# -*- coding: utf-8 -*- """Tools for working with groups This provides several functions to work with groups and a Group class that keeps track of the different representations and has methods to work more easily with groups. Author: Josef Perktold, Author: Nathaniel Smith, recipe for sparse_dummies on scipy user mailing list Created on Tue Nov 29 15:44:53 2011 : sparse_dummies Created on Wed Nov 30 14:28:24 2011 : combine_indices changes: add Group class Notes ~~~~~ This reverses the class I used before, where the class was for the data and the group was auxiliary. Here, it is only the group, no data is kept. sparse_dummies needs checking for corner cases, e.g. what if a category level has zero elements? This can happen with subset selection even if the original groups where defined as arange. Not all methods and options have been tried out yet after refactoring need more efficient loop if groups are sorted -> see GroupSorted.group_iter """ from statsmodels.compat.python import lrange, lzip import numpy as np import pandas as pd import statsmodels.tools.data as data_util from pandas import Index, MultiIndex def combine_indices(groups, prefix='', sep='.', return_labels=False): """use np.unique to get integer group indices for product, intersection """ if isinstance(groups, tuple): groups = np.column_stack(groups) else: groups = np.asarray(groups) dt = groups.dtype is2d = (groups.ndim == 2) # need to store if is2d: ncols = groups.shape[1] if not groups.flags.c_contiguous: groups = np.array(groups, order='C') groups_ = groups.view([('', groups.dtype)] * groups.shape[1]) else: groups_ = groups uni, uni_idx, uni_inv = np.unique(groups_, return_index=True, return_inverse=True) if is2d: uni = uni.view(dt).reshape(-1, ncols) # avoiding a view would be # for t in uni.dtype.fields.values(): # assert (t[0] == dt) # # uni.dtype = dt # uni.shape = (uni.size//ncols, ncols) if return_labels: label = [(prefix+sep.join(['%s']*len(uni[0]))) % tuple(ii) for ii in uni] return uni_inv, uni_idx, uni, label else: return uni_inv, uni_idx, uni # written for and used in try_covariance_grouploop.py def group_sums(x, group, use_bincount=True): """simple bincount version, again group : ndarray, integer assumed to be consecutive integers no dtype checking because I want to raise in that case uses loop over columns of x for comparison, simple python loop """ x = np.asarray(x) if x.ndim == 1: x = x[:, None] elif x.ndim > 2 and use_bincount: raise ValueError('not implemented yet') if use_bincount: # re-label groups or bincount takes too much memory if np.max(group) > 2 * x.shape[0]: group = pd.factorize(group)[0] return np.array([np.bincount(group, weights=x[:, col]) for col in range(x.shape[1])]) else: uniques = np.unique(group) result = np.zeros([len(uniques)] + list(x.shape[1:])) for ii, cat in enumerate(uniques): result[ii] = x[group == cat].sum(0) return result def group_sums_dummy(x, group_dummy): """sum by groups given group dummy variable group_dummy can be either ndarray or sparse matrix """ if data_util._is_using_ndarray_type(group_dummy, None): return np.dot(x.T, group_dummy) else: # check for sparse return x.T * group_dummy # TODO: See if this can be entirely replaced by Grouping.dummy_sparse; # see GH#5687 def dummy_sparse(groups): """create a sparse indicator from a group array with integer labels Parameters ---------- groups : ndarray, int, 1d (nobs,) an array of group indicators for each observation. Group levels are assumed to be defined as consecutive integers, i.e. range(n_groups) where n_groups is the number of group levels. A group level with no observations for it will still produce a column of zeros. Returns ------- indi : ndarray, int8, 2d (nobs, n_groups) an indicator array with one row per observation, that has 1 in the column of the group level for that observation Examples -------- >>> g = np.array([0, 0, 2, 1, 1, 2, 0]) >>> indi = dummy_sparse(g) >>> indi <7x3 sparse matrix of type '' with 7 stored elements in Compressed Sparse Row format> >>> indi.todense() matrix([[1, 0, 0], [1, 0, 0], [0, 0, 1], [0, 1, 0], [0, 1, 0], [0, 0, 1], [1, 0, 0]], dtype=int8) current behavior with missing groups >>> g = np.array([0, 0, 2, 0, 2, 0]) >>> indi = dummy_sparse(g) >>> indi.todense() matrix([[1, 0, 0], [1, 0, 0], [0, 0, 1], [1, 0, 0], [0, 0, 1], [1, 0, 0]], dtype=int8) """ from scipy import sparse indptr = np.arange(len(groups)+1) data = np.ones(len(groups), dtype=np.int8) indi = sparse.csr_matrix((data, groups, indptr)) return indi class Group(object): def __init__(self, group, name=''): # self.group = np.asarray(group) # TODO: use checks in combine_indices self.name = name uni, uni_idx, uni_inv = combine_indices(group) # TODO: rename these to something easier to remember self.group_int, self.uni_idx, self.uni = uni, uni_idx, uni_inv self.n_groups = len(self.uni) # put this here so they can be overwritten before calling labels self.separator = '.' self.prefix = self.name if self.prefix: self.prefix = self.prefix + '=' # cache decorator def counts(self): return np.bincount(self.group_int) # cache_decorator def labels(self): # is this only needed for product of groups (intersection)? prefix = self.prefix uni = self.uni sep = self.separator if uni.ndim > 1: label = [(prefix+sep.join(['%s']*len(uni[0]))) % tuple(ii) for ii in uni] else: label = [prefix + '%s' % ii for ii in uni] return label def dummy(self, drop_idx=None, sparse=False, dtype=int): """ drop_idx is only available if sparse=False drop_idx is supposed to index into uni """ uni = self.uni if drop_idx is not None: idx = lrange(len(uni)) del idx[drop_idx] uni = uni[idx] group = self.group if not sparse: return (group[:, None] == uni[None, :]).astype(dtype) else: return dummy_sparse(self.group_int) def interaction(self, other): if isinstance(other, self.__class__): other = other.group return self.__class__((self, other)) def group_sums(self, x, use_bincount=True): return group_sums(x, self.group_int, use_bincount=use_bincount) def group_demean(self, x, use_bincount=True): nobs = float(len(x)) means_g = group_sums(x / nobs, self.group_int, use_bincount=use_bincount) x_demeaned = x - means_g[self.group_int] # check reverse_index? return x_demeaned, means_g class GroupSorted(Group): def __init__(self, group, name=''): super(self.__class__, self).__init__(group, name=name) idx = (np.nonzero(np.diff(group))[0]+1).tolist() self.groupidx = lzip([0] + idx, idx + [len(group)]) def group_iter(self): for low, upp in self.groupidx: yield slice(low, upp) def lag_indices(self, lag): """return the index array for lagged values Warning: if k is larger then the number of observations for an individual, then no values for that individual are returned. TODO: for the unbalanced case, I should get the same truncation for the array with lag=0. From the return of lag_idx we would not know which individual is missing. TODO: do I want the full equivalent of lagmat in tsa? maxlag or lag or lags. not tested yet """ lag_idx = np.asarray(self.groupidx)[:, 1] - lag # asarray or already? mask_ok = (lag <= lag_idx) # still an observation that belongs to the same individual return lag_idx[mask_ok] def _is_hierarchical(x): """ Checks if the first item of an array-like object is also array-like If so, we have a MultiIndex and returns True. Else returns False. """ item = x[0] # is there a better way to do this? if isinstance(item, (list, tuple, np.ndarray, pd.Series, pd.DataFrame)): return True else: return False def _make_hierarchical_index(index, names): return MultiIndex.from_tuples(*[index], names=names) def _make_generic_names(index): n_names = len(index.names) pad = str(len(str(n_names))) # number of digits return [("group{0:0"+pad+"}").format(i) for i in range(n_names)] class Grouping(object): def __init__(self, index, names=None): """ index : index-like Can be pandas MultiIndex or Index or array-like. If array-like and is a MultipleIndex (more than one grouping variable), groups are expected to be in each row. E.g., [('red', 1), ('red', 2), ('green', 1), ('green', 2)] names : list or str, optional The names to use for the groups. Should be a str if only one grouping variable is used. Notes ----- If index is already a pandas Index then there is no copy. """ if isinstance(index, (Index, MultiIndex)): if names is not None: if hasattr(index, 'set_names'): # newer pandas index.set_names(names, inplace=True) else: index.names = names self.index = index else: # array_like if _is_hierarchical(index): self.index = _make_hierarchical_index(index, names) else: self.index = Index(index, name=names) if names is None: names = _make_generic_names(self.index) if hasattr(self.index, 'set_names'): self.index.set_names(names, inplace=True) else: self.index.names = names self.nobs = len(self.index) self.nlevels = len(self.index.names) self.slices = None @property def index_shape(self): if hasattr(self.index, 'levshape'): return self.index.levshape else: return self.index.shape @property def levels(self): if hasattr(self.index, 'levels'): return self.index.levels else: return pd.Categorical(self.index).levels @property def labels(self): # this was index_int, but that's not a very good name... codes = getattr(self.index, 'codes', None) if codes is None: if hasattr(self.index, 'labels'): codes = self.index.labels else: codes = pd.Categorical(self.index).codes[None] return codes @property def group_names(self): return self.index.names def reindex(self, index=None, names=None): """ Resets the index in-place. """ # NOTE: this is not of much use if the rest of the data does not change # This needs to reset cache if names is None: names = self.group_names self = Grouping(index, names) def get_slices(self, level=0): """ Sets the slices attribute to be a list of indices of the sorted groups for the first index level. I.e., self.slices[0] is the index where each observation is in the first (sorted) group. """ # TODO: refactor this groups = self.index.get_level_values(level).unique() groups = np.array(groups) groups.sort() if isinstance(self.index, MultiIndex): self.slices = [self.index.get_loc_level(x, level=level)[0] for x in groups] else: self.slices = [self.index.get_loc(x) for x in groups] def count_categories(self, level=0): """ Sets the attribute counts to equal the bincount of the (integer-valued) labels. """ # TODO: refactor this not to set an attribute. Why would we do this? self.counts = np.bincount(self.labels[level]) def check_index(self, is_sorted=True, unique=True, index=None): """Sanity checks""" if not index: index = self.index if is_sorted: test = pd.DataFrame(lrange(len(index)), index=index) test_sorted = test.sort() if not test.index.equals(test_sorted.index): raise Exception('Data is not be sorted') if unique: if len(index) != len(index.unique()): raise Exception('Duplicate index entries') def sort(self, data, index=None): """Applies a (potentially hierarchical) sort operation on a numpy array or pandas series/dataframe based on the grouping index or a user-supplied index. Returns an object of the same type as the original data as well as the matching (sorted) Pandas index. """ if index is None: index = self.index if data_util._is_using_ndarray_type(data, None): if data.ndim == 1: out = pd.Series(data, index=index, copy=True) out = out.sort_index() else: out = pd.DataFrame(data, index=index) out = out.sort_index(inplace=False) # copies return np.array(out), out.index elif data_util._is_using_pandas(data, None): out = data out = out.reindex(index) # copies? out = out.sort_index() return out, out.index else: msg = 'data must be a Numpy array or a Pandas Series/DataFrame' raise ValueError(msg) def transform_dataframe(self, dataframe, function, level=0, **kwargs): """Apply function to each column, by group Assumes that the dataframe already has a proper index""" if dataframe.shape[0] != self.nobs: raise Exception('dataframe does not have the same shape as index') out = dataframe.groupby(level=level).apply(function, **kwargs) if 1 in out.shape: return np.ravel(out) else: return np.array(out) def transform_array(self, array, function, level=0, **kwargs): """Apply function to each column, by group """ if array.shape[0] != self.nobs: raise Exception('array does not have the same shape as index') dataframe = pd.DataFrame(array, index=self.index) return self.transform_dataframe(dataframe, function, level=level, **kwargs) def transform_slices(self, array, function, level=0, **kwargs): """Apply function to each group. Similar to transform_array but does not coerce array to a DataFrame and back and only works on a 1D or 2D numpy array. function is called function(group, group_idx, **kwargs). """ array = np.asarray(array) if array.shape[0] != self.nobs: raise Exception('array does not have the same shape as index') # always reset because level is given. need to refactor this. self.get_slices(level=level) processed = [] for s in self.slices: if array.ndim == 2: subset = array[s, :] elif array.ndim == 1: subset = array[s] processed.append(function(subset, s, **kwargs)) processed = np.array(processed) return processed.reshape(-1, processed.shape[-1]) # TODO: this is not general needs to be a PanelGrouping object def dummies_time(self): self.dummy_sparse(level=1) return self._dummies def dummies_groups(self, level=0): self.dummy_sparse(level=level) return self._dummies def dummy_sparse(self, level=0): """create a sparse indicator from a group array with integer labels Parameters ---------- groups : ndarray, int, 1d (nobs,) An array of group indicators for each observation. Group levels are assumed to be defined as consecutive integers, i.e. range(n_groups) where n_groups is the number of group levels. A group level with no observations for it will still produce a column of zeros. Returns ------- indi : ndarray, int8, 2d (nobs, n_groups) an indicator array with one row per observation, that has 1 in the column of the group level for that observation Examples -------- >>> g = np.array([0, 0, 2, 1, 1, 2, 0]) >>> indi = dummy_sparse(g) >>> indi <7x3 sparse matrix of type '' with 7 stored elements in Compressed Sparse Row format> >>> indi.todense() matrix([[1, 0, 0], [1, 0, 0], [0, 0, 1], [0, 1, 0], [0, 1, 0], [0, 0, 1], [1, 0, 0]], dtype=int8) current behavior with missing groups >>> g = np.array([0, 0, 2, 0, 2, 0]) >>> indi = dummy_sparse(g) >>> indi.todense() matrix([[1, 0, 0], [1, 0, 0], [0, 0, 1], [1, 0, 0], [0, 0, 1], [1, 0, 0]], dtype=int8) """ indi = dummy_sparse(self.labels[level]) self._dummies = indi