ndarray_stats/

correlation.rs

use crate::errors::EmptyInput;
use ndarray::prelude::*;
use num_traits::{Float, FromPrimitive};

/// Extension trait for `ndarray` providing functions
/// to compute different correlation measures.
pub trait CorrelationExt<A> {
    /// Return the covariance matrix `C` for a 2-dimensional
    /// array of observations `M`.
    ///
    /// Let `(r, o)` be the shape of `M`:
    /// - `r` is the number of random variables;
    /// - `o` is the number of observations we have collected
    /// for each random variable.
    ///
    /// Every column in `M` is an experiment: a single observation for each
    /// random variable.
    /// Each row in `M` contains all the observations for a certain random variable.
    ///
    /// The parameter `ddof` specifies the "delta degrees of freedom". For
    /// example, to calculate the population covariance, use `ddof = 0`, or to
    /// calculate the sample covariance (unbiased estimate), use `ddof = 1`.
    ///
    /// The covariance of two random variables is defined as:
    ///
    /// ```text
    ///                1       n
    /// cov(X, Y) = ――――――――   ∑ (xᵢ - x̅)(yᵢ - y̅)
    ///             n - ddof  i=1
    /// ```
    ///
    /// where
    ///
    /// ```text
    ///     1   n
    /// x̅ = ―   ∑ xᵢ
    ///     n  i=1
    /// ```
    /// and similarly for ̅y.
    ///
    /// If `M` is empty (either zero observations or zero random variables), it returns `Err(EmptyInput)`.
    ///
    /// **Panics** if `ddof` is negative or greater than or equal to the number of
    /// observations, or if the type cast of `n_observations` from `usize` to `A` fails.
    ///
    /// # Example
    ///
    /// ```
    /// use ndarray::{aview2, arr2};
    /// use ndarray_stats::CorrelationExt;
    ///
    /// let a = arr2(&[[1., 3., 5.],
    ///                [2., 4., 6.]]);
    /// let covariance = a.cov(1.).unwrap();
    /// assert_eq!(
    ///    covariance,
    ///    aview2(&[[4., 4.], [4., 4.]])
    /// );
    /// ```
    fn cov(&self, ddof: A) -> Result<Array2<A>, EmptyInput>
    where
        A: Float + FromPrimitive;

    /// Return the [Pearson correlation coefficients](https://en.wikipedia.org/wiki/Pearson_correlation_coefficient)
    /// for a 2-dimensional array of observations `M`.
    ///
    /// Let `(r, o)` be the shape of `M`:
    /// - `r` is the number of random variables;
    /// - `o` is the number of observations we have collected
    /// for each random variable.
    ///
    /// Every column in `M` is an experiment: a single observation for each
    /// random variable.
    /// Each row in `M` contains all the observations for a certain random variable.
    ///
    /// The Pearson correlation coefficient of two random variables is defined as:
    ///
    /// ```text
    ///              cov(X, Y)
    /// rho(X, Y) = ――――――――――――
    ///             std(X)std(Y)
    /// ```
    ///
    /// Let `R` be the matrix returned by this function. Then
    /// ```text
    /// R_ij = rho(X_i, X_j)
    /// ```
    ///
    /// If `M` is empty (either zero observations or zero random variables), it returns `Err(EmptyInput)`.
    ///
    /// **Panics** if the type cast of `n_observations` from `usize` to `A` fails or
    /// if the standard deviation of one of the random variables is zero and
    /// division by zero panics for type A.
    ///
    /// # Example
    ///
    /// ```
    /// use approx;
    /// use ndarray::arr2;
    /// use ndarray_stats::CorrelationExt;
    /// use approx::AbsDiffEq;
    ///
    /// let a = arr2(&[[1., 3., 5.],
    ///                [2., 4., 6.]]);
    /// let corr = a.pearson_correlation().unwrap();
    /// let epsilon = 1e-7;
    /// assert!(
    ///     corr.abs_diff_eq(
    ///         &arr2(&[
    ///             [1., 1.],
    ///             [1., 1.],
    ///         ]),
    ///         epsilon
    ///     )
    /// );
    /// ```
    fn pearson_correlation(&self) -> Result<Array2<A>, EmptyInput>
    where
        A: Float + FromPrimitive;

    private_decl! {}
}

impl<A: 'static> CorrelationExt<A> for ArrayRef2<A> {
    fn cov(&self, ddof: A) -> Result<Array2<A>, EmptyInput>
    where
        A: Float + FromPrimitive,
    {
        let observation_axis = Axis(1);
        let n_observations = A::from_usize(self.len_of(observation_axis)).unwrap();
        let dof = if ddof >= n_observations {
            panic!(
                "`ddof` needs to be strictly smaller than the \
                 number of observations provided for each \
                 random variable!"
            )
        } else {
            n_observations - ddof
        };
        let mean = self.mean_axis(observation_axis);
        match mean {
            Some(mean) => {
                let denoised = self - mean.insert_axis(observation_axis);
                let covariance = denoised.dot(&denoised.t());
                Ok(covariance.mapv_into(|x| x / dof))
            }
            None => Err(EmptyInput),
        }
    }

    fn pearson_correlation(&self) -> Result<Array2<A>, EmptyInput>
    where
        A: Float + FromPrimitive,
    {
        match self.dim() {
            (n, m) if n > 0 && m > 0 => {
                let observation_axis = Axis(1);
                // The ddof value doesn't matter, as long as we use the same one
                // for computing covariance and standard deviation
                // We choose 0 as it is the smallest number admitted by std_axis
                let ddof = A::zero();
                let cov = self.cov(ddof).unwrap();
                let std = self
                    .std_axis(observation_axis, ddof)
                    .insert_axis(observation_axis);
                let std_matrix = std.dot(&std.t());
                // element-wise division
                Ok(cov / std_matrix)
            }
            _ => Err(EmptyInput),
        }
    }

    private_impl! {}
}

#[cfg(test)]
mod cov_tests {
    use super::*;
    use ndarray::array;
    use ndarray_rand::rand;
    use ndarray_rand::rand_distr::Uniform;
    use ndarray_rand::RandomExt;
    use quickcheck_macros::quickcheck;

    #[quickcheck]
    fn constant_random_variables_have_zero_covariance_matrix(value: f64) -> bool {
        let n_random_variables = 3;
        let n_observations = 4;
        let a = Array::from_elem((n_random_variables, n_observations), value);
        abs_diff_eq!(
            a.cov(1.).unwrap(),
            &Array::zeros((n_random_variables, n_random_variables)),
            epsilon = 1e-8,
        )
    }

    #[quickcheck]
    fn covariance_matrix_is_symmetric(bound: f64) -> bool {
        let n_random_variables = 3;
        let n_observations = 4;
        let a = Array::random(
            (n_random_variables, n_observations),
            Uniform::new(-bound.abs(), bound.abs()).unwrap(),
        );
        let covariance = a.cov(1.).unwrap();
        abs_diff_eq!(covariance, &covariance.t(), epsilon = 1e-8)
    }

    #[test]
    #[should_panic]
    fn test_invalid_ddof() {
        let n_random_variables = 3;
        let n_observations = 4;
        let a = Array::random(
            (n_random_variables, n_observations),
            Uniform::new(0., 10.).unwrap(),
        );
        let invalid_ddof = (n_observations as f64) + rand::random::<f64>().abs();
        let _ = a.cov(invalid_ddof);
    }

    #[test]
    fn test_covariance_zero_variables() {
        let a = Array2::<f32>::zeros((0, 2));
        let cov = a.cov(1.);
        assert!(cov.is_ok());
        assert_eq!(cov.unwrap().shape(), &[0, 0]);
    }

    #[test]
    fn test_covariance_zero_observations() {
        let a = Array2::<f32>::zeros((2, 0));
        // Negative ddof (-1 < 0) to avoid invalid-ddof panic
        let cov = a.cov(-1.);
        assert_eq!(cov, Err(EmptyInput));
    }

    #[test]
    fn test_covariance_zero_variables_zero_observations() {
        let a = Array2::<f32>::zeros((0, 0));
        // Negative ddof (-1 < 0) to avoid invalid-ddof panic
        let cov = a.cov(-1.);
        assert_eq!(cov, Err(EmptyInput));
    }

    #[test]
    fn test_covariance_for_random_array() {
        let a = array![
            [0.72009497, 0.12568055, 0.55705966, 0.5959984, 0.69471457],
            [0.56717131, 0.47619486, 0.21526298, 0.88915366, 0.91971245],
            [0.59044195, 0.10720363, 0.76573717, 0.54693675, 0.95923036],
            [0.24102952, 0.131347, 0.11118028, 0.21451351, 0.30515539],
            [0.26952473, 0.93079841, 0.8080893, 0.42814155, 0.24642258]
        ];
        let numpy_covariance = array![
            [0.05786248, 0.02614063, 0.06446215, 0.01285105, -0.06443992],
            [0.02614063, 0.08733569, 0.02436933, 0.01977437, -0.06715555],
            [0.06446215, 0.02436933, 0.10052129, 0.01393589, -0.06129912],
            [0.01285105, 0.01977437, 0.01393589, 0.00638795, -0.02355557],
            [
                -0.06443992,
                -0.06715555,
                -0.06129912,
                -0.02355557,
                0.09909855
            ]
        ];
        assert_eq!(a.ndim(), 2);
        assert_abs_diff_eq!(a.cov(1.).unwrap(), &numpy_covariance, epsilon = 1e-8);
    }

    #[test]
    #[should_panic]
    // We lose precision, hence the failing assert
    fn test_covariance_for_badly_conditioned_array() {
        let a: Array2<f64> = array![[1e12 + 1., 1e12 - 1.], [1e-6 + 1e-12, 1e-6 - 1e-12],];
        let expected_covariance = array![[2., 2e-12], [2e-12, 2e-24]];
        assert_abs_diff_eq!(a.cov(1.).unwrap(), &expected_covariance, epsilon = 1e-24);
    }
}

#[cfg(test)]
mod pearson_correlation_tests {
    use super::*;
    use ndarray::array;
    use ndarray::Array;
    use ndarray_rand::rand_distr::Uniform;
    use ndarray_rand::RandomExt;
    use quickcheck_macros::quickcheck;

    #[quickcheck]
    fn output_matrix_is_symmetric(bound: f64) -> bool {
        let n_random_variables = 3;
        let n_observations = 4;
        let a = Array::random(
            (n_random_variables, n_observations),
            Uniform::new(-bound.abs(), bound.abs()).unwrap(),
        );
        let pearson_correlation = a.pearson_correlation().unwrap();
        abs_diff_eq!(
            pearson_correlation.view(),
            pearson_correlation.t(),
            epsilon = 1e-8
        )
    }

    #[quickcheck]
    fn constant_random_variables_have_nan_correlation(value: f64) -> bool {
        let n_random_variables = 3;
        let n_observations = 4;
        let a = Array::from_elem((n_random_variables, n_observations), value);
        let pearson_correlation = a.pearson_correlation();
        pearson_correlation
            .unwrap()
            .iter()
            .map(|x| x.is_nan())
            .fold(true, |acc, flag| acc & flag)
    }

    #[test]
    fn test_zero_variables() {
        let a = Array2::<f32>::zeros((0, 2));
        let pearson_correlation = a.pearson_correlation();
        assert_eq!(pearson_correlation, Err(EmptyInput))
    }

    #[test]
    fn test_zero_observations() {
        let a = Array2::<f32>::zeros((2, 0));
        let pearson = a.pearson_correlation();
        assert_eq!(pearson, Err(EmptyInput));
    }

    #[test]
    fn test_zero_variables_zero_observations() {
        let a = Array2::<f32>::zeros((0, 0));
        let pearson = a.pearson_correlation();
        assert_eq!(pearson, Err(EmptyInput));
    }

    #[test]
    fn test_for_random_array() {
        let a = array![
            [0.16351516, 0.56863268, 0.16924196, 0.72579120],
            [0.44342453, 0.19834387, 0.25411802, 0.62462382],
            [0.97162731, 0.29958849, 0.17338142, 0.80198342],
            [0.91727132, 0.79817799, 0.62237124, 0.38970998],
            [0.26979716, 0.20887228, 0.95454999, 0.96290785]
        ];
        let numpy_corrcoeff = array![
            [1., 0.38089376, 0.08122504, -0.59931623, 0.1365648],
            [0.38089376, 1., 0.80918429, -0.52615195, 0.38954398],
            [0.08122504, 0.80918429, 1., 0.07134906, -0.17324776],
            [-0.59931623, -0.52615195, 0.07134906, 1., -0.8743213],
            [0.1365648, 0.38954398, -0.17324776, -0.8743213, 1.]
        ];
        assert_eq!(a.ndim(), 2);
        assert_abs_diff_eq!(
            a.pearson_correlation().unwrap(),
            numpy_corrcoeff,
            epsilon = 1e-7
        );
    }
}