Rstats - Rust Stats

Usage

Insert in your Cargo.toml file under [dependencies] rstats = "^0.8" and in your source file(s) use rstats:: followed by any of these functions and traits that you need: {functions, Stats, MutStats, Vecu8, Vecg, MutVecg, VecVec, VecVecg };

Introduction

Rstats is primarily about characterising multidimensional sets of points, with applications to Machine Learning and Big Data Analysis. It begins with basic statistical measures and vector algebra, which provide self-contained tools for the multidimensional algorithms but can also be used in their own right.

Our treatment of multidimensional sets of points is constructed from the first principles. Some original concepts, not found elsewhere, are introduced and implemented here. Specifically, the new multidimensional (geometric) median algorithm. Also, the comediance matrix as a replacement for the covariance matrix. It is obtained simply by supplying covar with the geometric median instead of the usual centroid.

Zero median vectors are generally preferable to the commonly used zero mean vectors.

Most authors 'cheat' by using quasi medians (1-d medians along each axis). Quasi medians are a poor start to stable characterisation of multidimensional data. In a highly dimensional space, they are not even any easier to compute.

Specifically, all such 1-d measures are sensitive to the choice of axis (are affected by rotation).

In contrast, our methods, based on the true geometric median (gm), computed here by novel gmedian and wgmedian, are axis (rotation) independent.

Implementation

The main constituent parts of Rstats are Rust traits grouping together methods applicable to a single vector of numbers (Stats), two vectors (Vecg), or n vectors (VecVec and VecVecg). End type f64 is most commonly used for the results, whereas the inputs to the generic methods can be vectors (or slices) of any numeric end types.

Documentation

To see more detailed comments, plus some examples in the implementation files, scroll to the bottom of the trait and unclick [+] to the left of the implementations of the trait. To see the tests, consult tests/tests.rs. The tests also serve as simple usage examples.

To run all the tests, use single thread in order to produce the results in the right order:
cargo test --release -- --test-threads=1 --nocapture --color always

Structs and auxiliary functions

• pub struct Med to hold median and quartiles

• pub struct MStats to hold mean and standard deviation

• struct MinMax imported from crate indxvec for min and max values of a vector and their indices. It is returned by function minmax, also from indxvec.

• functions: tof64, i64tof64, wsum, genvec, genvecu8 (see documentation for the module functions.rs).

Traits

Stats

One dimensional statistical measures implemented for all numeric end types.

Its methods operate on one slice of generic data and take no arguments. For example, s.amean() returns the arithmetic mean of the data in slice s. Some of these methods are checked and will report all kinds of errors, such as an empty input. This means you have to call .unwrap() or something similar on their results.

Included in this trait are:

• means (arithmetic, geometric and harmonic),
• standard deviations,
• linearly weighted means (useful for time dependent data analysis),
• median and quartiles,
• autocorrelation, entropy
• linear transformation to [0,1],
• other measures and vector algebra operators

MutStats

A few of the Stats methods are reimplemented under this trait (only for f64), so that they mutate self in-place. This is more efficient and convenient in some circumstances, such as in vector iterative methods.

Vecg

Vector algebra operations between two slices &[T], &[U] of any length (dimensionality):

• Vector additions, subtractions, products and other relationships and measures.
• Pearson's, Spearman's and Kendall's correlations.

This trait is unchecked (for speed), so some caution with data is advisable.

MutVecg & MutVecf64

Mutable vector addition, subtraction and multiplication.
Mutate self in-place. This is for efficiency and convenience. Specifically, in vector iterative methods. MutVecf64 is to be used in preference, when the end type of self is known to be f64. Beware that these methods work by side-effect and do not return anything, so they can not be functionally chained.

Vecu8

• Some vector algebra as above that can be more efficient when the end type happens to be u8 (bytes).
• Frequency count of bytes by their values (Histogram or Probability Density Function).
• Entropy measures in units of e (using natural logarithms).

VecVec

Relationships between n vectors (nD). This is the original contribution of this library. True geometric median is found by fast and stable iteration, using improved Weiszfeld's algorithm boosted by multidimensional secant method.

• sums of distances, eccentricity measure for nD points,
• centroid, medoid, outliers, true geometric median,
• transformation to zero (geometric) median data,
• relationship between two sets of multidimensional vectors: trend,
• covariance and comediance matrices (weighted and unweighted).

Trait VecVec is entirely unchecked, so check your data upfront.

VecVecg

Methods which take an additional generic vector argument, such as a vector of weights for computing the weighted geometric medians.

Appendix I: Terminology (and some new definitions) for sets of nD points

• Centroid\Centre\Mean is the (generally non member) point that minimises the sum of squares of distances to all member points. Thus it is susceptible to outliers. Specifically, it is the n-dimensional arithmetic mean. By drawing physical analogy with gravity, it is sometimes called 'the centre of mass'. Centroid can also sometimes mean the member of the set which is the nearest to the Centre. Here we follow the common (if somewhat confusing) usage: Centroid = Centre = Arithmetic Mean.

• Quasi\Marginal Median is the point minimising sums of distances separately in each dimension (its coordinates are 1-d medians along each axis). It is a mistaken concept which we do not use here.

• Tukey Median is the point maximising Tukey's Depth, which is the minimum number of (outlying) points found in a hemisphere in any direction. Potentially useful concept but not yet implemented here, as its advantages over gm are not clear.

• Medoid is the member of the set with the least sum of distances to all other members.

• Outlier is the member of the set with the greatest sum of distances to all other members.

• Median or the true geometric median (gm), is the point (generally non member), which minimises the sum of distances to all members. This is the one we want. It is much less susceptible to outliers than centroid. In addition, unlike quasi median, gm is rotation independent.

• Zero median vector is obtained by subtracting the geometric median. This is a proposed alternative to the commonly used zero mean vector, obtained by subtracting the centroid.

• Comediance is similar to covariance, except zero median vectors are used to compute it, instead of zero mean vectors.

Appendix II: Recent Releases

• Version 0.8.9 Minor improvements to readme and vecvecg.

• Version 0.8.8 More generics: added VecVecg trait and removed VecVecu8 as its functionality is now subsumed by this addition. Removed benches/benchmark.rs as it was not really needed. There are timings of the geometric medians computation in tests/tests.rs.

• Version 0.8.7 Some simplification of reporting, using struct MinMax from crate indxvec.

• Version 0.8.6 Added comed and wcomed methods to VecVec trait.

• Version 0.8.5 Split MutVectors trait into MutStats (with no arguments) and MutVecg (with one generic argument). They are both still implemented only for f64 and will remain so. However, it is now possible, for example, to mutably subtract a slice of any end type. This allowed the deletion of mutvaddu8 and mutvsubu8 as special cases. Fixed some in-code tests that were not yet using the new Vecg trait. Trait VecVecf64 generalised and renamed to VecVec.