/usr/lib/python3/dist-packages/sklearn/covariance/tests/test_covariance.py is in python3-sklearn 0.17.0-4.
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# Gael Varoquaux <gael.varoquaux@normalesup.org>
# Virgile Fritsch <virgile.fritsch@inria.fr>
#
# License: BSD 3 clause
import numpy as np
from sklearn.utils.testing import assert_almost_equal
from sklearn.utils.testing import assert_array_almost_equal
from sklearn.utils.testing import assert_array_equal
from sklearn.utils.testing import assert_raises
from sklearn.utils.testing import assert_warns
from sklearn.utils.testing import assert_greater
from sklearn import datasets
from sklearn.covariance import empirical_covariance, EmpiricalCovariance, \
ShrunkCovariance, shrunk_covariance, \
LedoitWolf, ledoit_wolf, ledoit_wolf_shrinkage, OAS, oas
X = datasets.load_diabetes().data
X_1d = X[:, 0]
n_samples, n_features = X.shape
def test_covariance():
# Tests Covariance module on a simple dataset.
# test covariance fit from data
cov = EmpiricalCovariance()
cov.fit(X)
emp_cov = empirical_covariance(X)
assert_array_almost_equal(emp_cov, cov.covariance_, 4)
assert_almost_equal(cov.error_norm(emp_cov), 0)
assert_almost_equal(
cov.error_norm(emp_cov, norm='spectral'), 0)
assert_almost_equal(
cov.error_norm(emp_cov, norm='frobenius'), 0)
assert_almost_equal(
cov.error_norm(emp_cov, scaling=False), 0)
assert_almost_equal(
cov.error_norm(emp_cov, squared=False), 0)
assert_raises(NotImplementedError,
cov.error_norm, emp_cov, norm='foo')
# Mahalanobis distances computation test
mahal_dist = cov.mahalanobis(X)
assert_greater(np.amin(mahal_dist), 0)
# test with n_features = 1
X_1d = X[:, 0].reshape((-1, 1))
cov = EmpiricalCovariance()
cov.fit(X_1d)
assert_array_almost_equal(empirical_covariance(X_1d), cov.covariance_, 4)
assert_almost_equal(cov.error_norm(empirical_covariance(X_1d)), 0)
assert_almost_equal(
cov.error_norm(empirical_covariance(X_1d), norm='spectral'), 0)
# test with one sample
# Create X with 1 sample and 5 features
X_1sample = np.arange(5).reshape(1, 5)
cov = EmpiricalCovariance()
assert_warns(UserWarning, cov.fit, X_1sample)
assert_array_almost_equal(cov.covariance_,
np.zeros(shape=(5, 5), dtype=np.float64))
# test integer type
X_integer = np.asarray([[0, 1], [1, 0]])
result = np.asarray([[0.25, -0.25], [-0.25, 0.25]])
assert_array_almost_equal(empirical_covariance(X_integer), result)
# test centered case
cov = EmpiricalCovariance(assume_centered=True)
cov.fit(X)
assert_array_equal(cov.location_, np.zeros(X.shape[1]))
def test_shrunk_covariance():
# Tests ShrunkCovariance module on a simple dataset.
# compare shrunk covariance obtained from data and from MLE estimate
cov = ShrunkCovariance(shrinkage=0.5)
cov.fit(X)
assert_array_almost_equal(
shrunk_covariance(empirical_covariance(X), shrinkage=0.5),
cov.covariance_, 4)
# same test with shrinkage not provided
cov = ShrunkCovariance()
cov.fit(X)
assert_array_almost_equal(
shrunk_covariance(empirical_covariance(X)), cov.covariance_, 4)
# same test with shrinkage = 0 (<==> empirical_covariance)
cov = ShrunkCovariance(shrinkage=0.)
cov.fit(X)
assert_array_almost_equal(empirical_covariance(X), cov.covariance_, 4)
# test with n_features = 1
X_1d = X[:, 0].reshape((-1, 1))
cov = ShrunkCovariance(shrinkage=0.3)
cov.fit(X_1d)
assert_array_almost_equal(empirical_covariance(X_1d), cov.covariance_, 4)
# test shrinkage coeff on a simple data set (without saving precision)
cov = ShrunkCovariance(shrinkage=0.5, store_precision=False)
cov.fit(X)
assert(cov.precision_ is None)
def test_ledoit_wolf():
# Tests LedoitWolf module on a simple dataset.
# test shrinkage coeff on a simple data set
X_centered = X - X.mean(axis=0)
lw = LedoitWolf(assume_centered=True)
lw.fit(X_centered)
shrinkage_ = lw.shrinkage_
score_ = lw.score(X_centered)
assert_almost_equal(ledoit_wolf_shrinkage(X_centered,
assume_centered=True),
shrinkage_)
assert_almost_equal(ledoit_wolf_shrinkage(X_centered, assume_centered=True,
block_size=6),
shrinkage_)
# compare shrunk covariance obtained from data and from MLE estimate
lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_centered,
assume_centered=True)
assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
# compare estimates given by LW and ShrunkCovariance
scov = ShrunkCovariance(shrinkage=lw.shrinkage_, assume_centered=True)
scov.fit(X_centered)
assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)
# test with n_features = 1
X_1d = X[:, 0].reshape((-1, 1))
lw = LedoitWolf(assume_centered=True)
lw.fit(X_1d)
lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_1d,
assume_centered=True)
assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
assert_array_almost_equal((X_1d ** 2).sum() / n_samples, lw.covariance_, 4)
# test shrinkage coeff on a simple data set (without saving precision)
lw = LedoitWolf(store_precision=False, assume_centered=True)
lw.fit(X_centered)
assert_almost_equal(lw.score(X_centered), score_, 4)
assert(lw.precision_ is None)
# Same tests without assuming centered data
# test shrinkage coeff on a simple data set
lw = LedoitWolf()
lw.fit(X)
assert_almost_equal(lw.shrinkage_, shrinkage_, 4)
assert_almost_equal(lw.shrinkage_, ledoit_wolf_shrinkage(X))
assert_almost_equal(lw.shrinkage_, ledoit_wolf(X)[1])
assert_almost_equal(lw.score(X), score_, 4)
# compare shrunk covariance obtained from data and from MLE estimate
lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X)
assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
# compare estimates given by LW and ShrunkCovariance
scov = ShrunkCovariance(shrinkage=lw.shrinkage_)
scov.fit(X)
assert_array_almost_equal(scov.covariance_, lw.covariance_, 4)
# test with n_features = 1
X_1d = X[:, 0].reshape((-1, 1))
lw = LedoitWolf()
lw.fit(X_1d)
lw_cov_from_mle, lw_shinkrage_from_mle = ledoit_wolf(X_1d)
assert_array_almost_equal(lw_cov_from_mle, lw.covariance_, 4)
assert_almost_equal(lw_shinkrage_from_mle, lw.shrinkage_)
assert_array_almost_equal(empirical_covariance(X_1d), lw.covariance_, 4)
# test with one sample
# warning should be raised when using only 1 sample
X_1sample = np.arange(5).reshape(1, 5)
lw = LedoitWolf()
assert_warns(UserWarning, lw.fit, X_1sample)
assert_array_almost_equal(lw.covariance_,
np.zeros(shape=(5, 5), dtype=np.float64))
# test shrinkage coeff on a simple data set (without saving precision)
lw = LedoitWolf(store_precision=False)
lw.fit(X)
assert_almost_equal(lw.score(X), score_, 4)
assert(lw.precision_ is None)
def test_ledoit_wolf_large():
# test that ledoit_wolf doesn't error on data that is wider than block_size
rng = np.random.RandomState(0)
# use a number of features that is larger than the block-size
X = rng.normal(size=(10, 20))
lw = LedoitWolf(block_size=10).fit(X)
# check that covariance is about diagonal (random normal noise)
assert_almost_equal(lw.covariance_, np.eye(20), 0)
cov = lw.covariance_
# check that the result is consistent with not splitting data into blocks.
lw = LedoitWolf(block_size=25).fit(X)
assert_almost_equal(lw.covariance_, cov)
def test_oas():
# Tests OAS module on a simple dataset.
# test shrinkage coeff on a simple data set
X_centered = X - X.mean(axis=0)
oa = OAS(assume_centered=True)
oa.fit(X_centered)
shrinkage_ = oa.shrinkage_
score_ = oa.score(X_centered)
# compare shrunk covariance obtained from data and from MLE estimate
oa_cov_from_mle, oa_shinkrage_from_mle = oas(X_centered,
assume_centered=True)
assert_array_almost_equal(oa_cov_from_mle, oa.covariance_, 4)
assert_almost_equal(oa_shinkrage_from_mle, oa.shrinkage_)
# compare estimates given by OAS and ShrunkCovariance
scov = ShrunkCovariance(shrinkage=oa.shrinkage_, assume_centered=True)
scov.fit(X_centered)
assert_array_almost_equal(scov.covariance_, oa.covariance_, 4)
# test with n_features = 1
X_1d = X[:, 0:1]
oa = OAS(assume_centered=True)
oa.fit(X_1d)
oa_cov_from_mle, oa_shinkrage_from_mle = oas(X_1d, assume_centered=True)
assert_array_almost_equal(oa_cov_from_mle, oa.covariance_, 4)
assert_almost_equal(oa_shinkrage_from_mle, oa.shrinkage_)
assert_array_almost_equal((X_1d ** 2).sum() / n_samples, oa.covariance_, 4)
# test shrinkage coeff on a simple data set (without saving precision)
oa = OAS(store_precision=False, assume_centered=True)
oa.fit(X_centered)
assert_almost_equal(oa.score(X_centered), score_, 4)
assert(oa.precision_ is None)
# Same tests without assuming centered data--------------------------------
# test shrinkage coeff on a simple data set
oa = OAS()
oa.fit(X)
assert_almost_equal(oa.shrinkage_, shrinkage_, 4)
assert_almost_equal(oa.score(X), score_, 4)
# compare shrunk covariance obtained from data and from MLE estimate
oa_cov_from_mle, oa_shinkrage_from_mle = oas(X)
assert_array_almost_equal(oa_cov_from_mle, oa.covariance_, 4)
assert_almost_equal(oa_shinkrage_from_mle, oa.shrinkage_)
# compare estimates given by OAS and ShrunkCovariance
scov = ShrunkCovariance(shrinkage=oa.shrinkage_)
scov.fit(X)
assert_array_almost_equal(scov.covariance_, oa.covariance_, 4)
# test with n_features = 1
X_1d = X[:, 0].reshape((-1, 1))
oa = OAS()
oa.fit(X_1d)
oa_cov_from_mle, oa_shinkrage_from_mle = oas(X_1d)
assert_array_almost_equal(oa_cov_from_mle, oa.covariance_, 4)
assert_almost_equal(oa_shinkrage_from_mle, oa.shrinkage_)
assert_array_almost_equal(empirical_covariance(X_1d), oa.covariance_, 4)
# test with one sample
# warning should be raised when using only 1 sample
X_1sample = np.arange(5).reshape(1, 5)
oa = OAS()
assert_warns(UserWarning, oa.fit, X_1sample)
assert_array_almost_equal(oa.covariance_,
np.zeros(shape=(5, 5), dtype=np.float64))
# test shrinkage coeff on a simple data set (without saving precision)
oa = OAS(store_precision=False)
oa.fit(X)
assert_almost_equal(oa.score(X), score_, 4)
assert(oa.precision_ is None)
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