distfit - Probability density fitting

Related tags

Machine Learningpdfpypisseprobability-distributionhypothesis-testingprobability-statisticsdensity-functionsfitting-curve
Overview

distfit - Probability density fitting

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Background

distfit is a python package for probability density fitting across 89 univariate distributions to non-censored data by residual sum of squares (RSS), and hypothesis testing. Probability density fitting is the fitting of a probability distribution to a series of data concerning the repeated measurement of a variable phenomenon. distfit scores each of the 89 different distributions for the fit wih the empirical distribution and return the best scoring distribution.

Functionalities

The distfit library is created with classes to ensure simplicity in usage.

# Import library
from distfit import distfit

dist = distfit()        # Specify desired parameters
dist.fit_transform(X)   # Fit distributions on empirical data X
dist.predict(y)         # Predict the probability of the resonse variables
dist.plot()             # Plot the best fitted distribution (y is included if prediction is made)

Installation

Install distfit from PyPI (recommended). distfit is compatible with Python 3.6+ and runs on Linux, MacOS X and Windows.

Install from PyPi

pip install distfit

Install directly from github source (beta version)

pip install git+https://github.com/erdogant/distfit#egg=master

Install by cloning (beta version)

git clone https://github.com/erdogant/distfit.git
cd distfit
pip install -U .

Check version number

import distfit
print(distfit.__version__)

Examples

Import distfit library

from distfit import distfit

Create Some random data and model using default parameters:

import numpy as np
X = np.random.normal(0, 2, [100,10])
y = [-8,-6,0,1,2,3,4,5,6]

Specify distfit parameters. In this example nothing is specied and that means that all parameters are set to default.

dist = distfit(todf=True)
dist.fit_transform(X)
dist.plot()

# Prints the screen:
# [distfit] >fit..
# [distfit] >transform..
# [distfit] >[norm      ] [RSS: 0.0133619] [loc=-0.059 scale=2.031] 
# [distfit] >[expon     ] [RSS: 0.3911576] [loc=-6.213 scale=6.154] 
# [distfit] >[pareto    ] [RSS: 0.6755185] [loc=-7.965 scale=1.752] 
# [distfit] >[dweibull  ] [RSS: 0.0183543] [loc=-0.053 scale=1.726] 
# [distfit] >[t         ] [RSS: 0.0133619] [loc=-0.059 scale=2.031] 
# [distfit] >[genextreme] [RSS: 0.0115116] [loc=-0.830 scale=1.964] 
# [distfit] >[gamma     ] [RSS: 0.0111372] [loc=-19.843 scale=0.209] 
# [distfit] >[lognorm   ] [RSS: 0.0111236] [loc=-29.689 scale=29.561] 
# [distfit] >[beta      ] [RSS: 0.0113012] [loc=-12.340 scale=41.781] 
# [distfit] >[uniform   ] [RSS: 0.2481737] [loc=-6.213 scale=12.281]

Note that the best fit should be [normal], as this was also the input data. However, many other distributions can be very similar with specific loc/scale parameters. It is however not unusual to see gamma and beta distribution as these are the "barba-pappas" among the distributions. Lets print the summary of detected distributions with the Residual Sum of Squares.

# All scores of the tested distributions
print(dist.summary)

# Distribution parameters for best fit
dist.model

# Make plot
dist.plot_summary()

After we have a fitted model, we can make some predictions using the theoretical distributions. After making some predictions, we can plot again but now the predictions are automatically included.

dist.predict(y)
dist.plot()
# 
# Prints to screen:
# [distfit] >predict..
# [distfit] >Multiple test correction..[fdr_bh]

The results of the prediction are stored in y_proba and y_pred

# Show the predictions for y
print(dist.results['y_pred'])
# ['down' 'down' 'none' 'none' 'none' 'none' 'up' 'up' 'up']

# Show the probabilities for y that belong with the predictions
print(dist.results['y_proba'])
# [2.75338375e-05 2.74664877e-03 4.74739680e-01 3.28636879e-01 1.99195071e-01 1.06316132e-01 5.05914722e-02 2.18922761e-02 8.89349927e-03]
 
# All predicted information is also stored in a structured dataframe
print(dist.results['df'])
#    y   y_proba y_pred         P
# 0 -8  0.000028   down  0.000003
# 1 -6  0.002747   down  0.000610
# 2  0  0.474740   none  0.474740
# 3  1  0.328637   none  0.292122
# 4  2  0.199195   none  0.154929
# 5  3  0.106316   none  0.070877
# 6  4  0.050591     up  0.028106
# 7  5  0.021892     up  0.009730
# 8  6  0.008893     up  0.002964

Example if you want to test one specific distributions, such as the normal distribution:

The full list of distributions is listed here: https://erdogant.github.io/distfit/pages/html/Parametric.html

dist = distfit(distr='norm')
dist.fit_transform(X)

# [distfit] >fit..
# [distfit] >transform..
# [distfit] >[norm] [RSS: 0.0151267] [loc=0.103 scale=2.028]

dist.plot()

Example if you want to test multiple distributions, such as the normal and t distribution:

The full list of distributions is listed here: https://erdogant.github.io/distfit/pages/html/Parametric.html

dist = distfit(distr=['norm', 't', 'uniform'])
results = dist.fit_transform(X)

# [distfit] >fit..
# [distfit] >transform..
# [distfit] >[norm   ] [0.00 sec] [RSS: 0.0012337] [loc=0.005 scale=1.982]
# [distfit] >[t      ] [0.12 sec] [RSS: 0.0012336] [loc=0.005 scale=1.982]
# [distfit] >[uniform] [0.00 sec] [RSS: 0.2505846] [loc=-6.583 scale=15.076]
# [distfit] >Compute confidence interval [parametric]

Example to fit for discrete distribution:

from scipy.stats import binom
# Generate random numbers

# Set parameters for the test-case
n = 8
p = 0.5

# Generate 10000 samples of the distribution of (n, p)
X = binom(n, p).rvs(10000)
print(X)

# [5 1 4 5 5 6 2 4 6 5 4 4 4 7 3 4 4 2 3 3 4 4 5 1 3 2 7 4 5 2 3 4 3 3 2 3 5
#  4 6 7 6 2 4 3 3 5 3 5 3 4 4 4 7 5 4 5 3 4 3 3 4 3 3 6 3 3 5 4 4 2 3 2 5 7
#  5 4 8 3 4 3 5 4 3 5 5 2 5 6 7 4 5 5 5 4 4 3 4 5 6 2...]

# Initialize distfit for discrete distribution for which the binomial distribution is used. 
dist = distfit(method='discrete')

# Run distfit to and determine whether we can find the parameters from the data.
dist.fit_transform(X)

# [distfit] >fit..
# [distfit] >transform..
# [distfit] >Fit using binomial distribution..
# [distfit] >[binomial] [SSE: 7.79] [n: 8] [p: 0.499959] [chi^2: 1.11]
# [distfit] >Compute confidence interval [discrete]

# Get the model and best fitted parameters.
print(dist.model)

# {'distr': 
   
    ,
   
#  'params': (8, 0.4999585504197037),
#  'name': 'binom',
#  'SSE': 7.786589839641551,
#  'chi2r': 1.1123699770916502,
#  'n': 8,
#  'p': 0.4999585504197037,
#  'CII_min_alpha': 2.0,
#  'CII_max_alpha': 6.0}

# Best fitted n=8 and p=0.4999 which is great because the input was n=8 and p=0.5
dist.model['n']
dist.model['p']

# Make plot
dist.plot()

# With the fitted model we can start making predictions on new unseen data
y = [0, 1, 10, 11, 12]
results = dist.predict(y)
dist.plot()

# Make plot with the results
dist.plot()

df_results = pd.DataFrame(pd.DataFrame(results))

#   y   y_proba    y_pred   P
#   0   0.004886   down     0.003909
#   1   0.035174   down     0.035174
#   10  0.000000     up     0.000000
#   11  0.000000     up     0.000000
#   12  0.000000     up     0.000000

Example to generate samples based on the fitted distribution:

# import library
from distfit import distfit

# Generate random normal distributed data
X = np.random.normal(0, 2, 10000)
dist = distfit()

# Fit
dist.fit_transform(X)

# The fitted distribution can now be used to generate new samples.
# Generate samples
Xgenerate = dist.generate(n=1000)

Citation

Please cite distfit in your publications if this is useful for your research. See right top panel for the citation entry.


### Maintainer
	Erdogan Taskesen, github: [erdogant](https://github.com/erdogant)
	Contributions are welcome.
Comments
  • Fitting distribution for discrete/categorical data

    Fitting distribution for discrete/categorical data

    Hi

    Is it possible to fit a distribution with distfit library for a discrete variable? For example, let's say I have a survey that has 10 questions with possible values that go from 1 (poor) to 5 (excellent), and 100 persons take the survey.

    Best regards

    opened by ogreyesp 5
  • Can I use the best distribution as the true distribution of my data?

    Can I use the best distribution as the true distribution of my data?

    Here I used distfit to get a distribution that is the closest to my data，but not exactly。When I use the kstest from the scipy library to calculate the p-value to see if I can trust the distribution, the p-value is not ideal.Can I still use distfit to get a distribution to describe my data ?

    opened by yuanfuqiang456 3
  • in plot api, pass fig and ax to give more control to the user's code

    in plot api, pass fig and ax to give more control to the user's code

    Thanks for this great library.

    Purpose of this modification: I have been using it with a multivariate time series dataset. Each dimension gets its own plot and wanted to make use of subplots to see all the dimensions at the same time (in a grid for e.g.)

    Notes: a) I have added fig as the parameter to the plotting API as well. Generally, it is not required. I have done it so as to not create a situation where the number of return values is 1. This way your function always return 2 values (the tuple).

    b) Instead of using plt.xlim and plt.ylim, I am using ax.set_xlim & ax.set_ylim. This should work for previous version and for this modification as well.

    c) For now if the method is 'discrete' then passed fig and axes are ignored since the plot_binom function creates subplots internally.

    opened by ksachdeva 3
  • Add loggamma

    Add loggamma

    I have a problem where loggamma fits best. I ran your script and my own custom script, they agree on beta parameters but the loggamma seemed much more natural. If it's not too much trouble, please consider adding this. If you are using scipy.stats, then it's the same API as others.

    Cool project.

    opened by tirthajyoti 3
  • Two questions about distfit

    Two questions about distfit

    This project looks really great, thank you. I have two questions:

    • How do you set loc = 0 if you know that is the right value for it? I am trying to fit to a symmetric distribution.
    • When I try distfit with distr='full' it gets stuck at levy_l. Is this expected?
    opened by lesshaste 3
  • Plots are not generated

    Plots are not generated

    Hi,

    Both dist.plot() and dist.plot_summary() do not generate plots for me. I am using the bare version of Python (i.e no Conda etc.)

    Am I missing somethings?

    Regards,

    Danish

    opened by danishTUE 2
  • T Distribution Weirdness

    T Distribution Weirdness

    We are using distfit to try to determine if some data we have can be modelled parametrically. For some of the data, the best fitting distribution was a t. Scale and loc are clearly documented, and that is great. There is one remaining parameter to fit a t distribution, and that is degrees of freedom. Except, the one parameter in the distfit output that isn't a scale or loc value is less than one. Obviously, degrees of freedom can't be less than one. So what is that parameter and why isn't degrees of freedom included in the output? It would be helpful for automating our process.

    opened by angelgeek 2
  • Save best parameters

    Save best parameters

    Hello, your package really useful, thanks a lot!

    I have a question: If I want to print the best parameters, what's the syntax? For example, I want to print the best n and p for binomial distribution for the following work.

    thanks a lot

    opened by hummm310 2
  • Remove plt.show() calls

    Remove plt.show() calls

    Thank you for your time spent making this package.

    When you call plt.show(), you've rendered the plot and it can no longer be modified by the user, making it pointless to return the figure and axes objects.

    For example, try:

    fig, ax = dist.plot()
ax.axvline(x=0)
plt.title("Blarg!")

    Unlike sns plots and dataframe.plot() calls that many are familiar with, the plots of distfit cannot be modified after called. This is surprising to the user (at least it was to me 😀)

    opened by isosphere 2
  • The `distr` parameter should accept a list

    The `distr` parameter should accept a list

    The distr parameter in your core distfit class should accept a custom list of distributions that the user wants to run fitting on. Is there a specific reason you have not allowed it to accept a list?

    opened by tirthajyoti 2
  • `generate` or `rvs` method?

    `generate` or `rvs` method?

    Do you plan to have a generate or rvs method added to a fitted dist class to generate a given number (chosen by a size parameter) of new points with the best-fitted distribution? Here is the imagined code (say I have a dataset called dataset)

    dist = distfit(todf=True)
dist.fit_transform(dataset)

# Newly generated 1000 points from the best-fitted distribution (based on some score criteria)
new_data = dist.generate(size=1000)
    opened by tirthajyoti 2
  • Robustness of selected data models

    Robustness of selected data models

    Good day!

    Guys, I have found your package really cool) Thanks a lot)

    I have a question:

    Our incoming data can be with anomalies, noise. So, quality of our results is vulnerable to strong/weak outliers. Work with outliers is key feature of your package. Consequently, the quality of predictions based on our data model can be severely compromised. In a sense, we are training and predicting from the same data.

    What is your advice?

    I understand that, it is largely dependent on and provided by the nature of one or another theoretical distribution of data.

    But, better to know, your personal opinion as authors...

    opened by datason 1
  • Add K distribution

    Add K distribution

    What a really awesome repository !

    By the way, K distribution is widely used in the filed of Radar and sonar. It is necessary to estimate the parameters of the K distribution.

    Please consider adding this distribution if possible.

    opened by ShaofengZou 3
  • KS-test in fitdist

    KS-test in fitdist

    Hello everyone,

    I noticed in the code erdogant/distfit/distfit.py that whenever you use the KS statistical test (stats=ks), you call the scipy.stats.ks_2samp to test your data against the distribution you estimated through MLE (maximum likelihood estimation). Is that true? If so, this is wrong, because now the KS statistic depends on your data and the test is no longer valid. In such a case, I would recommend you to have a look at parametric/non-parametric bootstrapping to solve the issue. This reference could be useful https://ui.adsabs.harvard.edu/abs/2006ASPC..351..127B/abstract

    opened by marcellobullo 10
Releases(1.4.5)
Owner
Erdogan Taskesen
Erdogan Taskesen
GitHub Repository https://erdogant.github.io/distfit
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