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statsmodels / base / data.py
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"""
Base tools for handling various kinds of data structures, attaching metadata to
results, and doing data cleaning
"""
from statsmodels.compat.python import iteritems, lmap

from functools import reduce

import numpy as np
from pandas import DataFrame, Series, isnull, MultiIndex

import statsmodels.tools.data as data_util
from statsmodels.tools.decorators import cache_readonly, cache_writable
from statsmodels.tools.sm_exceptions import MissingDataError


def _asarray_2dcolumns(x):
    if np.asarray(x).ndim > 1 and np.asarray(x).squeeze().ndim == 1:
        return


def _asarray_2d_null_rows(x):
    """
    Makes sure input is an array and is 2d. Makes sure output is 2d. True
    indicates a null in the rows of 2d x.
    """
    #Have to have the asarrays because isnull does not account for array_like
    #input
    x = np.asarray(x)
    if x.ndim == 1:
        x = x[:, None]
    return np.any(isnull(x), axis=1)[:, None]


def _nan_rows(*arrs):
    """
    Returns a boolean array which is True where any of the rows in any
    of the _2d_ arrays in arrs are NaNs. Inputs can be any mixture of Series,
    DataFrames or array_like.
    """
    if len(arrs) == 1:
        arrs += ([[False]],)

    def _nan_row_maybe_two_inputs(x, y):
        # check for dtype bc dataframe has dtypes
        x_is_boolean_array = hasattr(x, 'dtype') and x.dtype == bool and x
        return np.logical_or(_asarray_2d_null_rows(x),
                             (x_is_boolean_array | _asarray_2d_null_rows(y)))
    return reduce(_nan_row_maybe_two_inputs, arrs).squeeze()


class ModelData(object):
    """
    Class responsible for handling input data and extracting metadata into the
    appropriate form
    """
    _param_names = None
    _cov_names = None

    def __init__(self, endog, exog=None, missing='none', hasconst=None,
                 **kwargs):
        if data_util._is_recarray(endog) or data_util._is_recarray(exog):
            import warnings
            from statsmodels.tools.sm_exceptions import recarray_warning
            warnings.warn(recarray_warning, FutureWarning)
        if 'design_info' in kwargs:
            self.design_info = kwargs.pop('design_info')
        if 'formula' in kwargs:
            self.formula = kwargs.pop('formula')
        if missing != 'none':
            arrays, nan_idx = self.handle_missing(endog, exog, missing,
                                                  **kwargs)
            self.missing_row_idx = nan_idx
            self.__dict__.update(arrays)  # attach all the data arrays
            self.orig_endog = self.endog
            self.orig_exog = self.exog
            self.endog, self.exog = self._convert_endog_exog(self.endog,
                                                             self.exog)
        else:
            self.__dict__.update(kwargs)  # attach the extra arrays anyway
            self.orig_endog = endog
            self.orig_exog = exog
            self.endog, self.exog = self._convert_endog_exog(endog, exog)

        self.const_idx = None
        self.k_constant = 0
        self._handle_constant(hasconst)
        self._check_integrity()
        self._cache = {}

    def __getstate__(self):
        from copy import copy
        d = copy(self.__dict__)
        if "design_info" in d:
            del d["design_info"]
            d["restore_design_info"] = True
        return d

    def __setstate__(self, d):
        if "restore_design_info" in d:
            # NOTE: there may be a more performant way to do this
            from patsy import dmatrices, PatsyError
            exc = []
            try:
                data = d['frame']
            except KeyError:
                data = d['orig_endog'].join(d['orig_exog'])

            for depth in [2, 3, 1, 0, 4]:  # sequence is a guess where to likely find it
                try:
                    _, design = dmatrices(d['formula'], data, eval_env=depth,
                                          return_type='dataframe')
                    break
                except (NameError, PatsyError) as e:
                    exc.append(e)   # why do I need a reference from outside except block
                    pass
            else:
                raise exc[-1]

            self.design_info = design.design_info
            del d["restore_design_info"]
        self.__dict__.update(d)

    def _handle_constant(self, hasconst):
        if hasconst is False or self.exog is None:
            self.k_constant = 0
            self.const_idx = None
        else:
            # detect where the constant is
            check_implicit = False
            exog_max = np.max(self.exog, axis=0)
            if not np.isfinite(exog_max).all():
                raise MissingDataError('exog contains inf or nans')
            exog_min = np.min(self.exog, axis=0)
            const_idx = np.where(exog_max == exog_min)[0].squeeze()
            self.k_constant = const_idx.size

            if self.k_constant == 1:
                if self.exog[:, const_idx].mean() != 0:
                    self.const_idx = int(const_idx)
                else:
                    # we only have a zero column and no other constant
                    check_implicit = True
            elif self.k_constant > 1:
                # we have more than one constant column
                # look for ones
                values = []  # keep values if we need != 0
                for idx in const_idx:
                    value = self.exog[:, idx].mean()
                    if value == 1:
                        self.k_constant = 1
                        self.const_idx = int(idx)
                        break
                    values.append(value)
                else:
                    # we did not break, no column of ones
                    pos = (np.array(values) != 0)
                    if pos.any():
                        # take the first nonzero column
                        self.k_constant = 1
                        self.const_idx = int(const_idx[pos.argmax()])
                    else:
                        # only zero columns
                        check_implicit = True
            elif self.k_constant == 0:
                check_implicit = True
            else:
                # should not be here
                pass

            if check_implicit and not hasconst:
                # look for implicit constant
                # Compute rank of augmented matrix
                augmented_exog = np.column_stack(
                            (np.ones(self.exog.shape[0]), self.exog))
                rank_augm = np.linalg.matrix_rank(augmented_exog)
                rank_orig = np.linalg.matrix_rank(self.exog)
                self.k_constant = int(rank_orig == rank_augm)
                self.const_idx = None
            elif hasconst:
                # Ensure k_constant is 1 any time hasconst is True
                # even if one is not found
                self.k_constant = 1

    @classmethod
    def _drop_nans(cls, x, nan_mask):
        return x[nan_mask]

    @classmethod
    def _drop_nans_2d(cls, x, nan_mask):
        return x[nan_mask][:, nan_mask]

    @classmethod
    def handle_missing(cls, endog, exog, missing, **kwargs):
        """
        This returns a dictionary with keys endog, exog and the keys of
        kwargs. It preserves Nones.
        """
        none_array_names = []

        # patsy's already dropped NaNs in y/X
        missing_idx = kwargs.pop('missing_idx', None)

        if missing_idx is not None:
            # y, X already handled by patsy. add back in later.
            combined = ()
            combined_names = []
            if exog is None:
                none_array_names += ['exog']
        elif exog is not None:
            combined = (endog, exog)
            combined_names = ['endog', 'exog']
        else:
            combined = (endog,)
            combined_names = ['endog']
            none_array_names += ['exog']

        # deal with other arrays
        combined_2d = ()
        combined_2d_names = []
        if len(kwargs):
            for key, value_array in iteritems(kwargs):
                if value_array is None or value_array.ndim == 0:
                    none_array_names += [key]
                    continue
                # grab 1d arrays
                if value_array.ndim == 1:
                    combined += (np.asarray(value_array),)
                    combined_names += [key]
                elif value_array.squeeze().ndim == 1:
                    combined += (np.asarray(value_array),)
                    combined_names += [key]

                # grab 2d arrays that are _assumed_ to be symmetric
                elif value_array.ndim == 2:
                    combined_2d += (np.asarray(value_array),)
                    combined_2d_names += [key]
                else:
                    raise ValueError("Arrays with more than 2 dimensions "
                                     "are not yet handled")

        if missing_idx is not None:
            nan_mask = missing_idx
            updated_row_mask = None
            if combined:  # there were extra arrays not handled by patsy
                combined_nans = _nan_rows(*combined)
                if combined_nans.shape[0] != nan_mask.shape[0]:
                    raise ValueError("Shape mismatch between endog/exog "
                                     "and extra arrays given to model.")
                # for going back and updated endog/exog
                updated_row_mask = combined_nans[~nan_mask]
                nan_mask |= combined_nans  # for updating extra arrays only
            if combined_2d:
                combined_2d_nans = _nan_rows(combined_2d)
                if combined_2d_nans.shape[0] != nan_mask.shape[0]:
                    raise ValueError("Shape mismatch between endog/exog "
                                     "and extra 2d arrays given to model.")
                if updated_row_mask is not None:
                    updated_row_mask |= combined_2d_nans[~nan_mask]
                else:
                    updated_row_mask = combined_2d_nans[~nan_mask]
                nan_mask |= combined_2d_nans

        else:
            nan_mask = _nan_rows(*combined)
            if combined_2d:
                nan_mask = _nan_rows(*(nan_mask[:, None],) + combined_2d)

        if not np.any(nan_mask):  # no missing do not do anything
            combined = dict(zip(combined_names, combined))
            if combined_2d:
                combined.update(dict(zip(combined_2d_names, combined_2d)))
            if none_array_names:
                combined.update(dict(zip(none_array_names,
                                         [None] * len(none_array_names))))

            if missing_idx is not None:
                combined.update({'endog': endog})
                if exog is not None:
                    combined.update({'exog': exog})

            return combined, []

        elif missing == 'raise':
            raise MissingDataError("NaNs were encountered in the data")

        elif missing == 'drop':
            nan_mask = ~nan_mask
            drop_nans = lambda x: cls._drop_nans(x, nan_mask)
            drop_nans_2d = lambda x: cls._drop_nans_2d(x, nan_mask)
            combined = dict(zip(combined_names, lmap(drop_nans, combined)))

            if missing_idx is not None:
                if updated_row_mask is not None:
                    updated_row_mask = ~updated_row_mask
                    # update endog/exog with this new information
                    endog = cls._drop_nans(endog, updated_row_mask)
                    if exog is not None:
                        exog = cls._drop_nans(exog, updated_row_mask)

                combined.update({'endog': endog})
                if exog is not None:
                    combined.update({'exog': exog})

            if combined_2d:
                combined.update(dict(zip(combined_2d_names,
                                         lmap(drop_nans_2d, combined_2d))))
            if none_array_names:
                combined.update(dict(zip(none_array_names,
                                         [None] * len(none_array_names))))

            return combined, np.where(~nan_mask)[0].tolist()
        else:
            raise ValueError("missing option %s not understood" % missing)

    def _convert_endog_exog(self, endog, exog):

        # for consistent outputs if endog is (n,1)
        yarr = self._get_yarr(endog)
        xarr = None
        if exog is not None:
            xarr = self._get_xarr(exog)
            if xarr.ndim == 1:
                xarr = xarr[:, None]
            if xarr.ndim != 2:
                raise ValueError("exog is not 1d or 2d")

        return yarr, xarr

    @cache_writable()
    def ynames(self):
        endog = self.orig_endog
        ynames = self._get_names(endog)
        if not ynames:
            ynames = _make_endog_names(self.endog)

        if len(ynames) == 1:
            return ynames[0]
        else:
            return list(ynames)

    @cache_writable()
    def xnames(self):
        exog = self.orig_exog
        if exog is not None:
            xnames = self._get_names(exog)
            if not xnames:
                xnames = _make_exog_names(self.exog)
            return list(xnames)
        return None

    @property
    def param_names(self):
        # for handling names of 'extra' parameters in summary, etc.
        return self._param_names or self.xnames

    @param_names.setter
    def param_names(self, values):
        self._param_names = values

    @property
    def cov_names(self):
        """
        Labels for covariance matrices

        In multidimensional models, each dimension of a covariance matrix
        differs from the number of param_names.

        If not set, returns param_names
        """
        # for handling names of covariance names in multidimensional models
        if self._cov_names is not None:
            return self._cov_names
        return self.param_names

    @cov_names.setter
    def cov_names(self, value):
        # for handling names of covariance names in multidimensional models
        self._cov_names = value

    @cache_readonly
    def row_labels(self):
        exog = self.orig_exog
        if exog is not None:
            row_labels = self._get_row_labels(exog)
        else:
            endog = self.orig_endog
            row_labels = self._get_row_labels(endog)
        return row_labels

    def _get_row_labels(self, arr):
        return None

    def _get_names(self, arr):
        if isinstance(arr, DataFrame):
            if isinstance(arr.columns, MultiIndex):
                # Flatten MultiIndexes into "simple" column names
                return ['_'.join((level for level in c if level))
                        for c in arr.columns]
            else:
                return list(arr.columns)
        elif isinstance(arr, Series):
            if arr.name:
                return [arr.name]
            else:
                return
        else:
            try:
                return arr.dtype.names
            except AttributeError:
                pass

        return None

    def _get_yarr(self, endog):
        if data_util._is_structured_ndarray(endog):
            endog = data_util.struct_to_ndarray(endog)
        endog = np.asarray(endog)
        if len(endog) == 1:  # never squeeze to a scalar
            if endog.ndim == 1:
                return endog
            elif endog.ndim > 1:
                return np.asarray([endog.squeeze()])

        return endog.squeeze()

    def _get_xarr(self, exog):
        if data_util._is_structured_ndarray(exog):
            exog = data_util.struct_to_ndarray(exog)
        return np.asarray(exog)

    def _check_integrity(self):
        if self.exog is not None:
            if len(self.exog) != len(self.endog):
                raise ValueError("endog and exog matrices are different sizes")

    def wrap_output(self, obj, how='columns', names=None):
        if how == 'columns':
            return self.attach_columns(obj)
        elif how == 'rows':
            return self.attach_rows(obj)
        elif how == 'cov':
            return self.attach_cov(obj)
        elif how == 'dates':
            return self.attach_dates(obj)
        elif how == 'columns_eq':
            return self.attach_columns_eq(obj)
        elif how == 'cov_eq':
            return self.attach_cov_eq(obj)
        elif how == 'generic_columns':
            return self.attach_generic_columns(obj, names)
        elif how == 'generic_columns_2d':
            return self.attach_generic_columns_2d(obj, names)
        elif how == 'ynames':
            return self.attach_ynames(obj)
        elif how == 'multivariate_confint':
            return self.attach_mv_confint(obj)
        else:
            return obj

    def attach_columns(self, result):
        return result

    def attach_columns_eq(self, result):
        return result

    def attach_cov(self, result):
        return result

    def attach_cov_eq(self, result):
        return result

    def attach_rows(self, result):
        return result

    def attach_dates(self, result):
        return result

    def attach_mv_confint(self, result):
        return result

    def attach_generic_columns(self, result, *args, **kwargs):
        return result

    def attach_generic_columns_2d(self, result, *args, **kwargs):
        return result

    def attach_ynames(self, result):
        return result


class PatsyData(ModelData):
    def _get_names(self, arr):
        return arr.design_info.column_names


class PandasData(ModelData):
    """
    Data handling class which knows how to reattach pandas metadata to model
    results
    """

    def _convert_endog_exog(self, endog, exog=None):
        #TODO: remove this when we handle dtype systematically
        endog = np.asarray(endog)
        exog = exog if exog is None else np.asarray(exog)
        if endog.dtype == object or exog is not None and exog.dtype == object:
            raise ValueError("Pandas data cast to numpy dtype of object. "
                             "Check input data with np.asarray(data).")
        return super(PandasData, self)._convert_endog_exog(endog, exog)

    @classmethod
    def _drop_nans(cls, x, nan_mask):
        if isinstance(x, (Series, DataFrame)):
            return x.loc[nan_mask]
        else:  # extra arguments could be plain ndarrays
            return super(PandasData, cls)._drop_nans(x, nan_mask)

    @classmethod
    def _drop_nans_2d(cls, x, nan_mask):
        if isinstance(x, (Series, DataFrame)):
            return x.loc[nan_mask].loc[:, nan_mask]
        else:  # extra arguments could be plain ndarrays
            return super(PandasData, cls)._drop_nans_2d(x, nan_mask)

    def _check_integrity(self):
        endog, exog = self.orig_endog, self.orig_exog
        # exog can be None and we could be upcasting one or the other
        if (exog is not None and
                (hasattr(endog, 'index') and hasattr(exog, 'index')) and
                not self.orig_endog.index.equals(self.orig_exog.index)):
            raise ValueError("The indices for endog and exog are not aligned")
        super(PandasData, self)._check_integrity()

    def _get_row_labels(self, arr):
        try:
            return arr.index
        except AttributeError:
            # if we've gotten here it's because endog is pandas and
            # exog is not, so just return the row labels from endog
            return self.orig_endog.index

    def attach_generic_columns(self, result, names):
        # get the attribute to use
        column_names = getattr(self, names, None)
        return Series(result, index=column_names)

    def attach_generic_columns_2d(self, result, rownames, colnames=None):
        colnames = colnames or rownames
        rownames = getattr(self, rownames, None)
        colnames = getattr(self, colnames, None)
        return DataFrame(result, index=rownames, columns=colnames)

    def attach_columns(self, result):
        # this can either be a 1d array or a scalar
        # do not squeeze because it might be a 2d row array
        # if it needs a squeeze, the bug is elsewhere
        if result.ndim <= 1:
            return Series(result, index=self.param_names)
        else:  # for e.g., confidence intervals
            return DataFrame(result, index=self.param_names)

    def attach_columns_eq(self, result):
        return DataFrame(result, index=self.xnames, columns=self.ynames)

    def attach_cov(self, result):
        return DataFrame(result, index=self.cov_names, columns=self.cov_names)

    def attach_cov_eq(self, result):
        return DataFrame(result, index=self.ynames, columns=self.ynames)

    def attach_rows(self, result):
        # assumes if len(row_labels) > len(result) it's bc it was truncated
        # at the front, for AR lags, for example
        squeezed = result.squeeze()
        k_endog = np.array(self.ynames, ndmin=1).shape[0]
        if k_endog > 1 and squeezed.shape == (k_endog,):
            squeezed = squeezed[None, :]
        # May be zero-dim, for example in the case of forecast one step in tsa
        if squeezed.ndim < 2:
            return Series(squeezed, index=self.row_labels[-len(result):])
        else:
            return DataFrame(result, index=self.row_labels[-len(result):],
                             columns=self.ynames)

    def attach_dates(self, result):
        squeezed = result.squeeze()
        k_endog = np.array(self.ynames, ndmin=1).shape[0]
        if k_endog > 1 and squeezed.shape == (k_endog,):
            squeezed = np.asarray(squeezed)[None, :]
        # May be zero-dim, for example in the case of forecast one step in tsa
        if squeezed.ndim < 2:
            return Series(squeezed, index=self.predict_dates)
        else:
            return DataFrame(result, index=self.predict_dates,
                             columns=self.ynames)

    def attach_mv_confint(self, result):
        return DataFrame(result.reshape((-1, 2)),
                         index=self.cov_names,
                         columns=['lower', 'upper'])

    def attach_ynames(self, result):
        squeezed = result.squeeze()
        # May be zero-dim, for example in the case of forecast one step in tsa
        if squeezed.ndim < 2:
            return Series(squeezed, name=self.ynames)
        else:
            return DataFrame(result, columns=self.ynames)


def _make_endog_names(endog):
    if endog.ndim == 1 or endog.shape[1] == 1:
        ynames = ['y']
    else:  # for VAR
        ynames = ['y%d' % (i+1) for i in range(endog.shape[1])]

    return ynames


def _make_exog_names(exog):
    exog_var = exog.var(0)
    if (exog_var == 0).any():
        # assumes one constant in first or last position
        # avoid exception if more than one constant
        const_idx = exog_var.argmin()
        exog_names = ['x%d' % i for i in range(1, exog.shape[1])]
        exog_names.insert(const_idx, 'const')
    else:
        exog_names = ['x%d' % i for i in range(1, exog.shape[1]+1)]

    return exog_names


def handle_missing(endog, exog=None, missing='none', **kwargs):
    klass = handle_data_class_factory(endog, exog)
    if missing == 'none':
        ret_dict = dict(endog=endog, exog=exog)
        ret_dict.update(kwargs)
        return ret_dict, None
    return klass.handle_missing(endog, exog, missing=missing, **kwargs)


def handle_data_class_factory(endog, exog):
    """
    Given inputs
    """
    if data_util._is_using_ndarray_type(endog, exog):
        klass = ModelData
    elif data_util._is_using_pandas(endog, exog):
        klass = PandasData
    elif data_util._is_using_patsy(endog, exog):
        klass = PatsyData
    # keep this check last
    elif data_util._is_using_ndarray(endog, exog):
        klass = ModelData
    else:
        raise ValueError('unrecognized data structures: %s / %s' %
                         (type(endog), type(exog)))
    return klass


def handle_data(endog, exog, missing='none', hasconst=None, **kwargs):
    # deal with lists and tuples up-front
    if isinstance(endog, (list, tuple)):
        endog = np.asarray(endog)
    if isinstance(exog, (list, tuple)):
        exog = np.asarray(exog)

    klass = handle_data_class_factory(endog, exog)
    return klass(endog, exog=exog, missing=missing, hasconst=hasconst,
                 **kwargs)