1 | n/a | """ |
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2 | n/a | Basic statistics module. |
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3 | n/a | |
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4 | n/a | This module provides functions for calculating statistics of data, including |
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5 | n/a | averages, variance, and standard deviation. |
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6 | n/a | |
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7 | n/a | Calculating averages |
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8 | n/a | -------------------- |
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9 | n/a | |
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10 | n/a | ================== ============================================= |
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11 | n/a | Function Description |
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12 | n/a | ================== ============================================= |
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13 | n/a | mean Arithmetic mean (average) of data. |
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14 | n/a | harmonic_mean Harmonic mean of data. |
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15 | n/a | median Median (middle value) of data. |
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16 | n/a | median_low Low median of data. |
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17 | n/a | median_high High median of data. |
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18 | n/a | median_grouped Median, or 50th percentile, of grouped data. |
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19 | n/a | mode Mode (most common value) of data. |
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20 | n/a | ================== ============================================= |
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21 | n/a | |
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22 | n/a | Calculate the arithmetic mean ("the average") of data: |
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23 | n/a | |
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24 | n/a | >>> mean([-1.0, 2.5, 3.25, 5.75]) |
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25 | n/a | 2.625 |
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26 | n/a | |
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27 | n/a | |
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28 | n/a | Calculate the standard median of discrete data: |
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29 | n/a | |
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30 | n/a | >>> median([2, 3, 4, 5]) |
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31 | n/a | 3.5 |
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32 | n/a | |
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33 | n/a | |
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34 | n/a | Calculate the median, or 50th percentile, of data grouped into class intervals |
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35 | n/a | centred on the data values provided. E.g. if your data points are rounded to |
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36 | n/a | the nearest whole number: |
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37 | n/a | |
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38 | n/a | >>> median_grouped([2, 2, 3, 3, 3, 4]) #doctest: +ELLIPSIS |
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39 | n/a | 2.8333333333... |
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40 | n/a | |
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41 | n/a | This should be interpreted in this way: you have two data points in the class |
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42 | n/a | interval 1.5-2.5, three data points in the class interval 2.5-3.5, and one in |
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43 | n/a | the class interval 3.5-4.5. The median of these data points is 2.8333... |
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44 | n/a | |
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45 | n/a | |
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46 | n/a | Calculating variability or spread |
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47 | n/a | --------------------------------- |
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48 | n/a | |
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49 | n/a | ================== ============================================= |
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50 | n/a | Function Description |
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51 | n/a | ================== ============================================= |
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52 | n/a | pvariance Population variance of data. |
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53 | n/a | variance Sample variance of data. |
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54 | n/a | pstdev Population standard deviation of data. |
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55 | n/a | stdev Sample standard deviation of data. |
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56 | n/a | ================== ============================================= |
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57 | n/a | |
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58 | n/a | Calculate the standard deviation of sample data: |
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59 | n/a | |
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60 | n/a | >>> stdev([2.5, 3.25, 5.5, 11.25, 11.75]) #doctest: +ELLIPSIS |
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61 | n/a | 4.38961843444... |
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62 | n/a | |
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63 | n/a | If you have previously calculated the mean, you can pass it as the optional |
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64 | n/a | second argument to the four "spread" functions to avoid recalculating it: |
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65 | n/a | |
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66 | n/a | >>> data = [1, 2, 2, 4, 4, 4, 5, 6] |
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67 | n/a | >>> mu = mean(data) |
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68 | n/a | >>> pvariance(data, mu) |
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69 | n/a | 2.5 |
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70 | n/a | |
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71 | n/a | |
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72 | n/a | Exceptions |
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73 | n/a | ---------- |
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74 | n/a | |
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75 | n/a | A single exception is defined: StatisticsError is a subclass of ValueError. |
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76 | n/a | |
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77 | n/a | """ |
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78 | n/a | |
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79 | n/a | __all__ = [ 'StatisticsError', |
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80 | n/a | 'pstdev', 'pvariance', 'stdev', 'variance', |
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81 | n/a | 'median', 'median_low', 'median_high', 'median_grouped', |
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82 | n/a | 'mean', 'mode', 'harmonic_mean', |
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83 | n/a | ] |
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84 | n/a | |
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85 | n/a | import collections |
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86 | n/a | import decimal |
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87 | n/a | import math |
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88 | n/a | import numbers |
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89 | n/a | |
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90 | n/a | from fractions import Fraction |
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91 | n/a | from decimal import Decimal |
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92 | n/a | from itertools import groupby, chain |
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93 | n/a | from bisect import bisect_left, bisect_right |
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94 | n/a | |
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95 | n/a | |
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96 | n/a | |
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97 | n/a | # === Exceptions === |
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98 | n/a | |
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99 | n/a | class StatisticsError(ValueError): |
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100 | n/a | pass |
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101 | n/a | |
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102 | n/a | |
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103 | n/a | # === Private utilities === |
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104 | n/a | |
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105 | n/a | def _sum(data, start=0): |
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106 | n/a | """_sum(data [, start]) -> (type, sum, count) |
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107 | n/a | |
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108 | n/a | Return a high-precision sum of the given numeric data as a fraction, |
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109 | n/a | together with the type to be converted to and the count of items. |
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110 | n/a | |
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111 | n/a | If optional argument ``start`` is given, it is added to the total. |
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112 | n/a | If ``data`` is empty, ``start`` (defaulting to 0) is returned. |
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113 | n/a | |
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114 | n/a | |
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115 | n/a | Examples |
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116 | n/a | -------- |
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117 | n/a | |
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118 | n/a | >>> _sum([3, 2.25, 4.5, -0.5, 1.0], 0.75) |
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119 | n/a | (<class 'float'>, Fraction(11, 1), 5) |
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120 | n/a | |
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121 | n/a | Some sources of round-off error will be avoided: |
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122 | n/a | |
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123 | n/a | # Built-in sum returns zero. |
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124 | n/a | >>> _sum([1e50, 1, -1e50] * 1000) |
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125 | n/a | (<class 'float'>, Fraction(1000, 1), 3000) |
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126 | n/a | |
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127 | n/a | Fractions and Decimals are also supported: |
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128 | n/a | |
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129 | n/a | >>> from fractions import Fraction as F |
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130 | n/a | >>> _sum([F(2, 3), F(7, 5), F(1, 4), F(5, 6)]) |
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131 | n/a | (<class 'fractions.Fraction'>, Fraction(63, 20), 4) |
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132 | n/a | |
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133 | n/a | >>> from decimal import Decimal as D |
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134 | n/a | >>> data = [D("0.1375"), D("0.2108"), D("0.3061"), D("0.0419")] |
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135 | n/a | >>> _sum(data) |
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136 | n/a | (<class 'decimal.Decimal'>, Fraction(6963, 10000), 4) |
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137 | n/a | |
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138 | n/a | Mixed types are currently treated as an error, except that int is |
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139 | n/a | allowed. |
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140 | n/a | """ |
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141 | n/a | count = 0 |
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142 | n/a | n, d = _exact_ratio(start) |
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143 | n/a | partials = {d: n} |
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144 | n/a | partials_get = partials.get |
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145 | n/a | T = _coerce(int, type(start)) |
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146 | n/a | for typ, values in groupby(data, type): |
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147 | n/a | T = _coerce(T, typ) # or raise TypeError |
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148 | n/a | for n,d in map(_exact_ratio, values): |
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149 | n/a | count += 1 |
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150 | n/a | partials[d] = partials_get(d, 0) + n |
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151 | n/a | if None in partials: |
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152 | n/a | # The sum will be a NAN or INF. We can ignore all the finite |
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153 | n/a | # partials, and just look at this special one. |
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154 | n/a | total = partials[None] |
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155 | n/a | assert not _isfinite(total) |
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156 | n/a | else: |
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157 | n/a | # Sum all the partial sums using builtin sum. |
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158 | n/a | # FIXME is this faster if we sum them in order of the denominator? |
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159 | n/a | total = sum(Fraction(n, d) for d, n in sorted(partials.items())) |
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160 | n/a | return (T, total, count) |
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161 | n/a | |
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162 | n/a | |
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163 | n/a | def _isfinite(x): |
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164 | n/a | try: |
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165 | n/a | return x.is_finite() # Likely a Decimal. |
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166 | n/a | except AttributeError: |
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167 | n/a | return math.isfinite(x) # Coerces to float first. |
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168 | n/a | |
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169 | n/a | |
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170 | n/a | def _coerce(T, S): |
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171 | n/a | """Coerce types T and S to a common type, or raise TypeError. |
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172 | n/a | |
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173 | n/a | Coercion rules are currently an implementation detail. See the CoerceTest |
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174 | n/a | test class in test_statistics for details. |
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175 | n/a | """ |
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176 | n/a | # See http://bugs.python.org/issue24068. |
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177 | n/a | assert T is not bool, "initial type T is bool" |
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178 | n/a | # If the types are the same, no need to coerce anything. Put this |
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179 | n/a | # first, so that the usual case (no coercion needed) happens as soon |
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180 | n/a | # as possible. |
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181 | n/a | if T is S: return T |
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182 | n/a | # Mixed int & other coerce to the other type. |
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183 | n/a | if S is int or S is bool: return T |
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184 | n/a | if T is int: return S |
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185 | n/a | # If one is a (strict) subclass of the other, coerce to the subclass. |
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186 | n/a | if issubclass(S, T): return S |
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187 | n/a | if issubclass(T, S): return T |
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188 | n/a | # Ints coerce to the other type. |
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189 | n/a | if issubclass(T, int): return S |
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190 | n/a | if issubclass(S, int): return T |
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191 | n/a | # Mixed fraction & float coerces to float (or float subclass). |
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192 | n/a | if issubclass(T, Fraction) and issubclass(S, float): |
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193 | n/a | return S |
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194 | n/a | if issubclass(T, float) and issubclass(S, Fraction): |
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195 | n/a | return T |
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196 | n/a | # Any other combination is disallowed. |
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197 | n/a | msg = "don't know how to coerce %s and %s" |
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198 | n/a | raise TypeError(msg % (T.__name__, S.__name__)) |
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199 | n/a | |
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200 | n/a | |
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201 | n/a | def _exact_ratio(x): |
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202 | n/a | """Return Real number x to exact (numerator, denominator) pair. |
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203 | n/a | |
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204 | n/a | >>> _exact_ratio(0.25) |
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205 | n/a | (1, 4) |
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206 | n/a | |
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207 | n/a | x is expected to be an int, Fraction, Decimal or float. |
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208 | n/a | """ |
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209 | n/a | try: |
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210 | n/a | # Optimise the common case of floats. We expect that the most often |
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211 | n/a | # used numeric type will be builtin floats, so try to make this as |
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212 | n/a | # fast as possible. |
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213 | n/a | if type(x) is float or type(x) is Decimal: |
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214 | n/a | return x.as_integer_ratio() |
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215 | n/a | try: |
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216 | n/a | # x may be an int, Fraction, or Integral ABC. |
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217 | n/a | return (x.numerator, x.denominator) |
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218 | n/a | except AttributeError: |
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219 | n/a | try: |
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220 | n/a | # x may be a float or Decimal subclass. |
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221 | n/a | return x.as_integer_ratio() |
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222 | n/a | except AttributeError: |
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223 | n/a | # Just give up? |
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224 | n/a | pass |
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225 | n/a | except (OverflowError, ValueError): |
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226 | n/a | # float NAN or INF. |
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227 | n/a | assert not _isfinite(x) |
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228 | n/a | return (x, None) |
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229 | n/a | msg = "can't convert type '{}' to numerator/denominator" |
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230 | n/a | raise TypeError(msg.format(type(x).__name__)) |
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231 | n/a | |
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232 | n/a | |
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233 | n/a | def _convert(value, T): |
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234 | n/a | """Convert value to given numeric type T.""" |
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235 | n/a | if type(value) is T: |
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236 | n/a | # This covers the cases where T is Fraction, or where value is |
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237 | n/a | # a NAN or INF (Decimal or float). |
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238 | n/a | return value |
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239 | n/a | if issubclass(T, int) and value.denominator != 1: |
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240 | n/a | T = float |
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241 | n/a | try: |
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242 | n/a | # FIXME: what do we do if this overflows? |
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243 | n/a | return T(value) |
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244 | n/a | except TypeError: |
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245 | n/a | if issubclass(T, Decimal): |
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246 | n/a | return T(value.numerator)/T(value.denominator) |
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247 | n/a | else: |
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248 | n/a | raise |
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249 | n/a | |
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250 | n/a | |
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251 | n/a | def _counts(data): |
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252 | n/a | # Generate a table of sorted (value, frequency) pairs. |
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253 | n/a | table = collections.Counter(iter(data)).most_common() |
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254 | n/a | if not table: |
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255 | n/a | return table |
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256 | n/a | # Extract the values with the highest frequency. |
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257 | n/a | maxfreq = table[0][1] |
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258 | n/a | for i in range(1, len(table)): |
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259 | n/a | if table[i][1] != maxfreq: |
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260 | n/a | table = table[:i] |
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261 | n/a | break |
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262 | n/a | return table |
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263 | n/a | |
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264 | n/a | |
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265 | n/a | def _find_lteq(a, x): |
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266 | n/a | 'Locate the leftmost value exactly equal to x' |
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267 | n/a | i = bisect_left(a, x) |
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268 | n/a | if i != len(a) and a[i] == x: |
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269 | n/a | return i |
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270 | n/a | raise ValueError |
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271 | n/a | |
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272 | n/a | |
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273 | n/a | def _find_rteq(a, l, x): |
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274 | n/a | 'Locate the rightmost value exactly equal to x' |
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275 | n/a | i = bisect_right(a, x, lo=l) |
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276 | n/a | if i != (len(a)+1) and a[i-1] == x: |
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277 | n/a | return i-1 |
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278 | n/a | raise ValueError |
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279 | n/a | |
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280 | n/a | |
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281 | n/a | def _fail_neg(values, errmsg='negative value'): |
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282 | n/a | """Iterate over values, failing if any are less than zero.""" |
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283 | n/a | for x in values: |
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284 | n/a | if x < 0: |
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285 | n/a | raise StatisticsError(errmsg) |
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286 | n/a | yield x |
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287 | n/a | |
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288 | n/a | |
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289 | n/a | # === Measures of central tendency (averages) === |
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290 | n/a | |
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291 | n/a | def mean(data): |
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292 | n/a | """Return the sample arithmetic mean of data. |
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293 | n/a | |
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294 | n/a | >>> mean([1, 2, 3, 4, 4]) |
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295 | n/a | 2.8 |
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296 | n/a | |
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297 | n/a | >>> from fractions import Fraction as F |
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298 | n/a | >>> mean([F(3, 7), F(1, 21), F(5, 3), F(1, 3)]) |
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299 | n/a | Fraction(13, 21) |
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300 | n/a | |
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301 | n/a | >>> from decimal import Decimal as D |
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302 | n/a | >>> mean([D("0.5"), D("0.75"), D("0.625"), D("0.375")]) |
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303 | n/a | Decimal('0.5625') |
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304 | n/a | |
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305 | n/a | If ``data`` is empty, StatisticsError will be raised. |
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306 | n/a | """ |
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307 | n/a | if iter(data) is data: |
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308 | n/a | data = list(data) |
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309 | n/a | n = len(data) |
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310 | n/a | if n < 1: |
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311 | n/a | raise StatisticsError('mean requires at least one data point') |
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312 | n/a | T, total, count = _sum(data) |
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313 | n/a | assert count == n |
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314 | n/a | return _convert(total/n, T) |
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315 | n/a | |
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316 | n/a | |
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317 | n/a | def harmonic_mean(data): |
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318 | n/a | """Return the harmonic mean of data. |
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319 | n/a | |
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320 | n/a | The harmonic mean, sometimes called the subcontrary mean, is the |
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321 | n/a | reciprocal of the arithmetic mean of the reciprocals of the data, |
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322 | n/a | and is often appropriate when averaging quantities which are rates |
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323 | n/a | or ratios, for example speeds. Example: |
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324 | n/a | |
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325 | n/a | Suppose an investor purchases an equal value of shares in each of |
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326 | n/a | three companies, with P/E (price/earning) ratios of 2.5, 3 and 10. |
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327 | n/a | What is the average P/E ratio for the investor's portfolio? |
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328 | n/a | |
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329 | n/a | >>> harmonic_mean([2.5, 3, 10]) # For an equal investment portfolio. |
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330 | n/a | 3.6 |
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331 | n/a | |
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332 | n/a | Using the arithmetic mean would give an average of about 5.167, which |
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333 | n/a | is too high. |
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334 | n/a | |
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335 | n/a | If ``data`` is empty, or any element is less than zero, |
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336 | n/a | ``harmonic_mean`` will raise ``StatisticsError``. |
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337 | n/a | """ |
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338 | n/a | # For a justification for using harmonic mean for P/E ratios, see |
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339 | n/a | # http://fixthepitch.pellucid.com/comps-analysis-the-missing-harmony-of-summary-statistics/ |
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340 | n/a | # http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2621087 |
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341 | n/a | if iter(data) is data: |
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342 | n/a | data = list(data) |
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343 | n/a | errmsg = 'harmonic mean does not support negative values' |
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344 | n/a | n = len(data) |
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345 | n/a | if n < 1: |
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346 | n/a | raise StatisticsError('harmonic_mean requires at least one data point') |
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347 | n/a | elif n == 1: |
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348 | n/a | x = data[0] |
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349 | n/a | if isinstance(x, (numbers.Real, Decimal)): |
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350 | n/a | if x < 0: |
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351 | n/a | raise StatisticsError(errmsg) |
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352 | n/a | return x |
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353 | n/a | else: |
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354 | n/a | raise TypeError('unsupported type') |
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355 | n/a | try: |
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356 | n/a | T, total, count = _sum(1/x for x in _fail_neg(data, errmsg)) |
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357 | n/a | except ZeroDivisionError: |
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358 | n/a | return 0 |
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359 | n/a | assert count == n |
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360 | n/a | return _convert(n/total, T) |
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361 | n/a | |
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362 | n/a | |
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363 | n/a | # FIXME: investigate ways to calculate medians without sorting? Quickselect? |
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364 | n/a | def median(data): |
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365 | n/a | """Return the median (middle value) of numeric data. |
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366 | n/a | |
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367 | n/a | When the number of data points is odd, return the middle data point. |
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368 | n/a | When the number of data points is even, the median is interpolated by |
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369 | n/a | taking the average of the two middle values: |
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370 | n/a | |
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371 | n/a | >>> median([1, 3, 5]) |
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372 | n/a | 3 |
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373 | n/a | >>> median([1, 3, 5, 7]) |
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374 | n/a | 4.0 |
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375 | n/a | |
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376 | n/a | """ |
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377 | n/a | data = sorted(data) |
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378 | n/a | n = len(data) |
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379 | n/a | if n == 0: |
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380 | n/a | raise StatisticsError("no median for empty data") |
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381 | n/a | if n%2 == 1: |
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382 | n/a | return data[n//2] |
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383 | n/a | else: |
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384 | n/a | i = n//2 |
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385 | n/a | return (data[i - 1] + data[i])/2 |
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386 | n/a | |
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387 | n/a | |
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388 | n/a | def median_low(data): |
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389 | n/a | """Return the low median of numeric data. |
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390 | n/a | |
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391 | n/a | When the number of data points is odd, the middle value is returned. |
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392 | n/a | When it is even, the smaller of the two middle values is returned. |
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393 | n/a | |
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394 | n/a | >>> median_low([1, 3, 5]) |
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395 | n/a | 3 |
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396 | n/a | >>> median_low([1, 3, 5, 7]) |
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397 | n/a | 3 |
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398 | n/a | |
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399 | n/a | """ |
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400 | n/a | data = sorted(data) |
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401 | n/a | n = len(data) |
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402 | n/a | if n == 0: |
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403 | n/a | raise StatisticsError("no median for empty data") |
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404 | n/a | if n%2 == 1: |
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405 | n/a | return data[n//2] |
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406 | n/a | else: |
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407 | n/a | return data[n//2 - 1] |
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408 | n/a | |
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409 | n/a | |
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410 | n/a | def median_high(data): |
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411 | n/a | """Return the high median of data. |
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412 | n/a | |
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413 | n/a | When the number of data points is odd, the middle value is returned. |
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414 | n/a | When it is even, the larger of the two middle values is returned. |
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415 | n/a | |
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416 | n/a | >>> median_high([1, 3, 5]) |
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417 | n/a | 3 |
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418 | n/a | >>> median_high([1, 3, 5, 7]) |
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419 | n/a | 5 |
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420 | n/a | |
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421 | n/a | """ |
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422 | n/a | data = sorted(data) |
---|
423 | n/a | n = len(data) |
---|
424 | n/a | if n == 0: |
---|
425 | n/a | raise StatisticsError("no median for empty data") |
---|
426 | n/a | return data[n//2] |
---|
427 | n/a | |
---|
428 | n/a | |
---|
429 | n/a | def median_grouped(data, interval=1): |
---|
430 | n/a | """Return the 50th percentile (median) of grouped continuous data. |
---|
431 | n/a | |
---|
432 | n/a | >>> median_grouped([1, 2, 2, 3, 4, 4, 4, 4, 4, 5]) |
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433 | n/a | 3.7 |
---|
434 | n/a | >>> median_grouped([52, 52, 53, 54]) |
---|
435 | n/a | 52.5 |
---|
436 | n/a | |
---|
437 | n/a | This calculates the median as the 50th percentile, and should be |
---|
438 | n/a | used when your data is continuous and grouped. In the above example, |
---|
439 | n/a | the values 1, 2, 3, etc. actually represent the midpoint of classes |
---|
440 | n/a | 0.5-1.5, 1.5-2.5, 2.5-3.5, etc. The middle value falls somewhere in |
---|
441 | n/a | class 3.5-4.5, and interpolation is used to estimate it. |
---|
442 | n/a | |
---|
443 | n/a | Optional argument ``interval`` represents the class interval, and |
---|
444 | n/a | defaults to 1. Changing the class interval naturally will change the |
---|
445 | n/a | interpolated 50th percentile value: |
---|
446 | n/a | |
---|
447 | n/a | >>> median_grouped([1, 3, 3, 5, 7], interval=1) |
---|
448 | n/a | 3.25 |
---|
449 | n/a | >>> median_grouped([1, 3, 3, 5, 7], interval=2) |
---|
450 | n/a | 3.5 |
---|
451 | n/a | |
---|
452 | n/a | This function does not check whether the data points are at least |
---|
453 | n/a | ``interval`` apart. |
---|
454 | n/a | """ |
---|
455 | n/a | data = sorted(data) |
---|
456 | n/a | n = len(data) |
---|
457 | n/a | if n == 0: |
---|
458 | n/a | raise StatisticsError("no median for empty data") |
---|
459 | n/a | elif n == 1: |
---|
460 | n/a | return data[0] |
---|
461 | n/a | # Find the value at the midpoint. Remember this corresponds to the |
---|
462 | n/a | # centre of the class interval. |
---|
463 | n/a | x = data[n//2] |
---|
464 | n/a | for obj in (x, interval): |
---|
465 | n/a | if isinstance(obj, (str, bytes)): |
---|
466 | n/a | raise TypeError('expected number but got %r' % obj) |
---|
467 | n/a | try: |
---|
468 | n/a | L = x - interval/2 # The lower limit of the median interval. |
---|
469 | n/a | except TypeError: |
---|
470 | n/a | # Mixed type. For now we just coerce to float. |
---|
471 | n/a | L = float(x) - float(interval)/2 |
---|
472 | n/a | |
---|
473 | n/a | # Uses bisection search to search for x in data with log(n) time complexity |
---|
474 | n/a | # Find the position of leftmost occurrence of x in data |
---|
475 | n/a | l1 = _find_lteq(data, x) |
---|
476 | n/a | # Find the position of rightmost occurrence of x in data[l1...len(data)] |
---|
477 | n/a | # Assuming always l1 <= l2 |
---|
478 | n/a | l2 = _find_rteq(data, l1, x) |
---|
479 | n/a | cf = l1 |
---|
480 | n/a | f = l2 - l1 + 1 |
---|
481 | n/a | return L + interval*(n/2 - cf)/f |
---|
482 | n/a | |
---|
483 | n/a | |
---|
484 | n/a | def mode(data): |
---|
485 | n/a | """Return the most common data point from discrete or nominal data. |
---|
486 | n/a | |
---|
487 | n/a | ``mode`` assumes discrete data, and returns a single value. This is the |
---|
488 | n/a | standard treatment of the mode as commonly taught in schools: |
---|
489 | n/a | |
---|
490 | n/a | >>> mode([1, 1, 2, 3, 3, 3, 3, 4]) |
---|
491 | n/a | 3 |
---|
492 | n/a | |
---|
493 | n/a | This also works with nominal (non-numeric) data: |
---|
494 | n/a | |
---|
495 | n/a | >>> mode(["red", "blue", "blue", "red", "green", "red", "red"]) |
---|
496 | n/a | 'red' |
---|
497 | n/a | |
---|
498 | n/a | If there is not exactly one most common value, ``mode`` will raise |
---|
499 | n/a | StatisticsError. |
---|
500 | n/a | """ |
---|
501 | n/a | # Generate a table of sorted (value, frequency) pairs. |
---|
502 | n/a | table = _counts(data) |
---|
503 | n/a | if len(table) == 1: |
---|
504 | n/a | return table[0][0] |
---|
505 | n/a | elif table: |
---|
506 | n/a | raise StatisticsError( |
---|
507 | n/a | 'no unique mode; found %d equally common values' % len(table) |
---|
508 | n/a | ) |
---|
509 | n/a | else: |
---|
510 | n/a | raise StatisticsError('no mode for empty data') |
---|
511 | n/a | |
---|
512 | n/a | |
---|
513 | n/a | # === Measures of spread === |
---|
514 | n/a | |
---|
515 | n/a | # See http://mathworld.wolfram.com/Variance.html |
---|
516 | n/a | # http://mathworld.wolfram.com/SampleVariance.html |
---|
517 | n/a | # http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance |
---|
518 | n/a | # |
---|
519 | n/a | # Under no circumstances use the so-called "computational formula for |
---|
520 | n/a | # variance", as that is only suitable for hand calculations with a small |
---|
521 | n/a | # amount of low-precision data. It has terrible numeric properties. |
---|
522 | n/a | # |
---|
523 | n/a | # See a comparison of three computational methods here: |
---|
524 | n/a | # http://www.johndcook.com/blog/2008/09/26/comparing-three-methods-of-computing-standard-deviation/ |
---|
525 | n/a | |
---|
526 | n/a | def _ss(data, c=None): |
---|
527 | n/a | """Return sum of square deviations of sequence data. |
---|
528 | n/a | |
---|
529 | n/a | If ``c`` is None, the mean is calculated in one pass, and the deviations |
---|
530 | n/a | from the mean are calculated in a second pass. Otherwise, deviations are |
---|
531 | n/a | calculated from ``c`` as given. Use the second case with care, as it can |
---|
532 | n/a | lead to garbage results. |
---|
533 | n/a | """ |
---|
534 | n/a | if c is None: |
---|
535 | n/a | c = mean(data) |
---|
536 | n/a | T, total, count = _sum((x-c)**2 for x in data) |
---|
537 | n/a | # The following sum should mathematically equal zero, but due to rounding |
---|
538 | n/a | # error may not. |
---|
539 | n/a | U, total2, count2 = _sum((x-c) for x in data) |
---|
540 | n/a | assert T == U and count == count2 |
---|
541 | n/a | total -= total2**2/len(data) |
---|
542 | n/a | assert not total < 0, 'negative sum of square deviations: %f' % total |
---|
543 | n/a | return (T, total) |
---|
544 | n/a | |
---|
545 | n/a | |
---|
546 | n/a | def variance(data, xbar=None): |
---|
547 | n/a | """Return the sample variance of data. |
---|
548 | n/a | |
---|
549 | n/a | data should be an iterable of Real-valued numbers, with at least two |
---|
550 | n/a | values. The optional argument xbar, if given, should be the mean of |
---|
551 | n/a | the data. If it is missing or None, the mean is automatically calculated. |
---|
552 | n/a | |
---|
553 | n/a | Use this function when your data is a sample from a population. To |
---|
554 | n/a | calculate the variance from the entire population, see ``pvariance``. |
---|
555 | n/a | |
---|
556 | n/a | Examples: |
---|
557 | n/a | |
---|
558 | n/a | >>> data = [2.75, 1.75, 1.25, 0.25, 0.5, 1.25, 3.5] |
---|
559 | n/a | >>> variance(data) |
---|
560 | n/a | 1.3720238095238095 |
---|
561 | n/a | |
---|
562 | n/a | If you have already calculated the mean of your data, you can pass it as |
---|
563 | n/a | the optional second argument ``xbar`` to avoid recalculating it: |
---|
564 | n/a | |
---|
565 | n/a | >>> m = mean(data) |
---|
566 | n/a | >>> variance(data, m) |
---|
567 | n/a | 1.3720238095238095 |
---|
568 | n/a | |
---|
569 | n/a | This function does not check that ``xbar`` is actually the mean of |
---|
570 | n/a | ``data``. Giving arbitrary values for ``xbar`` may lead to invalid or |
---|
571 | n/a | impossible results. |
---|
572 | n/a | |
---|
573 | n/a | Decimals and Fractions are supported: |
---|
574 | n/a | |
---|
575 | n/a | >>> from decimal import Decimal as D |
---|
576 | n/a | >>> variance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")]) |
---|
577 | n/a | Decimal('31.01875') |
---|
578 | n/a | |
---|
579 | n/a | >>> from fractions import Fraction as F |
---|
580 | n/a | >>> variance([F(1, 6), F(1, 2), F(5, 3)]) |
---|
581 | n/a | Fraction(67, 108) |
---|
582 | n/a | |
---|
583 | n/a | """ |
---|
584 | n/a | if iter(data) is data: |
---|
585 | n/a | data = list(data) |
---|
586 | n/a | n = len(data) |
---|
587 | n/a | if n < 2: |
---|
588 | n/a | raise StatisticsError('variance requires at least two data points') |
---|
589 | n/a | T, ss = _ss(data, xbar) |
---|
590 | n/a | return _convert(ss/(n-1), T) |
---|
591 | n/a | |
---|
592 | n/a | |
---|
593 | n/a | def pvariance(data, mu=None): |
---|
594 | n/a | """Return the population variance of ``data``. |
---|
595 | n/a | |
---|
596 | n/a | data should be an iterable of Real-valued numbers, with at least one |
---|
597 | n/a | value. The optional argument mu, if given, should be the mean of |
---|
598 | n/a | the data. If it is missing or None, the mean is automatically calculated. |
---|
599 | n/a | |
---|
600 | n/a | Use this function to calculate the variance from the entire population. |
---|
601 | n/a | To estimate the variance from a sample, the ``variance`` function is |
---|
602 | n/a | usually a better choice. |
---|
603 | n/a | |
---|
604 | n/a | Examples: |
---|
605 | n/a | |
---|
606 | n/a | >>> data = [0.0, 0.25, 0.25, 1.25, 1.5, 1.75, 2.75, 3.25] |
---|
607 | n/a | >>> pvariance(data) |
---|
608 | n/a | 1.25 |
---|
609 | n/a | |
---|
610 | n/a | If you have already calculated the mean of the data, you can pass it as |
---|
611 | n/a | the optional second argument to avoid recalculating it: |
---|
612 | n/a | |
---|
613 | n/a | >>> mu = mean(data) |
---|
614 | n/a | >>> pvariance(data, mu) |
---|
615 | n/a | 1.25 |
---|
616 | n/a | |
---|
617 | n/a | This function does not check that ``mu`` is actually the mean of ``data``. |
---|
618 | n/a | Giving arbitrary values for ``mu`` may lead to invalid or impossible |
---|
619 | n/a | results. |
---|
620 | n/a | |
---|
621 | n/a | Decimals and Fractions are supported: |
---|
622 | n/a | |
---|
623 | n/a | >>> from decimal import Decimal as D |
---|
624 | n/a | >>> pvariance([D("27.5"), D("30.25"), D("30.25"), D("34.5"), D("41.75")]) |
---|
625 | n/a | Decimal('24.815') |
---|
626 | n/a | |
---|
627 | n/a | >>> from fractions import Fraction as F |
---|
628 | n/a | >>> pvariance([F(1, 4), F(5, 4), F(1, 2)]) |
---|
629 | n/a | Fraction(13, 72) |
---|
630 | n/a | |
---|
631 | n/a | """ |
---|
632 | n/a | if iter(data) is data: |
---|
633 | n/a | data = list(data) |
---|
634 | n/a | n = len(data) |
---|
635 | n/a | if n < 1: |
---|
636 | n/a | raise StatisticsError('pvariance requires at least one data point') |
---|
637 | n/a | T, ss = _ss(data, mu) |
---|
638 | n/a | return _convert(ss/n, T) |
---|
639 | n/a | |
---|
640 | n/a | |
---|
641 | n/a | def stdev(data, xbar=None): |
---|
642 | n/a | """Return the square root of the sample variance. |
---|
643 | n/a | |
---|
644 | n/a | See ``variance`` for arguments and other details. |
---|
645 | n/a | |
---|
646 | n/a | >>> stdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75]) |
---|
647 | n/a | 1.0810874155219827 |
---|
648 | n/a | |
---|
649 | n/a | """ |
---|
650 | n/a | var = variance(data, xbar) |
---|
651 | n/a | try: |
---|
652 | n/a | return var.sqrt() |
---|
653 | n/a | except AttributeError: |
---|
654 | n/a | return math.sqrt(var) |
---|
655 | n/a | |
---|
656 | n/a | |
---|
657 | n/a | def pstdev(data, mu=None): |
---|
658 | n/a | """Return the square root of the population variance. |
---|
659 | n/a | |
---|
660 | n/a | See ``pvariance`` for arguments and other details. |
---|
661 | n/a | |
---|
662 | n/a | >>> pstdev([1.5, 2.5, 2.5, 2.75, 3.25, 4.75]) |
---|
663 | n/a | 0.986893273527251 |
---|
664 | n/a | |
---|
665 | n/a | """ |
---|
666 | n/a | var = pvariance(data, mu) |
---|
667 | n/a | try: |
---|
668 | n/a | return var.sqrt() |
---|
669 | n/a | except AttributeError: |
---|
670 | n/a | return math.sqrt(var) |
---|