1603 lines
68 KiB
Python
1603 lines
68 KiB
Python
|
import warnings
|
||
|
import numpy as np
|
||
|
from itertools import combinations, permutations, product
|
||
|
import inspect
|
||
|
|
||
|
from scipy._lib._util import check_random_state
|
||
|
from scipy.special import ndtr, ndtri, comb, factorial
|
||
|
from scipy._lib._util import rng_integers
|
||
|
from dataclasses import make_dataclass
|
||
|
from ._common import ConfidenceInterval
|
||
|
from ._axis_nan_policy import _broadcast_concatenate, _broadcast_arrays
|
||
|
from ._warnings_errors import DegenerateDataWarning
|
||
|
|
||
|
__all__ = ['bootstrap', 'monte_carlo_test', 'permutation_test']
|
||
|
|
||
|
|
||
|
def _vectorize_statistic(statistic):
|
||
|
"""Vectorize an n-sample statistic"""
|
||
|
# This is a little cleaner than np.nditer at the expense of some data
|
||
|
# copying: concatenate samples together, then use np.apply_along_axis
|
||
|
def stat_nd(*data, axis=0):
|
||
|
lengths = [sample.shape[axis] for sample in data]
|
||
|
split_indices = np.cumsum(lengths)[:-1]
|
||
|
z = _broadcast_concatenate(data, axis)
|
||
|
|
||
|
# move working axis to position 0 so that new dimensions in the output
|
||
|
# of `statistic` are _prepended_. ("This axis is removed, and replaced
|
||
|
# with new dimensions...")
|
||
|
z = np.moveaxis(z, axis, 0)
|
||
|
|
||
|
def stat_1d(z):
|
||
|
data = np.split(z, split_indices)
|
||
|
return statistic(*data)
|
||
|
|
||
|
return np.apply_along_axis(stat_1d, 0, z)[()]
|
||
|
return stat_nd
|
||
|
|
||
|
|
||
|
def _jackknife_resample(sample, batch=None):
|
||
|
"""Jackknife resample the sample. Only one-sample stats for now."""
|
||
|
n = sample.shape[-1]
|
||
|
batch_nominal = batch or n
|
||
|
|
||
|
for k in range(0, n, batch_nominal):
|
||
|
# col_start:col_end are the observations to remove
|
||
|
batch_actual = min(batch_nominal, n-k)
|
||
|
|
||
|
# jackknife - each row leaves out one observation
|
||
|
j = np.ones((batch_actual, n), dtype=bool)
|
||
|
np.fill_diagonal(j[:, k:k+batch_actual], False)
|
||
|
i = np.arange(n)
|
||
|
i = np.broadcast_to(i, (batch_actual, n))
|
||
|
i = i[j].reshape((batch_actual, n-1))
|
||
|
|
||
|
resamples = sample[..., i]
|
||
|
yield resamples
|
||
|
|
||
|
|
||
|
def _bootstrap_resample(sample, n_resamples=None, random_state=None):
|
||
|
"""Bootstrap resample the sample."""
|
||
|
n = sample.shape[-1]
|
||
|
|
||
|
# bootstrap - each row is a random resample of original observations
|
||
|
i = rng_integers(random_state, 0, n, (n_resamples, n))
|
||
|
|
||
|
resamples = sample[..., i]
|
||
|
return resamples
|
||
|
|
||
|
|
||
|
def _percentile_of_score(a, score, axis):
|
||
|
"""Vectorized, simplified `scipy.stats.percentileofscore`.
|
||
|
Uses logic of the 'mean' value of percentileofscore's kind parameter.
|
||
|
|
||
|
Unlike `stats.percentileofscore`, the percentile returned is a fraction
|
||
|
in [0, 1].
|
||
|
"""
|
||
|
B = a.shape[axis]
|
||
|
return ((a < score).sum(axis=axis) + (a <= score).sum(axis=axis)) / (2 * B)
|
||
|
|
||
|
|
||
|
def _percentile_along_axis(theta_hat_b, alpha):
|
||
|
"""`np.percentile` with different percentile for each slice."""
|
||
|
# the difference between _percentile_along_axis and np.percentile is that
|
||
|
# np.percentile gets _all_ the qs for each axis slice, whereas
|
||
|
# _percentile_along_axis gets the q corresponding with each axis slice
|
||
|
shape = theta_hat_b.shape[:-1]
|
||
|
alpha = np.broadcast_to(alpha, shape)
|
||
|
percentiles = np.zeros_like(alpha, dtype=np.float64)
|
||
|
for indices, alpha_i in np.ndenumerate(alpha):
|
||
|
if np.isnan(alpha_i):
|
||
|
# e.g. when bootstrap distribution has only one unique element
|
||
|
msg = (
|
||
|
"The BCa confidence interval cannot be calculated."
|
||
|
" This problem is known to occur when the distribution"
|
||
|
" is degenerate or the statistic is np.min."
|
||
|
)
|
||
|
warnings.warn(DegenerateDataWarning(msg))
|
||
|
percentiles[indices] = np.nan
|
||
|
else:
|
||
|
theta_hat_b_i = theta_hat_b[indices]
|
||
|
percentiles[indices] = np.percentile(theta_hat_b_i, alpha_i)
|
||
|
return percentiles[()] # return scalar instead of 0d array
|
||
|
|
||
|
|
||
|
def _bca_interval(data, statistic, axis, alpha, theta_hat_b, batch):
|
||
|
"""Bias-corrected and accelerated interval."""
|
||
|
# closely follows [1] 14.3 and 15.4 (Eq. 15.36)
|
||
|
|
||
|
# calculate z0_hat
|
||
|
theta_hat = np.asarray(statistic(*data, axis=axis))[..., None]
|
||
|
percentile = _percentile_of_score(theta_hat_b, theta_hat, axis=-1)
|
||
|
z0_hat = ndtri(percentile)
|
||
|
|
||
|
# calculate a_hat
|
||
|
theta_hat_ji = [] # j is for sample of data, i is for jackknife resample
|
||
|
for j, sample in enumerate(data):
|
||
|
# _jackknife_resample will add an axis prior to the last axis that
|
||
|
# corresponds with the different jackknife resamples. Do the same for
|
||
|
# each sample of the data to ensure broadcastability. We need to
|
||
|
# create a copy of the list containing the samples anyway, so do this
|
||
|
# in the loop to simplify the code. This is not the bottleneck...
|
||
|
samples = [np.expand_dims(sample, -2) for sample in data]
|
||
|
theta_hat_i = []
|
||
|
for jackknife_sample in _jackknife_resample(sample, batch):
|
||
|
samples[j] = jackknife_sample
|
||
|
broadcasted = _broadcast_arrays(samples, axis=-1)
|
||
|
theta_hat_i.append(statistic(*broadcasted, axis=-1))
|
||
|
theta_hat_ji.append(theta_hat_i)
|
||
|
|
||
|
theta_hat_ji = [np.concatenate(theta_hat_i, axis=-1)
|
||
|
for theta_hat_i in theta_hat_ji]
|
||
|
|
||
|
n_j = [theta_hat_i.shape[-1] for theta_hat_i in theta_hat_ji]
|
||
|
|
||
|
theta_hat_j_dot = [theta_hat_i.mean(axis=-1, keepdims=True)
|
||
|
for theta_hat_i in theta_hat_ji]
|
||
|
|
||
|
U_ji = [(n - 1) * (theta_hat_dot - theta_hat_i)
|
||
|
for theta_hat_dot, theta_hat_i, n
|
||
|
in zip(theta_hat_j_dot, theta_hat_ji, n_j)]
|
||
|
|
||
|
nums = [(U_i**3).sum(axis=-1)/n**3 for U_i, n in zip(U_ji, n_j)]
|
||
|
dens = [(U_i**2).sum(axis=-1)/n**2 for U_i, n in zip(U_ji, n_j)]
|
||
|
a_hat = 1/6 * sum(nums) / sum(dens)**(3/2)
|
||
|
|
||
|
# calculate alpha_1, alpha_2
|
||
|
z_alpha = ndtri(alpha)
|
||
|
z_1alpha = -z_alpha
|
||
|
num1 = z0_hat + z_alpha
|
||
|
alpha_1 = ndtr(z0_hat + num1/(1 - a_hat*num1))
|
||
|
num2 = z0_hat + z_1alpha
|
||
|
alpha_2 = ndtr(z0_hat + num2/(1 - a_hat*num2))
|
||
|
return alpha_1, alpha_2, a_hat # return a_hat for testing
|
||
|
|
||
|
|
||
|
def _bootstrap_iv(data, statistic, vectorized, paired, axis, confidence_level,
|
||
|
n_resamples, batch, method, bootstrap_result, random_state):
|
||
|
"""Input validation and standardization for `bootstrap`."""
|
||
|
|
||
|
if vectorized not in {True, False, None}:
|
||
|
raise ValueError("`vectorized` must be `True`, `False`, or `None`.")
|
||
|
|
||
|
if vectorized is None:
|
||
|
vectorized = 'axis' in inspect.signature(statistic).parameters
|
||
|
|
||
|
if not vectorized:
|
||
|
statistic = _vectorize_statistic(statistic)
|
||
|
|
||
|
axis_int = int(axis)
|
||
|
if axis != axis_int:
|
||
|
raise ValueError("`axis` must be an integer.")
|
||
|
|
||
|
n_samples = 0
|
||
|
try:
|
||
|
n_samples = len(data)
|
||
|
except TypeError:
|
||
|
raise ValueError("`data` must be a sequence of samples.")
|
||
|
|
||
|
if n_samples == 0:
|
||
|
raise ValueError("`data` must contain at least one sample.")
|
||
|
|
||
|
data_iv = []
|
||
|
for sample in data:
|
||
|
sample = np.atleast_1d(sample)
|
||
|
if sample.shape[axis_int] <= 1:
|
||
|
raise ValueError("each sample in `data` must contain two or more "
|
||
|
"observations along `axis`.")
|
||
|
sample = np.moveaxis(sample, axis_int, -1)
|
||
|
data_iv.append(sample)
|
||
|
|
||
|
if paired not in {True, False}:
|
||
|
raise ValueError("`paired` must be `True` or `False`.")
|
||
|
|
||
|
if paired:
|
||
|
n = data_iv[0].shape[-1]
|
||
|
for sample in data_iv[1:]:
|
||
|
if sample.shape[-1] != n:
|
||
|
message = ("When `paired is True`, all samples must have the "
|
||
|
"same length along `axis`")
|
||
|
raise ValueError(message)
|
||
|
|
||
|
# to generate the bootstrap distribution for paired-sample statistics,
|
||
|
# resample the indices of the observations
|
||
|
def statistic(i, axis=-1, data=data_iv, unpaired_statistic=statistic):
|
||
|
data = [sample[..., i] for sample in data]
|
||
|
return unpaired_statistic(*data, axis=axis)
|
||
|
|
||
|
data_iv = [np.arange(n)]
|
||
|
|
||
|
confidence_level_float = float(confidence_level)
|
||
|
|
||
|
n_resamples_int = int(n_resamples)
|
||
|
if n_resamples != n_resamples_int or n_resamples_int < 0:
|
||
|
raise ValueError("`n_resamples` must be a non-negative integer.")
|
||
|
|
||
|
if batch is None:
|
||
|
batch_iv = batch
|
||
|
else:
|
||
|
batch_iv = int(batch)
|
||
|
if batch != batch_iv or batch_iv <= 0:
|
||
|
raise ValueError("`batch` must be a positive integer or None.")
|
||
|
|
||
|
methods = {'percentile', 'basic', 'bca'}
|
||
|
method = method.lower()
|
||
|
if method not in methods:
|
||
|
raise ValueError(f"`method` must be in {methods}")
|
||
|
|
||
|
message = "`bootstrap_result` must have attribute `bootstrap_distribution'"
|
||
|
if (bootstrap_result is not None
|
||
|
and not hasattr(bootstrap_result, "bootstrap_distribution")):
|
||
|
raise ValueError(message)
|
||
|
|
||
|
message = ("Either `bootstrap_result.bootstrap_distribution.size` or "
|
||
|
"`n_resamples` must be positive.")
|
||
|
if ((not bootstrap_result or
|
||
|
not bootstrap_result.bootstrap_distribution.size)
|
||
|
and n_resamples_int == 0):
|
||
|
raise ValueError(message)
|
||
|
|
||
|
random_state = check_random_state(random_state)
|
||
|
|
||
|
return (data_iv, statistic, vectorized, paired, axis_int,
|
||
|
confidence_level_float, n_resamples_int, batch_iv,
|
||
|
method, bootstrap_result, random_state)
|
||
|
|
||
|
|
||
|
fields = ['confidence_interval', 'bootstrap_distribution', 'standard_error']
|
||
|
BootstrapResult = make_dataclass("BootstrapResult", fields)
|
||
|
|
||
|
|
||
|
def bootstrap(data, statistic, *, n_resamples=9999, batch=None,
|
||
|
vectorized=None, paired=False, axis=0, confidence_level=0.95,
|
||
|
method='BCa', bootstrap_result=None, random_state=None):
|
||
|
r"""
|
||
|
Compute a two-sided bootstrap confidence interval of a statistic.
|
||
|
|
||
|
When `method` is ``'percentile'``, a bootstrap confidence interval is
|
||
|
computed according to the following procedure.
|
||
|
|
||
|
1. Resample the data: for each sample in `data` and for each of
|
||
|
`n_resamples`, take a random sample of the original sample
|
||
|
(with replacement) of the same size as the original sample.
|
||
|
|
||
|
2. Compute the bootstrap distribution of the statistic: for each set of
|
||
|
resamples, compute the test statistic.
|
||
|
|
||
|
3. Determine the confidence interval: find the interval of the bootstrap
|
||
|
distribution that is
|
||
|
|
||
|
- symmetric about the median and
|
||
|
- contains `confidence_level` of the resampled statistic values.
|
||
|
|
||
|
While the ``'percentile'`` method is the most intuitive, it is rarely
|
||
|
used in practice. Two more common methods are available, ``'basic'``
|
||
|
('reverse percentile') and ``'BCa'`` ('bias-corrected and accelerated');
|
||
|
they differ in how step 3 is performed.
|
||
|
|
||
|
If the samples in `data` are taken at random from their respective
|
||
|
distributions :math:`n` times, the confidence interval returned by
|
||
|
`bootstrap` will contain the true value of the statistic for those
|
||
|
distributions approximately `confidence_level`:math:`\, \times \, n` times.
|
||
|
|
||
|
Parameters
|
||
|
----------
|
||
|
data : sequence of array-like
|
||
|
Each element of data is a sample from an underlying distribution.
|
||
|
statistic : callable
|
||
|
Statistic for which the confidence interval is to be calculated.
|
||
|
`statistic` must be a callable that accepts ``len(data)`` samples
|
||
|
as separate arguments and returns the resulting statistic.
|
||
|
If `vectorized` is set ``True``,
|
||
|
`statistic` must also accept a keyword argument `axis` and be
|
||
|
vectorized to compute the statistic along the provided `axis`.
|
||
|
n_resamples : int, default: ``9999``
|
||
|
The number of resamples performed to form the bootstrap distribution
|
||
|
of the statistic.
|
||
|
batch : int, optional
|
||
|
The number of resamples to process in each vectorized call to
|
||
|
`statistic`. Memory usage is O(`batch`*``n``), where ``n`` is the
|
||
|
sample size. Default is ``None``, in which case ``batch = n_resamples``
|
||
|
(or ``batch = max(n_resamples, n)`` for ``method='BCa'``).
|
||
|
vectorized : bool, optional
|
||
|
If `vectorized` is set ``False``, `statistic` will not be passed
|
||
|
keyword argument `axis` and is expected to calculate the statistic
|
||
|
only for 1D samples. If ``True``, `statistic` will be passed keyword
|
||
|
argument `axis` and is expected to calculate the statistic along `axis`
|
||
|
when passed an ND sample array. If ``None`` (default), `vectorized`
|
||
|
will be set ``True`` if ``axis`` is a parameter of `statistic`. Use of
|
||
|
a vectorized statistic typically reduces computation time.
|
||
|
paired : bool, default: ``False``
|
||
|
Whether the statistic treats corresponding elements of the samples
|
||
|
in `data` as paired.
|
||
|
axis : int, default: ``0``
|
||
|
The axis of the samples in `data` along which the `statistic` is
|
||
|
calculated.
|
||
|
confidence_level : float, default: ``0.95``
|
||
|
The confidence level of the confidence interval.
|
||
|
method : {'percentile', 'basic', 'bca'}, default: ``'BCa'``
|
||
|
Whether to return the 'percentile' bootstrap confidence interval
|
||
|
(``'percentile'``), the 'basic' (AKA 'reverse') bootstrap confidence
|
||
|
interval (``'basic'``), or the bias-corrected and accelerated bootstrap
|
||
|
confidence interval (``'BCa'``).
|
||
|
bootstrap_result : BootstrapResult, optional
|
||
|
Provide the result object returned by a previous call to `bootstrap`
|
||
|
to include the previous bootstrap distribution in the new bootstrap
|
||
|
distribution. This can be used, for example, to change
|
||
|
`confidence_level`, change `method`, or see the effect of performing
|
||
|
additional resampling without repeating computations.
|
||
|
random_state : {None, int, `numpy.random.Generator`,
|
||
|
`numpy.random.RandomState`}, optional
|
||
|
|
||
|
Pseudorandom number generator state used to generate resamples.
|
||
|
|
||
|
If `random_state` is ``None`` (or `np.random`), the
|
||
|
`numpy.random.RandomState` singleton is used.
|
||
|
If `random_state` is an int, a new ``RandomState`` instance is used,
|
||
|
seeded with `random_state`.
|
||
|
If `random_state` is already a ``Generator`` or ``RandomState``
|
||
|
instance then that instance is used.
|
||
|
|
||
|
Returns
|
||
|
-------
|
||
|
res : BootstrapResult
|
||
|
An object with attributes:
|
||
|
|
||
|
confidence_interval : ConfidenceInterval
|
||
|
The bootstrap confidence interval as an instance of
|
||
|
`collections.namedtuple` with attributes `low` and `high`.
|
||
|
bootstrap_distribution : ndarray
|
||
|
The bootstrap distribution, that is, the value of `statistic` for
|
||
|
each resample. The last dimension corresponds with the resamples
|
||
|
(e.g. ``res.bootstrap_distribution.shape[-1] == n_resamples``).
|
||
|
standard_error : float or ndarray
|
||
|
The bootstrap standard error, that is, the sample standard
|
||
|
deviation of the bootstrap distribution.
|
||
|
|
||
|
Warns
|
||
|
-----
|
||
|
`~scipy.stats.DegenerateDataWarning`
|
||
|
Generated when ``method='BCa'`` and the bootstrap distribution is
|
||
|
degenerate (e.g. all elements are identical).
|
||
|
|
||
|
Notes
|
||
|
-----
|
||
|
Elements of the confidence interval may be NaN for ``method='BCa'`` if
|
||
|
the bootstrap distribution is degenerate (e.g. all elements are identical).
|
||
|
In this case, consider using another `method` or inspecting `data` for
|
||
|
indications that other analysis may be more appropriate (e.g. all
|
||
|
observations are identical).
|
||
|
|
||
|
References
|
||
|
----------
|
||
|
.. [1] B. Efron and R. J. Tibshirani, An Introduction to the Bootstrap,
|
||
|
Chapman & Hall/CRC, Boca Raton, FL, USA (1993)
|
||
|
.. [2] Nathaniel E. Helwig, "Bootstrap Confidence Intervals",
|
||
|
http://users.stat.umn.edu/~helwig/notes/bootci-Notes.pdf
|
||
|
.. [3] Bootstrapping (statistics), Wikipedia,
|
||
|
https://en.wikipedia.org/wiki/Bootstrapping_%28statistics%29
|
||
|
|
||
|
Examples
|
||
|
--------
|
||
|
Suppose we have sampled data from an unknown distribution.
|
||
|
|
||
|
>>> import numpy as np
|
||
|
>>> rng = np.random.default_rng()
|
||
|
>>> from scipy.stats import norm
|
||
|
>>> dist = norm(loc=2, scale=4) # our "unknown" distribution
|
||
|
>>> data = dist.rvs(size=100, random_state=rng)
|
||
|
|
||
|
We are interested in the standard deviation of the distribution.
|
||
|
|
||
|
>>> std_true = dist.std() # the true value of the statistic
|
||
|
>>> print(std_true)
|
||
|
4.0
|
||
|
>>> std_sample = np.std(data) # the sample statistic
|
||
|
>>> print(std_sample)
|
||
|
3.9460644295563863
|
||
|
|
||
|
The bootstrap is used to approximate the variability we would expect if we
|
||
|
were to repeatedly sample from the unknown distribution and calculate the
|
||
|
statistic of the sample each time. It does this by repeatedly resampling
|
||
|
values *from the original sample* with replacement and calculating the
|
||
|
statistic of each resample. This results in a "bootstrap distribution" of
|
||
|
the statistic.
|
||
|
|
||
|
>>> import matplotlib.pyplot as plt
|
||
|
>>> from scipy.stats import bootstrap
|
||
|
>>> data = (data,) # samples must be in a sequence
|
||
|
>>> res = bootstrap(data, np.std, confidence_level=0.9,
|
||
|
... random_state=rng)
|
||
|
>>> fig, ax = plt.subplots()
|
||
|
>>> ax.hist(res.bootstrap_distribution, bins=25)
|
||
|
>>> ax.set_title('Bootstrap Distribution')
|
||
|
>>> ax.set_xlabel('statistic value')
|
||
|
>>> ax.set_ylabel('frequency')
|
||
|
>>> plt.show()
|
||
|
|
||
|
The standard error quantifies this variability. It is calculated as the
|
||
|
standard deviation of the bootstrap distribution.
|
||
|
|
||
|
>>> res.standard_error
|
||
|
0.24427002125829136
|
||
|
>>> res.standard_error == np.std(res.bootstrap_distribution, ddof=1)
|
||
|
True
|
||
|
|
||
|
The bootstrap distribution of the statistic is often approximately normal
|
||
|
with scale equal to the standard error.
|
||
|
|
||
|
>>> x = np.linspace(3, 5)
|
||
|
>>> pdf = norm.pdf(x, loc=std_sample, scale=res.standard_error)
|
||
|
>>> fig, ax = plt.subplots()
|
||
|
>>> ax.hist(res.bootstrap_distribution, bins=25, density=True)
|
||
|
>>> ax.plot(x, pdf)
|
||
|
>>> ax.set_title('Normal Approximation of the Bootstrap Distribution')
|
||
|
>>> ax.set_xlabel('statistic value')
|
||
|
>>> ax.set_ylabel('pdf')
|
||
|
>>> plt.show()
|
||
|
|
||
|
This suggests that we could construct a 90% confidence interval on the
|
||
|
statistic based on quantiles of this normal distribution.
|
||
|
|
||
|
>>> norm.interval(0.9, loc=std_sample, scale=res.standard_error)
|
||
|
(3.5442759991341726, 4.3478528599786)
|
||
|
|
||
|
Due to central limit theorem, this normal approximation is accurate for a
|
||
|
variety of statistics and distributions underlying the samples; however,
|
||
|
the approximation is not reliable in all cases. Because `bootstrap` is
|
||
|
designed to work with arbitrary underlying distributions and statistics,
|
||
|
it uses more advanced techniques to generate an accurate confidence
|
||
|
interval.
|
||
|
|
||
|
>>> print(res.confidence_interval)
|
||
|
ConfidenceInterval(low=3.57655333533867, high=4.382043696342881)
|
||
|
|
||
|
If we sample from the original distribution 1000 times and form a bootstrap
|
||
|
confidence interval for each sample, the confidence interval
|
||
|
contains the true value of the statistic approximately 90% of the time.
|
||
|
|
||
|
>>> n_trials = 1000
|
||
|
>>> ci_contains_true_std = 0
|
||
|
>>> for i in range(n_trials):
|
||
|
... data = (dist.rvs(size=100, random_state=rng),)
|
||
|
... ci = bootstrap(data, np.std, confidence_level=0.9, n_resamples=1000,
|
||
|
... random_state=rng).confidence_interval
|
||
|
... if ci[0] < std_true < ci[1]:
|
||
|
... ci_contains_true_std += 1
|
||
|
>>> print(ci_contains_true_std)
|
||
|
875
|
||
|
|
||
|
Rather than writing a loop, we can also determine the confidence intervals
|
||
|
for all 1000 samples at once.
|
||
|
|
||
|
>>> data = (dist.rvs(size=(n_trials, 100), random_state=rng),)
|
||
|
>>> res = bootstrap(data, np.std, axis=-1, confidence_level=0.9,
|
||
|
... n_resamples=1000, random_state=rng)
|
||
|
>>> ci_l, ci_u = res.confidence_interval
|
||
|
|
||
|
Here, `ci_l` and `ci_u` contain the confidence interval for each of the
|
||
|
``n_trials = 1000`` samples.
|
||
|
|
||
|
>>> print(ci_l[995:])
|
||
|
[3.77729695 3.75090233 3.45829131 3.34078217 3.48072829]
|
||
|
>>> print(ci_u[995:])
|
||
|
[4.88316666 4.86924034 4.32032996 4.2822427 4.59360598]
|
||
|
|
||
|
And again, approximately 90% contain the true value, ``std_true = 4``.
|
||
|
|
||
|
>>> print(np.sum((ci_l < std_true) & (std_true < ci_u)))
|
||
|
900
|
||
|
|
||
|
`bootstrap` can also be used to estimate confidence intervals of
|
||
|
multi-sample statistics, including those calculated by hypothesis
|
||
|
tests. `scipy.stats.mood` perform's Mood's test for equal scale parameters,
|
||
|
and it returns two outputs: a statistic, and a p-value. To get a
|
||
|
confidence interval for the test statistic, we first wrap
|
||
|
`scipy.stats.mood` in a function that accepts two sample arguments,
|
||
|
accepts an `axis` keyword argument, and returns only the statistic.
|
||
|
|
||
|
>>> from scipy.stats import mood
|
||
|
>>> def my_statistic(sample1, sample2, axis):
|
||
|
... statistic, _ = mood(sample1, sample2, axis=-1)
|
||
|
... return statistic
|
||
|
|
||
|
Here, we use the 'percentile' method with the default 95% confidence level.
|
||
|
|
||
|
>>> sample1 = norm.rvs(scale=1, size=100, random_state=rng)
|
||
|
>>> sample2 = norm.rvs(scale=2, size=100, random_state=rng)
|
||
|
>>> data = (sample1, sample2)
|
||
|
>>> res = bootstrap(data, my_statistic, method='basic', random_state=rng)
|
||
|
>>> print(mood(sample1, sample2)[0]) # element 0 is the statistic
|
||
|
-5.521109549096542
|
||
|
>>> print(res.confidence_interval)
|
||
|
ConfidenceInterval(low=-7.255994487314675, high=-4.016202624747605)
|
||
|
|
||
|
The bootstrap estimate of the standard error is also available.
|
||
|
|
||
|
>>> print(res.standard_error)
|
||
|
0.8344963846318795
|
||
|
|
||
|
Paired-sample statistics work, too. For example, consider the Pearson
|
||
|
correlation coefficient.
|
||
|
|
||
|
>>> from scipy.stats import pearsonr
|
||
|
>>> n = 100
|
||
|
>>> x = np.linspace(0, 10, n)
|
||
|
>>> y = x + rng.uniform(size=n)
|
||
|
>>> print(pearsonr(x, y)[0]) # element 0 is the statistic
|
||
|
0.9962357936065914
|
||
|
|
||
|
We wrap `pearsonr` so that it returns only the statistic.
|
||
|
|
||
|
>>> def my_statistic(x, y):
|
||
|
... return pearsonr(x, y)[0]
|
||
|
|
||
|
We call `bootstrap` using ``paired=True``.
|
||
|
Also, since ``my_statistic`` isn't vectorized to calculate the statistic
|
||
|
along a given axis, we pass in ``vectorized=False``.
|
||
|
|
||
|
>>> res = bootstrap((x, y), my_statistic, vectorized=False, paired=True,
|
||
|
... random_state=rng)
|
||
|
>>> print(res.confidence_interval)
|
||
|
ConfidenceInterval(low=0.9950085825848624, high=0.9971212407917498)
|
||
|
|
||
|
The result object can be passed back into `bootstrap` to perform additional
|
||
|
resampling:
|
||
|
|
||
|
>>> len(res.bootstrap_distribution)
|
||
|
9999
|
||
|
>>> res = bootstrap((x, y), my_statistic, vectorized=False, paired=True,
|
||
|
... n_resamples=1001, random_state=rng,
|
||
|
... bootstrap_result=res)
|
||
|
>>> len(res.bootstrap_distribution)
|
||
|
11000
|
||
|
|
||
|
or to change the confidence interval options:
|
||
|
|
||
|
>>> res2 = bootstrap((x, y), my_statistic, vectorized=False, paired=True,
|
||
|
... n_resamples=0, random_state=rng, bootstrap_result=res,
|
||
|
... method='percentile', confidence_level=0.9)
|
||
|
>>> np.testing.assert_equal(res2.bootstrap_distribution,
|
||
|
... res.bootstrap_distribution)
|
||
|
>>> res.confidence_interval
|
||
|
ConfidenceInterval(low=0.9950035351407804, high=0.9971170323404578)
|
||
|
|
||
|
without repeating computation of the original bootstrap distribution.
|
||
|
|
||
|
"""
|
||
|
# Input validation
|
||
|
args = _bootstrap_iv(data, statistic, vectorized, paired, axis,
|
||
|
confidence_level, n_resamples, batch, method,
|
||
|
bootstrap_result, random_state)
|
||
|
data, statistic, vectorized, paired, axis, confidence_level = args[:6]
|
||
|
n_resamples, batch, method, bootstrap_result, random_state = args[6:]
|
||
|
|
||
|
theta_hat_b = ([] if bootstrap_result is None
|
||
|
else [bootstrap_result.bootstrap_distribution])
|
||
|
|
||
|
batch_nominal = batch or n_resamples or 1
|
||
|
|
||
|
for k in range(0, n_resamples, batch_nominal):
|
||
|
batch_actual = min(batch_nominal, n_resamples-k)
|
||
|
# Generate resamples
|
||
|
resampled_data = []
|
||
|
for sample in data:
|
||
|
resample = _bootstrap_resample(sample, n_resamples=batch_actual,
|
||
|
random_state=random_state)
|
||
|
resampled_data.append(resample)
|
||
|
|
||
|
# Compute bootstrap distribution of statistic
|
||
|
theta_hat_b.append(statistic(*resampled_data, axis=-1))
|
||
|
theta_hat_b = np.concatenate(theta_hat_b, axis=-1)
|
||
|
|
||
|
# Calculate percentile interval
|
||
|
alpha = (1 - confidence_level)/2
|
||
|
if method == 'bca':
|
||
|
interval = _bca_interval(data, statistic, axis=-1, alpha=alpha,
|
||
|
theta_hat_b=theta_hat_b, batch=batch)[:2]
|
||
|
percentile_fun = _percentile_along_axis
|
||
|
else:
|
||
|
interval = alpha, 1-alpha
|
||
|
|
||
|
def percentile_fun(a, q):
|
||
|
return np.percentile(a=a, q=q, axis=-1)
|
||
|
|
||
|
# Calculate confidence interval of statistic
|
||
|
ci_l = percentile_fun(theta_hat_b, interval[0]*100)
|
||
|
ci_u = percentile_fun(theta_hat_b, interval[1]*100)
|
||
|
if method == 'basic': # see [3]
|
||
|
theta_hat = statistic(*data, axis=-1)
|
||
|
ci_l, ci_u = 2*theta_hat - ci_u, 2*theta_hat - ci_l
|
||
|
|
||
|
return BootstrapResult(confidence_interval=ConfidenceInterval(ci_l, ci_u),
|
||
|
bootstrap_distribution=theta_hat_b,
|
||
|
standard_error=np.std(theta_hat_b, ddof=1, axis=-1))
|
||
|
|
||
|
|
||
|
def _monte_carlo_test_iv(sample, rvs, statistic, vectorized, n_resamples,
|
||
|
batch, alternative, axis):
|
||
|
"""Input validation for `monte_carlo_test`."""
|
||
|
|
||
|
axis_int = int(axis)
|
||
|
if axis != axis_int:
|
||
|
raise ValueError("`axis` must be an integer.")
|
||
|
|
||
|
if vectorized not in {True, False, None}:
|
||
|
raise ValueError("`vectorized` must be `True`, `False`, or `None`.")
|
||
|
|
||
|
if not callable(rvs):
|
||
|
raise TypeError("`rvs` must be callable.")
|
||
|
|
||
|
if not callable(statistic):
|
||
|
raise TypeError("`statistic` must be callable.")
|
||
|
|
||
|
if vectorized is None:
|
||
|
vectorized = 'axis' in inspect.signature(statistic).parameters
|
||
|
|
||
|
if not vectorized:
|
||
|
statistic_vectorized = _vectorize_statistic(statistic)
|
||
|
else:
|
||
|
statistic_vectorized = statistic
|
||
|
|
||
|
sample = np.atleast_1d(sample)
|
||
|
sample = np.moveaxis(sample, axis, -1)
|
||
|
|
||
|
n_resamples_int = int(n_resamples)
|
||
|
if n_resamples != n_resamples_int or n_resamples_int <= 0:
|
||
|
raise ValueError("`n_resamples` must be a positive integer.")
|
||
|
|
||
|
if batch is None:
|
||
|
batch_iv = batch
|
||
|
else:
|
||
|
batch_iv = int(batch)
|
||
|
if batch != batch_iv or batch_iv <= 0:
|
||
|
raise ValueError("`batch` must be a positive integer or None.")
|
||
|
|
||
|
alternatives = {'two-sided', 'greater', 'less'}
|
||
|
alternative = alternative.lower()
|
||
|
if alternative not in alternatives:
|
||
|
raise ValueError(f"`alternative` must be in {alternatives}")
|
||
|
|
||
|
return (sample, rvs, statistic_vectorized, vectorized, n_resamples_int,
|
||
|
batch_iv, alternative, axis_int)
|
||
|
|
||
|
|
||
|
fields = ['statistic', 'pvalue', 'null_distribution']
|
||
|
MonteCarloTestResult = make_dataclass("MonteCarloTestResult", fields)
|
||
|
|
||
|
|
||
|
def monte_carlo_test(sample, rvs, statistic, *, vectorized=None,
|
||
|
n_resamples=9999, batch=None, alternative="two-sided",
|
||
|
axis=0):
|
||
|
r"""
|
||
|
Monte Carlo test that a sample is drawn from a given distribution.
|
||
|
|
||
|
The null hypothesis is that the provided `sample` was drawn at random from
|
||
|
the distribution for which `rvs` generates random variates. The value of
|
||
|
the `statistic` for the given sample is compared against a Monte Carlo null
|
||
|
distribution: the value of the statistic for each of `n_resamples`
|
||
|
samples generated by `rvs`. This gives the p-value, the probability of
|
||
|
observing such an extreme value of the test statistic under the null
|
||
|
hypothesis.
|
||
|
|
||
|
Parameters
|
||
|
----------
|
||
|
sample : array-like
|
||
|
An array of observations.
|
||
|
rvs : callable
|
||
|
Generates random variates from the distribution against which `sample`
|
||
|
will be tested. `rvs` must be a callable that accepts keyword argument
|
||
|
``size`` (e.g. ``rvs(size=(m, n))``) and returns an N-d array sample
|
||
|
of that shape.
|
||
|
statistic : callable
|
||
|
Statistic for which the p-value of the hypothesis test is to be
|
||
|
calculated. `statistic` must be a callable that accepts a sample
|
||
|
(e.g. ``statistic(sample)``) and returns the resulting statistic.
|
||
|
If `vectorized` is set ``True``, `statistic` must also accept a keyword
|
||
|
argument `axis` and be vectorized to compute the statistic along the
|
||
|
provided `axis` of the sample array.
|
||
|
vectorized : bool, optional
|
||
|
If `vectorized` is set ``False``, `statistic` will not be passed
|
||
|
keyword argument `axis` and is expected to calculate the statistic
|
||
|
only for 1D samples. If ``True``, `statistic` will be passed keyword
|
||
|
argument `axis` and is expected to calculate the statistic along `axis`
|
||
|
when passed an ND sample array. If ``None`` (default), `vectorized`
|
||
|
will be set ``True`` if ``axis`` is a parameter of `statistic`. Use of
|
||
|
a vectorized statistic typically reduces computation time.
|
||
|
n_resamples : int, default: 9999
|
||
|
Number of random permutations used to approximate the Monte Carlo null
|
||
|
distribution.
|
||
|
batch : int, optional
|
||
|
The number of permutations to process in each call to `statistic`.
|
||
|
Memory usage is O(`batch`*``sample.size[axis]``). Default is
|
||
|
``None``, in which case `batch` equals `n_resamples`.
|
||
|
alternative : {'two-sided', 'less', 'greater'}
|
||
|
The alternative hypothesis for which the p-value is calculated.
|
||
|
For each alternative, the p-value is defined as follows.
|
||
|
|
||
|
- ``'greater'`` : the percentage of the null distribution that is
|
||
|
greater than or equal to the observed value of the test statistic.
|
||
|
- ``'less'`` : the percentage of the null distribution that is
|
||
|
less than or equal to the observed value of the test statistic.
|
||
|
- ``'two-sided'`` : twice the smaller of the p-values above.
|
||
|
|
||
|
axis : int, default: 0
|
||
|
The axis of `sample` over which to calculate the statistic.
|
||
|
|
||
|
Returns
|
||
|
-------
|
||
|
statistic : float or ndarray
|
||
|
The observed test statistic of the sample.
|
||
|
pvalue : float or ndarray
|
||
|
The p-value for the given alternative.
|
||
|
null_distribution : ndarray
|
||
|
The values of the test statistic generated under the null hypothesis.
|
||
|
|
||
|
References
|
||
|
----------
|
||
|
|
||
|
.. [1] B. Phipson and G. K. Smyth. "Permutation P-values Should Never Be
|
||
|
Zero: Calculating Exact P-values When Permutations Are Randomly Drawn."
|
||
|
Statistical Applications in Genetics and Molecular Biology 9.1 (2010).
|
||
|
|
||
|
Examples
|
||
|
--------
|
||
|
|
||
|
Suppose we wish to test whether a small sample has been drawn from a normal
|
||
|
distribution. We decide that we will use the skew of the sample as a
|
||
|
test statistic, and we will consider a p-value of 0.05 to be statistically
|
||
|
significant.
|
||
|
|
||
|
>>> import numpy as np
|
||
|
>>> from scipy import stats
|
||
|
>>> def statistic(x, axis):
|
||
|
... return stats.skew(x, axis)
|
||
|
|
||
|
After collecting our data, we calculate the observed value of the test
|
||
|
statistic.
|
||
|
|
||
|
>>> rng = np.random.default_rng()
|
||
|
>>> x = stats.skewnorm.rvs(a=1, size=50, random_state=rng)
|
||
|
>>> statistic(x, axis=0)
|
||
|
0.12457412450240658
|
||
|
|
||
|
To determine the probability of observing such an extreme value of the
|
||
|
skewness by chance if the sample were drawn from the normal distribution,
|
||
|
we can perform a Monte Carlo hypothesis test. The test will draw many
|
||
|
samples at random from their normal distribution, calculate the skewness
|
||
|
of each sample, and compare our original skewness against this
|
||
|
distribution to determine an approximate p-value.
|
||
|
|
||
|
>>> from scipy.stats import monte_carlo_test
|
||
|
>>> # because our statistic is vectorized, we pass `vectorized=True`
|
||
|
>>> rvs = lambda size: stats.norm.rvs(size=size, random_state=rng)
|
||
|
>>> res = monte_carlo_test(x, rvs, statistic, vectorized=True)
|
||
|
>>> print(res.statistic)
|
||
|
0.12457412450240658
|
||
|
>>> print(res.pvalue)
|
||
|
0.7012
|
||
|
|
||
|
The probability of obtaining a test statistic less than or equal to the
|
||
|
observed value under the null hypothesis is ~70%. This is greater than
|
||
|
our chosen threshold of 5%, so we cannot consider this to be significant
|
||
|
evidence against the null hypothesis.
|
||
|
|
||
|
Note that this p-value essentially matches that of
|
||
|
`scipy.stats.skewtest`, which relies on an asymptotic distribution of a
|
||
|
test statistic based on the sample skewness.
|
||
|
|
||
|
>>> stats.skewtest(x).pvalue
|
||
|
0.6892046027110614
|
||
|
|
||
|
This asymptotic approximation is not valid for small sample sizes, but
|
||
|
`monte_carlo_test` can be used with samples of any size.
|
||
|
|
||
|
>>> x = stats.skewnorm.rvs(a=1, size=7, random_state=rng)
|
||
|
>>> # stats.skewtest(x) would produce an error due to small sample
|
||
|
>>> res = monte_carlo_test(x, rvs, statistic, vectorized=True)
|
||
|
|
||
|
The Monte Carlo distribution of the test statistic is provided for
|
||
|
further investigation.
|
||
|
|
||
|
>>> import matplotlib.pyplot as plt
|
||
|
>>> fig, ax = plt.subplots()
|
||
|
>>> ax.hist(res.null_distribution, bins=50)
|
||
|
>>> ax.set_title("Monte Carlo distribution of test statistic")
|
||
|
>>> ax.set_xlabel("Value of Statistic")
|
||
|
>>> ax.set_ylabel("Frequency")
|
||
|
>>> plt.show()
|
||
|
|
||
|
"""
|
||
|
args = _monte_carlo_test_iv(sample, rvs, statistic, vectorized,
|
||
|
n_resamples, batch, alternative, axis)
|
||
|
(sample, rvs, statistic, vectorized,
|
||
|
n_resamples, batch, alternative, axis) = args
|
||
|
|
||
|
# Some statistics return plain floats; ensure they're at least np.float64
|
||
|
observed = np.asarray(statistic(sample, axis=-1))[()]
|
||
|
|
||
|
n_observations = sample.shape[-1]
|
||
|
batch_nominal = batch or n_resamples
|
||
|
null_distribution = []
|
||
|
for k in range(0, n_resamples, batch_nominal):
|
||
|
batch_actual = min(batch_nominal, n_resamples-k)
|
||
|
resamples = rvs(size=(batch_actual, n_observations))
|
||
|
null_distribution.append(statistic(resamples, axis=-1))
|
||
|
null_distribution = np.concatenate(null_distribution)
|
||
|
null_distribution = null_distribution.reshape([-1] + [1]*observed.ndim)
|
||
|
|
||
|
def less(null_distribution, observed):
|
||
|
cmps = null_distribution <= observed
|
||
|
pvalues = (cmps.sum(axis=0) + 1) / (n_resamples + 1) # see [1]
|
||
|
return pvalues
|
||
|
|
||
|
def greater(null_distribution, observed):
|
||
|
cmps = null_distribution >= observed
|
||
|
pvalues = (cmps.sum(axis=0) + 1) / (n_resamples + 1) # see [1]
|
||
|
return pvalues
|
||
|
|
||
|
def two_sided(null_distribution, observed):
|
||
|
pvalues_less = less(null_distribution, observed)
|
||
|
pvalues_greater = greater(null_distribution, observed)
|
||
|
pvalues = np.minimum(pvalues_less, pvalues_greater) * 2
|
||
|
return pvalues
|
||
|
|
||
|
compare = {"less": less,
|
||
|
"greater": greater,
|
||
|
"two-sided": two_sided}
|
||
|
|
||
|
pvalues = compare[alternative](null_distribution, observed)
|
||
|
pvalues = np.clip(pvalues, 0, 1)
|
||
|
|
||
|
return MonteCarloTestResult(observed, pvalues, null_distribution)
|
||
|
|
||
|
|
||
|
attributes = ('statistic', 'pvalue', 'null_distribution')
|
||
|
PermutationTestResult = make_dataclass('PermutationTestResult', attributes)
|
||
|
|
||
|
|
||
|
def _all_partitions_concatenated(ns):
|
||
|
"""
|
||
|
Generate all partitions of indices of groups of given sizes, concatenated
|
||
|
|
||
|
`ns` is an iterable of ints.
|
||
|
"""
|
||
|
def all_partitions(z, n):
|
||
|
for c in combinations(z, n):
|
||
|
x0 = set(c)
|
||
|
x1 = z - x0
|
||
|
yield [x0, x1]
|
||
|
|
||
|
def all_partitions_n(z, ns):
|
||
|
if len(ns) == 0:
|
||
|
yield [z]
|
||
|
return
|
||
|
for c in all_partitions(z, ns[0]):
|
||
|
for d in all_partitions_n(c[1], ns[1:]):
|
||
|
yield c[0:1] + d
|
||
|
|
||
|
z = set(range(np.sum(ns)))
|
||
|
for partitioning in all_partitions_n(z, ns[:]):
|
||
|
x = np.concatenate([list(partition)
|
||
|
for partition in partitioning]).astype(int)
|
||
|
yield x
|
||
|
|
||
|
|
||
|
def _batch_generator(iterable, batch):
|
||
|
"""A generator that yields batches of elements from an iterable"""
|
||
|
iterator = iter(iterable)
|
||
|
if batch <= 0:
|
||
|
raise ValueError("`batch` must be positive.")
|
||
|
z = [item for i, item in zip(range(batch), iterator)]
|
||
|
while z: # we don't want StopIteration without yielding an empty list
|
||
|
yield z
|
||
|
z = [item for i, item in zip(range(batch), iterator)]
|
||
|
|
||
|
|
||
|
def _pairings_permutations_gen(n_permutations, n_samples, n_obs_sample, batch,
|
||
|
random_state):
|
||
|
# Returns a generator that yields arrays of size
|
||
|
# `(batch, n_samples, n_obs_sample)`.
|
||
|
# Each row is an independent permutation of indices 0 to `n_obs_sample`.
|
||
|
batch = min(batch, n_permutations)
|
||
|
|
||
|
if hasattr(random_state, 'permuted'):
|
||
|
def batched_perm_generator():
|
||
|
indices = np.arange(n_obs_sample)
|
||
|
indices = np.tile(indices, (batch, n_samples, 1))
|
||
|
for k in range(0, n_permutations, batch):
|
||
|
batch_actual = min(batch, n_permutations-k)
|
||
|
# Don't permute in place, otherwise results depend on `batch`
|
||
|
permuted_indices = random_state.permuted(indices, axis=-1)
|
||
|
yield permuted_indices[:batch_actual]
|
||
|
else: # RandomState and early Generators don't have `permuted`
|
||
|
def batched_perm_generator():
|
||
|
for k in range(0, n_permutations, batch):
|
||
|
batch_actual = min(batch, n_permutations-k)
|
||
|
size = (batch_actual, n_samples, n_obs_sample)
|
||
|
x = random_state.random(size=size)
|
||
|
yield np.argsort(x, axis=-1)[:batch_actual]
|
||
|
|
||
|
return batched_perm_generator()
|
||
|
|
||
|
def _calculate_null_both(data, statistic, n_permutations, batch,
|
||
|
random_state=None):
|
||
|
"""
|
||
|
Calculate null distribution for independent sample tests.
|
||
|
"""
|
||
|
n_samples = len(data)
|
||
|
|
||
|
# compute number of permutations
|
||
|
# (distinct partitions of data into samples of these sizes)
|
||
|
n_obs_i = [sample.shape[-1] for sample in data] # observations per sample
|
||
|
n_obs_ic = np.cumsum(n_obs_i)
|
||
|
n_obs = n_obs_ic[-1] # total number of observations
|
||
|
n_max = np.prod([comb(n_obs_ic[i], n_obs_ic[i-1])
|
||
|
for i in range(n_samples-1, 0, -1)])
|
||
|
|
||
|
# perm_generator is an iterator that produces permutations of indices
|
||
|
# from 0 to n_obs. We'll concatenate the samples, use these indices to
|
||
|
# permute the data, then split the samples apart again.
|
||
|
if n_permutations >= n_max:
|
||
|
exact_test = True
|
||
|
n_permutations = n_max
|
||
|
perm_generator = _all_partitions_concatenated(n_obs_i)
|
||
|
else:
|
||
|
exact_test = False
|
||
|
# Neither RandomState.permutation nor Generator.permutation
|
||
|
# can permute axis-slices independently. If this feature is
|
||
|
# added in the future, batches of the desired size should be
|
||
|
# generated in a single call.
|
||
|
perm_generator = (random_state.permutation(n_obs)
|
||
|
for i in range(n_permutations))
|
||
|
|
||
|
batch = batch or int(n_permutations)
|
||
|
null_distribution = []
|
||
|
|
||
|
# First, concatenate all the samples. In batches, permute samples with
|
||
|
# indices produced by the `perm_generator`, split them into new samples of
|
||
|
# the original sizes, compute the statistic for each batch, and add these
|
||
|
# statistic values to the null distribution.
|
||
|
data = np.concatenate(data, axis=-1)
|
||
|
for indices in _batch_generator(perm_generator, batch=batch):
|
||
|
indices = np.array(indices)
|
||
|
|
||
|
# `indices` is 2D: each row is a permutation of the indices.
|
||
|
# We use it to index `data` along its last axis, which corresponds
|
||
|
# with observations.
|
||
|
# After indexing, the second to last axis of `data_batch` corresponds
|
||
|
# with permutations, and the last axis corresponds with observations.
|
||
|
data_batch = data[..., indices]
|
||
|
|
||
|
# Move the permutation axis to the front: we'll concatenate a list
|
||
|
# of batched statistic values along this zeroth axis to form the
|
||
|
# null distribution.
|
||
|
data_batch = np.moveaxis(data_batch, -2, 0)
|
||
|
data_batch = np.split(data_batch, n_obs_ic[:-1], axis=-1)
|
||
|
null_distribution.append(statistic(*data_batch, axis=-1))
|
||
|
null_distribution = np.concatenate(null_distribution, axis=0)
|
||
|
|
||
|
return null_distribution, n_permutations, exact_test
|
||
|
|
||
|
|
||
|
def _calculate_null_pairings(data, statistic, n_permutations, batch,
|
||
|
random_state=None):
|
||
|
"""
|
||
|
Calculate null distribution for association tests.
|
||
|
"""
|
||
|
n_samples = len(data)
|
||
|
|
||
|
# compute number of permutations (factorial(n) permutations of each sample)
|
||
|
n_obs_sample = data[0].shape[-1] # observations per sample; same for each
|
||
|
n_max = factorial(n_obs_sample)**n_samples
|
||
|
|
||
|
# `perm_generator` is an iterator that produces a list of permutations of
|
||
|
# indices from 0 to n_obs_sample, one for each sample.
|
||
|
if n_permutations >= n_max:
|
||
|
exact_test = True
|
||
|
n_permutations = n_max
|
||
|
batch = batch or int(n_permutations)
|
||
|
# cartesian product of the sets of all permutations of indices
|
||
|
perm_generator = product(*(permutations(range(n_obs_sample))
|
||
|
for i in range(n_samples)))
|
||
|
batched_perm_generator = _batch_generator(perm_generator, batch=batch)
|
||
|
else:
|
||
|
exact_test = False
|
||
|
batch = batch or int(n_permutations)
|
||
|
# Separate random permutations of indices for each sample.
|
||
|
# Again, it would be nice if RandomState/Generator.permutation
|
||
|
# could permute each axis-slice separately.
|
||
|
args = n_permutations, n_samples, n_obs_sample, batch, random_state
|
||
|
batched_perm_generator = _pairings_permutations_gen(*args)
|
||
|
|
||
|
null_distribution = []
|
||
|
|
||
|
for indices in batched_perm_generator:
|
||
|
indices = np.array(indices)
|
||
|
|
||
|
# `indices` is 3D: the zeroth axis is for permutations, the next is
|
||
|
# for samples, and the last is for observations. Swap the first two
|
||
|
# to make the zeroth axis correspond with samples, as it does for
|
||
|
# `data`.
|
||
|
indices = np.swapaxes(indices, 0, 1)
|
||
|
|
||
|
# When we're done, `data_batch` will be a list of length `n_samples`.
|
||
|
# Each element will be a batch of random permutations of one sample.
|
||
|
# The zeroth axis of each batch will correspond with permutations,
|
||
|
# and the last will correspond with observations. (This makes it
|
||
|
# easy to pass into `statistic`.)
|
||
|
data_batch = [None]*n_samples
|
||
|
for i in range(n_samples):
|
||
|
data_batch[i] = data[i][..., indices[i]]
|
||
|
data_batch[i] = np.moveaxis(data_batch[i], -2, 0)
|
||
|
|
||
|
null_distribution.append(statistic(*data_batch, axis=-1))
|
||
|
null_distribution = np.concatenate(null_distribution, axis=0)
|
||
|
|
||
|
return null_distribution, n_permutations, exact_test
|
||
|
|
||
|
|
||
|
def _calculate_null_samples(data, statistic, n_permutations, batch,
|
||
|
random_state=None):
|
||
|
"""
|
||
|
Calculate null distribution for paired-sample tests.
|
||
|
"""
|
||
|
n_samples = len(data)
|
||
|
|
||
|
# By convention, the meaning of the "samples" permutations type for
|
||
|
# data with only one sample is to flip the sign of the observations.
|
||
|
# Achieve this by adding a second sample - the negative of the original.
|
||
|
if n_samples == 1:
|
||
|
data = [data[0], -data[0]]
|
||
|
|
||
|
# The "samples" permutation strategy is the same as the "pairings"
|
||
|
# strategy except the roles of samples and observations are flipped.
|
||
|
# So swap these axes, then we'll use the function for the "pairings"
|
||
|
# strategy to do all the work!
|
||
|
data = np.swapaxes(data, 0, -1)
|
||
|
|
||
|
# (Of course, the user's statistic doesn't know what we've done here,
|
||
|
# so we need to pass it what it's expecting.)
|
||
|
def statistic_wrapped(*data, axis):
|
||
|
data = np.swapaxes(data, 0, -1)
|
||
|
if n_samples == 1:
|
||
|
data = data[0:1]
|
||
|
return statistic(*data, axis=axis)
|
||
|
|
||
|
return _calculate_null_pairings(data, statistic_wrapped, n_permutations,
|
||
|
batch, random_state)
|
||
|
|
||
|
|
||
|
def _permutation_test_iv(data, statistic, permutation_type, vectorized,
|
||
|
n_resamples, batch, alternative, axis, random_state):
|
||
|
"""Input validation for `permutation_test`."""
|
||
|
|
||
|
axis_int = int(axis)
|
||
|
if axis != axis_int:
|
||
|
raise ValueError("`axis` must be an integer.")
|
||
|
|
||
|
permutation_types = {'samples', 'pairings', 'independent'}
|
||
|
permutation_type = permutation_type.lower()
|
||
|
if permutation_type not in permutation_types:
|
||
|
raise ValueError(f"`permutation_type` must be in {permutation_types}.")
|
||
|
|
||
|
if vectorized not in {True, False, None}:
|
||
|
raise ValueError("`vectorized` must be `True`, `False`, or `None`.")
|
||
|
|
||
|
if vectorized is None:
|
||
|
vectorized = 'axis' in inspect.signature(statistic).parameters
|
||
|
|
||
|
if not vectorized:
|
||
|
statistic = _vectorize_statistic(statistic)
|
||
|
|
||
|
message = "`data` must be a tuple containing at least two samples"
|
||
|
try:
|
||
|
if len(data) < 2 and permutation_type == 'independent':
|
||
|
raise ValueError(message)
|
||
|
except TypeError:
|
||
|
raise TypeError(message)
|
||
|
|
||
|
data = _broadcast_arrays(data, axis)
|
||
|
data_iv = []
|
||
|
for sample in data:
|
||
|
sample = np.atleast_1d(sample)
|
||
|
if sample.shape[axis] <= 1:
|
||
|
raise ValueError("each sample in `data` must contain two or more "
|
||
|
"observations along `axis`.")
|
||
|
sample = np.moveaxis(sample, axis_int, -1)
|
||
|
data_iv.append(sample)
|
||
|
|
||
|
n_resamples_int = (int(n_resamples) if not np.isinf(n_resamples)
|
||
|
else np.inf)
|
||
|
if n_resamples != n_resamples_int or n_resamples_int <= 0:
|
||
|
raise ValueError("`n_resamples` must be a positive integer.")
|
||
|
|
||
|
if batch is None:
|
||
|
batch_iv = batch
|
||
|
else:
|
||
|
batch_iv = int(batch)
|
||
|
if batch != batch_iv or batch_iv <= 0:
|
||
|
raise ValueError("`batch` must be a positive integer or None.")
|
||
|
|
||
|
alternatives = {'two-sided', 'greater', 'less'}
|
||
|
alternative = alternative.lower()
|
||
|
if alternative not in alternatives:
|
||
|
raise ValueError(f"`alternative` must be in {alternatives}")
|
||
|
|
||
|
random_state = check_random_state(random_state)
|
||
|
|
||
|
return (data_iv, statistic, permutation_type, vectorized, n_resamples_int,
|
||
|
batch_iv, alternative, axis_int, random_state)
|
||
|
|
||
|
|
||
|
def permutation_test(data, statistic, *, permutation_type='independent',
|
||
|
vectorized=None, n_resamples=9999, batch=None,
|
||
|
alternative="two-sided", axis=0, random_state=None):
|
||
|
r"""
|
||
|
Performs a permutation test of a given statistic on provided data.
|
||
|
|
||
|
For independent sample statistics, the null hypothesis is that the data are
|
||
|
randomly sampled from the same distribution.
|
||
|
For paired sample statistics, two null hypothesis can be tested:
|
||
|
that the data are paired at random or that the data are assigned to samples
|
||
|
at random.
|
||
|
|
||
|
Parameters
|
||
|
----------
|
||
|
data : iterable of array-like
|
||
|
Contains the samples, each of which is an array of observations.
|
||
|
Dimensions of sample arrays must be compatible for broadcasting except
|
||
|
along `axis`.
|
||
|
statistic : callable
|
||
|
Statistic for which the p-value of the hypothesis test is to be
|
||
|
calculated. `statistic` must be a callable that accepts samples
|
||
|
as separate arguments (e.g. ``statistic(*data)``) and returns the
|
||
|
resulting statistic.
|
||
|
If `vectorized` is set ``True``, `statistic` must also accept a keyword
|
||
|
argument `axis` and be vectorized to compute the statistic along the
|
||
|
provided `axis` of the sample arrays.
|
||
|
permutation_type : {'independent', 'samples', 'pairings'}, optional
|
||
|
The type of permutations to be performed, in accordance with the
|
||
|
null hypothesis. The first two permutation types are for paired sample
|
||
|
statistics, in which all samples contain the same number of
|
||
|
observations and observations with corresponding indices along `axis`
|
||
|
are considered to be paired; the third is for independent sample
|
||
|
statistics.
|
||
|
|
||
|
- ``'samples'`` : observations are assigned to different samples
|
||
|
but remain paired with the same observations from other samples.
|
||
|
This permutation type is appropriate for paired sample hypothesis
|
||
|
tests such as the Wilcoxon signed-rank test and the paired t-test.
|
||
|
- ``'pairings'`` : observations are paired with different observations,
|
||
|
but they remain within the same sample. This permutation type is
|
||
|
appropriate for association/correlation tests with statistics such
|
||
|
as Spearman's :math:`\rho`, Kendall's :math:`\tau`, and Pearson's
|
||
|
:math:`r`.
|
||
|
- ``'independent'`` (default) : observations are assigned to different
|
||
|
samples. Samples may contain different numbers of observations. This
|
||
|
permutation type is appropriate for independent sample hypothesis
|
||
|
tests such as the Mann-Whitney :math:`U` test and the independent
|
||
|
sample t-test.
|
||
|
|
||
|
Please see the Notes section below for more detailed descriptions
|
||
|
of the permutation types.
|
||
|
|
||
|
vectorized : bool, optional
|
||
|
If `vectorized` is set ``False``, `statistic` will not be passed
|
||
|
keyword argument `axis` and is expected to calculate the statistic
|
||
|
only for 1D samples. If ``True``, `statistic` will be passed keyword
|
||
|
argument `axis` and is expected to calculate the statistic along `axis`
|
||
|
when passed an ND sample array. If ``None`` (default), `vectorized`
|
||
|
will be set ``True`` if ``axis`` is a parameter of `statistic`. Use
|
||
|
of a vectorized statistic typically reduces computation time.
|
||
|
n_resamples : int or np.inf, default: 9999
|
||
|
Number of random permutations (resamples) used to approximate the null
|
||
|
distribution. If greater than or equal to the number of distinct
|
||
|
permutations, the exact null distribution will be computed.
|
||
|
Note that the number of distinct permutations grows very rapidly with
|
||
|
the sizes of samples, so exact tests are feasible only for very small
|
||
|
data sets.
|
||
|
batch : int, optional
|
||
|
The number of permutations to process in each call to `statistic`.
|
||
|
Memory usage is O(`batch`*``n``), where ``n`` is the total size
|
||
|
of all samples, regardless of the value of `vectorized`. Default is
|
||
|
``None``, in which case ``batch`` is the number of permutations.
|
||
|
alternative : {'two-sided', 'less', 'greater'}, optional
|
||
|
The alternative hypothesis for which the p-value is calculated.
|
||
|
For each alternative, the p-value is defined for exact tests as
|
||
|
follows.
|
||
|
|
||
|
- ``'greater'`` : the percentage of the null distribution that is
|
||
|
greater than or equal to the observed value of the test statistic.
|
||
|
- ``'less'`` : the percentage of the null distribution that is
|
||
|
less than or equal to the observed value of the test statistic.
|
||
|
- ``'two-sided'`` (default) : twice the smaller of the p-values above.
|
||
|
|
||
|
Note that p-values for randomized tests are calculated according to the
|
||
|
conservative (over-estimated) approximation suggested in [2]_ and [3]_
|
||
|
rather than the unbiased estimator suggested in [4]_. That is, when
|
||
|
calculating the proportion of the randomized null distribution that is
|
||
|
as extreme as the observed value of the test statistic, the values in
|
||
|
the numerator and denominator are both increased by one. An
|
||
|
interpretation of this adjustment is that the observed value of the
|
||
|
test statistic is always included as an element of the randomized
|
||
|
null distribution.
|
||
|
The convention used for two-sided p-values is not universal;
|
||
|
the observed test statistic and null distribution are returned in
|
||
|
case a different definition is preferred.
|
||
|
|
||
|
axis : int, default: 0
|
||
|
The axis of the (broadcasted) samples over which to calculate the
|
||
|
statistic. If samples have a different number of dimensions,
|
||
|
singleton dimensions are prepended to samples with fewer dimensions
|
||
|
before `axis` is considered.
|
||
|
random_state : {None, int, `numpy.random.Generator`,
|
||
|
`numpy.random.RandomState`}, optional
|
||
|
|
||
|
Pseudorandom number generator state used to generate permutations.
|
||
|
|
||
|
If `random_state` is ``None`` (default), the
|
||
|
`numpy.random.RandomState` singleton is used.
|
||
|
If `random_state` is an int, a new ``RandomState`` instance is used,
|
||
|
seeded with `random_state`.
|
||
|
If `random_state` is already a ``Generator`` or ``RandomState``
|
||
|
instance then that instance is used.
|
||
|
|
||
|
Returns
|
||
|
-------
|
||
|
statistic : float or ndarray
|
||
|
The observed test statistic of the data.
|
||
|
pvalue : float or ndarray
|
||
|
The p-value for the given alternative.
|
||
|
null_distribution : ndarray
|
||
|
The values of the test statistic generated under the null hypothesis.
|
||
|
|
||
|
Notes
|
||
|
-----
|
||
|
|
||
|
The three types of permutation tests supported by this function are
|
||
|
described below.
|
||
|
|
||
|
**Unpaired statistics** (``permutation_type='independent'``):
|
||
|
|
||
|
The null hypothesis associated with this permutation type is that all
|
||
|
observations are sampled from the same underlying distribution and that
|
||
|
they have been assigned to one of the samples at random.
|
||
|
|
||
|
Suppose ``data`` contains two samples; e.g. ``a, b = data``.
|
||
|
When ``1 < n_resamples < binom(n, k)``, where
|
||
|
|
||
|
* ``k`` is the number of observations in ``a``,
|
||
|
* ``n`` is the total number of observations in ``a`` and ``b``, and
|
||
|
* ``binom(n, k)`` is the binomial coefficient (``n`` choose ``k``),
|
||
|
|
||
|
the data are pooled (concatenated), randomly assigned to either the first
|
||
|
or second sample, and the statistic is calculated. This process is
|
||
|
performed repeatedly, `permutation` times, generating a distribution of the
|
||
|
statistic under the null hypothesis. The statistic of the original
|
||
|
data is compared to this distribution to determine the p-value.
|
||
|
|
||
|
When ``n_resamples >= binom(n, k)``, an exact test is performed: the data
|
||
|
are *partitioned* between the samples in each distinct way exactly once,
|
||
|
and the exact null distribution is formed.
|
||
|
Note that for a given partitioning of the data between the samples,
|
||
|
only one ordering/permutation of the data *within* each sample is
|
||
|
considered. For statistics that do not depend on the order of the data
|
||
|
within samples, this dramatically reduces computational cost without
|
||
|
affecting the shape of the null distribution (because the frequency/count
|
||
|
of each value is affected by the same factor).
|
||
|
|
||
|
For ``a = [a1, a2, a3, a4]`` and ``b = [b1, b2, b3]``, an example of this
|
||
|
permutation type is ``x = [b3, a1, a2, b2]`` and ``y = [a4, b1, a3]``.
|
||
|
Because only one ordering/permutation of the data *within* each sample
|
||
|
is considered in an exact test, a resampling like ``x = [b3, a1, b2, a2]``
|
||
|
and ``y = [a4, a3, b1]`` would *not* be considered distinct from the
|
||
|
example above.
|
||
|
|
||
|
``permutation_type='independent'`` does not support one-sample statistics,
|
||
|
but it can be applied to statistics with more than two samples. In this
|
||
|
case, if ``n`` is an array of the number of observations within each
|
||
|
sample, the number of distinct partitions is::
|
||
|
|
||
|
np.product([binom(sum(n[i:]), sum(n[i+1:])) for i in range(len(n)-1)])
|
||
|
|
||
|
**Paired statistics, permute pairings** (``permutation_type='pairings'``):
|
||
|
|
||
|
The null hypothesis associated with this permutation type is that
|
||
|
observations within each sample are drawn from the same underlying
|
||
|
distribution and that pairings with elements of other samples are
|
||
|
assigned at random.
|
||
|
|
||
|
Suppose ``data`` contains only one sample; e.g. ``a, = data``, and we
|
||
|
wish to consider all possible pairings of elements of ``a`` with elements
|
||
|
of a second sample, ``b``. Let ``n`` be the number of observations in
|
||
|
``a``, which must also equal the number of observations in ``b``.
|
||
|
|
||
|
When ``1 < n_resamples < factorial(n)``, the elements of ``a`` are
|
||
|
randomly permuted. The user-supplied statistic accepts one data argument,
|
||
|
say ``a_perm``, and calculates the statistic considering ``a_perm`` and
|
||
|
``b``. This process is performed repeatedly, `permutation` times,
|
||
|
generating a distribution of the statistic under the null hypothesis.
|
||
|
The statistic of the original data is compared to this distribution to
|
||
|
determine the p-value.
|
||
|
|
||
|
When ``n_resamples >= factorial(n)``, an exact test is performed:
|
||
|
``a`` is permuted in each distinct way exactly once. Therefore, the
|
||
|
`statistic` is computed for each unique pairing of samples between ``a``
|
||
|
and ``b`` exactly once.
|
||
|
|
||
|
For ``a = [a1, a2, a3]`` and ``b = [b1, b2, b3]``, an example of this
|
||
|
permutation type is ``a_perm = [a3, a1, a2]`` while ``b`` is left
|
||
|
in its original order.
|
||
|
|
||
|
``permutation_type='pairings'`` supports ``data`` containing any number
|
||
|
of samples, each of which must contain the same number of observations.
|
||
|
All samples provided in ``data`` are permuted *independently*. Therefore,
|
||
|
if ``m`` is the number of samples and ``n`` is the number of observations
|
||
|
within each sample, then the number of permutations in an exact test is::
|
||
|
|
||
|
factorial(n)**m
|
||
|
|
||
|
Note that if a two-sample statistic, for example, does not inherently
|
||
|
depend on the order in which observations are provided - only on the
|
||
|
*pairings* of observations - then only one of the two samples should be
|
||
|
provided in ``data``. This dramatically reduces computational cost without
|
||
|
affecting the shape of the null distribution (because the frequency/count
|
||
|
of each value is affected by the same factor).
|
||
|
|
||
|
**Paired statistics, permute samples** (``permutation_type='samples'``):
|
||
|
|
||
|
The null hypothesis associated with this permutation type is that
|
||
|
observations within each pair are drawn from the same underlying
|
||
|
distribution and that the sample to which they are assigned is random.
|
||
|
|
||
|
Suppose ``data`` contains two samples; e.g. ``a, b = data``.
|
||
|
Let ``n`` be the number of observations in ``a``, which must also equal
|
||
|
the number of observations in ``b``.
|
||
|
|
||
|
When ``1 < n_resamples < 2**n``, the elements of ``a`` are ``b`` are
|
||
|
randomly swapped between samples (maintaining their pairings) and the
|
||
|
statistic is calculated. This process is performed repeatedly,
|
||
|
`permutation` times, generating a distribution of the statistic under the
|
||
|
null hypothesis. The statistic of the original data is compared to this
|
||
|
distribution to determine the p-value.
|
||
|
|
||
|
When ``n_resamples >= 2**n``, an exact test is performed: the observations
|
||
|
are assigned to the two samples in each distinct way (while maintaining
|
||
|
pairings) exactly once.
|
||
|
|
||
|
For ``a = [a1, a2, a3]`` and ``b = [b1, b2, b3]``, an example of this
|
||
|
permutation type is ``x = [b1, a2, b3]`` and ``y = [a1, b2, a3]``.
|
||
|
|
||
|
``permutation_type='samples'`` supports ``data`` containing any number
|
||
|
of samples, each of which must contain the same number of observations.
|
||
|
If ``data`` contains more than one sample, paired observations within
|
||
|
``data`` are exchanged between samples *independently*. Therefore, if ``m``
|
||
|
is the number of samples and ``n`` is the number of observations within
|
||
|
each sample, then the number of permutations in an exact test is::
|
||
|
|
||
|
factorial(m)**n
|
||
|
|
||
|
Several paired-sample statistical tests, such as the Wilcoxon signed rank
|
||
|
test and paired-sample t-test, can be performed considering only the
|
||
|
*difference* between two paired elements. Accordingly, if ``data`` contains
|
||
|
only one sample, then the null distribution is formed by independently
|
||
|
changing the *sign* of each observation.
|
||
|
|
||
|
.. warning::
|
||
|
The p-value is calculated by counting the elements of the null
|
||
|
distribution that are as extreme or more extreme than the observed
|
||
|
value of the statistic. Due to the use of finite precision arithmetic,
|
||
|
some statistic functions return numerically distinct values when the
|
||
|
theoretical values would be exactly equal. In some cases, this could
|
||
|
lead to a large error in the calculated p-value. `permutation_test`
|
||
|
guards against this by considering elements in the null distribution
|
||
|
that are "close" (within a factor of ``1+1e-14``) to the observed
|
||
|
value of the test statistic as equal to the observed value of the
|
||
|
test statistic. However, the user is advised to inspect the null
|
||
|
distribution to assess whether this method of comparison is
|
||
|
appropriate, and if not, calculate the p-value manually. See example
|
||
|
below.
|
||
|
|
||
|
References
|
||
|
----------
|
||
|
|
||
|
.. [1] R. A. Fisher. The Design of Experiments, 6th Ed (1951).
|
||
|
.. [2] B. Phipson and G. K. Smyth. "Permutation P-values Should Never Be
|
||
|
Zero: Calculating Exact P-values When Permutations Are Randomly Drawn."
|
||
|
Statistical Applications in Genetics and Molecular Biology 9.1 (2010).
|
||
|
.. [3] M. D. Ernst. "Permutation Methods: A Basis for Exact Inference".
|
||
|
Statistical Science (2004).
|
||
|
.. [4] B. Efron and R. J. Tibshirani. An Introduction to the Bootstrap
|
||
|
(1993).
|
||
|
|
||
|
Examples
|
||
|
--------
|
||
|
|
||
|
Suppose we wish to test whether two samples are drawn from the same
|
||
|
distribution. Assume that the underlying distributions are unknown to us,
|
||
|
and that before observing the data, we hypothesized that the mean of the
|
||
|
first sample would be less than that of the second sample. We decide that
|
||
|
we will use the difference between the sample means as a test statistic,
|
||
|
and we will consider a p-value of 0.05 to be statistically significant.
|
||
|
|
||
|
For efficiency, we write the function defining the test statistic in a
|
||
|
vectorized fashion: the samples ``x`` and ``y`` can be ND arrays, and the
|
||
|
statistic will be calculated for each axis-slice along `axis`.
|
||
|
|
||
|
>>> import numpy as np
|
||
|
>>> def statistic(x, y, axis):
|
||
|
... return np.mean(x, axis=axis) - np.mean(y, axis=axis)
|
||
|
|
||
|
After collecting our data, we calculate the observed value of the test
|
||
|
statistic.
|
||
|
|
||
|
>>> from scipy.stats import norm
|
||
|
>>> rng = np.random.default_rng()
|
||
|
>>> x = norm.rvs(size=5, random_state=rng)
|
||
|
>>> y = norm.rvs(size=6, loc = 3, random_state=rng)
|
||
|
>>> statistic(x, y, 0)
|
||
|
-3.5411688580987266
|
||
|
|
||
|
Indeed, the test statistic is negative, suggesting that the true mean of
|
||
|
the distribution underlying ``x`` is less than that of the distribution
|
||
|
underlying ``y``. To determine the probability of this occuring by chance
|
||
|
if the two samples were drawn from the same distribution, we perform
|
||
|
a permutation test.
|
||
|
|
||
|
>>> from scipy.stats import permutation_test
|
||
|
>>> # because our statistic is vectorized, we pass `vectorized=True`
|
||
|
>>> # `n_resamples=np.inf` indicates that an exact test is to be performed
|
||
|
>>> res = permutation_test((x, y), statistic, vectorized=True,
|
||
|
... n_resamples=np.inf, alternative='less')
|
||
|
>>> print(res.statistic)
|
||
|
-3.5411688580987266
|
||
|
>>> print(res.pvalue)
|
||
|
0.004329004329004329
|
||
|
|
||
|
The probability of obtaining a test statistic less than or equal to the
|
||
|
observed value under the null hypothesis is 0.4329%. This is less than our
|
||
|
chosen threshold of 5%, so we consider this to be significant evidence
|
||
|
against the null hypothesis in favor of the alternative.
|
||
|
|
||
|
Because the size of the samples above was small, `permutation_test` could
|
||
|
perform an exact test. For larger samples, we resort to a randomized
|
||
|
permutation test.
|
||
|
|
||
|
>>> x = norm.rvs(size=100, random_state=rng)
|
||
|
>>> y = norm.rvs(size=120, loc=0.3, random_state=rng)
|
||
|
>>> res = permutation_test((x, y), statistic, n_resamples=100000,
|
||
|
... vectorized=True, alternative='less',
|
||
|
... random_state=rng)
|
||
|
>>> print(res.statistic)
|
||
|
-0.5230459671240913
|
||
|
>>> print(res.pvalue)
|
||
|
0.00016999830001699983
|
||
|
|
||
|
The approximate probability of obtaining a test statistic less than or
|
||
|
equal to the observed value under the null hypothesis is 0.0225%. This is
|
||
|
again less than our chosen threshold of 5%, so again we have significant
|
||
|
evidence to reject the null hypothesis in favor of the alternative.
|
||
|
|
||
|
For large samples and number of permutations, the result is comparable to
|
||
|
that of the corresponding asymptotic test, the independent sample t-test.
|
||
|
|
||
|
>>> from scipy.stats import ttest_ind
|
||
|
>>> res_asymptotic = ttest_ind(x, y, alternative='less')
|
||
|
>>> print(res_asymptotic.pvalue)
|
||
|
0.00012688101537979522
|
||
|
|
||
|
The permutation distribution of the test statistic is provided for
|
||
|
further investigation.
|
||
|
|
||
|
>>> import matplotlib.pyplot as plt
|
||
|
>>> plt.hist(res.null_distribution, bins=50)
|
||
|
>>> plt.title("Permutation distribution of test statistic")
|
||
|
>>> plt.xlabel("Value of Statistic")
|
||
|
>>> plt.ylabel("Frequency")
|
||
|
>>> plt.show()
|
||
|
|
||
|
Inspection of the null distribution is essential if the statistic suffers
|
||
|
from inaccuracy due to limited machine precision. Consider the following
|
||
|
case:
|
||
|
|
||
|
>>> from scipy.stats import pearsonr
|
||
|
>>> x = [1, 2, 4, 3]
|
||
|
>>> y = [2, 4, 6, 8]
|
||
|
>>> def statistic(x, y):
|
||
|
... return pearsonr(x, y).statistic
|
||
|
>>> res = permutation_test((x, y), statistic, vectorized=False,
|
||
|
... permutation_type='pairings',
|
||
|
... alternative='greater')
|
||
|
>>> r, pvalue, null = res.statistic, res.pvalue, res.null_distribution
|
||
|
|
||
|
In this case, some elements of the null distribution differ from the
|
||
|
observed value of the correlation coefficient ``r`` due to numerical noise.
|
||
|
We manually inspect the elements of the null distribution that are nearly
|
||
|
the same as the observed value of the test statistic.
|
||
|
|
||
|
>>> r
|
||
|
0.8
|
||
|
>>> unique = np.unique(null)
|
||
|
>>> unique
|
||
|
array([-1. , -0.8, -0.8, -0.6, -0.4, -0.2, -0.2, 0. , 0.2, 0.2, 0.4,
|
||
|
0.6, 0.8, 0.8, 1. ]) # may vary
|
||
|
>>> unique[np.isclose(r, unique)].tolist()
|
||
|
[0.7999999999999999, 0.8]
|
||
|
|
||
|
If `permutation_test` were to perform the comparison naively, the
|
||
|
elements of the null distribution with value ``0.7999999999999999`` would
|
||
|
not be considered as extreme or more extreme as the observed value of the
|
||
|
statistic, so the calculated p-value would be too small.
|
||
|
|
||
|
>>> incorrect_pvalue = np.count_nonzero(null >= r) / len(null)
|
||
|
>>> incorrect_pvalue
|
||
|
0.1111111111111111 # may vary
|
||
|
|
||
|
Instead, `permutation_test` treats elements of the null distribution that
|
||
|
are within ``max(1e-14, abs(r)*1e-14)`` of the observed value of the
|
||
|
statistic ``r`` to be equal to ``r``.
|
||
|
|
||
|
>>> correct_pvalue = np.count_nonzero(null >= r - 1e-14) / len(null)
|
||
|
>>> correct_pvalue
|
||
|
0.16666666666666666
|
||
|
>>> res.pvalue == correct_pvalue
|
||
|
True
|
||
|
|
||
|
This method of comparison is expected to be accurate in most practical
|
||
|
situations, but the user is advised to assess this by inspecting the
|
||
|
elements of the null distribution that are close to the observed value
|
||
|
of the statistic. Also, consider the use of statistics that can be
|
||
|
calculated using exact arithmetic (e.g. integer statistics).
|
||
|
|
||
|
"""
|
||
|
args = _permutation_test_iv(data, statistic, permutation_type, vectorized,
|
||
|
n_resamples, batch, alternative, axis,
|
||
|
random_state)
|
||
|
(data, statistic, permutation_type, vectorized, n_resamples, batch,
|
||
|
alternative, axis, random_state) = args
|
||
|
|
||
|
observed = statistic(*data, axis=-1)
|
||
|
|
||
|
null_calculators = {"pairings": _calculate_null_pairings,
|
||
|
"samples": _calculate_null_samples,
|
||
|
"independent": _calculate_null_both}
|
||
|
null_calculator_args = (data, statistic, n_resamples,
|
||
|
batch, random_state)
|
||
|
calculate_null = null_calculators[permutation_type]
|
||
|
null_distribution, n_resamples, exact_test = (
|
||
|
calculate_null(*null_calculator_args))
|
||
|
|
||
|
# See References [2] and [3]
|
||
|
adjustment = 0 if exact_test else 1
|
||
|
|
||
|
# relative tolerance for detecting numerically distinct but
|
||
|
# theoretically equal values in the null distribution
|
||
|
eps = 1e-14
|
||
|
gamma = np.maximum(eps, np.abs(eps * observed))
|
||
|
|
||
|
def less(null_distribution, observed):
|
||
|
cmps = null_distribution <= observed + gamma
|
||
|
pvalues = (cmps.sum(axis=0) + adjustment) / (n_resamples + adjustment)
|
||
|
return pvalues
|
||
|
|
||
|
def greater(null_distribution, observed):
|
||
|
cmps = null_distribution >= observed - gamma
|
||
|
pvalues = (cmps.sum(axis=0) + adjustment) / (n_resamples + adjustment)
|
||
|
return pvalues
|
||
|
|
||
|
def two_sided(null_distribution, observed):
|
||
|
pvalues_less = less(null_distribution, observed)
|
||
|
pvalues_greater = greater(null_distribution, observed)
|
||
|
pvalues = np.minimum(pvalues_less, pvalues_greater) * 2
|
||
|
return pvalues
|
||
|
|
||
|
compare = {"less": less,
|
||
|
"greater": greater,
|
||
|
"two-sided": two_sided}
|
||
|
|
||
|
pvalues = compare[alternative](null_distribution, observed)
|
||
|
pvalues = np.clip(pvalues, 0, 1)
|
||
|
|
||
|
return PermutationTestResult(observed, pvalues, null_distribution)
|