Source code for pingouin.correlation

# Author: Raphael Vallat <raphaelvallat9@gmail.com>
import numpy as np
import pandas as pd
import pandas_flavor as pf
from scipy.stats import pearsonr, spearmanr, kendalltau
from pingouin.power import power_corr
from pingouin.multicomp import multicomp
from pingouin.effsize import compute_esci
from pingouin.utils import remove_na, _perm_pval
from pingouin.bayesian import bayesfactor_pearson
from scipy.spatial.distance import pdist, squareform


__all__ = ["corr", "partial_corr", "pcorr", "rcorr", "rm_corr",
           "distance_corr"]


def skipped(x, y, method='spearman'):
    """
    Skipped correlation (Rousselet and Pernet 2012).

    Parameters
    ----------
    x, y : array_like
        First and second set of observations. x and y must be independent.
    method : str
        Method used to compute the correlation after outlier removal. Can be
        either 'spearman' (default) or 'pearson'.

    Returns
    -------
    r : float
        Skipped correlation coefficient.
    pval : float
        Two-tailed p-value.
    outliers : array of bool
        Indicate if value is an outlier or not

    Notes
    -----
    The skipped correlation involves multivariate outlier detection using a
    projection technique (Wilcox, 2004, 2005). First, a robust estimator of
    multivariate location and scatter, for instance the minimum covariance
    determinant estimator (MCD; Rousseeuw, 1984; Rousseeuw and van Driessen,
    1999; Hubert et al., 2008) is computed. Second, data points are
    orthogonally projected on lines joining each of the data point to the
    location estimator. Third, outliers are detected using a robust technique.
    Finally, Spearman correlations are computed on the remaining data points
    and calculations are adjusted by taking into account the dependency among
    the remaining data points.

    Code inspired by Matlab code from Cyril Pernet and Guillaume
    Rousselet [1]_.

    Requires scikit-learn.

    References
    ----------

    .. [1] Pernet CR, Wilcox R, Rousselet GA. Robust Correlation Analyses:
       False Positive and Power Validation Using a New Open Source Matlab
       Toolbox. Frontiers in Psychology. 2012;3:606.
       doi:10.3389/fpsyg.2012.00606.
    """
    # Check that sklearn is installed
    from pingouin.utils import _is_sklearn_installed
    _is_sklearn_installed(raise_error=True)
    from scipy.stats import chi2
    from sklearn.covariance import MinCovDet
    X = np.column_stack((x, y))
    nrows, ncols = X.shape
    gval = np.sqrt(chi2.ppf(0.975, 2))

    # Compute center and distance to center
    center = MinCovDet(random_state=42).fit(X).location_
    B = X - center
    B2 = B**2
    bot = B2.sum(axis=1)

    # Loop over rows
    dis = np.zeros(shape=(nrows, nrows))
    for i in np.arange(nrows):
        if bot[i] != 0:
            dis[i, :] = np.linalg.norm(B * B2[i, :] / bot[i], axis=1)

    # Detect outliers
    def idealf(x):
        """Compute the ideal fourths IQR (Wilcox 2012).
        """
        n = len(x)
        j = int(np.floor(n / 4 + 5 / 12))
        y = np.sort(x)
        g = (n / 4) - j + (5 / 12)
        low = (1 - g) * y[j - 1] + g * y[j]
        k = n - j + 1
        up = (1 - g) * y[k - 1] + g * y[k - 2]
        return up - low

    # One can either use the MAD or the IQR (see Wilcox 2012)
    # MAD = mad(dis, axis=1)
    iqr = np.apply_along_axis(idealf, 1, dis)
    thresh = (np.median(dis, axis=1) + gval * iqr)
    outliers = np.apply_along_axis(np.greater, 0, dis, thresh).any(axis=0)

    # Compute correlation on remaining data
    if method == 'spearman':
        r, pval = spearmanr(X[~outliers, 0], X[~outliers, 1])
    else:
        r, pval = pearsonr(X[~outliers, 0], X[~outliers, 1])
    return r, pval, outliers


def bsmahal(a, b, n_boot=200):
    """
    Bootstraps Mahalanobis distances for Shepherd's pi correlation.

    Parameters
    ----------
    a : ndarray (shape=(n, 2))
        Data
    b : ndarray (shape=(n, 2))
        Data
    n_boot : int
        Number of bootstrap samples to calculate.

    Returns
    -------
    m : ndarray (shape=(n,))
        Mahalanobis distance for each row in a, averaged across all the
        bootstrap resamples.
    """
    n, m = b.shape
    MD = np.zeros((n, n_boot))
    nr = np.arange(n)
    xB = np.random.choice(nr, size=(n_boot, n), replace=True)

    # Bootstrap the MD
    for i in np.arange(n_boot):
        s1 = b[xB[i, :], 0]
        s2 = b[xB[i, :], 1]
        X = np.column_stack((s1, s2))
        mu = X.mean(0)
        _, R = np.linalg.qr(X - mu)
        sol = np.linalg.solve(R.T, (a - mu).T)
        MD[:, i] = np.sum(sol**2, 0) * (n - 1)

    # Average across all bootstraps
    return MD.mean(1)


def shepherd(x, y, n_boot=200):
    """
    Shepherd's Pi correlation, equivalent to Spearman's rho after outliers
    removal.

    Parameters
    ----------
    x, y : array_like
        First and second set of observations. x and y must be independent.
    n_boot : int
        Number of bootstrap samples to calculate.

    Returns
    -------
    r : float
        Pi correlation coefficient
    pval : float
        Two-tailed adjusted p-value.
    outliers : array of bool
        Indicate if value is an outlier or not

    Notes
    -----
    It first bootstraps the Mahalanobis distances, removes all observations
    with m >= 6 and finally calculates the correlation of the remaining data.

    Pi is Spearman's Rho after outlier removal.
    """
    from scipy.stats import spearmanr

    X = np.column_stack((x, y))

    # Bootstrapping on Mahalanobis distance
    m = bsmahal(X, X, n_boot)

    # Determine outliers
    outliers = (m >= 6)

    # Compute correlation
    r, pval = spearmanr(x[~outliers], y[~outliers])

    # (optional) double the p-value to achieve a nominal false alarm rate
    # pval *= 2
    # pval = 1 if pval > 1 else pval

    return r, pval, outliers


def percbend(x, y, beta=.2):
    """
    Percentage bend correlation (Wilcox 1994).

    Parameters
    ----------
    x, y : array_like
        First and second set of observations. x and y must be independent.
    beta : float
        Bending constant for omega (0 <= beta <= 0.5).

    Returns
    -------
    r : float
        Percentage bend correlation coefficient.
    pval : float
        Two-tailed p-value.

    Notes
    -----
    Code inspired by Matlab code from Cyril Pernet and Guillaume Rousselet.

    References
    ----------

    .. [1] Wilcox, R.R., 1994. The percentage bend correlation coefficient.
       Psychometrika 59, 601–616. https://doi.org/10.1007/BF02294395

    .. [2] Pernet CR, Wilcox R, Rousselet GA. Robust Correlation Analyses:
       False Positive and Power Validation Using a New Open Source Matlab
       Toolbox. Frontiers in Psychology. 2012;3:606.
       doi:10.3389/fpsyg.2012.00606.
    """
    from scipy.stats import t
    X = np.column_stack((x, y))
    nx = X.shape[0]
    M = np.tile(np.median(X, axis=0), nx).reshape(X.shape)
    W = np.sort(np.abs(X - M), axis=0)
    m = int((1 - beta) * nx)
    omega = W[m - 1, :]
    P = (X - M) / omega
    P[np.isinf(P)] = 0
    P[np.isnan(P)] = 0

    # Loop over columns
    a = np.zeros((2, nx))
    for c in [0, 1]:
        psi = P[:, c]
        i1 = np.where(psi < -1)[0].size
        i2 = np.where(psi > 1)[0].size
        s = X[:, c].copy()
        s[np.where(psi < -1)[0]] = 0
        s[np.where(psi > 1)[0]] = 0
        pbos = (np.sum(s) + omega[c] * (i2 - i1)) / (s.size - i1 - i2)
        a[c] = (X[:, c] - pbos) / omega[c]

    # Bend
    a[a <= -1] = -1
    a[a >= 1] = 1

    # Get r, tval and pval
    a, b = a
    r = (a * b).sum() / np.sqrt((a**2).sum() * (b**2).sum())
    tval = r * np.sqrt((nx - 2) / (1 - r**2))
    pval = 2 * t.sf(abs(tval), nx - 2)
    return r, pval


[docs]def corr(x, y, tail='two-sided', method='pearson'): """(Robust) correlation between two variables. Parameters ---------- x, y : array_like First and second set of observations. x and y must be independent. tail : string Specify whether to return 'one-sided' or 'two-sided' p-value. method : string Specify which method to use for the computation of the correlation coefficient. Available methods are :: 'pearson' : Pearson product-moment correlation 'spearman' : Spearman rank-order correlation 'kendall' : Kendall’s tau (ordinal data) 'percbend' : percentage bend correlation (robust) 'shepherd' : Shepherd's pi correlation (robust Spearman) 'skipped' : skipped correlation (robust Spearman, requires sklearn) Returns ------- stats : pandas DataFrame Test summary :: 'n' : Sample size (after NaN removal) 'outliers' : number of outliers (only for 'shepherd' or 'skipped') 'r' : Correlation coefficient 'CI95' : 95% parametric confidence intervals 'r2' : R-squared 'adj_r2' : Adjusted R-squared 'p-val' : one or two tailed p-value 'BF10' : Bayes Factor of the alternative hypothesis (Pearson only) 'power' : achieved power of the test (= 1 - type II error). See also -------- pairwise_corr : Pairwise correlation between columns of a pandas DataFrame partial_corr : Partial correlation Notes ----- The Pearson correlation coefficient measures the linear relationship between two datasets. Strictly speaking, Pearson's correlation requires that each dataset be normally distributed. Correlations of -1 or +1 imply an exact linear relationship. The Spearman correlation is a nonparametric measure of the monotonicity of the relationship between two datasets. Unlike the Pearson correlation, the Spearman correlation does not assume that both datasets are normally distributed. Correlations of -1 or +1 imply an exact monotonic relationship. Kendall’s tau is a measure of the correspondence between two rankings. Values close to 1 indicate strong agreement, values close to -1 indicate strong disagreement. The percentage bend correlation [1]_ is a robust method that protects against univariate outliers. The Shepherd's pi [2]_ and skipped [3]_, [4]_ correlations are both robust methods that returns the Spearman's rho after bivariate outliers removal. Note that the skipped correlation requires that the scikit-learn package is installed (for computing the minimum covariance determinant). Please note that rows with NaN are automatically removed. If ``method='pearson'``, The Bayes Factor is calculated using the :py:func:`pingouin.bayesfactor_pearson` function. References ---------- .. [1] Wilcox, R.R., 1994. The percentage bend correlation coefficient. Psychometrika 59, 601–616. https://doi.org/10.1007/BF02294395 .. [2] Schwarzkopf, D.S., De Haas, B., Rees, G., 2012. Better ways to improve standards in brain-behavior correlation analysis. Front. Hum. Neurosci. 6, 200. https://doi.org/10.3389/fnhum.2012.00200 .. [3] Rousselet, G.A., Pernet, C.R., 2012. Improving standards in brain-behavior correlation analyses. Front. Hum. Neurosci. 6, 119. https://doi.org/10.3389/fnhum.2012.00119 .. [4] Pernet, C.R., Wilcox, R., Rousselet, G.A., 2012. Robust correlation analyses: false positive and power validation using a new open source matlab toolbox. Front. Psychol. 3, 606. https://doi.org/10.3389/fpsyg.2012.00606 Examples -------- 1. Pearson correlation >>> import numpy as np >>> # Generate random correlated samples >>> np.random.seed(123) >>> mean, cov = [4, 6], [(1, .5), (.5, 1)] >>> x, y = np.random.multivariate_normal(mean, cov, 30).T >>> # Compute Pearson correlation >>> from pingouin import corr >>> corr(x, y) n r CI95% r2 adj_r2 p-val BF10 power pearson 30 0.491 [0.16, 0.72] 0.242 0.185 0.005813 8.55 0.809 2. Pearson correlation with two outliers >>> x[3], y[5] = 12, -8 >>> corr(x, y) n r CI95% r2 adj_r2 p-val BF10 power pearson 30 0.147 [-0.23, 0.48] 0.022 -0.051 0.439148 0.302 0.121 3. Spearman correlation >>> corr(x, y, method="spearman") n r CI95% r2 adj_r2 p-val power spearman 30 0.401 [0.05, 0.67] 0.161 0.099 0.028034 0.61 4. Percentage bend correlation (robust) >>> corr(x, y, method='percbend') n r CI95% r2 adj_r2 p-val power percbend 30 0.389 [0.03, 0.66] 0.151 0.089 0.033508 0.581 5. Shepherd's pi correlation (robust) >>> corr(x, y, method='shepherd') n outliers r CI95% r2 adj_r2 p-val power shepherd 30 2 0.437 [0.09, 0.69] 0.191 0.131 0.020128 0.694 6. Skipped spearman correlation (robust) >>> corr(x, y, method='skipped') n outliers r CI95% r2 adj_r2 p-val power skipped 30 2 0.437 [0.09, 0.69] 0.191 0.131 0.020128 0.694 7. One-tailed Pearson correlation >>> corr(x, y, tail="one-sided", method='pearson') n r CI95% r2 adj_r2 p-val BF10 power pearson 30 0.147 [-0.23, 0.48] 0.022 -0.051 0.219574 0.467 0.194 8. Using columns of a pandas dataframe >>> import pandas as pd >>> data = pd.DataFrame({'x': x, 'y': y}) >>> corr(data['x'], data['y']) n r CI95% r2 adj_r2 p-val BF10 power pearson 30 0.147 [-0.23, 0.48] 0.022 -0.051 0.439148 0.302 0.121 """ x = np.asarray(x) y = np.asarray(y) # Check size if x.size != y.size: raise ValueError('x and y must have the same length.') # Remove NA x, y = remove_na(x, y, paired=True) nx = x.size # Compute correlation coefficient if method == 'pearson': r, pval = pearsonr(x, y) elif method == 'spearman': r, pval = spearmanr(x, y) elif method == 'kendall': r, pval = kendalltau(x, y) elif method == 'percbend': r, pval = percbend(x, y) elif method == 'shepherd': r, pval, outliers = shepherd(x, y) elif method == 'skipped': r, pval, outliers = skipped(x, y, method='spearman') else: raise ValueError('Method not recognized.') assert not np.isnan(r), 'Correlation returned NaN. Check your data.' # Compute r2 and adj_r2 r2 = r**2 adj_r2 = 1 - (((1 - r2) * (nx - 1)) / (nx - 3)) # Compute the parametric 95% confidence interval and power if r2 < 1: ci = compute_esci(stat=r, nx=nx, ny=nx, eftype='r') pr = round(power_corr(r=r, n=nx, power=None, alpha=0.05, tail=tail), 3) else: ci = [1., 1.] pr = np.inf # Create dictionnary stats = {'n': nx, 'r': round(r, 3), 'r2': round(r2, 3), 'adj_r2': round(adj_r2, 3), 'CI95%': [ci], 'p-val': pval if tail == 'two-sided' else .5 * pval, 'power': pr } if method in ['shepherd', 'skipped']: stats['outliers'] = sum(outliers) # Compute the BF10 for Pearson correlation only if method == 'pearson': if r2 < 1: stats['BF10'] = bayesfactor_pearson(r, nx, tail=tail) else: stats['BF10'] = str(np.inf) # Convert to DataFrame stats = pd.DataFrame.from_records(stats, index=[method]) # Define order col_keep = ['n', 'outliers', 'r', 'CI95%', 'r2', 'adj_r2', 'p-val', 'BF10', 'power'] col_order = [k for k in col_keep if k in stats.keys().tolist()] return stats[col_order]
[docs]@pf.register_dataframe_method def partial_corr(data=None, x=None, y=None, covar=None, x_covar=None, y_covar=None, tail='two-sided', method='pearson'): """Partial and semi-partial correlation. Parameters ---------- data : pd.DataFrame Dataframe. Note that this function can also directly be used as a :py:class:`pandas.DataFrame` method, in which case this argument is no longer needed. x, y : string x and y. Must be names of columns in ``data``. covar : string or list Covariate(s). Must be a names of columns in ``data``. Use a list if there are two or more covariates. x_covar : string or list Covariate(s) for the ``x`` variable. This is used to compute semi-partial correlation (i.e. the effect of ``x_covar`` is removed from ``x`` but not from ``y``). Note that you cannot specify both ``covar`` and ``x_covar``. y_covar : string or list Covariate(s) for the ``y`` variable. This is used to compute semi-partial correlation (i.e. the effect of ``y_covar`` is removed from ``y`` but not from ``x``). Note that you cannot specify both ``covar`` and ``y_covar``. tail : string Specify whether to return the 'one-sided' or 'two-sided' p-value. method : string Specify which method to use for the computation of the correlation coefficient. Available methods are :: 'pearson' : Pearson product-moment correlation 'spearman' : Spearman rank-order correlation 'kendall' : Kendall’s tau (ordinal data) 'percbend' : percentage bend correlation (robust) 'shepherd' : Shepherd's pi correlation (robust Spearman) 'skipped' : skipped correlation (robust Spearman, requires sklearn) Returns ------- stats : pandas DataFrame Test summary :: 'n' : Sample size (after NaN removal) 'outliers' : number of outliers (only for 'shepherd' or 'skipped') 'r' : Correlation coefficient 'CI95' : 95% parametric confidence intervals 'r2' : R-squared 'adj_r2' : Adjusted R-squared 'p-val' : one or two tailed p-value 'BF10' : Bayes Factor of the alternative hypothesis (Pearson only) 'power' : achieved power of the test (= 1 - type II error). Notes ----- From [4]_: “With *partial correlation*, we find the correlation between :math:`x` and :math:`y` holding :math:`C` constant for both :math:`x` and :math:`y`. Sometimes, however, we want to hold :math:`C` constant for just :math:`x` or just :math:`y`. In that case, we compute a *semi-partial correlation*. A partial correlation is computed between two residuals. A semi-partial correlation is computed between one residual and another raw (or unresidualized) variable.” Note that if you are not interested in calculating the statistics and p-values but only the partial correlation matrix, a (faster) alternative is to use the :py:func:`pingouin.pcorr` method (see example 4). Rows with missing values are automatically removed from data. Results have been tested against the `ppcor` R package. References ---------- .. [1] https://en.wikipedia.org/wiki/Partial_correlation .. [2] https://cran.r-project.org/web/packages/ppcor/index.html .. [3] https://gist.github.com/fabianp/9396204419c7b638d38f .. [4] http://faculty.cas.usf.edu/mbrannick/regression/Partial.html Examples -------- 1. Partial correlation with one covariate >>> import pingouin as pg >>> df = pg.read_dataset('partial_corr') >>> pg.partial_corr(data=df, x='x', y='y', covar='cv1') n r CI95% r2 adj_r2 p-val BF10 power pearson 30 0.568 [0.26, 0.77] 0.323 0.273 0.001055 37.773 0.925 2. Spearman partial correlation with several covariates >>> # Partial correlation of x and y controlling for cv1, cv2 and cv3 >>> pg.partial_corr(data=df, x='x', y='y', covar=['cv1', 'cv2', 'cv3'], ... method='spearman') n r CI95% r2 adj_r2 p-val power spearman 30 0.491 [0.16, 0.72] 0.242 0.185 0.005817 0.809 3. As a pandas method >>> df.partial_corr(x='x', y='y', covar=['cv1'], method='spearman') n r CI95% r2 adj_r2 p-val power spearman 30 0.568 [0.26, 0.77] 0.323 0.273 0.001049 0.925 4. Partial correlation matrix (returns only the correlation coefficients) >>> df.pcorr().round(3) x y cv1 cv2 cv3 x 1.000 0.493 -0.095 0.130 -0.385 y 0.493 1.000 -0.007 0.104 -0.002 cv1 -0.095 -0.007 1.000 -0.241 -0.470 cv2 0.130 0.104 -0.241 1.000 -0.118 cv3 -0.385 -0.002 -0.470 -0.118 1.000 5. Semi-partial correlation on ``x`` >>> pg.partial_corr(data=df, x='x', y='y', x_covar=['cv1', 'cv2', 'cv3']) n r CI95% r2 adj_r2 p-val BF10 power pearson 30 0.463 [0.12, 0.71] 0.215 0.156 0.009946 5.404 0.752 6. Semi-partial on both``x`` and ``y`` controlling for different variables >>> pg.partial_corr(data=df, x='x', y='y', x_covar='cv1', ... y_covar=['cv2', 'cv3'], method='spearman') n r CI95% r2 adj_r2 p-val power spearman 30 0.429 [0.08, 0.68] 0.184 0.123 0.018092 0.676 """ from pingouin.utils import _flatten_list # Check arguments assert isinstance(data, pd.DataFrame), 'data must be a pandas DataFrame.' assert data.shape[0] > 2, 'Data must have at least 3 samples.' assert isinstance(x, (str, tuple)), 'x must be a string.' assert isinstance(y, (str, tuple)), 'y must be a string.' assert isinstance(covar, (str, list, type(None))) assert isinstance(x_covar, (str, list, type(None))) assert isinstance(y_covar, (str, list, type(None))) if covar is not None and (x_covar is not None or y_covar is not None): raise ValueError('Cannot specify both covar and {x,y}_covar.') # Check that columns exist col = _flatten_list([x, y, covar, x_covar, y_covar]) if isinstance(covar, str): covar = [covar] if isinstance(x_covar, str): x_covar = [x_covar] if isinstance(y_covar, str): y_covar = [y_covar] assert all([c in data for c in col]), 'columns are not in dataframe.' # Check that columns are numeric assert all([data[c].dtype.kind in 'bfi' for c in col]) # Drop rows with NaN data = data[col].dropna() assert data.shape[0] > 2, 'Data must have at least 3 non-NAN samples.' # Standardize (= no need for an intercept in least-square regression) C = (data[col] - data[col].mean(axis=0)) / data[col].std(axis=0) if covar is not None: # PARTIAL CORRELATION cvar = np.atleast_2d(C[covar].values) beta_x = np.linalg.lstsq(cvar, C[x].values, rcond=None)[0] beta_y = np.linalg.lstsq(cvar, C[y].values, rcond=None)[0] res_x = C[x].values - np.dot(cvar, beta_x) res_y = C[y].values - np.dot(cvar, beta_y) else: # SEMI-PARTIAL CORRELATION # Initialize "fake" residuals res_x, res_y = data[x].values, data[y].values if x_covar is not None: cvar = np.atleast_2d(C[x_covar].values) beta_x = np.linalg.lstsq(cvar, C[x].values, rcond=None)[0] res_x = C[x].values - np.dot(cvar, beta_x) if y_covar is not None: cvar = np.atleast_2d(C[y_covar].values) beta_y = np.linalg.lstsq(cvar, C[y].values, rcond=None)[0] res_y = C[y].values - np.dot(cvar, beta_y) return corr(res_x, res_y, method=method, tail=tail)
[docs]@pf.register_dataframe_method def pcorr(self): """Partial correlation matrix (:py:class:`pandas.DataFrame` method). Returns ---------- pcormat : :py:class:`pandas.DataFrame` Partial correlation matrix. Notes ----- This function calculates the pairwise partial correlations for each pair of variables in a :py:class:`pandas.DataFrame` given all the others. It has the same behavior as the pcor function in the `ppcor` R package. Note that this function only returns the raw Pearson correlation coefficient. If you want to calculate the test statistic and p-values, or use more robust estimates of the correlation coefficient, please refer to the :py:func:`pingouin.pairwise_corr` or :py:func:`pingouin.partial_corr` functions. The :py:func:`pingouin.pcorr` function uses the inverse of the variance-covariance matrix to calculate the partial correlation matrix and is therefore much faster than the two latter functions which are based on the residuals. References ---------- .. [1] https://cran.r-project.org/web/packages/ppcor/index.html Examples -------- >>> import pingouin as pg >>> data = pg.read_dataset('mediation') >>> data.pcorr() X M Y Mbin Ybin X 1.000000 0.392251 0.059771 -0.014405 -0.149210 M 0.392251 1.000000 0.545618 -0.015622 -0.094309 Y 0.059771 0.545618 1.000000 -0.007009 0.161334 Mbin -0.014405 -0.015622 -0.007009 1.000000 -0.076614 Ybin -0.149210 -0.094309 0.161334 -0.076614 1.000000 On a subset of columns >>> data[['X', 'Y', 'M']].pcorr().round(3) X Y M X 1.000 0.037 0.413 Y 0.037 1.000 0.540 M 0.413 0.540 1.000 """ V = self.cov() # Covariance matrix Vi = np.linalg.pinv(V) # Inverse covariance matrix D = np.diag(np.sqrt(1 / np.diag(Vi))) pcor = -1 * (D @ Vi @ D) # Partial correlation matrix pcor[np.diag_indices_from(pcor)] = 1 return pd.DataFrame(pcor, index=V.index, columns=V.columns)
[docs]@pf.register_dataframe_method def rcorr(self, method='pearson', upper='pval', decimals=3, padjust=None, stars=True, pval_stars={0.001: '***', 0.01: '**', 0.05: '*'}): """ Correlation matrix of a dataframe with p-values and/or sample size on the upper triangle (:py:class:`pandas.DataFrame` method). This method is a faster, but less exhaustive, matrix-version of the :py:func:`pingouin.pairwise_corr` function. It is based on the :py:func:`pandas.DataFrame.corr` method. Missing values are automatically removed from each pairwise correlation. Parameters ---------- self : :py:class:`pandas.DataFrame` Input dataframe. method : str Correlation method. Can be either 'pearson' or 'spearman'. upper : str If 'pval', the upper triangle of the output correlation matrix shows the p-values. If 'n', the upper triangle is the sample size used in each pairwise correlation. decimals : int Number of decimals to display in the output correlation matrix. padjust : string or None Method used for adjustment of pvalues. Available methods are :: 'none' : no correction 'bonf' : one-step Bonferroni correction 'sidak' : one-step Sidak correction 'holm' : step-down method using Bonferroni adjustments 'fdr_bh' : Benjamini/Hochberg FDR correction 'fdr_by' : Benjamini/Yekutieli FDR correction stars : boolean If True, only significant p-values are displayed as stars using the pre-defined thresholds of ``pval_stars``. If False, all the raw p-values are displayed. pval_stars : dict Significance thresholds. Default is 3 stars for p-values < 0.001, 2 stars for p-values < 0.01 and 1 star for p-values < 0.05. Returns ------- rcorr : :py:class:`pandas.DataFrame` Correlation matrix, of type str. Examples -------- >>> import numpy as np >>> import pandas as pd >>> import pingouin as pg >>> # Load an example dataset of personality dimensions >>> df = pg.read_dataset('pairwise_corr').iloc[:, 1:] >>> # Add some missing values >>> df.iloc[[2, 5, 20], 2] = np.nan >>> df.iloc[[1, 4, 10], 3] = np.nan >>> df.head().round(2) Neuroticism Extraversion Openness Agreeableness Conscientiousness 0 2.48 4.21 3.94 3.96 3.46 1 2.60 3.19 3.96 NaN 3.23 2 2.81 2.90 NaN 2.75 3.50 3 2.90 3.56 3.52 3.17 2.79 4 3.02 3.33 4.02 NaN 2.85 >>> # Correlation matrix on the four first columns >>> df.iloc[:, 0:4].rcorr() Neuroticism Extraversion Openness Agreeableness Neuroticism - *** ** Extraversion -0.35 - *** Openness -0.01 0.265 - *** Agreeableness -0.134 0.054 0.161 - >>> # Spearman correlation and Holm adjustement for multiple comparisons >>> df.iloc[:, 0:4].rcorr(method='spearman', padjust='holm') Neuroticism Extraversion Openness Agreeableness Neuroticism - *** ** Extraversion -0.325 - *** Openness -0.027 0.24 - *** Agreeableness -0.15 0.06 0.173 - >>> # Compare with the pg.pairwise_corr function >>> pairwise = df.iloc[:, 0:4].pairwise_corr(method='spearman', ... padjust='holm') >>> pairwise[['X', 'Y', 'r', 'p-corr']].round(3) # Do not show all columns X Y r p-corr 0 Neuroticism Extraversion -0.325 0.000 1 Neuroticism Openness -0.027 0.543 2 Neuroticism Agreeableness -0.150 0.002 3 Extraversion Openness 0.240 0.000 4 Extraversion Agreeableness 0.060 0.358 5 Openness Agreeableness 0.173 0.000 >>> # Display the raw p-values with four decimals >>> df.iloc[:, [0, 1, 3]].rcorr(stars=False, decimals=4) Neuroticism Extraversion Agreeableness Neuroticism - 0.0000 0.0028 Extraversion -0.3501 - 0.2305 Agreeableness -0.134 0.0539 - >>> # With the sample size on the upper triangle instead of the p-values >>> df.iloc[:, [0, 1, 2]].rcorr(upper='n') Neuroticism Extraversion Openness Neuroticism - 500 497 Extraversion -0.35 - 497 Openness -0.01 0.265 - """ from numpy import triu_indices_from as tif from numpy import format_float_positional as ffp from scipy.stats import pearsonr, spearmanr # Safety check assert isinstance(pval_stars, dict), 'pval_stars must be a dictionnary.' assert isinstance(decimals, int), 'decimals must be an int.' assert method in ['pearson', 'spearman'], 'Method is not recognized.' assert upper in ['pval', 'n'], 'upper must be either `pval` or `n`.' mat = self.corr(method=method).round(decimals) if upper == 'n': mat_upper = self.corr(method=lambda x, y: len(x)).astype(int) else: if method == 'pearson': mat_upper = self.corr(method=lambda x, y: pearsonr(x, y)[1]) else: # Method = 'spearman' mat_upper = self.corr(method=lambda x, y: spearmanr(x, y)[1]) if padjust is not None: pvals = mat_upper.values[tif(mat, k=1)] mat_upper.values[tif(mat, k=1)] = multicomp(pvals, alpha=0.05, method=padjust)[1] # Convert r to text mat = mat.astype(str) np.fill_diagonal(mat.values, '-') # Inplace modification of the diagonal if upper == 'pval': def replace_pval(x): for key, value in pval_stars.items(): if x < key: return value return '' if stars: # Replace p-values by stars mat_upper = mat_upper.applymap(replace_pval) else: mat_upper = mat_upper.applymap(lambda x: ffp(x, precision=decimals)) # Replace upper triangle by p-values or n mat.values[tif(mat, k=1)] = mat_upper.values[tif(mat, k=1)] return mat
[docs]def rm_corr(data=None, x=None, y=None, subject=None, tail='two-sided'): """Repeated measures correlation. Parameters ---------- data : pd.DataFrame Dataframe. x, y : string Name of columns in ``data`` containing the two dependent variables. subject : string Name of column in ``data`` containing the subject indicator. tail : string Specify whether to return 'one-sided' or 'two-sided' p-value. Returns ------- stats : pandas DataFrame Test summary :: 'r' : Repeated measures correlation coefficient 'dof' : Degrees of freedom 'pval' : one or two tailed p-value 'CI95' : 95% parametric confidence intervals 'power' : achieved power of the test (= 1 - type II error). Notes ----- Repeated measures correlation (rmcorr) is a statistical technique for determining the common within-individual association for paired measures assessed on two or more occasions for multiple individuals. From Bakdash and Marusich (2017): "Rmcorr accounts for non-independence among observations using analysis of covariance (ANCOVA) to statistically adjust for inter-individual variability. By removing measured variance between-participants, rmcorr provides the best linear fit for each participant using parallel regression lines (the same slope) with varying intercepts. Like a Pearson correlation coefficient, the rmcorr coefficient is bounded by − 1 to 1 and represents the strength of the linear association between two variables." Results have been tested against the `rmcorr` R package. Please note that NaN are automatically removed from the dataframe (listwise deletion). References ---------- .. [1] Bakdash, J.Z., Marusich, L.R., 2017. Repeated Measures Correlation. Front. Psychol. 8, 456. https://doi.org/10.3389/fpsyg.2017.00456 .. [2] Bland, J. M., & Altman, D. G. (1995). Statistics notes: Calculating correlation coefficients with repeated observations: Part 1—correlation within subjects. Bmj, 310(6977), 446. .. [3] https://github.com/cran/rmcorr Examples -------- >>> import pingouin as pg >>> df = pg.read_dataset('rm_corr') >>> pg.rm_corr(data=df, x='pH', y='PacO2', subject='Subject') r dof pval CI95% power rm_corr -0.507 38 0.000847 [-0.71, -0.23] 0.93 """ from pingouin import ancova, power_corr # Safety checks assert isinstance(data, pd.DataFrame), 'Data must be a DataFrame' assert x in data.columns, 'The %s column is not in data.' % x assert y in data.columns, 'The %s column is not in data.' % y assert data[x].dtype.kind in 'bfi', '%s must be numeric.' % x assert data[y].dtype.kind in 'bfi', '%s must be numeric.' % y assert subject in data.columns, 'The %s column is not in data.' % subject if data[subject].nunique() < 3: raise ValueError('rm_corr requires at least 3 unique subjects.') # Remove missing values data = data[[x, y, subject]].dropna(axis=0) # Using PINGOUIN aov = ancova(dv=y, covar=x, between=subject, data=data) bw = aov.bw_ # Beta within parameter sign = np.sign(bw) dof = int(aov.at[2, 'DF']) n = dof + 2 ssfactor = aov.at[1, 'SS'] sserror = aov.at[2, 'SS'] rm = sign * np.sqrt(ssfactor / (ssfactor + sserror)) pval = aov.at[1, 'p-unc'] pval = pval * 0.5 if tail == 'one-sided' else pval ci = compute_esci(stat=rm, nx=n, eftype='pearson').tolist() pwr = power_corr(r=rm, n=n, tail=tail) # Convert to Dataframe stats = pd.DataFrame({"r": round(rm, 3), "dof": int(dof), "pval": pval, "CI95%": str(ci), "power": round(pwr, 3)}, index=["rm_corr"]) return stats
def _dcorr(y, n2, A, dcov2_xx): """Helper function for distance correlation bootstrapping. """ # Pairwise Euclidean distances b = squareform(pdist(y, metric='euclidean')) # Double centering B = b - b.mean(axis=0)[None, :] - b.mean(axis=1)[:, None] + b.mean() # Compute squared distance covariances dcov2_yy = np.vdot(B, B) / n2 dcov2_xy = np.vdot(A, B) / n2 return np.sqrt(dcov2_xy) / np.sqrt(np.sqrt(dcov2_xx) * np.sqrt(dcov2_yy))
[docs]def distance_corr(x, y, tail='greater', n_boot=1000, seed=None): """Distance correlation between two arrays. Statistical significance (p-value) is evaluated with a permutation test. Parameters ---------- x, y : np.ndarray 1D or 2D input arrays, shape (n_samples, n_features). ``x`` and ``y`` must have the same number of samples and must not contain missing values. tail : str Tail for p-value. Can be either `'two-sided'` (default), or `'greater'` or `'less'` for directional tests. To be consistent with the original R implementation, the default is to calculate the one-sided `'greater'` p-value. n_boot : int or None Number of bootstrap to perform. If None, no bootstrapping is performed and the function only returns the distance correlation (no p-value). Default is 1000 (thus giving a precision of 0.001). seed : int or None Random state seed. Returns ------- dcor : float Sample distance correlation (range from 0 to 1). pval : float P-value Notes ----- From Wikipedia: *Distance correlation is a measure of dependence between two paired random vectors of arbitrary, not necessarily equal, dimension. The distance correlation coefficient is zero if and only if the random vectors are independent. Thus, distance correlation measures both linear and nonlinear association between two random variables or random vectors. This is in contrast to Pearson's correlation, which can only detect linear association between two random variables.* The distance correlation of two random variables is obtained by dividing their distance covariance by the product of their distance standard deviations: .. math:: \\text{dCor}(X, Y) = \\frac{\\text{dCov}(X, Y)} {\\sqrt{\\text{dVar}(X) \\cdot \\text{dVar}(Y)}} where :math:`\\text{dCov}(X, Y)` is the square root of the arithmetic average of the product of the double-centered pairwise Euclidean distance matrices. Note that by contrast to Pearson's correlation, the distance correlation cannot be negative, i.e :math:`0 \\leq \\text{dCor} \\leq 1`. Results have been tested against the 'energy' R package. References ---------- .. [1] https://en.wikipedia.org/wiki/Distance_correlation .. [2] Székely, G. J., Rizzo, M. L., & Bakirov, N. K. (2007). Measuring and testing dependence by correlation of distances. The annals of statistics, 35(6), 2769-2794. .. [3] https://gist.github.com/satra/aa3d19a12b74e9ab7941 .. [4] https://gist.github.com/wladston/c931b1495184fbb99bec .. [5] https://cran.r-project.org/web/packages/energy/energy.pdf Examples -------- 1. With two 1D vectors >>> from pingouin import distance_corr >>> a = [1, 2, 3, 4, 5] >>> b = [1, 2, 9, 4, 4] >>> distance_corr(a, b, seed=9) (0.7626762424168667, 0.312) 2. With two 2D arrays and no p-value >>> import numpy as np >>> np.random.seed(123) >>> from pingouin import distance_corr >>> a = np.random.random((10, 10)) >>> b = np.random.random((10, 10)) >>> distance_corr(a, b, n_boot=None) 0.8799633012275321 """ assert tail in ['greater', 'less', 'two-sided'], 'Wrong tail argument.' x = np.asarray(x) y = np.asarray(y) # Check for NaN values if any([np.isnan(np.min(x)), np.isnan(np.min(y))]): raise ValueError('Input arrays must not contain NaN values.') if x.ndim == 1: x = x[:, None] if y.ndim == 1: y = y[:, None] assert x.shape[0] == y.shape[0], 'x and y must have same number of samples' # Extract number of samples n = x.shape[0] n2 = n**2 # Process first array to avoid redundancy when performing bootstrap a = squareform(pdist(x, metric='euclidean')) A = a - a.mean(axis=0)[None, :] - a.mean(axis=1)[:, None] + a.mean() dcov2_xx = np.vdot(A, A) / n2 # Process second array and compute final distance correlation dcor = _dcorr(y, n2, A, dcov2_xx) # Compute one-sided p-value using a bootstrap procedure if n_boot is not None and n_boot > 1: # Define random seed and permutation rng = np.random.RandomState(seed) bootsam = rng.random_sample((n_boot, n)).argsort(axis=1) bootstat = np.empty(n_boot) for i in range(n_boot): bootstat[i] = _dcorr(y[bootsam[i, :]], n2, A, dcov2_xx) pval = _perm_pval(bootstat, dcor, tail=tail) return dcor, pval else: return dcor