// Copyright 2012 The Rust Project Developers. See the COPYRIGHT // file at the top-level directory of this distribution and at // http://rust-lang.org/COPYRIGHT. // // Licensed under the Apache License, Version 2.0 or the MIT license // , at your // option. This file may not be copied, modified, or distributed // except according to those terms. #![allow(missing_docs)] #![allow(deprecated)] // Float use std::cmp::Ordering::{self, Equal, Greater, Less}; use std::mem; fn local_cmp(x: f64, y: f64) -> Ordering { // arbitrarily decide that NaNs are larger than everything. if y.is_nan() { Less } else if x.is_nan() { Greater } else if x < y { Less } else if x == y { Equal } else { Greater } } fn local_sort(v: &mut [f64]) { v.sort_by(|x: &f64, y: &f64| local_cmp(*x, *y)); } /// Trait that provides simple descriptive statistics on a univariate set of numeric samples. pub trait Stats { /// Sum of the samples. /// /// Note: this method sacrifices performance at the altar of accuracy /// Depends on IEEE-754 arithmetic guarantees. See proof of correctness at: /// ["Adaptive Precision Floating-Point Arithmetic and Fast Robust Geometric Predicates"] /// (http://www.cs.cmu.edu/~quake-papers/robust-arithmetic.ps) fn sum(&self) -> f64; /// Minimum value of the samples. fn min(&self) -> f64; /// Maximum value of the samples. fn max(&self) -> f64; /// Arithmetic mean (average) of the samples: sum divided by sample-count. /// /// See: https://en.wikipedia.org/wiki/Arithmetic_mean fn mean(&self) -> f64; /// Median of the samples: value separating the lower half of the samples from the higher half. /// Equal to `self.percentile(50.0)`. /// /// See: https://en.wikipedia.org/wiki/Median fn median(&self) -> f64; /// Variance of the samples: bias-corrected mean of the squares of the differences of each /// sample from the sample mean. Note that this calculates the _sample variance_ rather than the /// population variance, which is assumed to be unknown. It therefore corrects the `(n-1)/n` /// bias that would appear if we calculated a population variance, by dividing by `(n-1)` rather /// than `n`. /// /// See: https://en.wikipedia.org/wiki/Variance fn var(&self) -> f64; /// Standard deviation: the square root of the sample variance. /// /// Note: this is not a robust statistic for non-normal distributions. Prefer the /// `median_abs_dev` for unknown distributions. /// /// See: https://en.wikipedia.org/wiki/Standard_deviation fn std_dev(&self) -> f64; /// Standard deviation as a percent of the mean value. See `std_dev` and `mean`. /// /// Note: this is not a robust statistic for non-normal distributions. Prefer the /// `median_abs_dev_pct` for unknown distributions. fn std_dev_pct(&self) -> f64; /// Scaled median of the absolute deviations of each sample from the sample median. This is a /// robust (distribution-agnostic) estimator of sample variability. Use this in preference to /// `std_dev` if you cannot assume your sample is normally distributed. Note that this is scaled /// by the constant `1.4826` to allow its use as a consistent estimator for the standard /// deviation. /// /// See: http://en.wikipedia.org/wiki/Median_absolute_deviation fn median_abs_dev(&self) -> f64; /// Median absolute deviation as a percent of the median. See `median_abs_dev` and `median`. fn median_abs_dev_pct(&self) -> f64; /// Percentile: the value below which `pct` percent of the values in `self` fall. For example, /// percentile(95.0) will return the value `v` such that 95% of the samples `s` in `self` /// satisfy `s <= v`. /// /// Calculated by linear interpolation between closest ranks. /// /// See: http://en.wikipedia.org/wiki/Percentile fn percentile(&self, pct: f64) -> f64; /// Quartiles of the sample: three values that divide the sample into four equal groups, each /// with 1/4 of the data. The middle value is the median. See `median` and `percentile`. This /// function may calculate the 3 quartiles more efficiently than 3 calls to `percentile`, but /// is otherwise equivalent. /// /// See also: https://en.wikipedia.org/wiki/Quartile fn quartiles(&self) -> (f64, f64, f64); /// Inter-quartile range: the difference between the 25th percentile (1st quartile) and the 75th /// percentile (3rd quartile). See `quartiles`. /// /// See also: https://en.wikipedia.org/wiki/Interquartile_range fn iqr(&self) -> f64; } /// Extracted collection of all the summary statistics of a sample set. #[derive(Clone, PartialEq)] #[allow(missing_docs)] pub struct Summary { pub sum: f64, pub min: f64, pub max: f64, pub mean: f64, pub median: f64, pub var: f64, pub std_dev: f64, pub std_dev_pct: f64, pub median_abs_dev: f64, pub median_abs_dev_pct: f64, pub quartiles: (f64, f64, f64), pub iqr: f64, } impl Summary { /// Construct a new summary of a sample set. pub fn new(samples: &[f64]) -> Summary { Summary { sum: samples.sum(), min: samples.min(), max: samples.max(), mean: samples.mean(), median: samples.median(), var: samples.var(), std_dev: samples.std_dev(), std_dev_pct: samples.std_dev_pct(), median_abs_dev: samples.median_abs_dev(), median_abs_dev_pct: samples.median_abs_dev_pct(), quartiles: samples.quartiles(), iqr: samples.iqr(), } } } impl Stats for [f64] { // FIXME #11059 handle NaN, inf and overflow fn sum(&self) -> f64 { let mut partials = vec![]; for &x in self { let mut x = x; let mut j = 0; // This inner loop applies `hi`/`lo` summation to each // partial so that the list of partial sums remains exact. for i in 0..partials.len() { let mut y: f64 = partials[i]; if x.abs() < y.abs() { mem::swap(&mut x, &mut y); } // Rounded `x+y` is stored in `hi` with round-off stored in // `lo`. Together `hi+lo` are exactly equal to `x+y`. let hi = x + y; let lo = y - (hi - x); if lo != 0.0 { partials[j] = lo; j += 1; } x = hi; } if j >= partials.len() { partials.push(x); } else { partials[j] = x; partials.truncate(j + 1); } } let zero: f64 = 0.0; partials.iter().fold(zero, |p, q| p + *q) } fn min(&self) -> f64 { assert!(!self.is_empty()); self.iter().fold(self[0], |p, q| p.min(*q)) } fn max(&self) -> f64 { assert!(!self.is_empty()); self.iter().fold(self[0], |p, q| p.max(*q)) } fn mean(&self) -> f64 { assert!(!self.is_empty()); self.sum() / (self.len() as f64) } fn median(&self) -> f64 { self.percentile(50 as f64) } fn var(&self) -> f64 { if self.len() < 2 { 0.0 } else { let mean = self.mean(); let mut v: f64 = 0.0; for s in self { let x = *s - mean; v += x * x; } // NB: this is _supposed to be_ len-1, not len. If you // change it back to len, you will be calculating a // population variance, not a sample variance. let denom = (self.len() - 1) as f64; v / denom } } fn std_dev(&self) -> f64 { self.var().sqrt() } fn std_dev_pct(&self) -> f64 { let hundred = 100 as f64; (self.std_dev() / self.mean()) * hundred } fn median_abs_dev(&self) -> f64 { let med = self.median(); let abs_devs: Vec = self.iter().map(|&v| (med - v).abs()).collect(); // This constant is derived by smarter statistics brains than me, but it is // consistent with how R and other packages treat the MAD. let number = 1.4826; abs_devs.median() * number } fn median_abs_dev_pct(&self) -> f64 { let hundred = 100 as f64; (self.median_abs_dev() / self.median()) * hundred } fn percentile(&self, pct: f64) -> f64 { let mut tmp = self.to_vec(); local_sort(&mut tmp); percentile_of_sorted(&tmp, pct) } fn quartiles(&self) -> (f64, f64, f64) { let mut tmp = self.to_vec(); local_sort(&mut tmp); let first = 25f64; let a = percentile_of_sorted(&tmp, first); let secound = 50f64; let b = percentile_of_sorted(&tmp, secound); let third = 75f64; let c = percentile_of_sorted(&tmp, third); (a, b, c) } fn iqr(&self) -> f64 { let (a, _, c) = self.quartiles(); c - a } } // Helper function: extract a value representing the `pct` percentile of a sorted sample-set, using // linear interpolation. If samples are not sorted, return nonsensical value. fn percentile_of_sorted(sorted_samples: &[f64], pct: f64) -> f64 { assert!(!sorted_samples.is_empty()); if sorted_samples.len() == 1 { return sorted_samples[0]; } let zero: f64 = 0.0; assert!(zero <= pct); let hundred = 100f64; assert!(pct <= hundred); if pct == hundred { return sorted_samples[sorted_samples.len() - 1]; } let length = (sorted_samples.len() - 1) as f64; let rank = (pct / hundred) * length; let lrank = rank.floor(); let d = rank - lrank; let n = lrank as usize; let lo = sorted_samples[n]; let hi = sorted_samples[n + 1]; lo + (hi - lo) * d } /// Winsorize a set of samples, replacing values above the `100-pct` percentile /// and below the `pct` percentile with those percentiles themselves. This is a /// way of minimizing the effect of outliers, at the cost of biasing the sample. /// It differs from trimming in that it does not change the number of samples, /// just changes the values of those that are outliers. /// /// See: http://en.wikipedia.org/wiki/Winsorising pub fn winsorize(samples: &mut [f64], pct: f64) { let mut tmp = samples.to_vec(); local_sort(&mut tmp); let lo = percentile_of_sorted(&tmp, pct); let hundred = 100 as f64; let hi = percentile_of_sorted(&tmp, hundred - pct); for samp in samples { if *samp > hi { *samp = hi } else if *samp < lo { *samp = lo } } } // Test vectors generated from R, using the script src/etc/stat-test-vectors.r. #[cfg(test)] mod tests { use stats::Stats; use stats::Summary; use std::f64; use std::io::prelude::*; use std::io; macro_rules! assert_approx_eq { ($a:expr, $b:expr) => ({ let (a, b) = (&$a, &$b); assert!((*a - *b).abs() < 1.0e-6, "{} is not approximately equal to {}", *a, *b); }) } fn check(samples: &[f64], summ: &Summary) { let summ2 = Summary::new(samples); let mut w = io::sink(); let w = &mut w; (write!(w, "\n")).unwrap(); assert_eq!(summ.sum, summ2.sum); assert_eq!(summ.min, summ2.min); assert_eq!(summ.max, summ2.max); assert_eq!(summ.mean, summ2.mean); assert_eq!(summ.median, summ2.median); // We needed a few more digits to get exact equality on these // but they're within float epsilon, which is 1.0e-6. assert_approx_eq!(summ.var, summ2.var); assert_approx_eq!(summ.std_dev, summ2.std_dev); assert_approx_eq!(summ.std_dev_pct, summ2.std_dev_pct); assert_approx_eq!(summ.median_abs_dev, summ2.median_abs_dev); assert_approx_eq!(summ.median_abs_dev_pct, summ2.median_abs_dev_pct); assert_eq!(summ.quartiles, summ2.quartiles); assert_eq!(summ.iqr, summ2.iqr); } #[test] fn test_min_max_nan() { let xs = &[1.0, 2.0, f64::NAN, 3.0, 4.0]; let summary = Summary::new(xs); assert_eq!(summary.min, 1.0); assert_eq!(summary.max, 4.0); } #[test] fn test_norm2() { let val = &[958.0000000000, 924.0000000000]; let summ = &Summary { sum: 1882.0000000000, min: 924.0000000000, max: 958.0000000000, mean: 941.0000000000, median: 941.0000000000, var: 578.0000000000, std_dev: 24.0416305603, std_dev_pct: 2.5549022912, median_abs_dev: 25.2042000000, median_abs_dev_pct: 2.6784484591, quartiles: (932.5000000000, 941.0000000000, 949.5000000000), iqr: 17.0000000000, }; check(val, summ); } #[test] fn test_norm10narrow() { let val = &[966.0000000000, 985.0000000000, 1110.0000000000, 848.0000000000, 821.0000000000, 975.0000000000, 962.0000000000, 1157.0000000000, 1217.0000000000, 955.0000000000]; let summ = &Summary { sum: 9996.0000000000, min: 821.0000000000, max: 1217.0000000000, mean: 999.6000000000, median: 970.5000000000, var: 16050.7111111111, std_dev: 126.6914010938, std_dev_pct: 12.6742097933, median_abs_dev: 102.2994000000, median_abs_dev_pct: 10.5408964451, quartiles: (956.7500000000, 970.5000000000, 1078.7500000000), iqr: 122.0000000000, }; check(val, summ); } #[test] fn test_norm10medium() { let val = &[954.0000000000, 1064.0000000000, 855.0000000000, 1000.0000000000, 743.0000000000, 1084.0000000000, 704.0000000000, 1023.0000000000, 357.0000000000, 869.0000000000]; let summ = &Summary { sum: 8653.0000000000, min: 357.0000000000, max: 1084.0000000000, mean: 865.3000000000, median: 911.5000000000, var: 48628.4555555556, std_dev: 220.5186059170, std_dev_pct: 25.4846418487, median_abs_dev: 195.7032000000, median_abs_dev_pct: 21.4704552935, quartiles: (771.0000000000, 911.5000000000, 1017.2500000000), iqr: 246.2500000000, }; check(val, summ); } #[test] fn test_norm10wide() { let val = &[505.0000000000, 497.0000000000, 1591.0000000000, 887.0000000000, 1026.0000000000, 136.0000000000, 1580.0000000000, 940.0000000000, 754.0000000000, 1433.0000000000]; let summ = &Summary { sum: 9349.0000000000, min: 136.0000000000, max: 1591.0000000000, mean: 934.9000000000, median: 913.5000000000, var: 239208.9888888889, std_dev: 489.0899599142, std_dev_pct: 52.3146817750, median_abs_dev: 611.5725000000, median_abs_dev_pct: 66.9482758621, quartiles: (567.2500000000, 913.5000000000, 1331.2500000000), iqr: 764.0000000000, }; check(val, summ); } #[test] fn test_norm25verynarrow() { let val = &[991.0000000000, 1018.0000000000, 998.0000000000, 1013.0000000000, 974.0000000000, 1007.0000000000, 1014.0000000000, 999.0000000000, 1011.0000000000, 978.0000000000, 985.0000000000, 999.0000000000, 983.0000000000, 982.0000000000, 1015.0000000000, 1002.0000000000, 977.0000000000, 948.0000000000, 1040.0000000000, 974.0000000000, 996.0000000000, 989.0000000000, 1015.0000000000, 994.0000000000, 1024.0000000000]; let summ = &Summary { sum: 24926.0000000000, min: 948.0000000000, max: 1040.0000000000, mean: 997.0400000000, median: 998.0000000000, var: 393.2066666667, std_dev: 19.8294393937, std_dev_pct: 1.9888308788, median_abs_dev: 22.2390000000, median_abs_dev_pct: 2.2283567134, quartiles: (983.0000000000, 998.0000000000, 1013.0000000000), iqr: 30.0000000000, }; check(val, summ); } #[test] fn test_exp10a() { let val = &[23.0000000000, 11.0000000000, 2.0000000000, 57.0000000000, 4.0000000000, 12.0000000000, 5.0000000000, 29.0000000000, 3.0000000000, 21.0000000000]; let summ = &Summary { sum: 167.0000000000, min: 2.0000000000, max: 57.0000000000, mean: 16.7000000000, median: 11.5000000000, var: 287.7888888889, std_dev: 16.9643416875, std_dev_pct: 101.5828843560, median_abs_dev: 13.3434000000, median_abs_dev_pct: 116.0295652174, quartiles: (4.2500000000, 11.5000000000, 22.5000000000), iqr: 18.2500000000, }; check(val, summ); } #[test] fn test_exp10b() { let val = &[24.0000000000, 17.0000000000, 6.0000000000, 38.0000000000, 25.0000000000, 7.0000000000, 51.0000000000, 2.0000000000, 61.0000000000, 32.0000000000]; let summ = &Summary { sum: 263.0000000000, min: 2.0000000000, max: 61.0000000000, mean: 26.3000000000, median: 24.5000000000, var: 383.5666666667, std_dev: 19.5848580967, std_dev_pct: 74.4671410520, median_abs_dev: 22.9803000000, median_abs_dev_pct: 93.7971428571, quartiles: (9.5000000000, 24.5000000000, 36.5000000000), iqr: 27.0000000000, }; check(val, summ); } #[test] fn test_exp10c() { let val = &[71.0000000000, 2.0000000000, 32.0000000000, 1.0000000000, 6.0000000000, 28.0000000000, 13.0000000000, 37.0000000000, 16.0000000000, 36.0000000000]; let summ = &Summary { sum: 242.0000000000, min: 1.0000000000, max: 71.0000000000, mean: 24.2000000000, median: 22.0000000000, var: 458.1777777778, std_dev: 21.4050876611, std_dev_pct: 88.4507754589, median_abs_dev: 21.4977000000, median_abs_dev_pct: 97.7168181818, quartiles: (7.7500000000, 22.0000000000, 35.0000000000), iqr: 27.2500000000, }; check(val, summ); } #[test] fn test_exp25() { let val = &[3.0000000000, 24.0000000000, 1.0000000000, 19.0000000000, 7.0000000000, 5.0000000000, 30.0000000000, 39.0000000000, 31.0000000000, 13.0000000000, 25.0000000000, 48.0000000000, 1.0000000000, 6.0000000000, 42.0000000000, 63.0000000000, 2.0000000000, 12.0000000000, 108.0000000000, 26.0000000000, 1.0000000000, 7.0000000000, 44.0000000000, 25.0000000000, 11.0000000000]; let summ = &Summary { sum: 593.0000000000, min: 1.0000000000, max: 108.0000000000, mean: 23.7200000000, median: 19.0000000000, var: 601.0433333333, std_dev: 24.5161851301, std_dev_pct: 103.3565983562, median_abs_dev: 19.2738000000, median_abs_dev_pct: 101.4410526316, quartiles: (6.0000000000, 19.0000000000, 31.0000000000), iqr: 25.0000000000, }; check(val, summ); } #[test] fn test_binom25() { let val = &[18.0000000000, 17.0000000000, 27.0000000000, 15.0000000000, 21.0000000000, 25.0000000000, 17.0000000000, 24.0000000000, 25.0000000000, 24.0000000000, 26.0000000000, 26.0000000000, 23.0000000000, 15.0000000000, 23.0000000000, 17.0000000000, 18.0000000000, 18.0000000000, 21.0000000000, 16.0000000000, 15.0000000000, 31.0000000000, 20.0000000000, 17.0000000000, 15.0000000000]; let summ = &Summary { sum: 514.0000000000, min: 15.0000000000, max: 31.0000000000, mean: 20.5600000000, median: 20.0000000000, var: 20.8400000000, std_dev: 4.5650848842, std_dev_pct: 22.2037202539, median_abs_dev: 5.9304000000, median_abs_dev_pct: 29.6520000000, quartiles: (17.0000000000, 20.0000000000, 24.0000000000), iqr: 7.0000000000, }; check(val, summ); } #[test] fn test_pois25lambda30() { let val = &[27.0000000000, 33.0000000000, 34.0000000000, 34.0000000000, 24.0000000000, 39.0000000000, 28.0000000000, 27.0000000000, 31.0000000000, 28.0000000000, 38.0000000000, 21.0000000000, 33.0000000000, 36.0000000000, 29.0000000000, 37.0000000000, 32.0000000000, 34.0000000000, 31.0000000000, 39.0000000000, 25.0000000000, 31.0000000000, 32.0000000000, 40.0000000000, 24.0000000000]; let summ = &Summary { sum: 787.0000000000, min: 21.0000000000, max: 40.0000000000, mean: 31.4800000000, median: 32.0000000000, var: 26.5933333333, std_dev: 5.1568724372, std_dev_pct: 16.3814245145, median_abs_dev: 5.9304000000, median_abs_dev_pct: 18.5325000000, quartiles: (28.0000000000, 32.0000000000, 34.0000000000), iqr: 6.0000000000, }; check(val, summ); } #[test] fn test_pois25lambda40() { let val = &[42.0000000000, 50.0000000000, 42.0000000000, 46.0000000000, 34.0000000000, 45.0000000000, 34.0000000000, 49.0000000000, 39.0000000000, 28.0000000000, 40.0000000000, 35.0000000000, 37.0000000000, 39.0000000000, 46.0000000000, 44.0000000000, 32.0000000000, 45.0000000000, 42.0000000000, 37.0000000000, 48.0000000000, 42.0000000000, 33.0000000000, 42.0000000000, 48.0000000000]; let summ = &Summary { sum: 1019.0000000000, min: 28.0000000000, max: 50.0000000000, mean: 40.7600000000, median: 42.0000000000, var: 34.4400000000, std_dev: 5.8685603004, std_dev_pct: 14.3978417577, median_abs_dev: 5.9304000000, median_abs_dev_pct: 14.1200000000, quartiles: (37.0000000000, 42.0000000000, 45.0000000000), iqr: 8.0000000000, }; check(val, summ); } #[test] fn test_pois25lambda50() { let val = &[45.0000000000, 43.0000000000, 44.0000000000, 61.0000000000, 51.0000000000, 53.0000000000, 59.0000000000, 52.0000000000, 49.0000000000, 51.0000000000, 51.0000000000, 50.0000000000, 49.0000000000, 56.0000000000, 42.0000000000, 52.0000000000, 51.0000000000, 43.0000000000, 48.0000000000, 48.0000000000, 50.0000000000, 42.0000000000, 43.0000000000, 42.0000000000, 60.0000000000]; let summ = &Summary { sum: 1235.0000000000, min: 42.0000000000, max: 61.0000000000, mean: 49.4000000000, median: 50.0000000000, var: 31.6666666667, std_dev: 5.6273143387, std_dev_pct: 11.3913245723, median_abs_dev: 4.4478000000, median_abs_dev_pct: 8.8956000000, quartiles: (44.0000000000, 50.0000000000, 52.0000000000), iqr: 8.0000000000, }; check(val, summ); } #[test] fn test_unif25() { let val = &[99.0000000000, 55.0000000000, 92.0000000000, 79.0000000000, 14.0000000000, 2.0000000000, 33.0000000000, 49.0000000000, 3.0000000000, 32.0000000000, 84.0000000000, 59.0000000000, 22.0000000000, 86.0000000000, 76.0000000000, 31.0000000000, 29.0000000000, 11.0000000000, 41.0000000000, 53.0000000000, 45.0000000000, 44.0000000000, 98.0000000000, 98.0000000000, 7.0000000000]; let summ = &Summary { sum: 1242.0000000000, min: 2.0000000000, max: 99.0000000000, mean: 49.6800000000, median: 45.0000000000, var: 1015.6433333333, std_dev: 31.8691595957, std_dev_pct: 64.1488719719, median_abs_dev: 45.9606000000, median_abs_dev_pct: 102.1346666667, quartiles: (29.0000000000, 45.0000000000, 79.0000000000), iqr: 50.0000000000, }; check(val, summ); } #[test] fn test_sum_f64s() { assert_eq!([0.5f64, 3.2321f64, 1.5678f64].sum(), 5.2999); } #[test] fn test_sum_f64_between_ints_that_sum_to_0() { assert_eq!([1e30f64, 1.2f64, -1e30f64].sum(), 1.2); } }