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author | thegeorg <thegeorg@yandex-team.com> | 2024-02-19 02:38:52 +0300 |
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committer | thegeorg <thegeorg@yandex-team.com> | 2024-02-19 02:50:43 +0300 |
commit | d96fa07134c06472bfee6718b5cfd1679196fc99 (patch) | |
tree | 31ec344fa9d3ff8dc038692516b6438dfbdb8a2d /contrib/tools/python3/Lib/statistics.py | |
parent | 452cf9e068aef7110e35e654c5d47eb80111ef89 (diff) | |
download | ydb-d96fa07134c06472bfee6718b5cfd1679196fc99.tar.gz |
Sync contrib/tools/python3 layout with upstream
* Move src/ subdir contents to the top of the layout
* Rename self-written lib -> lib2 to avoid CaseFolding warning from the VCS
* Regenerate contrib/libs/python proxy-headers accordingly
4ccc62ac1511abcf0fed14ccade38e984e088f1e
Diffstat (limited to 'contrib/tools/python3/Lib/statistics.py')
-rw-r--r-- | contrib/tools/python3/Lib/statistics.py | 1454 |
1 files changed, 1454 insertions, 0 deletions
diff --git a/contrib/tools/python3/Lib/statistics.py b/contrib/tools/python3/Lib/statistics.py new file mode 100644 index 0000000000..6bd214bbfe --- /dev/null +++ b/contrib/tools/python3/Lib/statistics.py @@ -0,0 +1,1454 @@ +""" +Basic statistics module. + +This module provides functions for calculating statistics of data, including +averages, variance, and standard deviation. + +Calculating averages +-------------------- + +================== ================================================== +Function Description +================== ================================================== +mean Arithmetic mean (average) of data. +fmean Fast, floating point arithmetic mean. +geometric_mean Geometric mean of data. +harmonic_mean Harmonic mean of data. +median Median (middle value) of data. +median_low Low median of data. +median_high High median of data. +median_grouped Median, or 50th percentile, of grouped data. +mode Mode (most common value) of data. +multimode List of modes (most common values of data). +quantiles Divide data into intervals with equal probability. +================== ================================================== + +Calculate the arithmetic mean ("the average") of data: + +>>> mean([-1.0, 2.5, 3.25, 5.75]) +2.625 + + +Calculate the standard median of discrete data: + +>>> median([2, 3, 4, 5]) +3.5 + + +Calculate the median, or 50th percentile, of data grouped into class intervals +centred on the data values provided. E.g. if your data points are rounded to +the nearest whole number: + +>>> median_grouped([2, 2, 3, 3, 3, 4]) #doctest: +ELLIPSIS +2.8333333333... + +This should be interpreted in this way: you have two data points in the class +interval 1.5-2.5, three data points in the class interval 2.5-3.5, and one in +the class interval 3.5-4.5. The median of these data points is 2.8333... + + +Calculating variability or spread +--------------------------------- + +================== ============================================= +Function Description +================== ============================================= +pvariance Population variance of data. +variance Sample variance of data. +pstdev Population standard deviation of data. +stdev Sample standard deviation of data. +================== ============================================= + +Calculate the standard deviation of sample data: + +>>> stdev([2.5, 3.25, 5.5, 11.25, 11.75]) #doctest: +ELLIPSIS +4.38961843444... + +If you have previously calculated the mean, you can pass it as the optional +second argument to the four "spread" functions to avoid recalculating it: + +>>> data = [1, 2, 2, 4, 4, 4, 5, 6] +>>> mu = mean(data) +>>> pvariance(data, mu) +2.5 + + +Statistics for relations between two inputs +------------------------------------------- + +================== ==================================================== +Function Description +================== ==================================================== +covariance Sample covariance for two variables. +correlation Pearson's correlation coefficient for two variables. +linear_regression Intercept and slope for simple linear regression. +================== ==================================================== + +Calculate covariance, Pearson's correlation, and simple linear regression +for two inputs: + +>>> x = [1, 2, 3, 4, 5, 6, 7, 8, 9] +>>> y = [1, 2, 3, 1, 2, 3, 1, 2, 3] +>>> covariance(x, y) +0.75 +>>> correlation(x, y) #doctest: +ELLIPSIS +0.31622776601... +>>> linear_regression(x, y) #doctest: +LinearRegression(slope=0.1, intercept=1.5) + + +Exceptions +---------- + +A single exception is defined: StatisticsError is a subclass of ValueError. + +""" + +__all__ = [ + 'NormalDist', + 'StatisticsError', + 'correlation', + 'covariance', + 'fmean', + 'geometric_mean', + 'harmonic_mean', + 'linear_regression', + 'mean', + 'median', + 'median_grouped', + 'median_high', + 'median_low', + 'mode', + 'multimode', + 'pstdev', + 'pvariance', + 'quantiles', + 'stdev', + 'variance', +] + +import math +import numbers +import random +import sys + +from fractions import Fraction +from decimal import Decimal +from itertools import count, groupby, repeat +from bisect import bisect_left, bisect_right +from math import hypot, sqrt, fabs, exp, erf, tau, log, fsum, sumprod +from functools import reduce +from operator import itemgetter +from collections import Counter, namedtuple, defaultdict + +_SQRT2 = sqrt(2.0) + +# === Exceptions === + +class StatisticsError(ValueError): + pass + + +# === Private utilities === + +def _sum(data): + """_sum(data) -> (type, sum, count) + + Return a high-precision sum of the given numeric data as a fraction, + together with the type to be converted to and the count of items. + + Examples + -------- + + >>> _sum([3, 2.25, 4.5, -0.5, 0.25]) + (<class 'float'>, Fraction(19, 2), 5) + + Some sources of round-off error will be avoided: + + # Built-in sum returns zero. + >>> _sum([1e50, 1, -1e50] * 1000) + (<class 'float'>, Fraction(1000, 1), 3000) + + Fractions and Decimals are also supported: + + >>> from fractions import Fraction as F + >>> _sum([F(2, 3), F(7, 5), F(1, 4), F(5, 6)]) + (<class 'fractions.Fraction'>, Fraction(63, 20), 4) + + >>> from decimal import Decimal as D + >>> data = [D("0.1375"), D("0.2108"), D("0.3061"), D("0.0419")] + >>> _sum(data) + (<class 'decimal.Decimal'>, Fraction(6963, 10000), 4) + + Mixed types are currently treated as an error, except that int is + allowed. + """ + count = 0 + types = set() + types_add = types.add + partials = {} + partials_get = partials.get + for typ, values in groupby(data, type): + types_add(typ) + for n, d in map(_exact_ratio, values): + count += 1 + partials[d] = partials_get(d, 0) + n + if None in partials: + # The sum will be a NAN or INF. We can ignore all the finite + # partials, and just look at this special one. + total = partials[None] + assert not _isfinite(total) + else: + # Sum all the partial sums using builtin sum. + total = sum(Fraction(n, d) for d, n in partials.items()) + T = reduce(_coerce, types, int) # or raise TypeError + return (T, total, count) + + +def _ss(data, c=None): + """Return the exact mean and sum of square deviations of sequence data. + + Calculations are done in a single pass, allowing the input to be an iterator. + + If given *c* is used the mean; otherwise, it is calculated from the data. + Use the *c* argument with care, as it can lead to garbage results. + + """ + if c is not None: + T, ssd, count = _sum((d := x - c) * d for x in data) + return (T, ssd, c, count) + count = 0 + types = set() + types_add = types.add + sx_partials = defaultdict(int) + sxx_partials = defaultdict(int) + for typ, values in groupby(data, type): + types_add(typ) + for n, d in map(_exact_ratio, values): + count += 1 + sx_partials[d] += n + sxx_partials[d] += n * n + if not count: + ssd = c = Fraction(0) + elif None in sx_partials: + # The sum will be a NAN or INF. We can ignore all the finite + # partials, and just look at this special one. + ssd = c = sx_partials[None] + assert not _isfinite(ssd) + else: + sx = sum(Fraction(n, d) for d, n in sx_partials.items()) + sxx = sum(Fraction(n, d*d) for d, n in sxx_partials.items()) + # This formula has poor numeric properties for floats, + # but with fractions it is exact. + ssd = (count * sxx - sx * sx) / count + c = sx / count + T = reduce(_coerce, types, int) # or raise TypeError + return (T, ssd, c, count) + + +def _isfinite(x): + try: + return x.is_finite() # Likely a Decimal. + except AttributeError: + return math.isfinite(x) # Coerces to float first. + + +def _coerce(T, S): + """Coerce types T and S to a common type, or raise TypeError. + + Coercion rules are currently an implementation detail. See the CoerceTest + test class in test_statistics for details. + """ + # See http://bugs.python.org/issue24068. + assert T is not bool, "initial type T is bool" + # If the types are the same, no need to coerce anything. Put this + # first, so that the usual case (no coercion needed) happens as soon + # as possible. + if T is S: return T + # Mixed int & other coerce to the other type. + if S is int or S is bool: return T + if T is int: return S + # If one is a (strict) subclass of the other, coerce to the subclass. + if issubclass(S, T): return S + if issubclass(T, S): return T + # Ints coerce to the other type. + if issubclass(T, int): return S + if issubclass(S, int): return T + # Mixed fraction & float coerces to float (or float subclass). + if issubclass(T, Fraction) and issubclass(S, float): + return S + if issubclass(T, float) and issubclass(S, Fraction): + return T + # Any other combination is disallowed. + msg = "don't know how to coerce %s and %s" + raise TypeError(msg % (T.__name__, S.__name__)) + + +def _exact_ratio(x): + """Return Real number x to exact (numerator, denominator) pair. + + >>> _exact_ratio(0.25) + (1, 4) + + x is expected to be an int, Fraction, Decimal or float. + """ + + # XXX We should revisit whether using fractions to accumulate exact + # ratios is the right way to go. + + # The integer ratios for binary floats can have numerators or + # denominators with over 300 decimal digits. The problem is more + # acute with decimal floats where the default decimal context + # supports a huge range of exponents from Emin=-999999 to + # Emax=999999. When expanded with as_integer_ratio(), numbers like + # Decimal('3.14E+5000') and Decimal('3.14E-5000') have large + # numerators or denominators that will slow computation. + + # When the integer ratios are accumulated as fractions, the size + # grows to cover the full range from the smallest magnitude to the + # largest. For example, Fraction(3.14E+300) + Fraction(3.14E-300), + # has a 616 digit numerator. Likewise, + # Fraction(Decimal('3.14E+5000')) + Fraction(Decimal('3.14E-5000')) + # has 10,003 digit numerator. + + # This doesn't seem to have been problem in practice, but it is a + # potential pitfall. + + try: + return x.as_integer_ratio() + except AttributeError: + pass + except (OverflowError, ValueError): + # float NAN or INF. + assert not _isfinite(x) + return (x, None) + try: + # x may be an Integral ABC. + return (x.numerator, x.denominator) + except AttributeError: + msg = f"can't convert type '{type(x).__name__}' to numerator/denominator" + raise TypeError(msg) + + +def _convert(value, T): + """Convert value to given numeric type T.""" + if type(value) is T: + # This covers the cases where T is Fraction, or where value is + # a NAN or INF (Decimal or float). + return value + if issubclass(T, int) and value.denominator != 1: + T = float + try: + # FIXME: what do we do if this overflows? + return T(value) + except TypeError: + if issubclass(T, Decimal): + return T(value.numerator) / T(value.denominator) + else: + raise + + +def _fail_neg(values, errmsg='negative value'): + """Iterate over values, failing if any are less than zero.""" + for x in values: + if x < 0: + raise StatisticsError(errmsg) + yield x + + +def _rank(data, /, *, key=None, reverse=False, ties='average', start=1) -> list[float]: + """Rank order a dataset. The lowest value has rank 1. + + Ties are averaged so that equal values receive the same rank: + + >>> data = [31, 56, 31, 25, 75, 18] + >>> _rank(data) + [3.5, 5.0, 3.5, 2.0, 6.0, 1.0] + + The operation is idempotent: + + >>> _rank([3.5, 5.0, 3.5, 2.0, 6.0, 1.0]) + [3.5, 5.0, 3.5, 2.0, 6.0, 1.0] + + It is possible to rank the data in reverse order so that the + highest value has rank 1. Also, a key-function can extract + the field to be ranked: + + >>> goals = [('eagles', 45), ('bears', 48), ('lions', 44)] + >>> _rank(goals, key=itemgetter(1), reverse=True) + [2.0, 1.0, 3.0] + + Ranks are conventionally numbered starting from one; however, + setting *start* to zero allows the ranks to be used as array indices: + + >>> prize = ['Gold', 'Silver', 'Bronze', 'Certificate'] + >>> scores = [8.1, 7.3, 9.4, 8.3] + >>> [prize[int(i)] for i in _rank(scores, start=0, reverse=True)] + ['Bronze', 'Certificate', 'Gold', 'Silver'] + + """ + # If this function becomes public at some point, more thought + # needs to be given to the signature. A list of ints is + # plausible when ties is "min" or "max". When ties is "average", + # either list[float] or list[Fraction] is plausible. + + # Default handling of ties matches scipy.stats.mstats.spearmanr. + if ties != 'average': + raise ValueError(f'Unknown tie resolution method: {ties!r}') + if key is not None: + data = map(key, data) + val_pos = sorted(zip(data, count()), reverse=reverse) + i = start - 1 + result = [0] * len(val_pos) + for _, g in groupby(val_pos, key=itemgetter(0)): + group = list(g) + size = len(group) + rank = i + (size + 1) / 2 + for value, orig_pos in group: + result[orig_pos] = rank + i += size + return result + + +def _integer_sqrt_of_frac_rto(n: int, m: int) -> int: + """Square root of n/m, rounded to the nearest integer using round-to-odd.""" + # Reference: https://www.lri.fr/~melquion/doc/05-imacs17_1-expose.pdf + a = math.isqrt(n // m) + return a | (a*a*m != n) + + +# For 53 bit precision floats, the bit width used in +# _float_sqrt_of_frac() is 109. +_sqrt_bit_width: int = 2 * sys.float_info.mant_dig + 3 + + +def _float_sqrt_of_frac(n: int, m: int) -> float: + """Square root of n/m as a float, correctly rounded.""" + # See principle and proof sketch at: https://bugs.python.org/msg407078 + q = (n.bit_length() - m.bit_length() - _sqrt_bit_width) // 2 + if q >= 0: + numerator = _integer_sqrt_of_frac_rto(n, m << 2 * q) << q + denominator = 1 + else: + numerator = _integer_sqrt_of_frac_rto(n << -2 * q, m) + denominator = 1 << -q + return numerator / denominator # Convert to float + + +def _decimal_sqrt_of_frac(n: int, m: int) -> Decimal: + """Square root of n/m as a Decimal, correctly rounded.""" + # Premise: For decimal, computing (n/m).sqrt() can be off + # by 1 ulp from the correctly rounded result. + # Method: Check the result, moving up or down a step if needed. + if n <= 0: + if not n: + return Decimal('0.0') + n, m = -n, -m + + root = (Decimal(n) / Decimal(m)).sqrt() + nr, dr = root.as_integer_ratio() + + plus = root.next_plus() + np, dp = plus.as_integer_ratio() + # test: n / m > ((root + plus) / 2) ** 2 + if 4 * n * (dr*dp)**2 > m * (dr*np + dp*nr)**2: + return plus + + minus = root.next_minus() + nm, dm = minus.as_integer_ratio() + # test: n / m < ((root + minus) / 2) ** 2 + if 4 * n * (dr*dm)**2 < m * (dr*nm + dm*nr)**2: + return minus + + return root + + +# === Measures of central tendency (averages) === + +def mean(data): + """Return the sample arithmetic mean of data. + + >>> mean([1, 2, 3, 4, 4]) + 2.8 + + >>> from fractions import Fraction as F + >>> mean([F(3, 7), F(1, 21), F(5, 3), F(1, 3)]) + Fraction(13, 21) + + >>> from decimal import Decimal as D + >>> mean([D("0.5"), D("0.75"), D("0.625"), D("0.375")]) + Decimal('0.5625') + + If ``data`` is empty, StatisticsError will be raised. + """ + T, total, n = _sum(data) + if n < 1: + raise StatisticsError('mean requires at least one data point') + return _convert(total / n, T) + + +def fmean(data, weights=None): + """Convert data to floats and compute the arithmetic mean. + + This runs faster than the mean() function and it always returns a float. + If the input dataset is empty, it raises a StatisticsError. + + >>> fmean([3.5, 4.0, 5.25]) + 4.25 + """ + if weights is None: + try: + n = len(data) + except TypeError: + # Handle iterators that do not define __len__(). + n = 0 + def count(iterable): + nonlocal n + for n, x in enumerate(iterable, start=1): + yield x + data = count(data) + total = fsum(data) + if not n: + raise StatisticsError('fmean requires at least one data point') + return total / n + if not isinstance(weights, (list, tuple)): + weights = list(weights) + try: + num = sumprod(data, weights) + except ValueError: + raise StatisticsError('data and weights must be the same length') + den = fsum(weights) + if not den: + raise StatisticsError('sum of weights must be non-zero') + return num / den + + +def geometric_mean(data): + """Convert data to floats and compute the geometric mean. + + Raises a StatisticsError if the input dataset is empty, + if it contains a zero, or if it contains a negative value. + + No special efforts are made to achieve exact results. + (However, this may change in the future.) + + >>> round(geometric_mean([54, 24, 36]), 9) + 36.0 + """ + try: + return exp(fmean(map(log, data))) + except ValueError: + raise StatisticsError('geometric mean requires a non-empty dataset ' + 'containing positive numbers') from None + + +def harmonic_mean(data, weights=None): + """Return the harmonic mean of data. + + The harmonic mean is the reciprocal of the arithmetic mean of the + reciprocals of the data. It can be used for averaging ratios or + rates, for example speeds. + + Suppose a car travels 40 km/hr for 5 km and then speeds-up to + 60 km/hr for another 5 km. What is the average speed? + + >>> harmonic_mean([40, 60]) + 48.0 + + Suppose a car travels 40 km/hr for 5 km, and when traffic clears, + speeds-up to 60 km/hr for the remaining 30 km of the journey. What + is the average speed? + + >>> harmonic_mean([40, 60], weights=[5, 30]) + 56.0 + + If ``data`` is empty, or any element is less than zero, + ``harmonic_mean`` will raise ``StatisticsError``. + """ + if iter(data) is data: + data = list(data) + errmsg = 'harmonic mean does not support negative values' + n = len(data) + if n < 1: + raise StatisticsError('harmonic_mean requires at least one data point') + elif n == 1 and weights is None: + x = data[0] + if isinstance(x, (numbers.Real, Decimal)): + if x < 0: + raise StatisticsError(errmsg) + return x + else: + raise TypeError('unsupported type') + if weights is None: + weights = repeat(1, n) + sum_weights = n + else: + if iter(weights) is weights: + weights = list(weights) + if len(weights) != n: + raise StatisticsError('Number of weights does not match data size') + _, sum_weights, _ = _sum(w for w in _fail_neg(weights, errmsg)) + try: + data = _fail_neg(data, errmsg) + T, total, count = _sum(w / x if w else 0 for w, x in zip(weights, data)) + except ZeroDivisionError: + return 0 + if total <= 0: + raise StatisticsError('Weighted sum must be positive') + return _convert(sum_weights / total, T) + +# FIXME: investigate ways to calculate medians without sorting? Quickselect? +def median(data): + """Return the median (middle value) of numeric data. + + When the number of data points is odd, return the middle data point. + When the number of data points is even, the median is interpolated by + taking the average of the two middle values: + + >>> median([1, 3, 5]) + 3 + >>> median([1, 3, 5, 7]) + 4.0 + + """ + data = sorted(data) + n = len(data) + if n == 0: + raise StatisticsError("no median for empty data") + if n % 2 == 1: + return data[n // 2] + else: + i = n // 2 + return (data[i - 1] + data[i]) / 2 + + +def median_low(data): + """Return the low median of numeric data. + + When the number of data points is odd, the middle value is returned. + When it is even, the smaller of the two middle values is returned. + + >>> median_low([1, 3, 5]) + 3 + >>> median_low([1, 3, 5, 7]) + 3 + + """ + data = sorted(data) + n = len(data) + if n == 0: + raise StatisticsError("no median for empty data") + if n % 2 == 1: + return data[n // 2] + else: + return data[n // 2 - 1] + + +def median_high(data): + """Return the high median of data. + + When the number of data points is odd, the middle value is returned. + When it is even, the larger of the two middle values is returned. + + >>> median_high([1, 3, 5]) + 3 + >>> median_high([1, 3, 5, 7]) + 5 + + """ + data = sorted(data) + n = len(data) + if n == 0: + raise StatisticsError("no median for empty data") + return data[n // 2] + + +def median_grouped(data, interval=1.0): + """Estimates the median for numeric data binned around the midpoints + of consecutive, fixed-width intervals. + + The *data* can be any iterable of numeric data with each value being + exactly the midpoint of a bin. At least one value must be present. + + The *interval* is width of each bin. + + For example, demographic information may have been summarized into + consecutive ten-year age groups with each group being represented + by the 5-year midpoints of the intervals: + + >>> demographics = Counter({ + ... 25: 172, # 20 to 30 years old + ... 35: 484, # 30 to 40 years old + ... 45: 387, # 40 to 50 years old + ... 55: 22, # 50 to 60 years old + ... 65: 6, # 60 to 70 years old + ... }) + + The 50th percentile (median) is the 536th person out of the 1071 + member cohort. That person is in the 30 to 40 year old age group. + + The regular median() function would assume that everyone in the + tricenarian age group was exactly 35 years old. A more tenable + assumption is that the 484 members of that age group are evenly + distributed between 30 and 40. For that, we use median_grouped(). + + >>> data = list(demographics.elements()) + >>> median(data) + 35 + >>> round(median_grouped(data, interval=10), 1) + 37.5 + + The caller is responsible for making sure the data points are separated + by exact multiples of *interval*. This is essential for getting a + correct result. The function does not check this precondition. + + Inputs may be any numeric type that can be coerced to a float during + the interpolation step. + + """ + data = sorted(data) + n = len(data) + if not n: + raise StatisticsError("no median for empty data") + + # Find the value at the midpoint. Remember this corresponds to the + # midpoint of the class interval. + x = data[n // 2] + + # Using O(log n) bisection, find where all the x values occur in the data. + # All x will lie within data[i:j]. + i = bisect_left(data, x) + j = bisect_right(data, x, lo=i) + + # Coerce to floats, raising a TypeError if not possible + try: + interval = float(interval) + x = float(x) + except ValueError: + raise TypeError(f'Value cannot be converted to a float') + + # Interpolate the median using the formula found at: + # https://www.cuemath.com/data/median-of-grouped-data/ + L = x - interval / 2.0 # Lower limit of the median interval + cf = i # Cumulative frequency of the preceding interval + f = j - i # Number of elements in the median internal + return L + interval * (n / 2 - cf) / f + + +def mode(data): + """Return the most common data point from discrete or nominal data. + + ``mode`` assumes discrete data, and returns a single value. This is the + standard treatment of the mode as commonly taught in schools: + + >>> mode([1, 1, 2, 3, 3, 3, 3, 4]) + 3 + + This also works with nominal (non-numeric) data: + + >>> mode(["red", "blue", "blue", "red", "green", "red", "red"]) + 'red' + + If there are multiple modes with same frequency, return the first one + encountered: + + >>> mode(['red', 'red', 'green', 'blue', 'blue']) + 'red' + + If *data* is empty, ``mode``, raises StatisticsError. + + """ + pairs = Counter(iter(data)).most_common(1) + try: + return pairs[0][0] + except IndexError: + raise StatisticsError('no mode for empty data') from None + + +def multimode(data): + """Return a list of the most frequently occurring values. + + Will return more than one result if there are multiple modes + or an empty list if *data* is empty. + + >>> multimode('aabbbbbbbbcc') + ['b'] + >>> multimode('aabbbbccddddeeffffgg') + ['b', 'd', 'f'] + >>> multimode('') + [] + """ + counts = Counter(iter(data)) + if not counts: + return [] + maxcount = max(counts.values()) + return [value for value, count in counts.items() if count == maxcount] + + +# Notes on methods for computing quantiles +# ---------------------------------------- +# +# There is no one perfect way to compute quantiles. Here we offer +# two methods that serve common needs. Most other packages +# surveyed offered at least one or both of these two, making them +# "standard" in the sense of "widely-adopted and reproducible". +# They are also easy to explain, easy to compute manually, and have +# straight-forward interpretations that aren't surprising. + +# The default method is known as "R6", "PERCENTILE.EXC", or "expected +# value of rank order statistics". The alternative method is known as +# "R7", "PERCENTILE.INC", or "mode of rank order statistics". + +# For sample data where there is a positive probability for values +# beyond the range of the data, the R6 exclusive method is a +# reasonable choice. Consider a random sample of nine values from a +# population with a uniform distribution from 0.0 to 1.0. The +# distribution of the third ranked sample point is described by +# betavariate(alpha=3, beta=7) which has mode=0.250, median=0.286, and +# mean=0.300. Only the latter (which corresponds with R6) gives the +# desired cut point with 30% of the population falling below that +# value, making it comparable to a result from an inv_cdf() function. +# The R6 exclusive method is also idempotent. + +# For describing population data where the end points are known to +# be included in the data, the R7 inclusive method is a reasonable +# choice. Instead of the mean, it uses the mode of the beta +# distribution for the interior points. Per Hyndman & Fan, "One nice +# property is that the vertices of Q7(p) divide the range into n - 1 +# intervals, and exactly 100p% of the intervals lie to the left of +# Q7(p) and 100(1 - p)% of the intervals lie to the right of Q7(p)." + +# If needed, other methods could be added. However, for now, the +# position is that fewer options make for easier choices and that +# external packages can be used for anything more advanced. + +def quantiles(data, *, n=4, method='exclusive'): + """Divide *data* into *n* continuous intervals with equal probability. + + Returns a list of (n - 1) cut points separating the intervals. + + Set *n* to 4 for quartiles (the default). Set *n* to 10 for deciles. + Set *n* to 100 for percentiles which gives the 99 cuts points that + separate *data* in to 100 equal sized groups. + + The *data* can be any iterable containing sample. + The cut points are linearly interpolated between data points. + + If *method* is set to *inclusive*, *data* is treated as population + data. The minimum value is treated as the 0th percentile and the + maximum value is treated as the 100th percentile. + """ + if n < 1: + raise StatisticsError('n must be at least 1') + data = sorted(data) + ld = len(data) + if ld < 2: + raise StatisticsError('must have at least two data points') + if method == 'inclusive': + m = ld - 1 + result = [] + for i in range(1, n): + j, delta = divmod(i * m, n) + interpolated = (data[j] * (n - delta) + data[j + 1] * delta) / n + result.append(interpolated) + return result + if method == 'exclusive': + m = ld + 1 + result = [] + for i in range(1, n): + j = i * m // n # rescale i to m/n + j = 1 if j < 1 else ld-1 if j > ld-1 else j # clamp to 1 .. ld-1 + delta = i*m - j*n # exact integer math + interpolated = (data[j - 1] * (n - delta) + data[j] * delta) / n + result.append(interpolated) + return result + raise ValueError(f'Unknown method: {method!r}') + + +# === Measures of spread === + +# See http://mathworld.wolfram.com/Variance.html +# http://mathworld.wolfram.com/SampleVariance.html + + +def variance(data, xbar=None): + """Return the sample variance of data. + + data should be an iterable of Real-valued numbers, with at least two + values. The optional argument xbar, if given, should be the mean of + the data. If it is missing or None, the mean is automatically calculated. + + Use this function when your data is a sample from a population. To + calculate the variance from the entire population, see ``pvariance``. + + Examples: + + >>> data = [2.75, 1.75, 1.25, 0.25, 0.5, 1.25, 3.5] + >>> variance(data) + 1.3720238095238095 + + If you have already calculated the mean of your data, you can pass it as + the optional second argument ``xbar`` to avoid recalculating it: + + >>> m = mean(data) + >>> variance(data, m) + 1.3720238095238095 + + This function does not check that ``xbar`` is actually the mean of + ``data``. Giving arbitrary values for ``xbar`` may lead to invalid or + impossible results. + + Decimals and Fractions are supported: + + >>> from decimal import Decimal as D + >>> variance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")]) + Decimal('31.01875') + + >>> from fractions import Fraction as F + >>> variance([F(1, 6), F(1, 2), F(5, 3)]) + Fraction(67, 108) + + """ + T, ss, c, n = _ss(data, xbar) + if n < 2: + raise StatisticsError('variance requires at least two data points') + return _convert(ss / (n - 1), T) + + +def pvariance(data, mu=None): + """Return the population variance of ``data``. + + data should be a sequence or iterable of Real-valued numbers, with at least one + value. The optional argument mu, if given, should be the mean of + the data. If it is missing or None, the mean is automatically calculated. + + Use this function to calculate the variance from the entire population. + To estimate the variance from a sample, the ``variance`` function is + usually a better choice. + + Examples: + + >>> data = [0.0, 0.25, 0.25, 1.25, 1.5, 1.75, 2.75, 3.25] + >>> pvariance(data) + 1.25 + + If you have already calculated the mean of the data, you can pass it as + the optional second argument to avoid recalculating it: + + >>> mu = mean(data) + >>> pvariance(data, mu) + 1.25 + + Decimals and Fractions are supported: + + >>> from decimal import Decimal as D + >>> pvariance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")]) + Decimal('24.815') + + >>> from fractions import Fraction as F + >>> pvariance([F(1, 4), F(5, 4), F(1, 2)]) + Fraction(13, 72) + + """ + T, ss, c, n = _ss(data, mu) + if n < 1: + raise StatisticsError('pvariance requires at least one data point') + return _convert(ss / n, T) + + +def stdev(data, xbar=None): + """Return the square root of the sample variance. + + See ``variance`` for arguments and other details. + + >>> stdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75]) + 1.0810874155219827 + + """ + T, ss, c, n = _ss(data, xbar) + if n < 2: + raise StatisticsError('stdev requires at least two data points') + mss = ss / (n - 1) + if issubclass(T, Decimal): + return _decimal_sqrt_of_frac(mss.numerator, mss.denominator) + return _float_sqrt_of_frac(mss.numerator, mss.denominator) + + +def pstdev(data, mu=None): + """Return the square root of the population variance. + + See ``pvariance`` for arguments and other details. + + >>> pstdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75]) + 0.986893273527251 + + """ + T, ss, c, n = _ss(data, mu) + if n < 1: + raise StatisticsError('pstdev requires at least one data point') + mss = ss / n + if issubclass(T, Decimal): + return _decimal_sqrt_of_frac(mss.numerator, mss.denominator) + return _float_sqrt_of_frac(mss.numerator, mss.denominator) + + +def _mean_stdev(data): + """In one pass, compute the mean and sample standard deviation as floats.""" + T, ss, xbar, n = _ss(data) + if n < 2: + raise StatisticsError('stdev requires at least two data points') + mss = ss / (n - 1) + try: + return float(xbar), _float_sqrt_of_frac(mss.numerator, mss.denominator) + except AttributeError: + # Handle Nans and Infs gracefully + return float(xbar), float(xbar) / float(ss) + + +# === Statistics for relations between two inputs === + +# See https://en.wikipedia.org/wiki/Covariance +# https://en.wikipedia.org/wiki/Pearson_correlation_coefficient +# https://en.wikipedia.org/wiki/Simple_linear_regression + + +def covariance(x, y, /): + """Covariance + + Return the sample covariance of two inputs *x* and *y*. Covariance + is a measure of the joint variability of two inputs. + + >>> x = [1, 2, 3, 4, 5, 6, 7, 8, 9] + >>> y = [1, 2, 3, 1, 2, 3, 1, 2, 3] + >>> covariance(x, y) + 0.75 + >>> z = [9, 8, 7, 6, 5, 4, 3, 2, 1] + >>> covariance(x, z) + -7.5 + >>> covariance(z, x) + -7.5 + + """ + n = len(x) + if len(y) != n: + raise StatisticsError('covariance requires that both inputs have same number of data points') + if n < 2: + raise StatisticsError('covariance requires at least two data points') + xbar = fsum(x) / n + ybar = fsum(y) / n + sxy = sumprod((xi - xbar for xi in x), (yi - ybar for yi in y)) + return sxy / (n - 1) + + +def correlation(x, y, /, *, method='linear'): + """Pearson's correlation coefficient + + Return the Pearson's correlation coefficient for two inputs. Pearson's + correlation coefficient *r* takes values between -1 and +1. It measures + the strength and direction of a linear relationship. + + >>> x = [1, 2, 3, 4, 5, 6, 7, 8, 9] + >>> y = [9, 8, 7, 6, 5, 4, 3, 2, 1] + >>> correlation(x, x) + 1.0 + >>> correlation(x, y) + -1.0 + + If *method* is "ranked", computes Spearman's rank correlation coefficient + for two inputs. The data is replaced by ranks. Ties are averaged + so that equal values receive the same rank. The resulting coefficient + measures the strength of a monotonic relationship. + + Spearman's rank correlation coefficient is appropriate for ordinal + data or for continuous data that doesn't meet the linear proportion + requirement for Pearson's correlation coefficient. + """ + n = len(x) + if len(y) != n: + raise StatisticsError('correlation requires that both inputs have same number of data points') + if n < 2: + raise StatisticsError('correlation requires at least two data points') + if method not in {'linear', 'ranked'}: + raise ValueError(f'Unknown method: {method!r}') + if method == 'ranked': + start = (n - 1) / -2 # Center rankings around zero + x = _rank(x, start=start) + y = _rank(y, start=start) + else: + xbar = fsum(x) / n + ybar = fsum(y) / n + x = [xi - xbar for xi in x] + y = [yi - ybar for yi in y] + sxy = sumprod(x, y) + sxx = sumprod(x, x) + syy = sumprod(y, y) + try: + return sxy / sqrt(sxx * syy) + except ZeroDivisionError: + raise StatisticsError('at least one of the inputs is constant') + + +LinearRegression = namedtuple('LinearRegression', ('slope', 'intercept')) + + +def linear_regression(x, y, /, *, proportional=False): + """Slope and intercept for simple linear regression. + + Return the slope and intercept of simple linear regression + parameters estimated using ordinary least squares. Simple linear + regression describes relationship between an independent variable + *x* and a dependent variable *y* in terms of a linear function: + + y = slope * x + intercept + noise + + where *slope* and *intercept* are the regression parameters that are + estimated, and noise represents the variability of the data that was + not explained by the linear regression (it is equal to the + difference between predicted and actual values of the dependent + variable). + + The parameters are returned as a named tuple. + + >>> x = [1, 2, 3, 4, 5] + >>> noise = NormalDist().samples(5, seed=42) + >>> y = [3 * x[i] + 2 + noise[i] for i in range(5)] + >>> linear_regression(x, y) #doctest: +ELLIPSIS + LinearRegression(slope=3.09078914170..., intercept=1.75684970486...) + + If *proportional* is true, the independent variable *x* and the + dependent variable *y* are assumed to be directly proportional. + The data is fit to a line passing through the origin. + + Since the *intercept* will always be 0.0, the underlying linear + function simplifies to: + + y = slope * x + noise + + >>> y = [3 * x[i] + noise[i] for i in range(5)] + >>> linear_regression(x, y, proportional=True) #doctest: +ELLIPSIS + LinearRegression(slope=3.02447542484..., intercept=0.0) + + """ + n = len(x) + if len(y) != n: + raise StatisticsError('linear regression requires that both inputs have same number of data points') + if n < 2: + raise StatisticsError('linear regression requires at least two data points') + if not proportional: + xbar = fsum(x) / n + ybar = fsum(y) / n + x = [xi - xbar for xi in x] # List because used three times below + y = (yi - ybar for yi in y) # Generator because only used once below + sxy = sumprod(x, y) + 0.0 # Add zero to coerce result to a float + sxx = sumprod(x, x) + try: + slope = sxy / sxx # equivalent to: covariance(x, y) / variance(x) + except ZeroDivisionError: + raise StatisticsError('x is constant') + intercept = 0.0 if proportional else ybar - slope * xbar + return LinearRegression(slope=slope, intercept=intercept) + + +## Normal Distribution ##################################################### + + +def _normal_dist_inv_cdf(p, mu, sigma): + # There is no closed-form solution to the inverse CDF for the normal + # distribution, so we use a rational approximation instead: + # Wichura, M.J. (1988). "Algorithm AS241: The Percentage Points of the + # Normal Distribution". Applied Statistics. Blackwell Publishing. 37 + # (3): 477–484. doi:10.2307/2347330. JSTOR 2347330. + q = p - 0.5 + if fabs(q) <= 0.425: + r = 0.180625 - q * q + # Hash sum: 55.88319_28806_14901_4439 + num = (((((((2.50908_09287_30122_6727e+3 * r + + 3.34305_75583_58812_8105e+4) * r + + 6.72657_70927_00870_0853e+4) * r + + 4.59219_53931_54987_1457e+4) * r + + 1.37316_93765_50946_1125e+4) * r + + 1.97159_09503_06551_4427e+3) * r + + 1.33141_66789_17843_7745e+2) * r + + 3.38713_28727_96366_6080e+0) * q + den = (((((((5.22649_52788_52854_5610e+3 * r + + 2.87290_85735_72194_2674e+4) * r + + 3.93078_95800_09271_0610e+4) * r + + 2.12137_94301_58659_5867e+4) * r + + 5.39419_60214_24751_1077e+3) * r + + 6.87187_00749_20579_0830e+2) * r + + 4.23133_30701_60091_1252e+1) * r + + 1.0) + x = num / den + return mu + (x * sigma) + r = p if q <= 0.0 else 1.0 - p + r = sqrt(-log(r)) + if r <= 5.0: + r = r - 1.6 + # Hash sum: 49.33206_50330_16102_89036 + num = (((((((7.74545_01427_83414_07640e-4 * r + + 2.27238_44989_26918_45833e-2) * r + + 2.41780_72517_74506_11770e-1) * r + + 1.27045_82524_52368_38258e+0) * r + + 3.64784_83247_63204_60504e+0) * r + + 5.76949_72214_60691_40550e+0) * r + + 4.63033_78461_56545_29590e+0) * r + + 1.42343_71107_49683_57734e+0) + den = (((((((1.05075_00716_44416_84324e-9 * r + + 5.47593_80849_95344_94600e-4) * r + + 1.51986_66563_61645_71966e-2) * r + + 1.48103_97642_74800_74590e-1) * r + + 6.89767_33498_51000_04550e-1) * r + + 1.67638_48301_83803_84940e+0) * r + + 2.05319_16266_37758_82187e+0) * r + + 1.0) + else: + r = r - 5.0 + # Hash sum: 47.52583_31754_92896_71629 + num = (((((((2.01033_43992_92288_13265e-7 * r + + 2.71155_55687_43487_57815e-5) * r + + 1.24266_09473_88078_43860e-3) * r + + 2.65321_89526_57612_30930e-2) * r + + 2.96560_57182_85048_91230e-1) * r + + 1.78482_65399_17291_33580e+0) * r + + 5.46378_49111_64114_36990e+0) * r + + 6.65790_46435_01103_77720e+0) + den = (((((((2.04426_31033_89939_78564e-15 * r + + 1.42151_17583_16445_88870e-7) * r + + 1.84631_83175_10054_68180e-5) * r + + 7.86869_13114_56132_59100e-4) * r + + 1.48753_61290_85061_48525e-2) * r + + 1.36929_88092_27358_05310e-1) * r + + 5.99832_20655_58879_37690e-1) * r + + 1.0) + x = num / den + if q < 0.0: + x = -x + return mu + (x * sigma) + + +# If available, use C implementation +try: + from _statistics import _normal_dist_inv_cdf +except ImportError: + pass + + +class NormalDist: + "Normal distribution of a random variable" + # https://en.wikipedia.org/wiki/Normal_distribution + # https://en.wikipedia.org/wiki/Variance#Properties + + __slots__ = { + '_mu': 'Arithmetic mean of a normal distribution', + '_sigma': 'Standard deviation of a normal distribution', + } + + def __init__(self, mu=0.0, sigma=1.0): + "NormalDist where mu is the mean and sigma is the standard deviation." + if sigma < 0.0: + raise StatisticsError('sigma must be non-negative') + self._mu = float(mu) + self._sigma = float(sigma) + + @classmethod + def from_samples(cls, data): + "Make a normal distribution instance from sample data." + return cls(*_mean_stdev(data)) + + def samples(self, n, *, seed=None): + "Generate *n* samples for a given mean and standard deviation." + gauss = random.gauss if seed is None else random.Random(seed).gauss + mu, sigma = self._mu, self._sigma + return [gauss(mu, sigma) for _ in repeat(None, n)] + + def pdf(self, x): + "Probability density function. P(x <= X < x+dx) / dx" + variance = self._sigma * self._sigma + if not variance: + raise StatisticsError('pdf() not defined when sigma is zero') + diff = x - self._mu + return exp(diff * diff / (-2.0 * variance)) / sqrt(tau * variance) + + def cdf(self, x): + "Cumulative distribution function. P(X <= x)" + if not self._sigma: + raise StatisticsError('cdf() not defined when sigma is zero') + return 0.5 * (1.0 + erf((x - self._mu) / (self._sigma * _SQRT2))) + + def inv_cdf(self, p): + """Inverse cumulative distribution function. x : P(X <= x) = p + + Finds the value of the random variable such that the probability of + the variable being less than or equal to that value equals the given + probability. + + This function is also called the percent point function or quantile + function. + """ + if p <= 0.0 or p >= 1.0: + raise StatisticsError('p must be in the range 0.0 < p < 1.0') + return _normal_dist_inv_cdf(p, self._mu, self._sigma) + + def quantiles(self, n=4): + """Divide into *n* continuous intervals with equal probability. + + Returns a list of (n - 1) cut points separating the intervals. + + Set *n* to 4 for quartiles (the default). Set *n* to 10 for deciles. + Set *n* to 100 for percentiles which gives the 99 cuts points that + separate the normal distribution in to 100 equal sized groups. + """ + return [self.inv_cdf(i / n) for i in range(1, n)] + + def overlap(self, other): + """Compute the overlapping coefficient (OVL) between two normal distributions. + + Measures the agreement between two normal probability distributions. + Returns a value between 0.0 and 1.0 giving the overlapping area in + the two underlying probability density functions. + + >>> N1 = NormalDist(2.4, 1.6) + >>> N2 = NormalDist(3.2, 2.0) + >>> N1.overlap(N2) + 0.8035050657330205 + """ + # See: "The overlapping coefficient as a measure of agreement between + # probability distributions and point estimation of the overlap of two + # normal densities" -- Henry F. Inman and Edwin L. Bradley Jr + # http://dx.doi.org/10.1080/03610928908830127 + if not isinstance(other, NormalDist): + raise TypeError('Expected another NormalDist instance') + X, Y = self, other + if (Y._sigma, Y._mu) < (X._sigma, X._mu): # sort to assure commutativity + X, Y = Y, X + X_var, Y_var = X.variance, Y.variance + if not X_var or not Y_var: + raise StatisticsError('overlap() not defined when sigma is zero') + dv = Y_var - X_var + dm = fabs(Y._mu - X._mu) + if not dv: + return 1.0 - erf(dm / (2.0 * X._sigma * _SQRT2)) + a = X._mu * Y_var - Y._mu * X_var + b = X._sigma * Y._sigma * sqrt(dm * dm + dv * log(Y_var / X_var)) + x1 = (a + b) / dv + x2 = (a - b) / dv + return 1.0 - (fabs(Y.cdf(x1) - X.cdf(x1)) + fabs(Y.cdf(x2) - X.cdf(x2))) + + def zscore(self, x): + """Compute the Standard Score. (x - mean) / stdev + + Describes *x* in terms of the number of standard deviations + above or below the mean of the normal distribution. + """ + # https://www.statisticshowto.com/probability-and-statistics/z-score/ + if not self._sigma: + raise StatisticsError('zscore() not defined when sigma is zero') + return (x - self._mu) / self._sigma + + @property + def mean(self): + "Arithmetic mean of the normal distribution." + return self._mu + + @property + def median(self): + "Return the median of the normal distribution" + return self._mu + + @property + def mode(self): + """Return the mode of the normal distribution + + The mode is the value x where which the probability density + function (pdf) takes its maximum value. + """ + return self._mu + + @property + def stdev(self): + "Standard deviation of the normal distribution." + return self._sigma + + @property + def variance(self): + "Square of the standard deviation." + return self._sigma * self._sigma + + def __add__(x1, x2): + """Add a constant or another NormalDist instance. + + If *other* is a constant, translate mu by the constant, + leaving sigma unchanged. + + If *other* is a NormalDist, add both the means and the variances. + Mathematically, this works only if the two distributions are + independent or if they are jointly normally distributed. + """ + if isinstance(x2, NormalDist): + return NormalDist(x1._mu + x2._mu, hypot(x1._sigma, x2._sigma)) + return NormalDist(x1._mu + x2, x1._sigma) + + def __sub__(x1, x2): + """Subtract a constant or another NormalDist instance. + + If *other* is a constant, translate by the constant mu, + leaving sigma unchanged. + + If *other* is a NormalDist, subtract the means and add the variances. + Mathematically, this works only if the two distributions are + independent or if they are jointly normally distributed. + """ + if isinstance(x2, NormalDist): + return NormalDist(x1._mu - x2._mu, hypot(x1._sigma, x2._sigma)) + return NormalDist(x1._mu - x2, x1._sigma) + + def __mul__(x1, x2): + """Multiply both mu and sigma by a constant. + + Used for rescaling, perhaps to change measurement units. + Sigma is scaled with the absolute value of the constant. + """ + return NormalDist(x1._mu * x2, x1._sigma * fabs(x2)) + + def __truediv__(x1, x2): + """Divide both mu and sigma by a constant. + + Used for rescaling, perhaps to change measurement units. + Sigma is scaled with the absolute value of the constant. + """ + return NormalDist(x1._mu / x2, x1._sigma / fabs(x2)) + + def __pos__(x1): + "Return a copy of the instance." + return NormalDist(x1._mu, x1._sigma) + + def __neg__(x1): + "Negates mu while keeping sigma the same." + return NormalDist(-x1._mu, x1._sigma) + + __radd__ = __add__ + + def __rsub__(x1, x2): + "Subtract a NormalDist from a constant or another NormalDist." + return -(x1 - x2) + + __rmul__ = __mul__ + + def __eq__(x1, x2): + "Two NormalDist objects are equal if their mu and sigma are both equal." + if not isinstance(x2, NormalDist): + return NotImplemented + return x1._mu == x2._mu and x1._sigma == x2._sigma + + def __hash__(self): + "NormalDist objects hash equal if their mu and sigma are both equal." + return hash((self._mu, self._sigma)) + + def __repr__(self): + return f'{type(self).__name__}(mu={self._mu!r}, sigma={self._sigma!r})' + + def __getstate__(self): + return self._mu, self._sigma + + def __setstate__(self, state): + self._mu, self._sigma = state |