1 // Copyright 2012 The Rust Project Developers. See the COPYRIGHT
2 // file at the top-level directory of this distribution and at
3 // http://rust-lang.org/COPYRIGHT.
5 // Licensed under the Apache License, Version 2.0 <LICENSE-APACHE or
6 // http://www.apache.org/licenses/LICENSE-2.0> or the MIT license
7 // <LICENSE-MIT or http://opensource.org/licenses/MIT>, at your
8 // option. This file may not be copied, modified, or distributed
9 // except according to those terms.
11 #![allow(missing_docs)]
12 #![allow(deprecated)] // Float
14 use std
::cmp
::Ordering
::{self, Less, Greater, Equal}
;
16 use std
::num
::{Float, FromPrimitive}
;
18 fn local_cmp
<T
:Float
>(x
: T
, y
: T
) -> Ordering
{
19 // arbitrarily decide that NaNs are larger than everything.
22 } else if x
.is_nan() {
33 fn local_sort
<T
: Float
>(v
: &mut [T
]) {
34 v
.sort_by(|x
: &T
, y
: &T
| local_cmp(*x
, *y
));
37 /// Trait that provides simple descriptive statistics on a univariate set of numeric samples.
38 pub trait Stats
<T
: Float
+ FromPrimitive
> {
40 /// Sum of the samples.
42 /// Note: this method sacrifices performance at the altar of accuracy
43 /// Depends on IEEE-754 arithmetic guarantees. See proof of correctness at:
44 /// ["Adaptive Precision Floating-Point Arithmetic and Fast Robust Geometric Predicates"]
45 /// (http://www.cs.cmu.edu/~quake-papers/robust-arithmetic.ps)
46 /// *Discrete & Computational Geometry 18*, 3 (Oct 1997), 305-363, Shewchuk J.R.
49 /// Minimum value of the samples.
52 /// Maximum value of the samples.
55 /// Arithmetic mean (average) of the samples: sum divided by sample-count.
57 /// See: https://en.wikipedia.org/wiki/Arithmetic_mean
60 /// Median of the samples: value separating the lower half of the samples from the higher half.
61 /// Equal to `self.percentile(50.0)`.
63 /// See: https://en.wikipedia.org/wiki/Median
64 fn median(&self) -> T
;
66 /// Variance of the samples: bias-corrected mean of the squares of the differences of each
67 /// sample from the sample mean. Note that this calculates the _sample variance_ rather than the
68 /// population variance, which is assumed to be unknown. It therefore corrects the `(n-1)/n`
69 /// bias that would appear if we calculated a population variance, by dividing by `(n-1)` rather
72 /// See: https://en.wikipedia.org/wiki/Variance
75 /// Standard deviation: the square root of the sample variance.
77 /// Note: this is not a robust statistic for non-normal distributions. Prefer the
78 /// `median_abs_dev` for unknown distributions.
80 /// See: https://en.wikipedia.org/wiki/Standard_deviation
81 fn std_dev(&self) -> T
;
83 /// Standard deviation as a percent of the mean value. See `std_dev` and `mean`.
85 /// Note: this is not a robust statistic for non-normal distributions. Prefer the
86 /// `median_abs_dev_pct` for unknown distributions.
87 fn std_dev_pct(&self) -> T
;
89 /// Scaled median of the absolute deviations of each sample from the sample median. This is a
90 /// robust (distribution-agnostic) estimator of sample variability. Use this in preference to
91 /// `std_dev` if you cannot assume your sample is normally distributed. Note that this is scaled
92 /// by the constant `1.4826` to allow its use as a consistent estimator for the standard
95 /// See: http://en.wikipedia.org/wiki/Median_absolute_deviation
96 fn median_abs_dev(&self) -> T
;
98 /// Median absolute deviation as a percent of the median. See `median_abs_dev` and `median`.
99 fn median_abs_dev_pct(&self) -> T
;
101 /// Percentile: the value below which `pct` percent of the values in `self` fall. For example,
102 /// percentile(95.0) will return the value `v` such that 95% of the samples `s` in `self`
103 /// satisfy `s <= v`.
105 /// Calculated by linear interpolation between closest ranks.
107 /// See: http://en.wikipedia.org/wiki/Percentile
108 fn percentile(&self, pct
: T
) -> T
;
110 /// Quartiles of the sample: three values that divide the sample into four equal groups, each
111 /// with 1/4 of the data. The middle value is the median. See `median` and `percentile`. This
112 /// function may calculate the 3 quartiles more efficiently than 3 calls to `percentile`, but
113 /// is otherwise equivalent.
115 /// See also: https://en.wikipedia.org/wiki/Quartile
116 fn quartiles(&self) -> (T
,T
,T
);
118 /// Inter-quartile range: the difference between the 25th percentile (1st quartile) and the 75th
119 /// percentile (3rd quartile). See `quartiles`.
121 /// See also: https://en.wikipedia.org/wiki/Interquartile_range
125 /// Extracted collection of all the summary statistics of a sample set.
126 #[derive(Clone, PartialEq)]
127 #[allow(missing_docs)]
128 pub struct Summary
<T
> {
137 pub median_abs_dev
: T
,
138 pub median_abs_dev_pct
: T
,
139 pub quartiles
: (T
,T
,T
),
143 impl<T
: Float
+ FromPrimitive
> Summary
<T
> {
144 /// Construct a new summary of a sample set.
145 pub fn new(samples
: &[T
]) -> Summary
<T
> {
150 mean
: samples
.mean(),
151 median
: samples
.median(),
153 std_dev
: samples
.std_dev(),
154 std_dev_pct
: samples
.std_dev_pct(),
155 median_abs_dev
: samples
.median_abs_dev(),
156 median_abs_dev_pct
: samples
.median_abs_dev_pct(),
157 quartiles
: samples
.quartiles(),
163 impl<T
: Float
+ FromPrimitive
> Stats
<T
> for [T
] {
164 // FIXME #11059 handle NaN, inf and overflow
166 let mut partials
= vec
![];
171 // This inner loop applies `hi`/`lo` summation to each
172 // partial so that the list of partial sums remains exact.
173 for i
in 0..partials
.len() {
174 let mut y
: T
= partials
[i
];
175 if x
.abs() < y
.abs() {
176 mem
::swap(&mut x
, &mut y
);
178 // Rounded `x+y` is stored in `hi` with round-off stored in
179 // `lo`. Together `hi+lo` are exactly equal to `x+y`.
181 let lo
= y
- (hi
- x
);
182 if lo
!= Float
::zero() {
188 if j
>= partials
.len() {
192 partials
.truncate(j
+1);
195 let zero
: T
= Float
::zero();
196 partials
.iter().fold(zero
, |p
, q
| p
+ *q
)
200 assert
!(self.len() != 0);
201 self.iter().fold(self[0], |p
, q
| p
.min(*q
))
205 assert
!(self.len() != 0);
206 self.iter().fold(self[0], |p
, q
| p
.max(*q
))
209 fn mean(&self) -> T
{
210 assert
!(self.len() != 0);
211 self.sum() / FromPrimitive
::from_usize(self.len()).unwrap()
214 fn median(&self) -> T
{
215 self.percentile(FromPrimitive
::from_usize(50).unwrap())
222 let mean
= self.mean();
223 let mut v
: T
= Float
::zero();
228 // NB: this is _supposed to be_ len-1, not len. If you
229 // change it back to len, you will be calculating a
230 // population variance, not a sample variance.
231 let denom
= FromPrimitive
::from_usize(self.len()-1).unwrap();
236 fn std_dev(&self) -> T
{
240 fn std_dev_pct(&self) -> T
{
241 let hundred
= FromPrimitive
::from_usize(100).unwrap();
242 (self.std_dev() / self.mean()) * hundred
245 fn median_abs_dev(&self) -> T
{
246 let med
= self.median();
247 let abs_devs
: Vec
<T
> = self.iter().map(|&v
| (med
- v
).abs()).collect();
248 // This constant is derived by smarter statistics brains than me, but it is
249 // consistent with how R and other packages treat the MAD.
250 let number
= FromPrimitive
::from_f64(1.4826).unwrap();
251 abs_devs
.median() * number
254 fn median_abs_dev_pct(&self) -> T
{
255 let hundred
= FromPrimitive
::from_usize(100).unwrap();
256 (self.median_abs_dev() / self.median()) * hundred
259 fn percentile(&self, pct
: T
) -> T
{
260 let mut tmp
= self.to_vec();
261 local_sort(&mut tmp
);
262 percentile_of_sorted(&tmp
, pct
)
265 fn quartiles(&self) -> (T
,T
,T
) {
266 let mut tmp
= self.to_vec();
267 local_sort(&mut tmp
);
268 let first
= FromPrimitive
::from_usize(25).unwrap();
269 let a
= percentile_of_sorted(&tmp
, first
);
270 let secound
= FromPrimitive
::from_usize(50).unwrap();
271 let b
= percentile_of_sorted(&tmp
, secound
);
272 let third
= FromPrimitive
::from_usize(75).unwrap();
273 let c
= percentile_of_sorted(&tmp
, third
);
278 let (a
,_
,c
) = self.quartiles();
284 // Helper function: extract a value representing the `pct` percentile of a sorted sample-set, using
285 // linear interpolation. If samples are not sorted, return nonsensical value.
286 fn percentile_of_sorted
<T
: Float
+ FromPrimitive
>(sorted_samples
: &[T
],
288 assert
!(sorted_samples
.len() != 0);
289 if sorted_samples
.len() == 1 {
290 return sorted_samples
[0];
292 let zero
: T
= Float
::zero();
293 assert
!(zero
<= pct
);
294 let hundred
= FromPrimitive
::from_usize(100).unwrap();
295 assert
!(pct
<= hundred
);
297 return sorted_samples
[sorted_samples
.len() - 1];
299 let length
= FromPrimitive
::from_usize(sorted_samples
.len() - 1).unwrap();
300 let rank
= (pct
/ hundred
) * length
;
301 let lrank
= rank
.floor();
302 let d
= rank
- lrank
;
303 let n
= lrank
.to_usize().unwrap();
304 let lo
= sorted_samples
[n
];
305 let hi
= sorted_samples
[n
+1];
310 /// Winsorize a set of samples, replacing values above the `100-pct` percentile and below the `pct`
311 /// percentile with those percentiles themselves. This is a way of minimizing the effect of
312 /// outliers, at the cost of biasing the sample. It differs from trimming in that it does not
313 /// change the number of samples, just changes the values of those that are outliers.
315 /// See: http://en.wikipedia.org/wiki/Winsorising
316 pub fn winsorize
<T
: Float
+ FromPrimitive
>(samples
: &mut [T
], pct
: T
) {
317 let mut tmp
= samples
.to_vec();
318 local_sort(&mut tmp
);
319 let lo
= percentile_of_sorted(&tmp
, pct
);
320 let hundred
: T
= FromPrimitive
::from_usize(100).unwrap();
321 let hi
= percentile_of_sorted(&tmp
, hundred
-pct
);
322 for samp
in samples
{
325 } else if *samp
< lo
{
331 // Test vectors generated from R, using the script src/etc/stat-test-vectors.r.
337 use std
::old_io
::{self, Writer}
;
340 macro_rules
! assert_approx_eq
{
341 ($a
:expr
, $b
:expr
) => ({
343 let (a
, b
) = (&$a
, &$b
);
344 assert
!((*a
- *b
).abs() < 1.0e-6,
345 "{} is not approximately equal to {}", *a
, *b
);
349 fn check(samples
: &[f64], summ
: &Summary
<f64>) {
351 let summ2
= Summary
::new(samples
);
353 let mut w
= old_io
::stdout();
355 (write
!(w
, "\n")).unwrap();
357 assert_eq
!(summ
.sum
, summ2
.sum
);
358 assert_eq
!(summ
.min
, summ2
.min
);
359 assert_eq
!(summ
.max
, summ2
.max
);
360 assert_eq
!(summ
.mean
, summ2
.mean
);
361 assert_eq
!(summ
.median
, summ2
.median
);
363 // We needed a few more digits to get exact equality on these
364 // but they're within float epsilon, which is 1.0e-6.
365 assert_approx_eq
!(summ
.var
, summ2
.var
);
366 assert_approx_eq
!(summ
.std_dev
, summ2
.std_dev
);
367 assert_approx_eq
!(summ
.std_dev_pct
, summ2
.std_dev_pct
);
368 assert_approx_eq
!(summ
.median_abs_dev
, summ2
.median_abs_dev
);
369 assert_approx_eq
!(summ
.median_abs_dev_pct
, summ2
.median_abs_dev_pct
);
371 assert_eq
!(summ
.quartiles
, summ2
.quartiles
);
372 assert_eq
!(summ
.iqr
, summ2
.iqr
);
376 fn test_min_max_nan() {
377 let xs
= &[1.0, 2.0, f64::NAN
, 3.0, 4.0];
378 let summary
= Summary
::new(xs
);
379 assert_eq
!(summary
.min
, 1.0);
380 assert_eq
!(summary
.max
, 4.0);
389 let summ
= &Summary
{
390 sum
: 1882.0000000000,
393 mean
: 941.0000000000,
394 median
: 941.0000000000,
396 std_dev
: 24.0416305603,
397 std_dev_pct
: 2.5549022912,
398 median_abs_dev
: 25.2042000000,
399 median_abs_dev_pct
: 2.6784484591,
400 quartiles
: (932.5000000000,941.0000000000,949.5000000000),
406 fn test_norm10narrow() {
419 let summ
= &Summary
{
420 sum
: 9996.0000000000,
422 max
: 1217.0000000000,
423 mean
: 999.6000000000,
424 median
: 970.5000000000,
425 var
: 16050.7111111111,
426 std_dev
: 126.6914010938,
427 std_dev_pct
: 12.6742097933,
428 median_abs_dev
: 102.2994000000,
429 median_abs_dev_pct
: 10.5408964451,
430 quartiles
: (956.7500000000,970.5000000000,1078.7500000000),
436 fn test_norm10medium() {
449 let summ
= &Summary
{
450 sum
: 8653.0000000000,
452 max
: 1084.0000000000,
453 mean
: 865.3000000000,
454 median
: 911.5000000000,
455 var
: 48628.4555555556,
456 std_dev
: 220.5186059170,
457 std_dev_pct
: 25.4846418487,
458 median_abs_dev
: 195.7032000000,
459 median_abs_dev_pct
: 21.4704552935,
460 quartiles
: (771.0000000000,911.5000000000,1017.2500000000),
466 fn test_norm10wide() {
479 let summ
= &Summary
{
480 sum
: 9349.0000000000,
482 max
: 1591.0000000000,
483 mean
: 934.9000000000,
484 median
: 913.5000000000,
485 var
: 239208.9888888889,
486 std_dev
: 489.0899599142,
487 std_dev_pct
: 52.3146817750,
488 median_abs_dev
: 611.5725000000,
489 median_abs_dev_pct
: 66.9482758621,
490 quartiles
: (567.2500000000,913.5000000000,1331.2500000000),
496 fn test_norm25verynarrow() {
524 let summ
= &Summary
{
525 sum
: 24926.0000000000,
527 max
: 1040.0000000000,
528 mean
: 997.0400000000,
529 median
: 998.0000000000,
531 std_dev
: 19.8294393937,
532 std_dev_pct
: 1.9888308788,
533 median_abs_dev
: 22.2390000000,
534 median_abs_dev_pct
: 2.2283567134,
535 quartiles
: (983.0000000000,998.0000000000,1013.0000000000),
554 let summ
= &Summary
{
559 median
: 11.5000000000,
561 std_dev
: 16.9643416875,
562 std_dev_pct
: 101.5828843560,
563 median_abs_dev
: 13.3434000000,
564 median_abs_dev_pct
: 116.0295652174,
565 quartiles
: (4.2500000000,11.5000000000,22.5000000000),
584 let summ
= &Summary
{
589 median
: 24.5000000000,
591 std_dev
: 19.5848580967,
592 std_dev_pct
: 74.4671410520,
593 median_abs_dev
: 22.9803000000,
594 median_abs_dev_pct
: 93.7971428571,
595 quartiles
: (9.5000000000,24.5000000000,36.5000000000),
614 let summ
= &Summary
{
619 median
: 22.0000000000,
621 std_dev
: 21.4050876611,
622 std_dev_pct
: 88.4507754589,
623 median_abs_dev
: 21.4977000000,
624 median_abs_dev_pct
: 97.7168181818,
625 quartiles
: (7.7500000000,22.0000000000,35.0000000000),
659 let summ
= &Summary
{
664 median
: 19.0000000000,
666 std_dev
: 24.5161851301,
667 std_dev_pct
: 103.3565983562,
668 median_abs_dev
: 19.2738000000,
669 median_abs_dev_pct
: 101.4410526316,
670 quartiles
: (6.0000000000,19.0000000000,31.0000000000),
704 let summ
= &Summary
{
709 median
: 20.0000000000,
711 std_dev
: 4.5650848842,
712 std_dev_pct
: 22.2037202539,
713 median_abs_dev
: 5.9304000000,
714 median_abs_dev_pct
: 29.6520000000,
715 quartiles
: (17.0000000000,20.0000000000,24.0000000000),
721 fn test_pois25lambda30() {
749 let summ
= &Summary
{
754 median
: 32.0000000000,
756 std_dev
: 5.1568724372,
757 std_dev_pct
: 16.3814245145,
758 median_abs_dev
: 5.9304000000,
759 median_abs_dev_pct
: 18.5325000000,
760 quartiles
: (28.0000000000,32.0000000000,34.0000000000),
766 fn test_pois25lambda40() {
794 let summ
= &Summary
{
795 sum
: 1019.0000000000,
799 median
: 42.0000000000,
801 std_dev
: 5.8685603004,
802 std_dev_pct
: 14.3978417577,
803 median_abs_dev
: 5.9304000000,
804 median_abs_dev_pct
: 14.1200000000,
805 quartiles
: (37.0000000000,42.0000000000,45.0000000000),
811 fn test_pois25lambda50() {
839 let summ
= &Summary
{
840 sum
: 1235.0000000000,
844 median
: 50.0000000000,
846 std_dev
: 5.6273143387,
847 std_dev_pct
: 11.3913245723,
848 median_abs_dev
: 4.4478000000,
849 median_abs_dev_pct
: 8.8956000000,
850 quartiles
: (44.0000000000,50.0000000000,52.0000000000),
884 let summ
= &Summary
{
885 sum
: 1242.0000000000,
889 median
: 45.0000000000,
890 var
: 1015.6433333333,
891 std_dev
: 31.8691595957,
892 std_dev_pct
: 64.1488719719,
893 median_abs_dev
: 45.9606000000,
894 median_abs_dev_pct
: 102.1346666667,
895 quartiles
: (29.0000000000,45.0000000000,79.0000000000),
903 assert_eq
!([0.5f64, 3.2321f64, 1.5678f64].sum(), 5.2999);
906 fn test_sum_f64_between_ints_that_sum_to_0() {
907 assert_eq
!([1e30f64
, 1.2f64, -1e30f64
].sum(), 1.2);
917 pub fn sum_three_items(b
: &mut Bencher
) {
919 [1e20f64
, 1.5f64, -1e20f64
].sum();
923 pub fn sum_many_f64(b
: &mut Bencher
) {
924 let nums
= [-1e30f64
, 1e60
, 1e30
, 1.0, -1e60
];
925 let v
= (0..500).map(|i
| nums
[i
%5]).collect
::<Vec
<_
>>();