# Source code for astropy.stats.biweight

```
# Licensed under a 3-clause BSD style license - see LICENSE.rst
"""
This module contains functions for computing robust statistics using
Tukey's biweight function.
"""
import numpy as np
from .funcs import median_absolute_deviation
from astropy.utils.decorators import deprecated_renamed_argument
__all__ = ['biweight_location', 'biweight_scale', 'biweight_midvariance',
'biweight_midcovariance', 'biweight_midcorrelation']
[docs]@deprecated_renamed_argument('a', 'data', '2.0')
def biweight_location(data, c=6.0, M=None, axis=None):
r"""
Compute the biweight location.
The biweight location is a robust statistic for determining the
central location of a distribution. It is given by:
.. math::
\zeta_{biloc}= M + \frac{\Sigma_{|u_i|<1} \ (x_i - M) (1 - u_i^2)^2}
{\Sigma_{|u_i|<1} \ (1 - u_i^2)^2}
where :math:`x` is the input data, :math:`M` is the sample median
(or the input initial location guess) and :math:`u_i` is given by:
.. math::
u_{i} = \frac{(x_i - M)}{c * MAD}
where :math:`c` is the tuning constant and :math:`MAD` is the
`median absolute deviation
<https://en.wikipedia.org/wiki/Median_absolute_deviation>`_. The
biweight location tuning constant ``c`` is typically 6.0 (the
default).
Parameters
----------
data : array-like
Input array or object that can be converted to an array.
c : float, optional
Tuning constant for the biweight estimator (default = 6.0).
M : float or array-like, optional
Initial guess for the location. If ``M`` is a scalar value,
then its value will be used for the entire array (or along each
``axis``, if specified). If ``M`` is an array, then its must be
an array containing the initial location estimate along each
``axis`` of the input array. If `None` (default), then the
median of the input array will be used (or along each ``axis``,
if specified).
axis : int, optional
The axis along which the biweight locations are computed. If
`None` (default), then the biweight location of the flattened
input array will be computed.
Returns
-------
biweight_location : float or `~numpy.ndarray`
The biweight location of the input data. If ``axis`` is `None`
then a scalar will be returned, otherwise a `~numpy.ndarray`
will be returned.
See Also
--------
biweight_scale, biweight_midvariance, biweight_midcovariance
References
----------
.. [1] Beers, Flynn, and Gebhardt (1990; AJ 100, 32) (http://adsabs.harvard.edu/abs/1990AJ....100...32B)
.. [2] http://www.itl.nist.gov/div898/software/dataplot/refman2/auxillar/biwloc.htm
Examples
--------
Generate random variates from a Gaussian distribution and return the
biweight location of the distribution:
>>> import numpy as np
>>> from astropy.stats import biweight_location
>>> rand = np.random.RandomState(12345)
>>> biloc = biweight_location(rand.randn(1000))
>>> print(biloc) # doctest: +FLOAT_CMP
-0.0175741540445
"""
data = np.asanyarray(data).astype(np.float64)
if M is None:
M = np.median(data, axis=axis)
if axis is not None:
M = np.expand_dims(M, axis=axis)
# set up the differences
d = data - M
# set up the weighting
mad = median_absolute_deviation(data, axis=axis)
if axis is None and mad == 0.:
return M # return median if data is a constant array
if axis is not None:
mad = np.expand_dims(mad, axis=axis)
const_mask = (mad == 0.)
mad[const_mask] = 1. # prevent divide by zero
u = d / (c * mad)
# now remove the outlier points
mask = (np.abs(u) >= 1)
u = (1 - u ** 2) ** 2
u[mask] = 0
# along the input axis if data is constant, d will be zero, thus
# the median value will be returned along that axis
return M.squeeze() + (d * u).sum(axis=axis) / u.sum(axis=axis)
[docs]def biweight_scale(data, c=9.0, M=None, axis=None, modify_sample_size=False):
r"""
Compute the biweight scale.
The biweight scale is a robust statistic for determining the
standard deviation of a distribution. It is the square root of the
`biweight midvariance
<https://en.wikipedia.org/wiki/Robust_measures_of_scale#The_biweight_midvariance>`_.
It is given by:
.. math::
\zeta_{biscl} = \sqrt{n} \ \frac{\sqrt{\Sigma_{|u_i| < 1} \
(x_i - M)^2 (1 - u_i^2)^4}} {|(\Sigma_{|u_i| < 1} \
(1 - u_i^2) (1 - 5u_i^2))|}
where :math:`x` is the input data, :math:`M` is the sample median
(or the input location) and :math:`u_i` is given by:
.. math::
u_{i} = \frac{(x_i - M)}{c * MAD}
where :math:`c` is the tuning constant and :math:`MAD` is the
`median absolute deviation
<https://en.wikipedia.org/wiki/Median_absolute_deviation>`_. The
biweight midvariance tuning constant ``c`` is typically 9.0 (the
default).
For the standard definition of biweight scale, :math:`n` is the
total number of points in the array (or along the input ``axis``, if
specified). That definition is used if ``modify_sample_size`` is
`False`, which is the default.
However, if ``modify_sample_size = True``, then :math:`n` is the
number of points for which :math:`|u_i| < 1` (i.e. the total number
of non-rejected values), i.e.
.. math::
n = \Sigma_{|u_i| < 1} \ 1
which results in a value closer to the true standard deviation for
small sample sizes or for a large number of rejected values.
Parameters
----------
data : array-like
Input array or object that can be converted to an array.
c : float, optional
Tuning constant for the biweight estimator (default = 9.0).
M : float or array-like, optional
The location estimate. If ``M`` is a scalar value, then its
value will be used for the entire array (or along each ``axis``,
if specified). If ``M`` is an array, then its must be an array
containing the location estimate along each ``axis`` of the
input array. If `None` (default), then the median of the input
array will be used (or along each ``axis``, if specified).
axis : int, optional
The axis along which the biweight scales are computed. If
`None` (default), then the biweight scale of the flattened input
array will be computed.
modify_sample_size : bool, optional
If `False` (default), then the sample size used is the total
number of elements in the array (or along the input ``axis``, if
specified), which follows the standard definition of biweight
scale. If `True`, then the sample size is reduced to correct
for any rejected values (i.e. the sample size used includes only
the non-rejected values), which results in a value closer to the
true standard deviation for small sample sizes or for a large
number of rejected values.
Returns
-------
biweight_scale : float or `~numpy.ndarray`
The biweight scale of the input data. If ``axis`` is `None`
then a scalar will be returned, otherwise a `~numpy.ndarray`
will be returned.
See Also
--------
biweight_midvariance, biweight_midcovariance, biweight_location, astropy.stats.mad_std, astropy.stats.median_absolute_deviation
References
----------
.. [1] Beers, Flynn, and Gebhardt (1990; AJ 100, 32) (http://adsabs.harvard.edu/abs/1990AJ....100...32B)
.. [2] http://www.itl.nist.gov/div898/software/dataplot/refman2/auxillar/biwscale.htm
Examples
--------
Generate random variates from a Gaussian distribution and return the
biweight scale of the distribution:
>>> import numpy as np
>>> from astropy.stats import biweight_scale
>>> rand = np.random.RandomState(12345)
>>> biscl = biweight_scale(rand.randn(1000))
>>> print(biscl) # doctest: +FLOAT_CMP
0.986726249291
"""
return np.sqrt(
biweight_midvariance(data, c=c, M=M, axis=axis,
modify_sample_size=modify_sample_size))
[docs]@deprecated_renamed_argument('a', 'data', '2.0')
def biweight_midvariance(data, c=9.0, M=None, axis=None,
modify_sample_size=False):
r"""
Compute the biweight midvariance.
The biweight midvariance is a robust statistic for determining the
variance of a distribution. Its square root is a robust estimator
of scale (i.e. standard deviation). It is given by:
.. math::
\zeta_{bivar} = n \ \frac{\Sigma_{|u_i| < 1} \
(x_i - M)^2 (1 - u_i^2)^4} {(\Sigma_{|u_i| < 1} \
(1 - u_i^2) (1 - 5u_i^2))^2}
where :math:`x` is the input data, :math:`M` is the sample median
(or the input location) and :math:`u_i` is given by:
.. math::
u_{i} = \frac{(x_i - M)}{c * MAD}
where :math:`c` is the tuning constant and :math:`MAD` is the
`median absolute deviation
<https://en.wikipedia.org/wiki/Median_absolute_deviation>`_. The
biweight midvariance tuning constant ``c`` is typically 9.0 (the
default).
For the standard definition of `biweight midvariance
<https://en.wikipedia.org/wiki/Robust_measures_of_scale#The_biweight_midvariance>`_,
:math:`n` is the total number of points in the array (or along the
input ``axis``, if specified). That definition is used if
``modify_sample_size`` is `False`, which is the default.
However, if ``modify_sample_size = True``, then :math:`n` is the
number of points for which :math:`|u_i| < 1` (i.e. the total number
of non-rejected values), i.e.
.. math::
n = \Sigma_{|u_i| < 1} \ 1
which results in a value closer to the true variance for small
sample sizes or for a large number of rejected values.
Parameters
----------
data : array-like
Input array or object that can be converted to an array.
c : float, optional
Tuning constant for the biweight estimator (default = 9.0).
M : float or array-like, optional
The location estimate. If ``M`` is a scalar value, then its
value will be used for the entire array (or along each ``axis``,
if specified). If ``M`` is an array, then its must be an array
containing the location estimate along each ``axis`` of the
input array. If `None` (default), then the median of the input
array will be used (or along each ``axis``, if specified).
axis : int, optional
The axis along which the biweight midvariances are computed. If
`None` (default), then the biweight midvariance of the flattened
input array will be computed.
modify_sample_size : bool, optional
If `False` (default), then the sample size used is the total
number of elements in the array (or along the input ``axis``, if
specified), which follows the standard definition of biweight
midvariance. If `True`, then the sample size is reduced to
correct for any rejected values (i.e. the sample size used
includes only the non-rejected values), which results in a value
closer to the true variance for small sample sizes or for a
large number of rejected values.
Returns
-------
biweight_midvariance : float or `~numpy.ndarray`
The biweight midvariance of the input data. If ``axis`` is
`None` then a scalar will be returned, otherwise a
`~numpy.ndarray` will be returned.
See Also
--------
biweight_midcovariance, biweight_midcorrelation, astropy.stats.mad_std, astropy.stats.median_absolute_deviation
References
----------
.. [1] https://en.wikipedia.org/wiki/Robust_measures_of_scale#The_biweight_midvariance
.. [2] Beers, Flynn, and Gebhardt (1990; AJ 100, 32) (http://adsabs.harvard.edu/abs/1990AJ....100...32B)
Examples
--------
Generate random variates from a Gaussian distribution and return the
biweight midvariance of the distribution:
>>> import numpy as np
>>> from astropy.stats import biweight_midvariance
>>> rand = np.random.RandomState(12345)
>>> bivar = biweight_midvariance(rand.randn(1000))
>>> print(bivar) # doctest: +FLOAT_CMP
0.97362869104
"""
data = np.asanyarray(data).astype(np.float64)
if M is None:
M = np.median(data, axis=axis)
if axis is not None:
M = np.expand_dims(M, axis=axis)
# set up the differences
d = data - M
# set up the weighting
mad = median_absolute_deviation(data, axis=axis)
if axis is None and mad == 0.:
return 0. # return zero if data is a constant array
if axis is not None:
mad = np.expand_dims(mad, axis=axis)
const_mask = (mad == 0.)
mad[const_mask] = 1. # prevent divide by zero
u = d / (c * mad)
# now remove the outlier points
mask = np.abs(u) < 1
u = u ** 2
if modify_sample_size:
n = mask.sum(axis=axis)
else:
if axis is None:
n = data.size
else:
n = data.shape[axis]
f1 = d * d * (1. - u)**4
f1[~mask] = 0.
f1 = f1.sum(axis=axis)
f2 = (1. - u) * (1. - 5.*u)
f2[~mask] = 0.
f2 = np.abs(f2.sum(axis=axis))**2
return n * f1 / f2
[docs]@deprecated_renamed_argument('a', 'data', '2.0')
def biweight_midcovariance(data, c=9.0, M=None, modify_sample_size=False):
r"""
Compute the biweight midcovariance between pairs of multiple
variables.
The biweight midcovariance is a robust and resistant estimator of
the covariance between two variables.
This function computes the biweight midcovariance between all pairs
of the input variables (rows) in the input data. The output array
will have a shape of (N_variables, N_variables). The diagonal
elements will be the biweight midvariances of each input variable
(see :func:`biweight_midvariance`). The off-diagonal elements will
be the biweight midcovariances between each pair of input variables.
For example, if the input array ``data`` contains three variables
(rows) ``x``, ``y``, and ``z``, the output `~numpy.ndarray`
midcovariance matrix will be:
.. math::
\begin{pmatrix}
\zeta_{xx} & \zeta_{xy} & \zeta_{xz} \\
\zeta_{yx} & \zeta_{yy} & \zeta_{yz} \\
\zeta_{zx} & \zeta_{zy} & \zeta_{zz}
\end{pmatrix}
where :math:`\zeta_{xx}`, :math:`\zeta_{yy}`, and :math:`\zeta_{zz}`
are the biweight midvariances of each variable. The biweight
midcovariance between :math:`x` and :math:`y` is :math:`\zeta_{xy}`
(:math:`= \zeta_{yx}`). The biweight midcovariance between
:math:`x` and :math:`z` is :math:`\zeta_{xz}` (:math:`=
\zeta_{zx}`). The biweight midcovariance between :math:`y` and
:math:`z` is :math:`\zeta_{yz}` (:math:`= \zeta_{zy}`).
The biweight midcovariance between two variables :math:`x` and
:math:`y` is given by:
.. math::
\zeta_{xy} = n \ \frac{\Sigma_{|u_i| < 1, \ |v_i| < 1} \
(x_i - M_x) (1 - u_i^2)^2 (y_i - M_y) (1 - v_i^2)^2}
{(\Sigma_{|u_i| < 1} \ (1 - u_i^2) (1 - 5u_i^2))
(\Sigma_{|v_i| < 1} \ (1 - v_i^2) (1 - 5v_i^2))}
where :math:`M_x` and :math:`M_y` are the medians (or the input
locations) of the two variables and :math:`u_i` and :math:`v_i` are
given by:
.. math::
u_{i} = \frac{(x_i - M_x)}{c * MAD_x}
v_{i} = \frac{(y_i - M_y)}{c * MAD_y}
where :math:`c` is the biweight tuning constant and :math:`MAD_x`
and :math:`MAD_y` are the `median absolute deviation
<https://en.wikipedia.org/wiki/Median_absolute_deviation>`_ of the
:math:`x` and :math:`y` variables. The biweight midvariance tuning
constant ``c`` is typically 9.0 (the default).
For the standard definition of biweight midcovariance :math:`n` is
the total number of observations of each variable. That definition
is used if ``modify_sample_size`` is `False`, which is the default.
However, if ``modify_sample_size = True``, then :math:`n` is the
number of observations for which :math:`|u_i| < 1` and :math:`|v_i|
< 1`, i.e.
.. math::
n = \Sigma_{|u_i| < 1, \ |v_i| < 1} \ 1
which results in a value closer to the true variance for small
sample sizes or for a large number of rejected values.
Parameters
----------
data : 2D or 1D array-like
Input data either as a 2D or 1D array. For a 2D array, it
should have a shape (N_variables, N_observations). A 1D array
may be input for observations of a single variable, in which
case the biweight midvariance will be calculated (no
covariance). Each row of ``data`` represents a variable, and
each column a single observation of all those variables (same as
the `numpy.cov` convention).
c : float, optional
Tuning constant for the biweight estimator (default = 9.0).
M : float or 1D array-like, optional
The location estimate of each variable, either as a scalar or
array. If ``M`` is an array, then its must be a 1D array
containing the location estimate of each row (i.e. ``a.ndim``
elements). If ``M`` is a scalar value, then its value will be
used for each variable (row). If `None` (default), then the
median of each variable (row) will be used.
modify_sample_size : bool, optional
If `False` (default), then the sample size used is the total
number of observations of each variable, which follows the
standard definition of biweight midcovariance. If `True`, then
the sample size is reduced to correct for any rejected values
(see formula above), which results in a value closer to the true
covariance for small sample sizes or for a large number of
rejected values.
Returns
-------
biweight_midcovariance : `~numpy.ndarray`
A 2D array representing the biweight midcovariances between each
pair of the variables (rows) in the input array. The output
array will have a shape of (N_variables, N_variables). The
diagonal elements will be the biweight midvariances of each
input variable. The off-diagonal elements will be the biweight
midcovariances between each pair of input variables.
See Also
--------
biweight_midvariance, biweight_midcorrelation, biweight_scale, biweight_location
References
----------
.. [1] http://www.itl.nist.gov/div898/software/dataplot/refman2/auxillar/biwmidc.htm
Examples
--------
Compute the biweight midcovariance between two random variables:
>>> import numpy as np
>>> from astropy.stats import biweight_midcovariance
>>> # Generate two random variables x and y
>>> rng = np.random.RandomState(1)
>>> x = rng.normal(0, 1, 200)
>>> y = rng.normal(0, 3, 200)
>>> # Introduce an obvious outlier
>>> x[0] = 30.0
>>> # Calculate the biweight midcovariances between x and y
>>> bicov = biweight_midcovariance([x, y])
>>> print(bicov) # doctest: +FLOAT_CMP
[[ 0.82483155 -0.18961219]
[-0.18961219 9.80265764]]
>>> # Print standard deviation estimates
>>> print(np.sqrt(bicov.diagonal())) # doctest: +FLOAT_CMP
[ 0.90820237 3.13091961]
"""
data = np.asanyarray(data).astype(np.float64)
# ensure data is 2D
if data.ndim == 1:
data = data[np.newaxis, :]
if data.ndim != 2:
raise ValueError('The input array must be 2D or 1D.')
# estimate location if not given
if M is None:
M = np.median(data, axis=1)
M = np.asanyarray(M)
if M.ndim > 1:
raise ValueError('M must be a scalar or 1D array.')
# set up the differences
d = (data.T - M).T
# set up the weighting
mad = median_absolute_deviation(data, axis=1)
const_mask = (mad == 0.)
mad[const_mask] = 1. # prevent divide by zero
u = (d.T / (c * mad)).T
# now remove the outlier points
mask = np.abs(u) < 1
u = u ** 2
if modify_sample_size:
maskf = mask.astype(float)
n = np.inner(maskf, maskf)
else:
n = data[0].size
usub1 = (1. - u)
usub5 = (1. - 5. * u)
usub1[~mask] = 0.
numerator = d * usub1 ** 2
denominator = (usub1 * usub5).sum(axis=1)[:, np.newaxis]
numerator_matrix = np.dot(numerator, numerator.T)
denominator_matrix = np.dot(denominator, denominator.T)
return n * (numerator_matrix / denominator_matrix)
[docs]def biweight_midcorrelation(x, y, c=9.0, M=None, modify_sample_size=False):
r"""
Compute the biweight midcorrelation between two variables.
The `biweight midcorrelation
<https://en.wikipedia.org/wiki/Biweight_midcorrelation>`_ is a
measure of similarity between samples. It is given by:
.. math::
r_{bicorr} = \frac{\zeta_{xy}}{\sqrt{\zeta_{xx} \ \zeta_{yy}}}
where :math:`\zeta_{xx}` is the biweight midvariance of :math:`x`,
:math:`\zeta_{yy}` is the biweight midvariance of :math:`y`, and
:math:`\zeta_{xy}` is the biweight midcovariance of :math:`x` and
:math:`y`.
Parameters
----------
x, y : 1D array-like
Input arrays for the two variables. ``x`` and ``y`` must be 1D
arrays and have the same number of elements.
c : float, optional
Tuning constant for the biweight estimator (default = 9.0). See
`biweight_midcovariance` for more details.
M : float or array-like, optional
The location estimate. If ``M`` is a scalar value, then its
value will be used for the entire array (or along each ``axis``,
if specified). If ``M`` is an array, then its must be an array
containing the location estimate along each ``axis`` of the
input array. If `None` (default), then the median of the input
array will be used (or along each ``axis``, if specified). See
`biweight_midcovariance` for more details.
modify_sample_size : bool, optional
If `False` (default), then the sample size used is the total
number of elements in the array (or along the input ``axis``, if
specified), which follows the standard definition of biweight
midcovariance. If `True`, then the sample size is reduced to
correct for any rejected values (i.e. the sample size used
includes only the non-rejected values), which results in a value
closer to the true midcovariance for small sample sizes or for a
large number of rejected values. See `biweight_midcovariance`
for more details.
Returns
-------
biweight_midcorrelation : float
The biweight midcorrelation between ``x`` and ``y``.
See Also
--------
biweight_scale, biweight_midvariance, biweight_midcovariance, biweight_location
References
----------
.. [1] https://en.wikipedia.org/wiki/Biweight_midcorrelation
Examples
--------
Calculate the biweight midcorrelation between two variables:
>>> import numpy as np
>>> from astropy.stats import biweight_midcorrelation
>>> rng = np.random.RandomState(12345)
>>> x = rng.normal(0, 1, 200)
>>> y = rng.normal(0, 3, 200)
>>> # Introduce an obvious outlier
>>> x[0] = 30.0
>>> bicorr = biweight_midcorrelation(x, y)
>>> print(bicorr) # doctest: +FLOAT_CMP
-0.0495780713907
"""
x = np.asanyarray(x)
y = np.asanyarray(y)
if x.ndim != 1:
raise ValueError('x must be a 1D array.')
if y.ndim != 1:
raise ValueError('y must be a 1D array.')
if x.shape != y.shape:
raise ValueError('x and y must have the same shape.')
bicorr = biweight_midcovariance([x, y], c=c, M=M,
modify_sample_size=modify_sample_size)
return bicorr[0, 1] / (np.sqrt(bicorr[0, 0] * bicorr[1, 1]))
```