Rstats
Statistics, Information Measures, Vector Algebra, Linear Algebra, Cholesky Matrix Decomposition, Mahalanobis Distance, Householder QR Decomposition, Multidimensional Data Analysis, Geometric Median, Convex Hull, Machine Learning ...
Usage
Insert Rstats = "^1"
in the Cargo.toml
file, under [dependencies]
.
Use in your source files any of the following structs, as and when needed:
use ;
and any of the following traits:
use ;
The latest (nightly) version is always available in the github repository Rstats. Sometimes it may be in some details a little ahead of the crates.io release versions.
It is highly recommended to read and run tests.rs from the github repository as examples of usage. To run all the tests, use a single thread in order to print the results in the right order:
Alternatively, just to get a quick idea of the methods provided and their usage, you can now read the output produced by an automated test run. There are test logs for each new push to this repository. Unclick the latest (top) one, then Rstats
and then Run cargo test
... The badge at the top of this document lights up green when all the tests have passed and clicking it gets you to these logs as well.
Introduction
Rstats
has a small footprint. Nonetheless the best methods are implemented, primarily with Data Analysis and Machine Learning in mind. They include multidimensional nd
analysis, i.e. characterising sets of n points in space of d dimensions.
Several branches of mathematics: statistics, information theory, set theory and linear algebra are combined in this one consistent crate, based on the abstraction that they all operate on the same data objects (here Rust Vecs). The only difference being that an ordering of their components is sometimes assumed (in linear algebra, set theory) and sometimes it is not (in statistics, information theory, set theory).
Rstats
begins with basic statistical measures, information measures, vector algebra and linear algebra. These provide self-contained tools for the multidimensional algorithms but are also useful in their own right.
Non analytical statistics
is preferred, whereby the 'random variables' are replaced by vectors of real data. Probabilities densities and other parameters are always obtained from the data, not from some assumed distributions.
Linear algebra
uses by default Vec<Vec<T>>
: a generic data structure capable of representing irregular matrices. Also, struct TriangMat
is defined and used for symmetric and triangular matrices (for efficiency reasons).
Our treatment of multidimensional sets of points is constructed from the first principles. Some original concepts, not found elsewhere, are introduced and implemented here:
-
median correlation
- in one dimension, ourmediancorr
method is to replacePearson's correlation
. We definemedian correlation
as cosine of an angle between two zero median samples (instead of Pearson's zero mean samples). This conceptual clarity is one of the benefits of thinking of a sample as a vector in d dimensional space. -
gmedian and pmedian
- fast multidimensionalgeometric median (gm)
algorithms. -
madgm
- generalisation tond
of a robust data spread estimator known asMAD
(median of absolute deviations from median). -
contribution
- of a point to annd
set. Defined as a magnitude ofgm
adjustment, when the point is added to the set. It is related to the point's radius (distance from thegm
) but not the same, as it depends on the radii of all the other points as well. -
comediance
- instead of covariance (triangular matrix). It is obtained by supplyingcovar
with the geometric median instead of the usual centroid. Thuszero median vectors
are replacingzero mean vectors
in covariance calculations.
Zero median vectors are generally preferable to the commonly used zero mean vectors.
In n dimensions, many 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 also much slower to compute than our gm
.
Specifically, all such 1d measures are sensitive to the choice of axis and thus are affected by rotation.
In contrast, analyses based on the true geometric median (gm
) are axis (rotation) independent. Also, they are more stable, as medians have a 50% breakdown point (the maximum possible). They are computed here by methods gmedian
and its weighted version wgmedian
, in traits vecvec
and vecvecg
respectively.
Additional Documentation
For more detailed comments, plus some examples, see docs.rs. You may have to unclick the 'implementations on foreign types' somewhere near the bottom of the page (as these traits are implemented directly over 'out of this crate' Rust Vec
type).
Terminology
Including some new definitions for sets of nd points, i.e. n points in d dimensional space
-
Median correlation
between two samples. We define it analogously to Pearson, as cosine of an angle between two 'normalised' vectors. Pearson 'normalises' by subtracting the mean from all components, we subtract the median. -
Centroid/Centre/Mean
of an nd set. It is the (generally non member) point that minimises its sum of squares of distances to all member points. Thus it is susceptible to outliers. Specifically, it is the d-dimensional arithmetic mean. 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 usage: Centroid = Centre = Arithmetic Mean. -
Quasi/Marginal Median
is the point minimising sums of distances separately in each dimension (its coordinates are medians along each axis). It is a mistaken concept which we do not recommend using. -
Tukey Median
is the point maximisingTukey's Depth
, which is the minimum number of (outlying) points found in a hemisphere in any direction. Potentially useful concept but only partially implemented here bytukeyvec
, as its advantages over the geometric median are not clear. -
Median or the true geometric median (gm)
, is the point (generally non member), which minimises the sum of distances to all member points. This is the one we want. It is much less susceptible to outliers than the centroid. In addition, unlike quasi median,gm
is rotation independent. -
Medoid
is the member of the set with the least sum of distances to all other members. Equivalently, the member which is the nearest to thegm
. -
Outlier
is the member of the set with the greatest sum of distances to all other members. Equivalently, it is the point furthest from thegm
. -
Convex Hull
is the subset consisting of selected points p, such that no other member points lie outside the plane through p and normal to its radius vector. The points that do not satisfy this condition are theinternal
points. -
Zero median vectors
are obtained by subtracting thegm
(placing the origin of the coordinate system at thegm
). This is a proposed alternative to the commonly usedzero mean vectors
, obtained by subtracting the centroid. -
MADGM
(median of distances fromgm
). This is our generalisation ofMAD
(median of absolute differences) measure from one dimension to any number of dimensions (d>1). It is a robust measure ofnd
data spread. -
Comediance
is similar tocovariance
, except that zero median vectors are used to compute it (instead of zero mean vectors). -
Mahalanobis Distance
is a weighted distace, where the weights are derived from the axis of variation of thend
data points cloud. Thus distances in the directions in which there are few points are penalised (increased) and vice versa. Efficient Cholesky singular (eigen) value decomposition is used. Cholesky method decomposes the covariance or comediance positive definite matrix S into a product of two triangular matrices: S = LL'. For more details see the comments in the source code. -
Contribution
One of the key questions of Machine Learning (ML) is how to quantify the contribution that each example point (typically a member of some largend
set) makes to the recognition concept, or class, represented by that set. In answer to this, we define thecontribution
of a point as the magnitude of adjustment togm
caused by adding that point. Generally, outlying points make greater contributions to thegm
but not as much as they would to the centroid. The contribution depends not only on the radius of the example point in question but also on the radii of all other existing example points. -
Tukey Vector
Proportions of points in each hemisphere from gm. This is a useful 'signature' of a data cloud. For a new point (that typically needs to be classified) we can then quickly determine whether it lies in a well populated direction. This could also be done by projecting all the existing points on its unit radius vector but that would be much slower, as there are many points. Also, in keeping with the stability properties of medians, we are only using counts of points in the hemispheres, not their distances.
Implementation
The main constituent parts of Rstats are its traits. The selection of traits (to use
) is primarily determined by the types of objects handled. These are mostly vectors of arbitrary length/dimensionality (d
). The main traits are implementing methods applicable to:
Stats
: a single vector (of numbers),Vecg
: methods (of vector algebra) operating on two vectors, e.g. scalar productVecu8
: some specialized methods for end-typeu8
MutVecg
: some of the above methods, mutating selfVecVec
: methods operating on n vectors,VecVecg
: methods for n vectors, plus another generic argument, e.g. vector of weights.
In other words, the traits and their methods operate on arguments of their required categories. In classical statistical terminology, the main categories correspond to the number of 'random variables'.
Vec<Vec<T>>
type is used for full rectangular matrices (could also be irregular), whereas TriangMat
struct is used specifically for symmetric and triangular matrices (to save memory).
The vectors' end types (of the actual data) are mostly generic: usually some numeric type. End type f64
is mostly used for the computed results.
Errors
Rstats
crate produces custom errors RError
:
Each of its enum variants also carries a generic payload T
. Most commonly this will be a String
message giving more helpful explanation, e.g.:
if dif <= 0_f64 ;
format!(...)
is used to insert values of variables to the payload String, as shown. These potential errors are returned and can then be automatically converted (with ?
) to users' own errors. Some such conversions are implemented at the bottom of errors.rs
file and used in tests.rs
.
There is a type alias shortening return declarations to, e.g.: Result<Vec<f64>,RE>
, where
pub type RE = ;
Structs
struct MStats
holds the central tendency of 1d
data, e.g. some kind of mean or median, and its dispersion measure, e.g. standard deviation or MAD.
struct TriangMat
holds lower/upper triangular symmetric/non-symmetric matrix in compact form that avoids zeros and duplications. Beyond the usual conversion to full matrix form, a number of (the best) Linear Algebra methods are implemented directly on TriangMag, in module triangmag.rs
, such as:
- Cholesky-Banachiewicz matrix decomposition: M = LL' (where ' denotes a transpose), used by:
- Mahalanobis Distance
- Householder UR (M = QR) matrix decomposition
Also, there are some methods implemented for VecVecg
that produce TriangMat
, specifically the covariance/comedience calculations: covar
,wcovar
,comed
and wcomed
. Their results will be typically used by mahalanobis
.
Auxiliary Functions
i64tof64
: converts an i64 vector to f64,sumn
: sum of a sequence 1..n, also the size of a lower/upper triangular matrix below/above the diagonal (n*(n+1)/2.),unit_matrix
full unit matrix
Trait 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
.
These methods are checked and will report RError(s), such as an empty input. This means you have to apply ?
to their results to pass the errors up, or explicitly match them to take recovery actions, depending on the variant.
Included in this trait are:
- means (arithmetic, geometric and harmonic),
- standard deviations,
- linearly weighted means (useful for time dependent data analysis),
- probability density function (pdf)
- autocorrelation, entropy
- linear transformation to [0,1],
- other measures and vector algebra operators
Note that fast implementation of 1d medians is as of version 1.1.0 in crate medians
.
Trait Vecg
Generic vector algebra operations between two slices &[T]
, &[U]
of any length (dimensionality). It may be necessary to invoke some using the 'turbofish' ::<type>
syntax to indicate the type U of the supplied argument, e.g.:
datavec.methodname::<f64>(arg)
This is because Rust is currently incapable of inferring the type ('the inference bug').
- Vector additions, subtractions and products (scalar, kronecker, outer),
- Other relationships and measures of difference,
- Pearson's, Spearman's and Kendall's correlations,
Median correlation
, which we define analogously to Pearson's, as cosine of an angle between two zero median vectors (instead of his zero mean vectors).- Joint pdf, joint entropy, statistical independence (based on mutual information).
Contribution
measure of a point w.r.t gm
The simpler methods of this trait are sometimes unchecked (for speed), so some caution with data is advisable.
Trait MutVecg
A select few of the Stats
and Vecg
methods (e.g. mutable vector addition, subtraction and multiplication) are reimplemented under this trait, so that they can mutate self
in-place. This is more efficient and convenient in some circumstances, such as in vector iterative methods.
Trait Vecu8
Some vector algebra as above that can be more efficient when the end type happens to be u8 (bytes). These methods have u8 appended to their names to avoid confusion with Vecg methods. These specific algorithms are different to their generic equivalents in Vecg.
- Frequency count of bytes by their values (histogram, pdf, jointpdf)
- Entropy, jointentropy, independence.
Trait VecVec
Relationships between n vectors (in d dimensions).
This general data domain is denoted here as (nd). It is in nd where the main original contribution of this library lies. True geometric median (gm) is found by fast and stable iteration, using improved Weiszfeld's algorithm gmedian
. This algorithm solves Weiszfeld's convergence and stability problems in the neighbourhoods of existing set points. Its variant pmedian
iterates point-by-point, which gives even better convergence.
- centroid, medoid, outliers, gm
- sums of distances, radius of a point (as its distance from gm)
- characterisation of a set of multidimensional points by the mean, standard deviation, median and MAD of its points' radii. These are useful recognition measures for the set.
- transformation to zero geometric median data,
- multivariate trend (regression) between two sets of nd points,
- covariance and comediance matrices.
- convex hull points
Trait VecVecg
Methods which take an additional generic vector argument, such as a vector of weights for computing weighted geometric medians (where each point has its own weight). Matrices multiplications.
Appendix: Recent Releases
-
Version 1.2.20 - Added
dfdt
toStats
trait (approximate weighted time derivative at the last vec point). Added automatic conversions (with?
) of any potential errors returned from cratesran
,medians
andtimes
, as now used intests.rs
. -
Version 1.2.19 - Presentation only: github actions now run automatically the full battery of
cargo test
. Detailed and informative tests output can be seen in the github actions log and overall success is indicated by the green badge at the head of this readme file. -
Version 1.2.18 - Updated dependency
ran v1.0.4
. Added github actioncargo check
. -
Version 1.2.17 - Rectangular matrices (as
Vec<Vec<T>>
): multiplications made more efficient. Addedmat
test to tests.rs. -
Version 1.2.16 - TriangMat developed. Methods working with triangular matrices are now implemented for this struct.
-
Version 1.2.15 - Introducing
struct TriangMat
: better representation of triangular matrices. -
Version 1.2.14 - Householder's UR matrix decomposition and orthogonalization.
-
Version 1.2.13 - Updated dependency to
indxvec v1.4.2
. Addednormalize
andwvmean
. Addedradius
toVecVec
. Addedwtukeyvec
adottukey
. Removed bulky test/tests.rs from the crate, get them from the github repository. Householder decomposition/orthogonalization is 'to do'. -
Version 1.2.12 - Updated dependency `indxvec v1.3.4'.
-
Version 1.2.11 - Added
convex_hull
to trait VecVec. Added more error checking: VecVecg trait is now fully checked, be prepared to append?
after most method calls. -
Version 1.2.10 - Minor: corrected some examples, removed all unnecessary
.as_slice()
conversions. -
Version 1.2.9 - More RError forwarding. Removed all deliberate panics.
-
Version 1.2.8 - Fixed a silly bug in
symmatrix
and made it return Result. -
Version 1.2.7 - Added efficient
mahalanobis
distance and its test. -
Version 1.2.6 - Added test
matrices
specifically for matrix operations. Added type aliasRstats::RE
to shorten method headings returningRErrors
that carry&str
payloads (see subsection Errors above). -
Version 1.2.5 - Added some more matrix algebra. Added generic payload
T
to RError:RError<T>
to allow it to carry more information. -
Version 1.2.4 - Added Cholesky–Banachiewicz algorithm
cholesky
to traitStatsg
for efficient matrix decomposition. -
Version 1.2.3 - Fixed
hwmeanstd
. Some more tidying up using RError.Autocorr
andlintrans
now also check their data and returnResult
. -
Version 1.2.2 - Introduced custom error RError, potentially returned by some methods of trait
Statsg
. Removed the dependency on crateanyhow
. -
Version 1.2.1 - Code pruning - removed
wsortedcos
of questionable utility from traitVecVecg
.