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542 lines
18 KiB
Python
542 lines
18 KiB
Python
#-------------------------------------------------------------------------------
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#
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# Define classes for (uni/multi)-variate kernel density estimation.
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#
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# Currently, only Gaussian kernels are implemented.
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#
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# Written by: Robert Kern
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#
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# Date: 2004-08-09
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#
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# Modified: 2005-02-10 by Robert Kern.
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# Contributed to Scipy
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# 2005-10-07 by Robert Kern.
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# Some fixes to match the new scipy_core
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#
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# Copyright 2004-2005 by Enthought, Inc.
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#
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#-------------------------------------------------------------------------------
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from __future__ import division, print_function, absolute_import
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# Standard library imports.
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import warnings
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# Scipy imports.
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from scipy._lib.six import callable, string_types
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from scipy import linalg, special
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from numpy import atleast_2d, reshape, zeros, newaxis, dot, exp, pi, sqrt, \
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ravel, power, atleast_1d, squeeze, sum, transpose
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import numpy as np
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from numpy.random import randint, multivariate_normal
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# Local imports.
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from . import mvn
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__all__ = ['gaussian_kde']
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class gaussian_kde(object):
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"""Representation of a kernel-density estimate using Gaussian kernels.
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Kernel density estimation is a way to estimate the probability density
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function (PDF) of a random variable in a non-parametric way.
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`gaussian_kde` works for both uni-variate and multi-variate data. It
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includes automatic bandwidth determination. The estimation works best for
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a unimodal distribution; bimodal or multi-modal distributions tend to be
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oversmoothed.
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Parameters
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----------
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dataset : array_like
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Datapoints to estimate from. In case of univariate data this is a 1-D
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array, otherwise a 2-D array with shape (# of dims, # of data).
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bw_method : str, scalar or callable, optional
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The method used to calculate the estimator bandwidth. This can be
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'scott', 'silverman', a scalar constant or a callable. If a scalar,
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this will be used directly as `kde.factor`. If a callable, it should
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take a `gaussian_kde` instance as only parameter and return a scalar.
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If None (default), 'scott' is used. See Notes for more details.
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Attributes
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----------
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dataset : ndarray
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The dataset with which `gaussian_kde` was initialized.
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d : int
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Number of dimensions.
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n : int
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Number of datapoints.
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factor : float
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The bandwidth factor, obtained from `kde.covariance_factor`, with which
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the covariance matrix is multiplied.
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covariance : ndarray
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The covariance matrix of `dataset`, scaled by the calculated bandwidth
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(`kde.factor`).
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inv_cov : ndarray
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The inverse of `covariance`.
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Methods
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-------
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kde.evaluate(points) : ndarray
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Evaluate the estimated pdf on a provided set of points.
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kde(points) : ndarray
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Same as kde.evaluate(points)
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kde.integrate_gaussian(mean, cov) : float
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Multiply pdf with a specified Gaussian and integrate over the whole
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domain.
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kde.integrate_box_1d(low, high) : float
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Integrate pdf (1D only) between two bounds.
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kde.integrate_box(low_bounds, high_bounds) : float
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Integrate pdf over a rectangular space between low_bounds and
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high_bounds.
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kde.integrate_kde(other_kde) : float
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Integrate two kernel density estimates multiplied together.
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kde.pdf(points) : ndarray
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Alias for ``kde.evaluate(points)``.
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kde.logpdf(points) : ndarray
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Equivalent to ``np.log(kde.evaluate(points))``.
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kde.resample(size=None) : ndarray
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Randomly sample a dataset from the estimated pdf.
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kde.set_bandwidth(bw_method='scott') : None
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Computes the bandwidth, i.e. the coefficient that multiplies the data
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covariance matrix to obtain the kernel covariance matrix.
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.. versionadded:: 0.11.0
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kde.covariance_factor : float
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Computes the coefficient (`kde.factor`) that multiplies the data
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covariance matrix to obtain the kernel covariance matrix.
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The default is `scotts_factor`. A subclass can overwrite this method
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to provide a different method, or set it through a call to
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`kde.set_bandwidth`.
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Notes
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-----
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Bandwidth selection strongly influences the estimate obtained from the KDE
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(much more so than the actual shape of the kernel). Bandwidth selection
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can be done by a "rule of thumb", by cross-validation, by "plug-in
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methods" or by other means; see [3]_, [4]_ for reviews. `gaussian_kde`
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uses a rule of thumb, the default is Scott's Rule.
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Scott's Rule [1]_, implemented as `scotts_factor`, is::
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n**(-1./(d+4)),
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with ``n`` the number of data points and ``d`` the number of dimensions.
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Silverman's Rule [2]_, implemented as `silverman_factor`, is::
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(n * (d + 2) / 4.)**(-1. / (d + 4)).
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Good general descriptions of kernel density estimation can be found in [1]_
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and [2]_, the mathematics for this multi-dimensional implementation can be
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found in [1]_.
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References
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----------
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.. [1] D.W. Scott, "Multivariate Density Estimation: Theory, Practice, and
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Visualization", John Wiley & Sons, New York, Chicester, 1992.
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.. [2] B.W. Silverman, "Density Estimation for Statistics and Data
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Analysis", Vol. 26, Monographs on Statistics and Applied Probability,
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Chapman and Hall, London, 1986.
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.. [3] B.A. Turlach, "Bandwidth Selection in Kernel Density Estimation: A
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Review", CORE and Institut de Statistique, Vol. 19, pp. 1-33, 1993.
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.. [4] D.M. Bashtannyk and R.J. Hyndman, "Bandwidth selection for kernel
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conditional density estimation", Computational Statistics & Data
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Analysis, Vol. 36, pp. 279-298, 2001.
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Examples
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--------
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Generate some random two-dimensional data:
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>>> from scipy import stats
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>>> def measure(n):
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>>> "Measurement model, return two coupled measurements."
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>>> m1 = np.random.normal(size=n)
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>>> m2 = np.random.normal(scale=0.5, size=n)
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>>> return m1+m2, m1-m2
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>>> m1, m2 = measure(2000)
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>>> xmin = m1.min()
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>>> xmax = m1.max()
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>>> ymin = m2.min()
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>>> ymax = m2.max()
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Perform a kernel density estimate on the data:
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>>> X, Y = np.mgrid[xmin:xmax:100j, ymin:ymax:100j]
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>>> positions = np.vstack([X.ravel(), Y.ravel()])
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>>> values = np.vstack([m1, m2])
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>>> kernel = stats.gaussian_kde(values)
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>>> Z = np.reshape(kernel(positions).T, X.shape)
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Plot the results:
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>>> import matplotlib.pyplot as plt
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>>> fig = plt.figure()
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>>> ax = fig.add_subplot(111)
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>>> ax.imshow(np.rot90(Z), cmap=plt.cm.gist_earth_r,
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... extent=[xmin, xmax, ymin, ymax])
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>>> ax.plot(m1, m2, 'k.', markersize=2)
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>>> ax.set_xlim([xmin, xmax])
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>>> ax.set_ylim([ymin, ymax])
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>>> plt.show()
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"""
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def __init__(self, dataset, bw_method=None):
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self.dataset = atleast_2d(dataset)
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if not self.dataset.size > 1:
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raise ValueError("`dataset` input should have multiple elements.")
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self.d, self.n = self.dataset.shape
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self.set_bandwidth(bw_method=bw_method)
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def evaluate(self, points):
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"""Evaluate the estimated pdf on a set of points.
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Parameters
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----------
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points : (# of dimensions, # of points)-array
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Alternatively, a (# of dimensions,) vector can be passed in and
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treated as a single point.
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Returns
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-------
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values : (# of points,)-array
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The values at each point.
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Raises
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------
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ValueError : if the dimensionality of the input points is different than
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the dimensionality of the KDE.
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"""
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points = atleast_2d(points)
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d, m = points.shape
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if d != self.d:
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if d == 1 and m == self.d:
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# points was passed in as a row vector
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points = reshape(points, (self.d, 1))
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m = 1
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else:
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msg = "points have dimension %s, dataset has dimension %s" % (d,
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self.d)
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raise ValueError(msg)
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result = zeros((m,), dtype=np.float)
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if m >= self.n:
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# there are more points than data, so loop over data
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for i in range(self.n):
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diff = self.dataset[:, i, newaxis] - points
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tdiff = dot(self.inv_cov, diff)
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energy = sum(diff*tdiff,axis=0) / 2.0
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result = result + exp(-energy)
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else:
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# loop over points
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for i in range(m):
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diff = self.dataset - points[:, i, newaxis]
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tdiff = dot(self.inv_cov, diff)
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energy = sum(diff * tdiff, axis=0) / 2.0
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result[i] = sum(exp(-energy), axis=0)
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result = result / self._norm_factor
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return result
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__call__ = evaluate
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def integrate_gaussian(self, mean, cov):
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"""
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Multiply estimated density by a multivariate Gaussian and integrate
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over the whole space.
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Parameters
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----------
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mean : aray_like
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A 1-D array, specifying the mean of the Gaussian.
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cov : array_like
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A 2-D array, specifying the covariance matrix of the Gaussian.
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Returns
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-------
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result : scalar
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The value of the integral.
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Raises
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------
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ValueError :
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If the mean or covariance of the input Gaussian differs from
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the KDE's dimensionality.
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"""
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mean = atleast_1d(squeeze(mean))
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cov = atleast_2d(cov)
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if mean.shape != (self.d,):
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raise ValueError("mean does not have dimension %s" % self.d)
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if cov.shape != (self.d, self.d):
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raise ValueError("covariance does not have dimension %s" % self.d)
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# make mean a column vector
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mean = mean[:, newaxis]
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sum_cov = self.covariance + cov
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diff = self.dataset - mean
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tdiff = dot(linalg.inv(sum_cov), diff)
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energies = sum(diff * tdiff, axis=0) / 2.0
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result = sum(exp(-energies), axis=0) / sqrt(linalg.det(2 * pi *
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sum_cov)) / self.n
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return result
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def integrate_box_1d(self, low, high):
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"""
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Computes the integral of a 1D pdf between two bounds.
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Parameters
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----------
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low : scalar
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Lower bound of integration.
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high : scalar
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Upper bound of integration.
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Returns
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-------
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value : scalar
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The result of the integral.
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Raises
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------
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ValueError
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If the KDE is over more than one dimension.
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"""
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if self.d != 1:
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raise ValueError("integrate_box_1d() only handles 1D pdfs")
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stdev = ravel(sqrt(self.covariance))[0]
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normalized_low = ravel((low - self.dataset) / stdev)
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normalized_high = ravel((high - self.dataset) / stdev)
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value = np.mean(special.ndtr(normalized_high) -
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special.ndtr(normalized_low))
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return value
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def integrate_box(self, low_bounds, high_bounds, maxpts=None):
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"""Computes the integral of a pdf over a rectangular interval.
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Parameters
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----------
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low_bounds : array_like
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A 1-D array containing the lower bounds of integration.
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high_bounds : array_like
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A 1-D array containing the upper bounds of integration.
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maxpts : int, optional
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The maximum number of points to use for integration.
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Returns
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-------
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value : scalar
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The result of the integral.
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"""
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if maxpts is not None:
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extra_kwds = {'maxpts': maxpts}
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else:
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extra_kwds = {}
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value, inform = mvn.mvnun(low_bounds, high_bounds, self.dataset,
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self.covariance, **extra_kwds)
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if inform:
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msg = ('An integral in mvn.mvnun requires more points than %s' %
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(self.d * 1000))
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warnings.warn(msg)
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return value
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def integrate_kde(self, other):
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"""
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Computes the integral of the product of this kernel density estimate
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with another.
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Parameters
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----------
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other : gaussian_kde instance
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The other kde.
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Returns
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-------
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value : scalar
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The result of the integral.
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Raises
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------
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ValueError
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If the KDEs have different dimensionality.
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"""
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if other.d != self.d:
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raise ValueError("KDEs are not the same dimensionality")
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# we want to iterate over the smallest number of points
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if other.n < self.n:
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small = other
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large = self
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else:
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small = self
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large = other
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sum_cov = small.covariance + large.covariance
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sum_cov_chol = linalg.cho_factor(sum_cov)
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result = 0.0
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for i in range(small.n):
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mean = small.dataset[:, i, newaxis]
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diff = large.dataset - mean
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tdiff = linalg.cho_solve(sum_cov_chol, diff)
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energies = sum(diff * tdiff, axis=0) / 2.0
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result += sum(exp(-energies), axis=0)
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result /= sqrt(linalg.det(2 * pi * sum_cov)) * large.n * small.n
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return result
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def resample(self, size=None):
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"""
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Randomly sample a dataset from the estimated pdf.
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Parameters
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----------
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size : int, optional
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The number of samples to draw. If not provided, then the size is
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the same as the underlying dataset.
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Returns
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-------
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resample : (self.d, `size`) ndarray
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The sampled dataset.
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"""
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if size is None:
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size = self.n
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norm = transpose(multivariate_normal(zeros((self.d,), float),
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self.covariance, size=size))
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indices = randint(0, self.n, size=size)
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means = self.dataset[:, indices]
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return means + norm
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def scotts_factor(self):
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return power(self.n, -1./(self.d+4))
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def silverman_factor(self):
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return power(self.n*(self.d+2.0)/4.0, -1./(self.d+4))
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# Default method to calculate bandwidth, can be overwritten by subclass
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covariance_factor = scotts_factor
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def set_bandwidth(self, bw_method=None):
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"""Compute the estimator bandwidth with given method.
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The new bandwidth calculated after a call to `set_bandwidth` is used
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for subsequent evaluations of the estimated density.
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Parameters
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----------
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bw_method : str, scalar or callable, optional
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The method used to calculate the estimator bandwidth. This can be
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'scott', 'silverman', a scalar constant or a callable. If a
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scalar, this will be used directly as `kde.factor`. If a callable,
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it should take a `gaussian_kde` instance as only parameter and
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return a scalar. If None (default), nothing happens; the current
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`kde.covariance_factor` method is kept.
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Notes
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-----
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.. versionadded:: 0.11
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Examples
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--------
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>>> x1 = np.array([-7, -5, 1, 4, 5.])
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>>> kde = stats.gaussian_kde(x1)
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>>> xs = np.linspace(-10, 10, num=50)
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>>> y1 = kde(xs)
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>>> kde.set_bandwidth(bw_method='silverman')
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>>> y2 = kde(xs)
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>>> kde.set_bandwidth(bw_method=kde.factor / 3.)
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>>> y3 = kde(xs)
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>>> fig = plt.figure()
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>>> ax = fig.add_subplot(111)
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>>> ax.plot(x1, np.ones(x1.shape) / (4. * x1.size), 'bo',
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... label='Data points (rescaled)')
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>>> ax.plot(xs, y1, label='Scott (default)')
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>>> ax.plot(xs, y2, label='Silverman')
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>>> ax.plot(xs, y3, label='Const (1/3 * Silverman)')
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>>> ax.legend()
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>>> plt.show()
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"""
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if bw_method is None:
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pass
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elif bw_method == 'scott':
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self.covariance_factor = self.scotts_factor
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elif bw_method == 'silverman':
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self.covariance_factor = self.silverman_factor
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elif np.isscalar(bw_method) and not isinstance(bw_method, string_types):
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self._bw_method = 'use constant'
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self.covariance_factor = lambda: bw_method
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elif callable(bw_method):
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self._bw_method = bw_method
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self.covariance_factor = lambda: self._bw_method(self)
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else:
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msg = "`bw_method` should be 'scott', 'silverman', a scalar " \
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"or a callable."
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raise ValueError(msg)
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self._compute_covariance()
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def _compute_covariance(self):
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"""Computes the covariance matrix for each Gaussian kernel using
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covariance_factor().
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"""
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self.factor = self.covariance_factor()
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# Cache covariance and inverse covariance of the data
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if not hasattr(self, '_data_inv_cov'):
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self._data_covariance = atleast_2d(np.cov(self.dataset, rowvar=1,
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bias=False))
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self._data_inv_cov = linalg.inv(self._data_covariance)
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self.covariance = self._data_covariance * self.factor**2
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self.inv_cov = self._data_inv_cov / self.factor**2
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self._norm_factor = sqrt(linalg.det(2*pi*self.covariance)) * self.n
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def pdf(self, x):
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"""
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Evaluate the estimated pdf on a provided set of points.
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Notes
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-----
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This is an alias for `gaussian_kde.evaluate`. See the ``evaluate``
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docstring for more details.
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"""
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return self.evaluate(x)
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def logpdf(self, x):
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"""
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Evaluate the log of the estimated pdf on a provided set of points.
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Notes
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-----
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See `gaussian_kde.evaluate` for more details; this method simply
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returns ``np.log(gaussian_kde.evaluate(x))``.
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"""
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return np.log(self.evaluate(x))
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