import warnings import numpy as np from scipy._lib._util import check_random_state, MapWrapper, rng_integers, _contains_nan from scipy._lib._bunch import _make_tuple_bunch from scipy.spatial.distance import cdist from scipy.ndimage import _measurements from ._stats import _local_correlations # type: ignore[import-not-found] from . import distributions __all__ = ['multiscale_graphcorr'] # FROM MGCPY: https://github.com/neurodata/mgcpy class _ParallelP: """Helper function to calculate parallel p-value.""" def __init__(self, x, y, random_states): self.x = x self.y = y self.random_states = random_states def __call__(self, index): order = self.random_states[index].permutation(self.y.shape[0]) permy = self.y[order][:, order] # calculate permuted stats, store in null distribution perm_stat = _mgc_stat(self.x, permy)[0] return perm_stat def _perm_test(x, y, stat, reps=1000, workers=-1, random_state=None): r"""Helper function that calculates the p-value. See below for uses. Parameters ---------- x, y : ndarray `x` and `y` have shapes `(n, p)` and `(n, q)`. stat : float The sample test statistic. reps : int, optional The number of replications used to estimate the null when using the permutation test. The default is 1000 replications. workers : int or map-like callable, optional If `workers` is an int the population is subdivided into `workers` sections and evaluated in parallel (uses `multiprocessing.Pool `). Supply `-1` to use all cores available to the Process. Alternatively supply a map-like callable, such as `multiprocessing.Pool.map` for evaluating the population in parallel. This evaluation is carried out as `workers(func, iterable)`. Requires that `func` be pickleable. random_state : {None, int, `numpy.random.Generator`, `numpy.random.RandomState`}, optional If `seed` is None (or `np.random`), the `numpy.random.RandomState` singleton is used. If `seed` is an int, a new ``RandomState`` instance is used, seeded with `seed`. If `seed` is already a ``Generator`` or ``RandomState`` instance then that instance is used. Returns ------- pvalue : float The sample test p-value. null_dist : list The approximated null distribution. """ # generate seeds for each rep (change to new parallel random number # capabilities in numpy >= 1.17+) random_state = check_random_state(random_state) random_states = [np.random.RandomState(rng_integers(random_state, 1 << 32, size=4, dtype=np.uint32)) for _ in range(reps)] # parallelizes with specified workers over number of reps and set seeds parallelp = _ParallelP(x=x, y=y, random_states=random_states) with MapWrapper(workers) as mapwrapper: null_dist = np.array(list(mapwrapper(parallelp, range(reps)))) # calculate p-value and significant permutation map through list pvalue = (1 + (null_dist >= stat).sum()) / (1 + reps) return pvalue, null_dist def _euclidean_dist(x): return cdist(x, x) MGCResult = _make_tuple_bunch('MGCResult', ['statistic', 'pvalue', 'mgc_dict'], []) def multiscale_graphcorr(x, y, compute_distance=_euclidean_dist, reps=1000, workers=1, is_twosamp=False, random_state=None): r"""Computes the Multiscale Graph Correlation (MGC) test statistic. Specifically, for each point, MGC finds the :math:`k`-nearest neighbors for one property (e.g. cloud density), and the :math:`l`-nearest neighbors for the other property (e.g. grass wetness) [1]_. This pair :math:`(k, l)` is called the "scale". A priori, however, it is not know which scales will be most informative. So, MGC computes all distance pairs, and then efficiently computes the distance correlations for all scales. The local correlations illustrate which scales are relatively informative about the relationship. The key, therefore, to successfully discover and decipher relationships between disparate data modalities is to adaptively determine which scales are the most informative, and the geometric implication for the most informative scales. Doing so not only provides an estimate of whether the modalities are related, but also provides insight into how the determination was made. This is especially important in high-dimensional data, where simple visualizations do not reveal relationships to the unaided human eye. Characterizations of this implementation in particular have been derived from and benchmarked within in [2]_. Parameters ---------- x, y : ndarray If ``x`` and ``y`` have shapes ``(n, p)`` and ``(n, q)`` where `n` is the number of samples and `p` and `q` are the number of dimensions, then the MGC independence test will be run. Alternatively, ``x`` and ``y`` can have shapes ``(n, n)`` if they are distance or similarity matrices, and ``compute_distance`` must be sent to ``None``. If ``x`` and ``y`` have shapes ``(n, p)`` and ``(m, p)``, an unpaired two-sample MGC test will be run. compute_distance : callable, optional A function that computes the distance or similarity among the samples within each data matrix. Set to ``None`` if ``x`` and ``y`` are already distance matrices. The default uses the euclidean norm metric. If you are calling a custom function, either create the distance matrix before-hand or create a function of the form ``compute_distance(x)`` where `x` is the data matrix for which pairwise distances are calculated. reps : int, optional The number of replications used to estimate the null when using the permutation test. The default is ``1000``. workers : int or map-like callable, optional If ``workers`` is an int the population is subdivided into ``workers`` sections and evaluated in parallel (uses ``multiprocessing.Pool ``). Supply ``-1`` to use all cores available to the Process. Alternatively supply a map-like callable, such as ``multiprocessing.Pool.map`` for evaluating the p-value in parallel. This evaluation is carried out as ``workers(func, iterable)``. Requires that `func` be pickleable. The default is ``1``. is_twosamp : bool, optional If `True`, a two sample test will be run. If ``x`` and ``y`` have shapes ``(n, p)`` and ``(m, p)``, this optional will be overridden and set to ``True``. Set to ``True`` if ``x`` and ``y`` both have shapes ``(n, p)`` and a two sample test is desired. The default is ``False``. Note that this will not run if inputs are distance matrices. random_state : {None, int, `numpy.random.Generator`, `numpy.random.RandomState`}, optional If `seed` is None (or `np.random`), the `numpy.random.RandomState` singleton is used. If `seed` is an int, a new ``RandomState`` instance is used, seeded with `seed`. If `seed` is already a ``Generator`` or ``RandomState`` instance then that instance is used. Returns ------- res : MGCResult An object containing attributes: statistic : float The sample MGC test statistic within `[-1, 1]`. pvalue : float The p-value obtained via permutation. mgc_dict : dict Contains additional useful results: - mgc_map : ndarray A 2D representation of the latent geometry of the relationship. - opt_scale : (int, int) The estimated optimal scale as a `(x, y)` pair. - null_dist : list The null distribution derived from the permuted matrices. See Also -------- pearsonr : Pearson correlation coefficient and p-value for testing non-correlation. kendalltau : Calculates Kendall's tau. spearmanr : Calculates a Spearman rank-order correlation coefficient. Notes ----- A description of the process of MGC and applications on neuroscience data can be found in [1]_. It is performed using the following steps: #. Two distance matrices :math:`D^X` and :math:`D^Y` are computed and modified to be mean zero columnwise. This results in two :math:`n \times n` distance matrices :math:`A` and :math:`B` (the centering and unbiased modification) [3]_. #. For all values :math:`k` and :math:`l` from :math:`1, ..., n`, * The :math:`k`-nearest neighbor and :math:`l`-nearest neighbor graphs are calculated for each property. Here, :math:`G_k (i, j)` indicates the :math:`k`-smallest values of the :math:`i`-th row of :math:`A` and :math:`H_l (i, j)` indicates the :math:`l` smallested values of the :math:`i`-th row of :math:`B` * Let :math:`\circ` denotes the entry-wise matrix product, then local correlations are summed and normalized using the following statistic: .. math:: c^{kl} = \frac{\sum_{ij} A G_k B H_l} {\sqrt{\sum_{ij} A^2 G_k \times \sum_{ij} B^2 H_l}} #. The MGC test statistic is the smoothed optimal local correlation of :math:`\{ c^{kl} \}`. Denote the smoothing operation as :math:`R(\cdot)` (which essentially set all isolated large correlations) as 0 and connected large correlations the same as before, see [3]_.) MGC is, .. math:: MGC_n (x, y) = \max_{(k, l)} R \left(c^{kl} \left( x_n, y_n \right) \right) The test statistic returns a value between :math:`(-1, 1)` since it is normalized. The p-value returned is calculated using a permutation test. This process is completed by first randomly permuting :math:`y` to estimate the null distribution and then calculating the probability of observing a test statistic, under the null, at least as extreme as the observed test statistic. MGC requires at least 5 samples to run with reliable results. It can also handle high-dimensional data sets. In addition, by manipulating the input data matrices, the two-sample testing problem can be reduced to the independence testing problem [4]_. Given sample data :math:`U` and :math:`V` of sizes :math:`p \times n` :math:`p \times m`, data matrix :math:`X` and :math:`Y` can be created as follows: .. math:: X = [U | V] \in \mathcal{R}^{p \times (n + m)} Y = [0_{1 \times n} | 1_{1 \times m}] \in \mathcal{R}^{(n + m)} Then, the MGC statistic can be calculated as normal. This methodology can be extended to similar tests such as distance correlation [4]_. .. versionadded:: 1.4.0 References ---------- .. [1] Vogelstein, J. T., Bridgeford, E. W., Wang, Q., Priebe, C. E., Maggioni, M., & Shen, C. (2019). Discovering and deciphering relationships across disparate data modalities. ELife. .. [2] Panda, S., Palaniappan, S., Xiong, J., Swaminathan, A., Ramachandran, S., Bridgeford, E. W., ... Vogelstein, J. T. (2019). mgcpy: A Comprehensive High Dimensional Independence Testing Python Package. :arXiv:`1907.02088` .. [3] Shen, C., Priebe, C.E., & Vogelstein, J. T. (2019). From distance correlation to multiscale graph correlation. Journal of the American Statistical Association. .. [4] Shen, C. & Vogelstein, J. T. (2018). The Exact Equivalence of Distance and Kernel Methods for Hypothesis Testing. :arXiv:`1806.05514` Examples -------- >>> import numpy as np >>> from scipy.stats import multiscale_graphcorr >>> x = np.arange(100) >>> y = x >>> res = multiscale_graphcorr(x, y) >>> res.statistic, res.pvalue (1.0, 0.001) To run an unpaired two-sample test, >>> x = np.arange(100) >>> y = np.arange(79) >>> res = multiscale_graphcorr(x, y) >>> res.statistic, res.pvalue # doctest: +SKIP (0.033258146255703246, 0.023) or, if shape of the inputs are the same, >>> x = np.arange(100) >>> y = x >>> res = multiscale_graphcorr(x, y, is_twosamp=True) >>> res.statistic, res.pvalue # doctest: +SKIP (-0.008021809890200488, 1.0) """ if not isinstance(x, np.ndarray) or not isinstance(y, np.ndarray): raise ValueError("x and y must be ndarrays") # convert arrays of type (n,) to (n, 1) if x.ndim == 1: x = x[:, np.newaxis] elif x.ndim != 2: raise ValueError(f"Expected a 2-D array `x`, found shape {x.shape}") if y.ndim == 1: y = y[:, np.newaxis] elif y.ndim != 2: raise ValueError(f"Expected a 2-D array `y`, found shape {y.shape}") nx, px = x.shape ny, py = y.shape # check for NaNs _contains_nan(x, nan_policy='raise') _contains_nan(y, nan_policy='raise') # check for positive or negative infinity and raise error if np.sum(np.isinf(x)) > 0 or np.sum(np.isinf(y)) > 0: raise ValueError("Inputs contain infinities") if nx != ny: if px == py: # reshape x and y for two sample testing is_twosamp = True else: raise ValueError("Shape mismatch, x and y must have shape [n, p] " "and [n, q] or have shape [n, p] and [m, p].") if nx < 5 or ny < 5: raise ValueError("MGC requires at least 5 samples to give reasonable " "results.") # convert x and y to float x = x.astype(np.float64) y = y.astype(np.float64) # check if compute_distance_matrix if a callable() if not callable(compute_distance) and compute_distance is not None: raise ValueError("Compute_distance must be a function.") # check if number of reps exists, integer, or > 0 (if under 1000 raises # warning) if not isinstance(reps, int) or reps < 0: raise ValueError("Number of reps must be an integer greater than 0.") elif reps < 1000: msg = ("The number of replications is low (under 1000), and p-value " "calculations may be unreliable. Use the p-value result, with " "caution!") warnings.warn(msg, RuntimeWarning, stacklevel=2) if is_twosamp: if compute_distance is None: raise ValueError("Cannot run if inputs are distance matrices") x, y = _two_sample_transform(x, y) if compute_distance is not None: # compute distance matrices for x and y x = compute_distance(x) y = compute_distance(y) # calculate MGC stat stat, stat_dict = _mgc_stat(x, y) stat_mgc_map = stat_dict["stat_mgc_map"] opt_scale = stat_dict["opt_scale"] # calculate permutation MGC p-value pvalue, null_dist = _perm_test(x, y, stat, reps=reps, workers=workers, random_state=random_state) # save all stats (other than stat/p-value) in dictionary mgc_dict = {"mgc_map": stat_mgc_map, "opt_scale": opt_scale, "null_dist": null_dist} # create result object with alias for backward compatibility res = MGCResult(stat, pvalue, mgc_dict) res.stat = stat return res def _mgc_stat(distx, disty): r"""Helper function that calculates the MGC stat. See above for use. Parameters ---------- distx, disty : ndarray `distx` and `disty` have shapes `(n, p)` and `(n, q)` or `(n, n)` and `(n, n)` if distance matrices. Returns ------- stat : float The sample MGC test statistic within `[-1, 1]`. stat_dict : dict Contains additional useful additional returns containing the following keys: - stat_mgc_map : ndarray MGC-map of the statistics. - opt_scale : (float, float) The estimated optimal scale as a `(x, y)` pair. """ # calculate MGC map and optimal scale stat_mgc_map = _local_correlations(distx, disty, global_corr='mgc') n, m = stat_mgc_map.shape if m == 1 or n == 1: # the global scale at is the statistic calculated at maximial nearest # neighbors. There is not enough local scale to search over, so # default to global scale stat = stat_mgc_map[m - 1][n - 1] opt_scale = m * n else: samp_size = len(distx) - 1 # threshold to find connected region of significant local correlations sig_connect = _threshold_mgc_map(stat_mgc_map, samp_size) # maximum within the significant region stat, opt_scale = _smooth_mgc_map(sig_connect, stat_mgc_map) stat_dict = {"stat_mgc_map": stat_mgc_map, "opt_scale": opt_scale} return stat, stat_dict def _threshold_mgc_map(stat_mgc_map, samp_size): r""" Finds a connected region of significance in the MGC-map by thresholding. Parameters ---------- stat_mgc_map : ndarray All local correlations within `[-1,1]`. samp_size : int The sample size of original data. Returns ------- sig_connect : ndarray A binary matrix with 1's indicating the significant region. """ m, n = stat_mgc_map.shape # 0.02 is simply an empirical threshold, this can be set to 0.01 or 0.05 # with varying levels of performance. Threshold is based on a beta # approximation. per_sig = 1 - (0.02 / samp_size) # Percentile to consider as significant threshold = samp_size * (samp_size - 3)/4 - 1/2 # Beta approximation threshold = distributions.beta.ppf(per_sig, threshold, threshold) * 2 - 1 # the global scale at is the statistic calculated at maximial nearest # neighbors. Threshold is the maximum on the global and local scales threshold = max(threshold, stat_mgc_map[m - 1][n - 1]) # find the largest connected component of significant correlations sig_connect = stat_mgc_map > threshold if np.sum(sig_connect) > 0: sig_connect, _ = _measurements.label(sig_connect) _, label_counts = np.unique(sig_connect, return_counts=True) # skip the first element in label_counts, as it is count(zeros) max_label = np.argmax(label_counts[1:]) + 1 sig_connect = sig_connect == max_label else: sig_connect = np.array([[False]]) return sig_connect def _smooth_mgc_map(sig_connect, stat_mgc_map): """Finds the smoothed maximal within the significant region R. If area of R is too small it returns the last local correlation. Otherwise, returns the maximum within significant_connected_region. Parameters ---------- sig_connect : ndarray A binary matrix with 1's indicating the significant region. stat_mgc_map : ndarray All local correlations within `[-1, 1]`. Returns ------- stat : float The sample MGC statistic within `[-1, 1]`. opt_scale: (float, float) The estimated optimal scale as an `(x, y)` pair. """ m, n = stat_mgc_map.shape # the global scale at is the statistic calculated at maximial nearest # neighbors. By default, statistic and optimal scale are global. stat = stat_mgc_map[m - 1][n - 1] opt_scale = [m, n] if np.linalg.norm(sig_connect) != 0: # proceed only when the connected region's area is sufficiently large # 0.02 is simply an empirical threshold, this can be set to 0.01 or 0.05 # with varying levels of performance if np.sum(sig_connect) >= np.ceil(0.02 * max(m, n)) * min(m, n): max_corr = max(stat_mgc_map[sig_connect]) # find all scales within significant_connected_region that maximize # the local correlation max_corr_index = np.where((stat_mgc_map >= max_corr) & sig_connect) if max_corr >= stat: stat = max_corr k, l = max_corr_index one_d_indices = k * n + l # 2D to 1D indexing k = np.max(one_d_indices) // n l = np.max(one_d_indices) % n opt_scale = [k+1, l+1] # adding 1s to match R indexing return stat, opt_scale def _two_sample_transform(u, v): """Helper function that concatenates x and y for two sample MGC stat. See above for use. Parameters ---------- u, v : ndarray `u` and `v` have shapes `(n, p)` and `(m, p)`. Returns ------- x : ndarray Concatenate `u` and `v` along the `axis = 0`. `x` thus has shape `(2n, p)`. y : ndarray Label matrix for `x` where 0 refers to samples that comes from `u` and 1 refers to samples that come from `v`. `y` thus has shape `(2n, 1)`. """ nx = u.shape[0] ny = v.shape[0] x = np.concatenate([u, v], axis=0) y = np.concatenate([np.zeros(nx), np.ones(ny)], axis=0).reshape(-1, 1) return x, y