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