
- gof_chisquare_discrete
- gof_binning_discrete

Author: Josef Perktold

changes
-------
2013-02-25 : add chisquare_power, effectsize and "value"

'''
from statsmodels.compat.python import lrange
import numpy as np
from scipy import stats

# copied from regression/stats.utils
[docs]def powerdiscrepancy(observed, expected, lambd=0.0, axis=0, ddof=0): r"""Calculates power discrepancy, a class of goodness-of-fit tests as a measure of discrepancy between observed and expected data. This contains several goodness-of-fit tests as special cases, see the description of lambd, the exponent of the power discrepancy. The pvalue is based on the asymptotic chi-square distribution of the test statistic. freeman_tukey: D(x|\theta) = \sum_j (\sqrt{x_j} - \sqrt{e_j})^2 Parameters ---------- o : Iterable Observed values e : Iterable Expected values lambd : {float, str} * float : exponent a for power discrepancy * 'loglikeratio': a = 0 * 'freeman_tukey': a = -0.5 * 'pearson': a = 1 (standard chisquare test statistic) * 'modified_loglikeratio': a = -1 * 'cressie_read': a = 2/3 * 'neyman' : a = -2 (Neyman-modified chisquare, reference from a book?) axis : int axis for observations of one series ddof : int degrees of freedom correction, Returns ------- D_obs : Discrepancy of observed values pvalue : pvalue References ---------- Cressie, Noel and Timothy R. C. Read, Multinomial Goodness-of-Fit Tests, Journal of the Royal Statistical Society. Series B (Methodological), Vol. 46, No. 3 (1984), pp. 440-464 Campbell B. Read: Freeman-Tukey chi-squared goodness-of-fit statistics, Statistics & Probability Letters 18 (1993) 271-278 Nobuhiro Taneichi, Yuri Sekiya, Akio Suzukawa, Asymptotic Approximations for the Distributions of the Multinomial Goodness-of-Fit Statistics under Local Alternatives, Journal of Multivariate Analysis 81, 335?359 (2002) Steele, M. 1,2, C. Hurst 3 and J. Chaseling, Simulated Power of Discrete Goodness-of-Fit Tests for Likert Type Data Examples -------- >>> observed = np.array([ 2., 4., 2., 1., 1.]) >>> expected = np.array([ 0.2, 0.2, 0.2, 0.2, 0.2]) for checking correct dimension with multiple series >>> powerdiscrepancy(np.column_stack((observed,observed)).T, 10*expected, lambd='freeman_tukey',axis=1) (array([[ 2.745166, 2.745166]]), array([[ 0.6013346, 0.6013346]])) >>> powerdiscrepancy(np.column_stack((observed,observed)).T, 10*expected,axis=1) (array([[ 2.77258872, 2.77258872]]), array([[ 0.59657359, 0.59657359]])) >>> powerdiscrepancy(np.column_stack((observed,observed)).T, 10*expected, lambd=0,axis=1) (array([[ 2.77258872, 2.77258872]]), array([[ 0.59657359, 0.59657359]])) >>> powerdiscrepancy(np.column_stack((observed,observed)).T, 10*expected, lambd=1,axis=1) (array([[ 3., 3.]]), array([[ 0.5578254, 0.5578254]])) >>> powerdiscrepancy(np.column_stack((observed,observed)).T, 10*expected, lambd=2/3.0,axis=1) (array([[ 2.89714546, 2.89714546]]), array([[ 0.57518277, 0.57518277]])) >>> powerdiscrepancy(np.column_stack((observed,observed)).T, expected, lambd=2/3.0,axis=1) (array([[ 2.89714546, 2.89714546]]), array([[ 0.57518277, 0.57518277]])) >>> powerdiscrepancy(np.column_stack((observed,observed)), expected, lambd=2/3.0, axis=0) (array([[ 2.89714546, 2.89714546]]), array([[ 0.57518277, 0.57518277]])) each random variable can have different total count/sum >>> powerdiscrepancy(np.column_stack((observed,2*observed)), expected, lambd=2/3.0, axis=0) (array([[ 2.89714546, 5.79429093]]), array([[ 0.57518277, 0.21504648]])) >>> powerdiscrepancy(np.column_stack((observed,2*observed)), expected, lambd=2/3.0, axis=0) (array([[ 2.89714546, 5.79429093]]), array([[ 0.57518277, 0.21504648]])) >>> powerdiscrepancy(np.column_stack((2*observed,2*observed)), expected, lambd=2/3.0, axis=0) (array([[ 5.79429093, 5.79429093]]), array([[ 0.21504648, 0.21504648]])) >>> powerdiscrepancy(np.column_stack((2*observed,2*observed)), 20*expected, lambd=2/3.0, axis=0) (array([[ 5.79429093, 5.79429093]]), array([[ 0.21504648, 0.21504648]])) >>> powerdiscrepancy(np.column_stack((observed,2*observed)), np.column_stack((10*expected,20*expected)), lambd=2/3.0, axis=0) (array([[ 2.89714546, 5.79429093]]), array([[ 0.57518277, 0.21504648]])) >>> powerdiscrepancy(np.column_stack((observed,2*observed)), np.column_stack((10*expected,20*expected)), lambd=-1, axis=0) (array([[ 2.77258872, 5.54517744]]), array([[ 0.59657359, 0.2357868 ]])) """ o = np.array(observed) e = np.array(expected) if not isinstance(lambd, str): a = lambd else: if lambd == 'loglikeratio': a = 0 elif lambd == 'freeman_tukey': a = -0.5 elif lambd == 'pearson': a = 1 elif lambd == 'modified_loglikeratio': a = -1 elif lambd == 'cressie_read': a = 2/3.0 else: raise ValueError('lambd has to be a number or one of ' 'loglikeratio, freeman_tukey, pearson, ' 'modified_loglikeratio or cressie_read') n = np.sum(o, axis=axis) nt = n if n.size>1: n = np.atleast_2d(n) if axis == 1: nt = n.T # need both for 2d, n and nt for broadcasting if e.ndim == 1: e = np.atleast_2d(e) if axis == 0: e = e.T if np.all(np.sum(e, axis=axis) == n): p = e/(1.0*nt) elif np.all(np.sum(e, axis=axis) == 1): p = e e = nt * e else: raise ValueError('observed and expected need to have the same ' 'number of observations, or e needs to add to 1') k = o.shape[axis] if e.shape[axis] != k: raise ValueError('observed and expected need to have the same ' 'number of bins') # Note: taken from formulas, to simplify cancel n if a == 0: # log likelihood ratio D_obs = 2*n * np.sum(o/(1.0*nt) * np.log(o/e), axis=axis) elif a == -1: # modified log likelihood ratio D_obs = 2*n * np.sum(e/(1.0*nt) * np.log(e/o), axis=axis) else: D_obs = 2*n/a/(a+1) * np.sum(o/(1.0*nt) * ((o/e)**a - 1), axis=axis) return D_obs, stats.chi2.sf(D_obs,k-1-ddof)
#todo: need also binning for continuous distribution # and separated binning function to be used for powerdiscrepancy
[docs]def gof_chisquare_discrete(distfn, arg, rvs, alpha, msg): '''perform chisquare test for random sample of a discrete distribution Parameters ---------- distname : str name of distribution function arg : sequence parameters of distribution alpha : float significance level, threshold for p-value Returns ------- result : bool 0 if test passes, 1 if test fails Notes ----- originally written for scipy.stats test suite, still needs to be checked for standalone usage, insufficient input checking may not run yet (after copy/paste) refactor: maybe a class, check returns, or separate binning from test results ''' # define parameters for test ## n=2000 n = len(rvs) nsupp = 20 wsupp = 1.0/nsupp ## distfn = getattr(stats, distname) ## np.random.seed(9765456) ## rvs = distfn.rvs(size=n,*arg) # construct intervals with minimum mass 1/nsupp # intervalls are left-half-open as in a cdf difference distsupport = lrange(max(distfn.a, -1000), min(distfn.b, 1000) + 1) last = 0 distsupp = [max(distfn.a, -1000)] distmass = [] for ii in distsupport: current = distfn.cdf(ii,*arg) if current - last >= wsupp-1e-14: distsupp.append(ii) distmass.append(current - last) last = current if current > (1-wsupp): break if distsupp[-1] < distfn.b: distsupp.append(distfn.b) distmass.append(1-last) distsupp = np.array(distsupp) distmass = np.array(distmass) # convert intervals to right-half-open as required by histogram histsupp = distsupp+1e-8 histsupp = distfn.a # find sample frequencies and perform chisquare test #TODO: move to compatibility.py freq, hsupp = np.histogram(rvs,histsupp) cdfs = distfn.cdf(distsupp,*arg) (chis,pval) = stats.chisquare(np.array(freq),n*distmass) return chis, pval, (pval > alpha), 'chisquare - test for %s' \ 'at arg = %s with pval = %s' % (msg,str(arg),str(pval))
# copy/paste, remove code duplication when it works
[docs]def gof_binning_discrete(rvs, distfn, arg, nsupp=20): '''get bins for chisquare type gof tests for a discrete distribution Parameters ---------- rvs : ndarray sample data distname : str name of distribution function arg : sequence parameters of distribution nsupp : int number of bins. The algorithm tries to find bins with equal weights. depending on the distribution, the actual number of bins can be smaller. Returns ------- freq : ndarray empirical frequencies for sample; not normalized, adds up to sample size expfreq : ndarray theoretical frequencies according to distribution histsupp : ndarray bin boundaries for histogram, (added 1e-8 for numerical robustness) Notes ----- The results can be used for a chisquare test :: (chis,pval) = stats.chisquare(freq, expfreq) originally written for scipy.stats test suite, still needs to be checked for standalone usage, insufficient input checking may not run yet (after copy/paste) refactor: maybe a class, check returns, or separate binning from test results todo : optimal number of bins ? (check easyfit), recommendation in literature at least 5 expected observations in each bin ''' # define parameters for test ## n=2000 n = len(rvs) wsupp = 1.0/nsupp ## distfn = getattr(stats, distname) ## np.random.seed(9765456) ## rvs = distfn.rvs(size=n,*arg) # construct intervals with minimum mass 1/nsupp # intervalls are left-half-open as in a cdf difference distsupport = lrange(max(distfn.a, -1000), min(distfn.b, 1000) + 1) last = 0 distsupp = [max(distfn.a, -1000)] distmass = [] for ii in distsupport: current = distfn.cdf(ii,*arg) if current - last >= wsupp-1e-14: distsupp.append(ii) distmass.append(current - last) last = current if current > (1-wsupp): break if distsupp[-1] < distfn.b: distsupp.append(distfn.b) distmass.append(1-last) distsupp = np.array(distsupp) distmass = np.array(distmass) # convert intervals to right-half-open as required by histogram histsupp = distsupp+1e-8 histsupp = distfn.a # find sample frequencies and perform chisquare test freq,hsupp = np.histogram(rvs,histsupp) #freq,hsupp = np.histogram(rvs,histsupp,new=True) cdfs = distfn.cdf(distsupp,*arg) return np.array(freq), n*distmass, histsupp
# -*- coding: utf-8 -*- """Extension to chisquare goodness-of-fit test Created on Mon Feb 25 13:46:53 2013 Author: Josef Perktold License: BSD-3 """ def chisquare(f_obs, f_exp=None, value=0, ddof=0, return_basic=True): '''chisquare goodness-of-fit test The null hypothesis is that the distance between the expected distribution and the observed frequencies is value. The alternative hypothesis is that the distance is larger than value. value is normalized in terms of effect size. The standard chisquare test has the null hypothesis that value=0, that is the distributions are the same. Notes ----- The case with value greater than zero is similar to an equivalence test, that the exact null hypothesis is replaced by an approximate hypothesis. However, TOST "reverses" null and alternative hypothesis, while here the alternative hypothesis is that the distance (divergence) is larger than a threshold. References ---------- McLaren, ... Drost,... See Also -------- powerdiscrepancy scipy.stats.chisquare ''' f_obs = np.asarray(f_obs) n_bins = len(f_obs) nobs = f_obs.sum(0) if f_exp is None: # uniform distribution f_exp = np.empty(n_bins, float) f_exp.fill(nobs / float(n_bins)) f_exp = np.asarray(f_exp, float) chisq = ((f_obs - f_exp)**2 / f_exp).sum(0) if value == 0: pvalue = stats.chi2.sf(chisq, n_bins - 1 - ddof) else: pvalue = stats.ncx2.sf(chisq, n_bins - 1 - ddof, value**2 * nobs) if return_basic: return chisq, pvalue else: return chisq, pvalue #TODO: replace with TestResults def chisquare_power(effect_size, nobs, n_bins, alpha=0.05, ddof=0): '''power of chisquare goodness of fit test effect size is sqrt of chisquare statistic divided by nobs Parameters ---------- effect_size : float This is the deviation from the Null of the normalized chi_square statistic. This follows Cohen's definition (sqrt). nobs : int or float number of observations n_bins : int (or float) number of bins, or points in the discrete distribution alpha : float in (0,1) significance level of the test, default alpha=0.05 Returns ------- power : float power of the test at given significance level at effect size Notes ----- This function also works vectorized if all arguments broadcast. This can also be used to calculate the power for power divergence test. However, for the range of more extreme values of the power divergence parameter, this power is not a very good approximation for samples of small to medium size (Drost et al. 1989) References ---------- Drost, ... See Also -------- chisquare_effectsize statsmodels.stats.GofChisquarePower ''' crit = stats.chi2.isf(alpha, n_bins - 1 - ddof) power = stats.ncx2.sf(crit, n_bins - 1 - ddof, effect_size**2 * nobs) return power
[docs]def chisquare_effectsize(probs0, probs1, correction=None, cohen=True, axis=0): '''effect size for a chisquare goodness-of-fit test Parameters ---------- probs0 : array_like probabilities or cell frequencies under the Null hypothesis probs1 : array_like probabilities or cell frequencies under the Alternative hypothesis probs0 and probs1 need to have the same length in the axis dimension. and broadcast in the other dimensions Both probs0 and probs1 are normalized to add to one (in the axis dimension). correction : None or tuple If None, then the effect size is the chisquare statistic divide by the number of observations. If the correction is a tuple (nobs, df), then the effectsize is corrected to have less bias and a smaller variance. However, the correction can make the effectsize negative. In that case, the effectsize is set to zero. Pederson and Johnson (1990) as referenced in McLaren et all. (1994) cohen : bool If True, then the square root is returned as in the definition of the effect size by Cohen (1977), If False, then the original effect size is returned. axis : int If the probability arrays broadcast to more than 1 dimension, then this is the axis over which the sums are taken. Returns ------- effectsize : float effect size of chisquare test ''' probs0 = np.asarray(probs0, float) probs1 = np.asarray(probs1, float) probs0 = probs0 / probs0.sum(axis) probs1 = probs1 / probs1.sum(axis) d2 = ((probs1 - probs0)**2 / probs0).sum(axis) if correction is not None: nobs, df = correction diff = ((probs1 - probs0) / probs0).sum(axis) d2 = np.maximum((d2 * nobs - diff - df) / (nobs - 1.), 0) if cohen: return np.sqrt(d2) else: return d2