import numpy as np from numpy.testing import assert_equal, assert_allclose # avoid new uses of the following; prefer assert/np.testing.assert_allclose from numpy.testing import (assert_, assert_almost_equal, assert_array_almost_equal) import pytest from pytest import raises as assert_raises import scipy.stats as stats class TestEntropy: def test_entropy_positive(self): # See ticket #497 pk = [0.5, 0.2, 0.3] qk = [0.1, 0.25, 0.65] eself = stats.entropy(pk, pk) edouble = stats.entropy(pk, qk) assert_(0.0 == eself) assert_(edouble >= 0.0) def test_entropy_base(self): pk = np.ones(16, float) S = stats.entropy(pk, base=2.) assert_(abs(S - 4.) < 1.e-5) qk = np.ones(16, float) qk[:8] = 2. S = stats.entropy(pk, qk) S2 = stats.entropy(pk, qk, base=2.) assert_(abs(S/S2 - np.log(2.)) < 1.e-5) def test_entropy_zero(self): # Test for PR-479 assert_almost_equal(stats.entropy([0, 1, 2]), 0.63651416829481278, decimal=12) def test_entropy_2d(self): pk = [[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]] qk = [[0.2, 0.1], [0.3, 0.6], [0.5, 0.3]] assert_array_almost_equal(stats.entropy(pk, qk), [0.1933259, 0.18609809]) def test_entropy_2d_zero(self): pk = [[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]] qk = [[0.0, 0.1], [0.3, 0.6], [0.5, 0.3]] assert_array_almost_equal(stats.entropy(pk, qk), [np.inf, 0.18609809]) pk[0][0] = 0.0 assert_array_almost_equal(stats.entropy(pk, qk), [0.17403988, 0.18609809]) def test_entropy_base_2d_nondefault_axis(self): pk = [[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]] assert_array_almost_equal(stats.entropy(pk, axis=1), [0.63651417, 0.63651417, 0.66156324]) def test_entropy_2d_nondefault_axis(self): pk = [[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]] qk = [[0.2, 0.1], [0.3, 0.6], [0.5, 0.3]] assert_array_almost_equal(stats.entropy(pk, qk, axis=1), [0.231049, 0.231049, 0.127706]) def test_entropy_raises_value_error(self): pk = [[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]] qk = [[0.1, 0.2], [0.6, 0.3]] assert_raises(ValueError, stats.entropy, pk, qk) def test_base_entropy_with_axis_0_is_equal_to_default(self): pk = [[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]] assert_array_almost_equal(stats.entropy(pk, axis=0), stats.entropy(pk)) def test_entropy_with_axis_0_is_equal_to_default(self): pk = [[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]] qk = [[0.2, 0.1], [0.3, 0.6], [0.5, 0.3]] assert_array_almost_equal(stats.entropy(pk, qk, axis=0), stats.entropy(pk, qk)) def test_base_entropy_transposed(self): pk = np.array([[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]]) assert_array_almost_equal(stats.entropy(pk.T).T, stats.entropy(pk, axis=1)) def test_entropy_transposed(self): pk = np.array([[0.1, 0.2], [0.6, 0.3], [0.3, 0.5]]) qk = np.array([[0.2, 0.1], [0.3, 0.6], [0.5, 0.3]]) assert_array_almost_equal(stats.entropy(pk.T, qk.T).T, stats.entropy(pk, qk, axis=1)) def test_entropy_broadcasting(self): np.random.rand(0) x = np.random.rand(3) y = np.random.rand(2, 1) res = stats.entropy(x, y, axis=-1) assert_equal(res[0], stats.entropy(x, y[0])) assert_equal(res[1], stats.entropy(x, y[1])) def test_entropy_shape_mismatch(self): x = np.random.rand(10, 1, 12) y = np.random.rand(11, 2) message = "shape mismatch: objects cannot be broadcast" with pytest.raises(ValueError, match=message): stats.entropy(x, y) def test_input_validation(self): x = np.random.rand(10) message = "`base` must be a positive number." with pytest.raises(ValueError, match=message): stats.entropy(x, base=-2) class TestDifferentialEntropy: """ Vasicek results are compared with the R package vsgoftest. # library(vsgoftest) # # samp <- c() # entropy.estimate(x = samp, window = ) """ def test_differential_entropy_vasicek(self): random_state = np.random.RandomState(0) values = random_state.standard_normal(100) entropy = stats.differential_entropy(values, method='vasicek') assert_allclose(entropy, 1.342551, rtol=1e-6) entropy = stats.differential_entropy(values, window_length=1, method='vasicek') assert_allclose(entropy, 1.122044, rtol=1e-6) entropy = stats.differential_entropy(values, window_length=8, method='vasicek') assert_allclose(entropy, 1.349401, rtol=1e-6) def test_differential_entropy_vasicek_2d_nondefault_axis(self): random_state = np.random.RandomState(0) values = random_state.standard_normal((3, 100)) entropy = stats.differential_entropy(values, axis=1, method='vasicek') assert_allclose( entropy, [1.342551, 1.341826, 1.293775], rtol=1e-6, ) entropy = stats.differential_entropy(values, axis=1, window_length=1, method='vasicek') assert_allclose( entropy, [1.122044, 1.102944, 1.129616], rtol=1e-6, ) entropy = stats.differential_entropy(values, axis=1, window_length=8, method='vasicek') assert_allclose( entropy, [1.349401, 1.338514, 1.292332], rtol=1e-6, ) def test_differential_entropy_raises_value_error(self): random_state = np.random.RandomState(0) values = random_state.standard_normal((3, 100)) error_str = ( r"Window length \({window_length}\) must be positive and less " r"than half the sample size \({sample_size}\)." ) sample_size = values.shape[1] for window_length in {-1, 0, sample_size//2, sample_size}: formatted_error_str = error_str.format( window_length=window_length, sample_size=sample_size, ) with assert_raises(ValueError, match=formatted_error_str): stats.differential_entropy( values, window_length=window_length, axis=1, ) def test_base_differential_entropy_with_axis_0_is_equal_to_default(self): random_state = np.random.RandomState(0) values = random_state.standard_normal((100, 3)) entropy = stats.differential_entropy(values, axis=0) default_entropy = stats.differential_entropy(values) assert_allclose(entropy, default_entropy) def test_base_differential_entropy_transposed(self): random_state = np.random.RandomState(0) values = random_state.standard_normal((3, 100)) assert_allclose( stats.differential_entropy(values.T).T, stats.differential_entropy(values, axis=1), ) def test_input_validation(self): x = np.random.rand(10) message = "`base` must be a positive number or `None`." with pytest.raises(ValueError, match=message): stats.differential_entropy(x, base=-2) message = "`method` must be one of..." with pytest.raises(ValueError, match=message): stats.differential_entropy(x, method='ekki-ekki') @pytest.mark.parametrize('method', ['vasicek', 'van es', 'ebrahimi', 'correa']) def test_consistency(self, method): # test that method is a consistent estimator n = 10000 if method == 'correa' else 1000000 rvs = stats.norm.rvs(size=n, random_state=0) expected = stats.norm.entropy() res = stats.differential_entropy(rvs, method=method) assert_allclose(res, expected, rtol=0.005) # values from differential_entropy reference [6], table 1, n=50, m=7 norm_rmse_std_cases = { # method: (RMSE, STD) 'vasicek': (0.198, 0.109), 'van es': (0.212, 0.110), 'correa': (0.135, 0.112), 'ebrahimi': (0.128, 0.109) } @pytest.mark.parametrize('method, expected', list(norm_rmse_std_cases.items())) def test_norm_rmse_std(self, method, expected): # test that RMSE and standard deviation of estimators matches values # given in differential_entropy reference [6]. Incidentally, also # tests vectorization. reps, n, m = 10000, 50, 7 rmse_expected, std_expected = expected rvs = stats.norm.rvs(size=(reps, n), random_state=0) true_entropy = stats.norm.entropy() res = stats.differential_entropy(rvs, window_length=m, method=method, axis=-1) assert_allclose(np.sqrt(np.mean((res - true_entropy)**2)), rmse_expected, atol=0.005) assert_allclose(np.std(res), std_expected, atol=0.002) # values from differential_entropy reference [6], table 2, n=50, m=7 expon_rmse_std_cases = { # method: (RMSE, STD) 'vasicek': (0.194, 0.148), 'van es': (0.179, 0.149), 'correa': (0.155, 0.152), 'ebrahimi': (0.151, 0.148) } @pytest.mark.parametrize('method, expected', list(expon_rmse_std_cases.items())) def test_expon_rmse_std(self, method, expected): # test that RMSE and standard deviation of estimators matches values # given in differential_entropy reference [6]. Incidentally, also # tests vectorization. reps, n, m = 10000, 50, 7 rmse_expected, std_expected = expected rvs = stats.expon.rvs(size=(reps, n), random_state=0) true_entropy = stats.expon.entropy() res = stats.differential_entropy(rvs, window_length=m, method=method, axis=-1) assert_allclose(np.sqrt(np.mean((res - true_entropy)**2)), rmse_expected, atol=0.005) assert_allclose(np.std(res), std_expected, atol=0.002) @pytest.mark.parametrize('n, method', [(8, 'van es'), (12, 'ebrahimi'), (1001, 'vasicek')]) def test_method_auto(self, n, method): rvs = stats.norm.rvs(size=(n,), random_state=0) res1 = stats.differential_entropy(rvs) res2 = stats.differential_entropy(rvs, method=method) assert res1 == res2