Ajustement de distribution avec somme des erreurs carrées (SSE)
Il s'agit d'une mise à jour et d'une modification de la réponse de Saullo , qui utilise la liste complète des scipy.statsdistributions actuelles et renvoie la distribution avec le moins SSE entre l'histogramme de la distribution et l'histogramme des données.
Exemple de montage
En utilisant l' ensemble de données El Niño destatsmodels , les distributions sont ajustées et l'erreur est déterminée. La distribution avec le moins d'erreur est renvoyée.
Toutes les distributions
Meilleure distribution d'ajustement
Exemple de code
%matplotlib inline
import warnings
import numpy as np
import pandas as pd
import scipy.stats as st
import statsmodels as sm
import matplotlib
import matplotlib.pyplot as plt
matplotlib.rcParams['figure.figsize'] = (16.0, 12.0)
matplotlib.style.use('ggplot')
# Create models from data
def best_fit_distribution(data, bins=200, ax=None):
"""Model data by finding best fit distribution to data"""
# Get histogram of original data
y, x = np.histogram(data, bins=bins, density=True)
x = (x + np.roll(x, -1))[:-1] / 2.0
# Distributions to check
DISTRIBUTIONS = [
st.alpha,st.anglit,st.arcsine,st.beta,st.betaprime,st.bradford,st.burr,st.cauchy,st.chi,st.chi2,st.cosine,
st.dgamma,st.dweibull,st.erlang,st.expon,st.exponnorm,st.exponweib,st.exponpow,st.f,st.fatiguelife,st.fisk,
st.foldcauchy,st.foldnorm,st.frechet_r,st.frechet_l,st.genlogistic,st.genpareto,st.gennorm,st.genexpon,
st.genextreme,st.gausshyper,st.gamma,st.gengamma,st.genhalflogistic,st.gilbrat,st.gompertz,st.gumbel_r,
st.gumbel_l,st.halfcauchy,st.halflogistic,st.halfnorm,st.halfgennorm,st.hypsecant,st.invgamma,st.invgauss,
st.invweibull,st.johnsonsb,st.johnsonsu,st.ksone,st.kstwobign,st.laplace,st.levy,st.levy_l,st.levy_stable,
st.logistic,st.loggamma,st.loglaplace,st.lognorm,st.lomax,st.maxwell,st.mielke,st.nakagami,st.ncx2,st.ncf,
st.nct,st.norm,st.pareto,st.pearson3,st.powerlaw,st.powerlognorm,st.powernorm,st.rdist,st.reciprocal,
st.rayleigh,st.rice,st.recipinvgauss,st.semicircular,st.t,st.triang,st.truncexpon,st.truncnorm,st.tukeylambda,
st.uniform,st.vonmises,st.vonmises_line,st.wald,st.weibull_min,st.weibull_max,st.wrapcauchy
]
# Best holders
best_distribution = st.norm
best_params = (0.0, 1.0)
best_sse = np.inf
# Estimate distribution parameters from data
for distribution in DISTRIBUTIONS:
# Try to fit the distribution
try:
# Ignore warnings from data that can't be fit
with warnings.catch_warnings():
warnings.filterwarnings('ignore')
# fit dist to data
params = distribution.fit(data)
# Separate parts of parameters
arg = params[:-2]
loc = params[-2]
scale = params[-1]
# Calculate fitted PDF and error with fit in distribution
pdf = distribution.pdf(x, loc=loc, scale=scale, *arg)
sse = np.sum(np.power(y - pdf, 2.0))
# if axis pass in add to plot
try:
if ax:
pd.Series(pdf, x).plot(ax=ax)
end
except Exception:
pass
# identify if this distribution is better
if best_sse > sse > 0:
best_distribution = distribution
best_params = params
best_sse = sse
except Exception:
pass
return (best_distribution.name, best_params)
def make_pdf(dist, params, size=10000):
"""Generate distributions's Probability Distribution Function """
# Separate parts of parameters
arg = params[:-2]
loc = params[-2]
scale = params[-1]
# Get sane start and end points of distribution
start = dist.ppf(0.01, *arg, loc=loc, scale=scale) if arg else dist.ppf(0.01, loc=loc, scale=scale)
end = dist.ppf(0.99, *arg, loc=loc, scale=scale) if arg else dist.ppf(0.99, loc=loc, scale=scale)
# Build PDF and turn into pandas Series
x = np.linspace(start, end, size)
y = dist.pdf(x, loc=loc, scale=scale, *arg)
pdf = pd.Series(y, x)
return pdf
# Load data from statsmodels datasets
data = pd.Series(sm.datasets.elnino.load_pandas().data.set_index('YEAR').values.ravel())
# Plot for comparison
plt.figure(figsize=(12,8))
ax = data.plot(kind='hist', bins=50, normed=True, alpha=0.5, color=plt.rcParams['axes.color_cycle'][1])
# Save plot limits
dataYLim = ax.get_ylim()
# Find best fit distribution
best_fit_name, best_fit_params = best_fit_distribution(data, 200, ax)
best_dist = getattr(st, best_fit_name)
# Update plots
ax.set_ylim(dataYLim)
ax.set_title(u'El Niño sea temp.\n All Fitted Distributions')
ax.set_xlabel(u'Temp (°C)')
ax.set_ylabel('Frequency')
# Make PDF with best params
pdf = make_pdf(best_dist, best_fit_params)
# Display
plt.figure(figsize=(12,8))
ax = pdf.plot(lw=2, label='PDF', legend=True)
data.plot(kind='hist', bins=50, normed=True, alpha=0.5, label='Data', legend=True, ax=ax)
param_names = (best_dist.shapes + ', loc, scale').split(', ') if best_dist.shapes else ['loc', 'scale']
param_str = ', '.join(['{}={:0.2f}'.format(k,v) for k,v in zip(param_names, best_fit_params)])
dist_str = '{}({})'.format(best_fit_name, param_str)
ax.set_title(u'El Niño sea temp. with best fit distribution \n' + dist_str)
ax.set_xlabel(u'Temp. (°C)')
ax.set_ylabel('Frequency')
