8000 Merge pull request #24 from ogrisel/fix-nan-1d-regularized-covariance · scikit-learn/scikit-learn@021bf74 · GitHub
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Merge pull request #24 from ogrisel/fix-nan-1d-regularized-covariance
FIX regularized covariance on 1D data
2 parents 8ef0b9a + 9f50699 commit 021bf74

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+14
-9
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2 files changed

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lines changed

‎sklearn/covariance/shrunk_covariance_.py

Lines changed: 2 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -228,8 +228,7 @@ def ledoit_wolf_shrinkage(X, assume_centered=False, block_size=1000):
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# get final beta as the min between beta and delta
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beta = min(beta, delta)
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# finally get shrinkage
231-
shrinkage = beta / delta
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231+
shrinkage = 0 if beta == 0 else beta / delta
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return shrinkage
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@@ -461,7 +460,7 @@ def oas(X, assume_centered=False):
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num = alpha + mu ** 2
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den = (n_samples + 1.) * (alpha - (mu ** 2) / n_features)
463462

464-
shrinkage = min(num / den, 1.)
463+
shrinkage = 1. if den == 0 else min(num / den, 1.)
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shrunk_cov = (1. - shrinkage) * emp_cov
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shrunk_cov.flat[::n_features + 1] += shrinkage * mu
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‎sklearn/covariance/tests/test_covariance.py

Lines changed: 12 additions & 6 deletions
Original file line numberDiff line numberDiff line change
@@ -61,6 +61,8 @@ def test_covariance():
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X_1sample = np.arange(5)
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cov = EmpiricalCovariance()
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assert_warns(UserWarning, cov.fit, X_1sample)
64+
assert_array_almost_equal(cov.covariance_,
65+
np.zeros(shape=(5, 5), dtype=np.float64))
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# test integer type
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X_integer = np.asarray([[0, 1], [1, 0]])
@@ -181,9 +183,11 @@ def test_ledoit_wolf():
181183

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# test with one sample
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# FIXME I don't know what this test does
184-
#X_1sample = np.arange(5)
185-
#lw = LedoitWolf()
186-
#assert_warns(UserWarning, lw.fit, X_1sample)
186+
X_1sample = np.arange(5)
187+
lw = LedoitWolf()
188+
assert_warns(UserWarning, lw.fit, X_1sample)
189+
assert_array_almost_equal(lw.covariance_,
190+
np.zeros(shape=(5, 5), dtype=np.float64))
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# test shrinkage coeff on a simple data set (without saving precision)
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lw = LedoitWolf(store_precision=False)
@@ -253,9 +257,11 @@ def test_oas():
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# test with one sample
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# FIXME I don't know what this test does
256-
#X_1sample = np.arange(5)
257-
#oa = OAS()
258-
#assert_warns(UserWarning, oa.fit, X_1sample)
260+
X_1sample = np.arange(5)
261+
oa = OAS()
262+
assert_warns(UserWarning, oa.fit, X_1sample)
263+
assert_array_almost_equal(oa.covariance_,
264+
np.zeros(shape=(5, 5), dtype=np.float64))
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# test shrinkage coeff on a simple data set (without saving precision)
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oa = OAS(store_precision=False)

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