JezK
Edit File: statistics.py
""" Basic statistics module. This module provides functions for calculating statistics of data, including averages, variance, and standard deviation. Calculating averages -------------------- ================== ================================================== Function Description ================== ================================================== mean Arithmetic mean (average) of data. fmean Fast, floating point arithmetic mean. geometric_mean Geometric mean of data. harmonic_mean Harmonic mean of data. median Median (middle value) of data. median_low Low median of data. median_high High median of data. median_grouped Median, or 50th percentile, of grouped data. mode Mode (most common value) of data. multimode List of modes (most common values of data). quantiles Divide data into intervals with equal probability. ================== ================================================== Calculate the arithmetic mean ("the average") of data: >>> mean([-1.0, 2.5, 3.25, 5.75]) 2.625 Calculate the standard median of discrete data: >>> median([2, 3, 4, 5]) 3.5 Calculate the median, or 50th percentile, of data grouped into class intervals centred on the data values provided. E.g. if your data points are rounded to the nearest whole number: >>> median_grouped([2, 2, 3, 3, 3, 4]) #doctest: +ELLIPSIS 2.8333333333... This should be interpreted in this way: you have two data points in the class interval 1.5-2.5, three data points in the class interval 2.5-3.5, and one in the class interval 3.5-4.5. The median of these data points is 2.8333... Calculating variability or spread --------------------------------- ================== ============================================= Function Description ================== ============================================= pvariance Population variance of data. variance Sample variance of data. pstdev Population standard deviation of data. stdev Sample standard deviation of data. ================== ============================================= Calculate the standard deviation of sample data: >>> stdev([2.5, 3.25, 5.5, 11.25, 11.75]) #doctest: +ELLIPSIS 4.38961843444... If you have previously calculated the mean, you can pass it as the optional second argument to the four "spread" functions to avoid recalculating it: >>> data = [1, 2, 2, 4, 4, 4, 5, 6] >>> mu = mean(data) >>> pvariance(data, mu) 2.5 Statistics for relations between two inputs ------------------------------------------- ================== ==================================================== Function Description ================== ==================================================== covariance Sample covariance for two variables. correlation Pearson's correlation coefficient for two variables. linear_regression Intercept and slope for simple linear regression. ================== ==================================================== Calculate covariance, Pearson's correlation, and simple linear regression for two inputs: >>> x = [1, 2, 3, 4, 5, 6, 7, 8, 9] >>> y = [1, 2, 3, 1, 2, 3, 1, 2, 3] >>> covariance(x, y) 0.75 >>> correlation(x, y) #doctest: +ELLIPSIS 0.31622776601... >>> linear_regression(x, y) #doctest: LinearRegression(slope=0.1, intercept=1.5) Exceptions ---------- A single exception is defined: StatisticsError is a subclass of ValueError. """ __all__ = [ 'NormalDist', 'StatisticsError', 'correlation', 'covariance', 'fmean', 'geometric_mean', 'harmonic_mean', 'linear_regression', 'mean', 'median', 'median_grouped', 'median_high', 'median_low', 'mode', 'multimode', 'pstdev', 'pvariance', 'quantiles', 'stdev', 'variance', ] import math import numbers import random import sys from fractions import Fraction from decimal import Decimal from itertools import groupby, repeat from bisect import bisect_left, bisect_right from math import hypot, sqrt, fabs, exp, erf, tau, log, fsum from functools import reduce from operator import mul from collections import Counter, namedtuple, defaultdict _SQRT2 = sqrt(2.0) # === Exceptions === class StatisticsError(ValueError): pass # === Private utilities === def _sum(data): """_sum(data) -> (type, sum, count) Return a high-precision sum of the given numeric data as a fraction, together with the type to be converted to and the count of items. Examples -------- >>> _sum([3, 2.25, 4.5, -0.5, 0.25]) (<class 'float'>, Fraction(19, 2), 5) Some sources of round-off error will be avoided: # Built-in sum returns zero. >>> _sum([1e50, 1, -1e50] * 1000) (<class 'float'>, Fraction(1000, 1), 3000) Fractions and Decimals are also supported: >>> from fractions import Fraction as F >>> _sum([F(2, 3), F(7, 5), F(1, 4), F(5, 6)]) (<class 'fractions.Fraction'>, Fraction(63, 20), 4) >>> from decimal import Decimal as D >>> data = [D("0.1375"), D("0.2108"), D("0.3061"), D("0.0419")] >>> _sum(data) (<class 'decimal.Decimal'>, Fraction(6963, 10000), 4) Mixed types are currently treated as an error, except that int is allowed. """ count = 0 types = set() types_add = types.add partials = {} partials_get = partials.get for typ, values in groupby(data, type): types_add(typ) for n, d in map(_exact_ratio, values): count += 1 partials[d] = partials_get(d, 0) + n if None in partials: # The sum will be a NAN or INF. We can ignore all the finite # partials, and just look at this special one. total = partials[None] assert not _isfinite(total) else: # Sum all the partial sums using builtin sum. total = sum(Fraction(n, d) for d, n in partials.items()) T = reduce(_coerce, types, int) # or raise TypeError return (T, total, count) def _ss(data, c=None): """Return the exact mean and sum of square deviations of sequence data. Calculations are done in a single pass, allowing the input to be an iterator. If given *c* is used the mean; otherwise, it is calculated from the data. Use the *c* argument with care, as it can lead to garbage results. """ if c is not None: T, ssd, count = _sum((d := x - c) * d for x in data) return (T, ssd, c, count) count = 0 types = set() types_add = types.add sx_partials = defaultdict(int) sxx_partials = defaultdict(int) for typ, values in groupby(data, type): types_add(typ) for n, d in map(_exact_ratio, values): count += 1 sx_partials[d] += n sxx_partials[d] += n * n if not count: ssd = c = Fraction(0) elif None in sx_partials: # The sum will be a NAN or INF. We can ignore all the finite # partials, and just look at this special one. ssd = c = sx_partials[None] assert not _isfinite(ssd) else: sx = sum(Fraction(n, d) for d, n in sx_partials.items()) sxx = sum(Fraction(n, d*d) for d, n in sxx_partials.items()) # This formula has poor numeric properties for floats, # but with fractions it is exact. ssd = (count * sxx - sx * sx) / count c = sx / count T = reduce(_coerce, types, int) # or raise TypeError return (T, ssd, c, count) def _isfinite(x): try: return x.is_finite() # Likely a Decimal. except AttributeError: return math.isfinite(x) # Coerces to float first. def _coerce(T, S): """Coerce types T and S to a common type, or raise TypeError. Coercion rules are currently an implementation detail. See the CoerceTest test class in test_statistics for details. """ # See http://bugs.python.org/issue24068. assert T is not bool, "initial type T is bool" # If the types are the same, no need to coerce anything. Put this # first, so that the usual case (no coercion needed) happens as soon # as possible. if T is S: return T # Mixed int & other coerce to the other type. if S is int or S is bool: return T if T is int: return S # If one is a (strict) subclass of the other, coerce to the subclass. if issubclass(S, T): return S if issubclass(T, S): return T # Ints coerce to the other type. if issubclass(T, int): return S if issubclass(S, int): return T # Mixed fraction & float coerces to float (or float subclass). if issubclass(T, Fraction) and issubclass(S, float): return S if issubclass(T, float) and issubclass(S, Fraction): return T # Any other combination is disallowed. msg = "don't know how to coerce %s and %s" raise TypeError(msg % (T.__name__, S.__name__)) def _exact_ratio(x): """Return Real number x to exact (numerator, denominator) pair. >>> _exact_ratio(0.25) (1, 4) x is expected to be an int, Fraction, Decimal or float. """ # XXX We should revisit whether using fractions to accumulate exact # ratios is the right way to go. # The integer ratios for binary floats can have numerators or # denominators with over 300 decimal digits. The problem is more # acute with decimal floats where the default decimal context # supports a huge range of exponents from Emin=-999999 to # Emax=999999. When expanded with as_integer_ratio(), numbers like # Decimal('3.14E+5000') and Decimal('3.14E-5000') have large # numerators or denominators that will slow computation. # When the integer ratios are accumulated as fractions, the size # grows to cover the full range from the smallest magnitude to the # largest. For example, Fraction(3.14E+300) + Fraction(3.14E-300), # has a 616 digit numerator. Likewise, # Fraction(Decimal('3.14E+5000')) + Fraction(Decimal('3.14E-5000')) # has 10,003 digit numerator. # This doesn't seem to have been problem in practice, but it is a # potential pitfall. try: return x.as_integer_ratio() except AttributeError: pass except (OverflowError, ValueError): # float NAN or INF. assert not _isfinite(x) return (x, None) try: # x may be an Integral ABC. return (x.numerator, x.denominator) except AttributeError: msg = f"can't convert type '{type(x).__name__}' to numerator/denominator" raise TypeError(msg) def _convert(value, T): """Convert value to given numeric type T.""" if type(value) is T: # This covers the cases where T is Fraction, or where value is # a NAN or INF (Decimal or float). return value if issubclass(T, int) and value.denominator != 1: T = float try: # FIXME: what do we do if this overflows? return T(value) except TypeError: if issubclass(T, Decimal): return T(value.numerator) / T(value.denominator) else: raise def _fail_neg(values, errmsg='negative value'): """Iterate over values, failing if any are less than zero.""" for x in values: if x < 0: raise StatisticsError(errmsg) yield x def _integer_sqrt_of_frac_rto(n: int, m: int) -> int: """Square root of n/m, rounded to the nearest integer using round-to-odd.""" # Reference: https://www.lri.fr/~melquion/doc/05-imacs17_1-expose.pdf a = math.isqrt(n // m) return a | (a*a*m != n) # For 53 bit precision floats, the bit width used in # _float_sqrt_of_frac() is 109. _sqrt_bit_width: int = 2 * sys.float_info.mant_dig + 3 def _float_sqrt_of_frac(n: int, m: int) -> float: """Square root of n/m as a float, correctly rounded.""" # See principle and proof sketch at: https://bugs.python.org/msg407078 q = (n.bit_length() - m.bit_length() - _sqrt_bit_width) // 2 if q >= 0: numerator = _integer_sqrt_of_frac_rto(n, m << 2 * q) << q denominator = 1 else: numerator = _integer_sqrt_of_frac_rto(n << -2 * q, m) denominator = 1 << -q return numerator / denominator # Convert to float def _decimal_sqrt_of_frac(n: int, m: int) -> Decimal: """Square root of n/m as a Decimal, correctly rounded.""" # Premise: For decimal, computing (n/m).sqrt() can be off # by 1 ulp from the correctly rounded result. # Method: Check the result, moving up or down a step if needed. if n <= 0: if not n: return Decimal('0.0') n, m = -n, -m root = (Decimal(n) / Decimal(m)).sqrt() nr, dr = root.as_integer_ratio() plus = root.next_plus() np, dp = plus.as_integer_ratio() # test: n / m > ((root + plus) / 2) ** 2 if 4 * n * (dr*dp)**2 > m * (dr*np + dp*nr)**2: return plus minus = root.next_minus() nm, dm = minus.as_integer_ratio() # test: n / m < ((root + minus) / 2) ** 2 if 4 * n * (dr*dm)**2 < m * (dr*nm + dm*nr)**2: return minus return root # === Measures of central tendency (averages) === def mean(data): """Return the sample arithmetic mean of data. >>> mean([1, 2, 3, 4, 4]) 2.8 >>> from fractions import Fraction as F >>> mean([F(3, 7), F(1, 21), F(5, 3), F(1, 3)]) Fraction(13, 21) >>> from decimal import Decimal as D >>> mean([D("0.5"), D("0.75"), D("0.625"), D("0.375")]) Decimal('0.5625') If ``data`` is empty, StatisticsError will be raised. """ T, total, n = _sum(data) if n < 1: raise StatisticsError('mean requires at least one data point') return _convert(total / n, T) def fmean(data, weights=None): """Convert data to floats and compute the arithmetic mean. This runs faster than the mean() function and it always returns a float. If the input dataset is empty, it raises a StatisticsError. >>> fmean([3.5, 4.0, 5.25]) 4.25 """ try: n = len(data) except TypeError: # Handle iterators that do not define __len__(). n = 0 def count(iterable): nonlocal n for n, x in enumerate(iterable, start=1): yield x data = count(data) if weights is None: total = fsum(data) if not n: raise StatisticsError('fmean requires at least one data point') return total / n try: num_weights = len(weights) except TypeError: weights = list(weights) num_weights = len(weights) num = fsum(map(mul, data, weights)) if n != num_weights: raise StatisticsError('data and weights must be the same length') den = fsum(weights) if not den: raise StatisticsError('sum of weights must be non-zero') return num / den def geometric_mean(data): """Convert data to floats and compute the geometric mean. Raises a StatisticsError if the input dataset is empty, if it contains a zero, or if it contains a negative value. No special efforts are made to achieve exact results. (However, this may change in the future.) >>> round(geometric_mean([54, 24, 36]), 9) 36.0 """ try: return exp(fmean(map(log, data))) except ValueError: raise StatisticsError('geometric mean requires a non-empty dataset ' 'containing positive numbers') from None def harmonic_mean(data, weights=None): """Return the harmonic mean of data. The harmonic mean is the reciprocal of the arithmetic mean of the reciprocals of the data. It can be used for averaging ratios or rates, for example speeds. Suppose a car travels 40 km/hr for 5 km and then speeds-up to 60 km/hr for another 5 km. What is the average speed? >>> harmonic_mean([40, 60]) 48.0 Suppose a car travels 40 km/hr for 5 km, and when traffic clears, speeds-up to 60 km/hr for the remaining 30 km of the journey. What is the average speed? >>> harmonic_mean([40, 60], weights=[5, 30]) 56.0 If ``data`` is empty, or any element is less than zero, ``harmonic_mean`` will raise ``StatisticsError``. """ if iter(data) is data: data = list(data) errmsg = 'harmonic mean does not support negative values' n = len(data) if n < 1: raise StatisticsError('harmonic_mean requires at least one data point') elif n == 1 and weights is None: x = data[0] if isinstance(x, (numbers.Real, Decimal)): if x < 0: raise StatisticsError(errmsg) return x else: raise TypeError('unsupported type') if weights is None: weights = repeat(1, n) sum_weights = n else: if iter(weights) is weights: weights = list(weights) if len(weights) != n: raise StatisticsError('Number of weights does not match data size') _, sum_weights, _ = _sum(w for w in _fail_neg(weights, errmsg)) try: data = _fail_neg(data, errmsg) T, total, count = _sum(w / x if w else 0 for w, x in zip(weights, data)) except ZeroDivisionError: return 0 if total <= 0: raise StatisticsError('Weighted sum must be positive') return _convert(sum_weights / total, T) # FIXME: investigate ways to calculate medians without sorting? Quickselect? def median(data): """Return the median (middle value) of numeric data. When the number of data points is odd, return the middle data point. When the number of data points is even, the median is interpolated by taking the average of the two middle values: >>> median([1, 3, 5]) 3 >>> median([1, 3, 5, 7]) 4.0 """ data = sorted(data) n = len(data) if n == 0: raise StatisticsError("no median for empty data") if n % 2 == 1: return data[n // 2] else: i = n // 2 return (data[i - 1] + data[i]) / 2 def median_low(data): """Return the low median of numeric data. When the number of data points is odd, the middle value is returned. When it is even, the smaller of the two middle values is returned. >>> median_low([1, 3, 5]) 3 >>> median_low([1, 3, 5, 7]) 3 """ data = sorted(data) n = len(data) if n == 0: raise StatisticsError("no median for empty data") if n % 2 == 1: return data[n // 2] else: return data[n // 2 - 1] def median_high(data): """Return the high median of data. When the number of data points is odd, the middle value is returned. When it is even, the larger of the two middle values is returned. >>> median_high([1, 3, 5]) 3 >>> median_high([1, 3, 5, 7]) 5 """ data = sorted(data) n = len(data) if n == 0: raise StatisticsError("no median for empty data") return data[n // 2] def median_grouped(data, interval=1.0): """Estimates the median for numeric data binned around the midpoints of consecutive, fixed-width intervals. The *data* can be any iterable of numeric data with each value being exactly the midpoint of a bin. At least one value must be present. The *interval* is width of each bin. For example, demographic information may have been summarized into consecutive ten-year age groups with each group being represented by the 5-year midpoints of the intervals: >>> demographics = Counter({ ... 25: 172, # 20 to 30 years old ... 35: 484, # 30 to 40 years old ... 45: 387, # 40 to 50 years old ... 55: 22, # 50 to 60 years old ... 65: 6, # 60 to 70 years old ... }) The 50th percentile (median) is the 536th person out of the 1071 member cohort. That person is in the 30 to 40 year old age group. The regular median() function would assume that everyone in the tricenarian age group was exactly 35 years old. A more tenable assumption is that the 484 members of that age group are evenly distributed between 30 and 40. For that, we use median_grouped(). >>> data = list(demographics.elements()) >>> median(data) 35 >>> round(median_grouped(data, interval=10), 1) 37.5 The caller is responsible for making sure the data points are separated by exact multiples of *interval*. This is essential for getting a correct result. The function does not check this precondition. Inputs may be any numeric type that can be coerced to a float during the interpolation step. """ data = sorted(data) n = len(data) if not n: raise StatisticsError("no median for empty data") # Find the value at the midpoint. Remember this corresponds to the # midpoint of the class interval. x = data[n // 2] # Using O(log n) bisection, find where all the x values occur in the data. # All x will lie within data[i:j]. i = bisect_left(data, x) j = bisect_right(data, x, lo=i) # Coerce to floats, raising a TypeError if not possible try: interval = float(interval) x = float(x) except ValueError: raise TypeError(f'Value cannot be converted to a float') # Interpolate the median using the formula found at: # https://www.cuemath.com/data/median-of-grouped-data/ L = x - interval / 2.0 # Lower limit of the median interval cf = i # Cumulative frequency of the preceding interval f = j - i # Number of elements in the median internal return L + interval * (n / 2 - cf) / f def mode(data): """Return the most common data point from discrete or nominal data. ``mode`` assumes discrete data, and returns a single value. This is the standard treatment of the mode as commonly taught in schools: >>> mode([1, 1, 2, 3, 3, 3, 3, 4]) 3 This also works with nominal (non-numeric) data: >>> mode(["red", "blue", "blue", "red", "green", "red", "red"]) 'red' If there are multiple modes with same frequency, return the first one encountered: >>> mode(['red', 'red', 'green', 'blue', 'blue']) 'red' If *data* is empty, ``mode``, raises StatisticsError. """ pairs = Counter(iter(data)).most_common(1) try: return pairs[0][0] except IndexError: raise StatisticsError('no mode for empty data') from None def multimode(data): """Return a list of the most frequently occurring values. Will return more than one result if there are multiple modes or an empty list if *data* is empty. >>> multimode('aabbbbbbbbcc') ['b'] >>> multimode('aabbbbccddddeeffffgg') ['b', 'd', 'f'] >>> multimode('') [] """ counts = Counter(iter(data)) if not counts: return [] maxcount = max(counts.values()) return [value for value, count in counts.items() if count == maxcount] # Notes on methods for computing quantiles # ---------------------------------------- # # There is no one perfect way to compute quantiles. Here we offer # two methods that serve common needs. Most other packages # surveyed offered at least one or both of these two, making them # "standard" in the sense of "widely-adopted and reproducible". # They are also easy to explain, easy to compute manually, and have # straight-forward interpretations that aren't surprising. # The default method is known as "R6", "PERCENTILE.EXC", or "expected # value of rank order statistics". The alternative method is known as # "R7", "PERCENTILE.INC", or "mode of rank order statistics". # For sample data where there is a positive probability for values # beyond the range of the data, the R6 exclusive method is a # reasonable choice. Consider a random sample of nine values from a # population with a uniform distribution from 0.0 to 1.0. The # distribution of the third ranked sample point is described by # betavariate(alpha=3, beta=7) which has mode=0.250, median=0.286, and # mean=0.300. Only the latter (which corresponds with R6) gives the # desired cut point with 30% of the population falling below that # value, making it comparable to a result from an inv_cdf() function. # The R6 exclusive method is also idempotent. # For describing population data where the end points are known to # be included in the data, the R7 inclusive method is a reasonable # choice. Instead of the mean, it uses the mode of the beta # distribution for the interior points. Per Hyndman & Fan, "One nice # property is that the vertices of Q7(p) divide the range into n - 1 # intervals, and exactly 100p% of the intervals lie to the left of # Q7(p) and 100(1 - p)% of the intervals lie to the right of Q7(p)." # If needed, other methods could be added. However, for now, the # position is that fewer options make for easier choices and that # external packages can be used for anything more advanced. def quantiles(data, *, n=4, method='exclusive'): """Divide *data* into *n* continuous intervals with equal probability. Returns a list of (n - 1) cut points separating the intervals. Set *n* to 4 for quartiles (the default). Set *n* to 10 for deciles. Set *n* to 100 for percentiles which gives the 99 cuts points that separate *data* in to 100 equal sized groups. The *data* can be any iterable containing sample. The cut points are linearly interpolated between data points. If *method* is set to *inclusive*, *data* is treated as population data. The minimum value is treated as the 0th percentile and the maximum value is treated as the 100th percentile. """ if n < 1: raise StatisticsError('n must be at least 1') data = sorted(data) ld = len(data) if ld < 2: raise StatisticsError('must have at least two data points') if method == 'inclusive': m = ld - 1 result = [] for i in range(1, n): j, delta = divmod(i * m, n) interpolated = (data[j] * (n - delta) + data[j + 1] * delta) / n result.append(interpolated) return result if method == 'exclusive': m = ld + 1 result = [] for i in range(1, n): j = i * m // n # rescale i to m/n j = 1 if j < 1 else ld-1 if j > ld-1 else j # clamp to 1 .. ld-1 delta = i*m - j*n # exact integer math interpolated = (data[j - 1] * (n - delta) + data[j] * delta) / n result.append(interpolated) return result raise ValueError(f'Unknown method: {method!r}') # === Measures of spread === # See http://mathworld.wolfram.com/Variance.html # http://mathworld.wolfram.com/SampleVariance.html def variance(data, xbar=None): """Return the sample variance of data. data should be an iterable of Real-valued numbers, with at least two values. The optional argument xbar, if given, should be the mean of the data. If it is missing or None, the mean is automatically calculated. Use this function when your data is a sample from a population. To calculate the variance from the entire population, see ``pvariance``. Examples: >>> data = [2.75, 1.75, 1.25, 0.25, 0.5, 1.25, 3.5] >>> variance(data) 1.3720238095238095 If you have already calculated the mean of your data, you can pass it as the optional second argument ``xbar`` to avoid recalculating it: >>> m = mean(data) >>> variance(data, m) 1.3720238095238095 This function does not check that ``xbar`` is actually the mean of ``data``. Giving arbitrary values for ``xbar`` may lead to invalid or impossible results. Decimals and Fractions are supported: >>> from decimal import Decimal as D >>> variance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")]) Decimal('31.01875') >>> from fractions import Fraction as F >>> variance([F(1, 6), F(1, 2), F(5, 3)]) Fraction(67, 108) """ T, ss, c, n = _ss(data, xbar) if n < 2: raise StatisticsError('variance requires at least two data points') return _convert(ss / (n - 1), T) def pvariance(data, mu=None): """Return the population variance of ``data``. data should be a sequence or iterable of Real-valued numbers, with at least one value. The optional argument mu, if given, should be the mean of the data. If it is missing or None, the mean is automatically calculated. Use this function to calculate the variance from the entire population. To estimate the variance from a sample, the ``variance`` function is usually a better choice. Examples: >>> data = [0.0, 0.25, 0.25, 1.25, 1.5, 1.75, 2.75, 3.25] >>> pvariance(data) 1.25 If you have already calculated the mean of the data, you can pass it as the optional second argument to avoid recalculating it: >>> mu = mean(data) >>> pvariance(data, mu) 1.25 Decimals and Fractions are supported: >>> from decimal import Decimal as D >>> pvariance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")]) Decimal('24.815') >>> from fractions import Fraction as F >>> pvariance([F(1, 4), F(5, 4), F(1, 2)]) Fraction(13, 72) """ T, ss, c, n = _ss(data, mu) if n < 1: raise StatisticsError('pvariance requires at least one data point') return _convert(ss / n, T) def stdev(data, xbar=None): """Return the square root of the sample variance. See ``variance`` for arguments and other details. >>> stdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75]) 1.0810874155219827 """ T, ss, c, n = _ss(data, xbar) if n < 2: raise StatisticsError('stdev requires at least two data points') mss = ss / (n - 1) if issubclass(T, Decimal): return _decimal_sqrt_of_frac(mss.numerator, mss.denominator) return _float_sqrt_of_frac(mss.numerator, mss.denominator) def pstdev(data, mu=None): """Return the square root of the population variance. See ``pvariance`` for arguments and other details. >>> pstdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75]) 0.986893273527251 """ T, ss, c, n = _ss(data, mu) if n < 1: raise StatisticsError('pstdev requires at least one data point') mss = ss / n if issubclass(T, Decimal): return _decimal_sqrt_of_frac(mss.numerator, mss.denominator) return _float_sqrt_of_frac(mss.numerator, mss.denominator) def _mean_stdev(data): """In one pass, compute the mean and sample standard deviation as floats.""" T, ss, xbar, n = _ss(data) if n < 2: raise StatisticsError('stdev requires at least two data points') mss = ss / (n - 1) try: return float(xbar), _float_sqrt_of_frac(mss.numerator, mss.denominator) except AttributeError: # Handle Nans and Infs gracefully return float(xbar), float(xbar) / float(ss) # === Statistics for relations between two inputs === # See https://en.wikipedia.org/wiki/Covariance # https://en.wikipedia.org/wiki/Pearson_correlation_coefficient # https://en.wikipedia.org/wiki/Simple_linear_regression def covariance(x, y, /): """Covariance Return the sample covariance of two inputs *x* and *y*. Covariance is a measure of the joint variability of two inputs. >>> x = [1, 2, 3, 4, 5, 6, 7, 8, 9] >>> y = [1, 2, 3, 1, 2, 3, 1, 2, 3] >>> covariance(x, y) 0.75 >>> z = [9, 8, 7, 6, 5, 4, 3, 2, 1] >>> covariance(x, z) -7.5 >>> covariance(z, x) -7.5 """ n = len(x) if len(y) != n: raise StatisticsError('covariance requires that both inputs have same number of data points') if n < 2: raise StatisticsError('covariance requires at least two data points') xbar = fsum(x) / n ybar = fsum(y) / n sxy = fsum((xi - xbar) * (yi - ybar) for xi, yi in zip(x, y)) return sxy / (n - 1) def correlation(x, y, /): """Pearson's correlation coefficient Return the Pearson's correlation coefficient for two inputs. Pearson's correlation coefficient *r* takes values between -1 and +1. It measures the strength and direction of the linear relationship, where +1 means very strong, positive linear relationship, -1 very strong, negative linear relationship, and 0 no linear relationship. >>> x = [1, 2, 3, 4, 5, 6, 7, 8, 9] >>> y = [9, 8, 7, 6, 5, 4, 3, 2, 1] >>> correlation(x, x) 1.0 >>> correlation(x, y) -1.0 """ n = len(x) if len(y) != n: raise StatisticsError('correlation requires that both inputs have same number of data points') if n < 2: raise StatisticsError('correlation requires at least two data points') xbar = fsum(x) / n ybar = fsum(y) / n sxy = fsum((xi - xbar) * (yi - ybar) for xi, yi in zip(x, y)) sxx = fsum((d := xi - xbar) * d for xi in x) syy = fsum((d := yi - ybar) * d for yi in y) try: return sxy / sqrt(sxx * syy) except ZeroDivisionError: raise StatisticsError('at least one of the inputs is constant') LinearRegression = namedtuple('LinearRegression', ('slope', 'intercept')) def linear_regression(x, y, /, *, proportional=False): """Slope and intercept for simple linear regression. Return the slope and intercept of simple linear regression parameters estimated using ordinary least squares. Simple linear regression describes relationship between an independent variable *x* and a dependent variable *y* in terms of a linear function: y = slope * x + intercept + noise where *slope* and *intercept* are the regression parameters that are estimated, and noise represents the variability of the data that was not explained by the linear regression (it is equal to the difference between predicted and actual values of the dependent variable). The parameters are returned as a named tuple. >>> x = [1, 2, 3, 4, 5] >>> noise = NormalDist().samples(5, seed=42) >>> y = [3 * x[i] + 2 + noise[i] for i in range(5)] >>> linear_regression(x, y) #doctest: +ELLIPSIS LinearRegression(slope=3.09078914170..., intercept=1.75684970486...) If *proportional* is true, the independent variable *x* and the dependent variable *y* are assumed to be directly proportional. The data is fit to a line passing through the origin. Since the *intercept* will always be 0.0, the underlying linear function simplifies to: y = slope * x + noise >>> y = [3 * x[i] + noise[i] for i in range(5)] >>> linear_regression(x, y, proportional=True) #doctest: +ELLIPSIS LinearRegression(slope=3.02447542484..., intercept=0.0) """ n = len(x) if len(y) != n: raise StatisticsError('linear regression requires that both inputs have same number of data points') if n < 2: raise StatisticsError('linear regression requires at least two data points') if proportional: sxy = fsum(xi * yi for xi, yi in zip(x, y)) sxx = fsum(xi * xi for xi in x) else: xbar = fsum(x) / n ybar = fsum(y) / n sxy = fsum((xi - xbar) * (yi - ybar) for xi, yi in zip(x, y)) sxx = fsum((d := xi - xbar) * d for xi in x) try: slope = sxy / sxx # equivalent to: covariance(x, y) / variance(x) except ZeroDivisionError: raise StatisticsError('x is constant') intercept = 0.0 if proportional else ybar - slope * xbar return LinearRegression(slope=slope, intercept=intercept) ## Normal Distribution ##################################################### def _normal_dist_inv_cdf(p, mu, sigma): # There is no closed-form solution to the inverse CDF for the normal # distribution, so we use a rational approximation instead: # Wichura, M.J. (1988). "Algorithm AS241: The Percentage Points of the # Normal Distribution". Applied Statistics. Blackwell Publishing. 37 # (3): 477–484. doi:10.2307/2347330. JSTOR 2347330. q = p - 0.5 if fabs(q) <= 0.425: r = 0.180625 - q * q # Hash sum: 55.88319_28806_14901_4439 num = (((((((2.50908_09287_30122_6727e+3 * r + 3.34305_75583_58812_8105e+4) * r + 6.72657_70927_00870_0853e+4) * r + 4.59219_53931_54987_1457e+4) * r + 1.37316_93765_50946_1125e+4) * r + 1.97159_09503_06551_4427e+3) * r + 1.33141_66789_17843_7745e+2) * r + 3.38713_28727_96366_6080e+0) * q den = (((((((5.22649_52788_52854_5610e+3 * r + 2.87290_85735_72194_2674e+4) * r + 3.93078_95800_09271_0610e+4) * r + 2.12137_94301_58659_5867e+4) * r + 5.39419_60214_24751_1077e+3) * r + 6.87187_00749_20579_0830e+2) * r + 4.23133_30701_60091_1252e+1) * r + 1.0) x = num / den return mu + (x * sigma) r = p if q <= 0.0 else 1.0 - p r = sqrt(-log(r)) if r <= 5.0: r = r - 1.6 # Hash sum: 49.33206_50330_16102_89036 num = (((((((7.74545_01427_83414_07640e-4 * r + 2.27238_44989_26918_45833e-2) * r + 2.41780_72517_74506_11770e-1) * r + 1.27045_82524_52368_38258e+0) * r + 3.64784_83247_63204_60504e+0) * r + 5.76949_72214_60691_40550e+0) * r + 4.63033_78461_56545_29590e+0) * r + 1.42343_71107_49683_57734e+0) den = (((((((1.05075_00716_44416_84324e-9 * r + 5.47593_80849_95344_94600e-4) * r + 1.51986_66563_61645_71966e-2) * r + 1.48103_97642_74800_74590e-1) * r + 6.89767_33498_51000_04550e-1) * r + 1.67638_48301_83803_84940e+0) * r + 2.05319_16266_37758_82187e+0) * r + 1.0) else: r = r - 5.0 # Hash sum: 47.52583_31754_92896_71629 num = (((((((2.01033_43992_92288_13265e-7 * r + 2.71155_55687_43487_57815e-5) * r + 1.24266_09473_88078_43860e-3) * r + 2.65321_89526_57612_30930e-2) * r + 2.96560_57182_85048_91230e-1) * r + 1.78482_65399_17291_33580e+0) * r + 5.46378_49111_64114_36990e+0) * r + 6.65790_46435_01103_77720e+0) den = (((((((2.04426_31033_89939_78564e-15 * r + 1.42151_17583_16445_88870e-7) * r + 1.84631_83175_10054_68180e-5) * r + 7.86869_13114_56132_59100e-4) * r + 1.48753_61290_85061_48525e-2) * r + 1.36929_88092_27358_05310e-1) * r + 5.99832_20655_58879_37690e-1) * r + 1.0) x = num / den if q < 0.0: x = -x return mu + (x * sigma) # If available, use C implementation try: from _statistics import _normal_dist_inv_cdf except ImportError: pass class NormalDist: "Normal distribution of a random variable" # https://en.wikipedia.org/wiki/Normal_distribution # https://en.wikipedia.org/wiki/Variance#Properties __slots__ = { '_mu': 'Arithmetic mean of a normal distribution', '_sigma': 'Standard deviation of a normal distribution', } def __init__(self, mu=0.0, sigma=1.0): "NormalDist where mu is the mean and sigma is the standard deviation." if sigma < 0.0: raise StatisticsError('sigma must be non-negative') self._mu = float(mu) self._sigma = float(sigma) @classmethod def from_samples(cls, data): "Make a normal distribution instance from sample data." return cls(*_mean_stdev(data)) def samples(self, n, *, seed=None): "Generate *n* samples for a given mean and standard deviation." gauss = random.gauss if seed is None else random.Random(seed).gauss mu, sigma = self._mu, self._sigma return [gauss(mu, sigma) for i in range(n)] def pdf(self, x): "Probability density function. P(x <= X < x+dx) / dx" variance = self._sigma * self._sigma if not variance: raise StatisticsError('pdf() not defined when sigma is zero') diff = x - self._mu return exp(diff * diff / (-2.0 * variance)) / sqrt(tau * variance) def cdf(self, x): "Cumulative distribution function. P(X <= x)" if not self._sigma: raise StatisticsError('cdf() not defined when sigma is zero') return 0.5 * (1.0 + erf((x - self._mu) / (self._sigma * _SQRT2))) def inv_cdf(self, p): """Inverse cumulative distribution function. x : P(X <= x) = p Finds the value of the random variable such that the probability of the variable being less than or equal to that value equals the given probability. This function is also called the percent point function or quantile function. """ if p <= 0.0 or p >= 1.0: raise StatisticsError('p must be in the range 0.0 < p < 1.0') if self._sigma <= 0.0: raise StatisticsError('cdf() not defined when sigma at or below zero') return _normal_dist_inv_cdf(p, self._mu, self._sigma) def quantiles(self, n=4): """Divide into *n* continuous intervals with equal probability. Returns a list of (n - 1) cut points separating the intervals. Set *n* to 4 for quartiles (the default). Set *n* to 10 for deciles. Set *n* to 100 for percentiles which gives the 99 cuts points that separate the normal distribution in to 100 equal sized groups. """ return [self.inv_cdf(i / n) for i in range(1, n)] def overlap(self, other): """Compute the overlapping coefficient (OVL) between two normal distributions. Measures the agreement between two normal probability distributions. Returns a value between 0.0 and 1.0 giving the overlapping area in the two underlying probability density functions. >>> N1 = NormalDist(2.4, 1.6) >>> N2 = NormalDist(3.2, 2.0) >>> N1.overlap(N2) 0.8035050657330205 """ # See: "The overlapping coefficient as a measure of agreement between # probability distributions and point estimation of the overlap of two # normal densities" -- Henry F. Inman and Edwin L. Bradley Jr # http://dx.doi.org/10.1080/03610928908830127 if not isinstance(other, NormalDist): raise TypeError('Expected another NormalDist instance') X, Y = self, other if (Y._sigma, Y._mu) < (X._sigma, X._mu): # sort to assure commutativity X, Y = Y, X X_var, Y_var = X.variance, Y.variance if not X_var or not Y_var: raise StatisticsError('overlap() not defined when sigma is zero') dv = Y_var - X_var dm = fabs(Y._mu - X._mu) if not dv: return 1.0 - erf(dm / (2.0 * X._sigma * _SQRT2)) a = X._mu * Y_var - Y._mu * X_var b = X._sigma * Y._sigma * sqrt(dm * dm + dv * log(Y_var / X_var)) x1 = (a + b) / dv x2 = (a - b) / dv return 1.0 - (fabs(Y.cdf(x1) - X.cdf(x1)) + fabs(Y.cdf(x2) - X.cdf(x2))) def zscore(self, x): """Compute the Standard Score. (x - mean) / stdev Describes *x* in terms of the number of standard deviations above or below the mean of the normal distribution. """ # https://www.statisticshowto.com/probability-and-statistics/z-score/ if not self._sigma: raise StatisticsError('zscore() not defined when sigma is zero') return (x - self._mu) / self._sigma @property def mean(self): "Arithmetic mean of the normal distribution." return self._mu @property def median(self): "Return the median of the normal distribution" return self._mu @property def mode(self): """Return the mode of the normal distribution The mode is the value x where which the probability density function (pdf) takes its maximum value. """ return self._mu @property def stdev(self): "Standard deviation of the normal distribution." return self._sigma @property def variance(self): "Square of the standard deviation." return self._sigma * self._sigma def __add__(x1, x2): """Add a constant or another NormalDist instance. If *other* is a constant, translate mu by the constant, leaving sigma unchanged. If *other* is a NormalDist, add both the means and the variances. Mathematically, this works only if the two distributions are independent or if they are jointly normally distributed. """ if isinstance(x2, NormalDist): return NormalDist(x1._mu + x2._mu, hypot(x1._sigma, x2._sigma)) return NormalDist(x1._mu + x2, x1._sigma) def __sub__(x1, x2): """Subtract a constant or another NormalDist instance. If *other* is a constant, translate by the constant mu, leaving sigma unchanged. If *other* is a NormalDist, subtract the means and add the variances. Mathematically, this works only if the two distributions are independent or if they are jointly normally distributed. """ if isinstance(x2, NormalDist): return NormalDist(x1._mu - x2._mu, hypot(x1._sigma, x2._sigma)) return NormalDist(x1._mu - x2, x1._sigma) def __mul__(x1, x2): """Multiply both mu and sigma by a constant. Used for rescaling, perhaps to change measurement units. Sigma is scaled with the absolute value of the constant. """ return NormalDist(x1._mu * x2, x1._sigma * fabs(x2)) def __truediv__(x1, x2): """Divide both mu and sigma by a constant. Used for rescaling, perhaps to change measurement units. Sigma is scaled with the absolute value of the constant. """ return NormalDist(x1._mu / x2, x1._sigma / fabs(x2)) def __pos__(x1): "Return a copy of the instance." return NormalDist(x1._mu, x1._sigma) def __neg__(x1): "Negates mu while keeping sigma the same." return NormalDist(-x1._mu, x1._sigma) __radd__ = __add__ def __rsub__(x1, x2): "Subtract a NormalDist from a constant or another NormalDist." return -(x1 - x2) __rmul__ = __mul__ def __eq__(x1, x2): "Two NormalDist objects are equal if their mu and sigma are both equal." if not isinstance(x2, NormalDist): return NotImplemented return x1._mu == x2._mu and x1._sigma == x2._sigma def __hash__(self): "NormalDist objects hash equal if their mu and sigma are both equal." return hash((self._mu, self._sigma)) def __repr__(self): return f'{type(self).__name__}(mu={self._mu!r}, sigma={self._sigma!r})' def __getstate__(self): return self._mu, self._sigma def __setstate__(self, state): self._mu, self._sigma = state