.. DO NOT EDIT. .. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY. .. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE: .. "auto_examples/covariance/plot_robust_vs_empirical_covariance.py" .. LINE NUMBERS ARE GIVEN BELOW. .. only:: html .. note:: :class: sphx-glr-download-link-note :ref:`Go to the end ` to download the full example code or to run this example in your browser via JupyterLite or Binder .. rst-class:: sphx-glr-example-title .. _sphx_glr_auto_examples_covariance_plot_robust_vs_empirical_covariance.py: ======================================= Robust vs Empirical covariance estimate ======================================= The usual covariance maximum likelihood estimate is very sensitive to the presence of outliers in the data set. In such a case, it would be better to use a robust estimator of covariance to guarantee that the estimation is resistant to "erroneous" observations in the data set. [1]_, [2]_ Minimum Covariance Determinant Estimator ---------------------------------------- The Minimum Covariance Determinant estimator is a robust, high-breakdown point (i.e. it can be used to estimate the covariance matrix of highly contaminated datasets, up to :math:`\frac{n_\text{samples} - n_\text{features}-1}{2}` outliers) estimator of covariance. The idea is to find :math:`\frac{n_\text{samples} + n_\text{features}+1}{2}` observations whose empirical covariance has the smallest determinant, yielding a "pure" subset of observations from which to compute standards estimates of location and covariance. After a correction step aiming at compensating the fact that the estimates were learned from only a portion of the initial data, we end up with robust estimates of the data set location and covariance. The Minimum Covariance Determinant estimator (MCD) has been introduced by P.J.Rousseuw in [3]_. Evaluation ---------- In this example, we compare the estimation errors that are made when using various types of location and covariance estimates on contaminated Gaussian distributed data sets: - The mean and the empirical covariance of the full dataset, which break down as soon as there are outliers in the data set - The robust MCD, that has a low error provided :math:`n_\text{samples} > 5n_\text{features}` - The mean and the empirical covariance of the observations that are known to be good ones. This can be considered as a "perfect" MCD estimation, so one can trust our implementation by comparing to this case. References ---------- .. [1] Johanna Hardin, David M Rocke. The distribution of robust distances. Journal of Computational and Graphical Statistics. December 1, 2005, 14(4): 928-946. .. [2] Zoubir A., Koivunen V., Chakhchoukh Y. and Muma M. (2012). Robust estimation in signal processing: A tutorial-style treatment of fundamental concepts. IEEE Signal Processing Magazine 29(4), 61-80. .. [3] P. J. Rousseeuw. Least median of squares regression. Journal of American Statistical Ass., 79:871, 1984. .. GENERATED FROM PYTHON SOURCE LINES 55-186 .. image-sg:: /auto_examples/covariance/images/sphx_glr_plot_robust_vs_empirical_covariance_001.png :alt: Influence of outliers on the location estimation, Influence of outliers on the covariance estimation :srcset: /auto_examples/covariance/images/sphx_glr_plot_robust_vs_empirical_covariance_001.png :class: sphx-glr-single-img .. code-block:: Python import matplotlib.font_manager import matplotlib.pyplot as plt import numpy as np from sklearn.covariance import EmpiricalCovariance, MinCovDet # example settings n_samples = 80 n_features = 5 repeat = 10 range_n_outliers = np.concatenate( ( np.linspace(0, n_samples / 8, 5), np.linspace(n_samples / 8, n_samples / 2, 5)[1:-1], ) ).astype(int) # definition of arrays to store results err_loc_mcd = np.zeros((range_n_outliers.size, repeat)) err_cov_mcd = np.zeros((range_n_outliers.size, repeat)) err_loc_emp_full = np.zeros((range_n_outliers.size, repeat)) err_cov_emp_full = np.zeros((range_n_outliers.size, repeat)) err_loc_emp_pure = np.zeros((range_n_outliers.size, repeat)) err_cov_emp_pure = np.zeros((range_n_outliers.size, repeat)) # computation for i, n_outliers in enumerate(range_n_outliers): for j in range(repeat): rng = np.random.RandomState(i * j) # generate data X = rng.randn(n_samples, n_features) # add some outliers outliers_index = rng.permutation(n_samples)[:n_outliers] outliers_offset = 10.0 * ( np.random.randint(2, size=(n_outliers, n_features)) - 0.5 ) X[outliers_index] += outliers_offset inliers_mask = np.ones(n_samples).astype(bool) inliers_mask[outliers_index] = False # fit a Minimum Covariance Determinant (MCD) robust estimator to data mcd = MinCovDet().fit(X) # compare raw robust estimates with the true location and covariance err_loc_mcd[i, j] = np.sum(mcd.location_**2) err_cov_mcd[i, j] = mcd.error_norm(np.eye(n_features)) # compare estimators learned from the full data set with true # parameters err_loc_emp_full[i, j] = np.sum(X.mean(0) ** 2) err_cov_emp_full[i, j] = ( EmpiricalCovariance().fit(X).error_norm(np.eye(n_features)) ) # compare with an empirical covariance learned from a pure data set # (i.e. "perfect" mcd) pure_X = X[inliers_mask] pure_location = pure_X.mean(0) pure_emp_cov = EmpiricalCovariance().fit(pure_X) err_loc_emp_pure[i, j] = np.sum(pure_location**2) err_cov_emp_pure[i, j] = pure_emp_cov.error_norm(np.eye(n_features)) # Display results font_prop = matplotlib.font_manager.FontProperties(size=11) plt.subplot(2, 1, 1) lw = 2 plt.errorbar( range_n_outliers, err_loc_mcd.mean(1), yerr=err_loc_mcd.std(1) / np.sqrt(repeat), label="Robust location", lw=lw, color="m", ) plt.errorbar( range_n_outliers, err_loc_emp_full.mean(1), yerr=err_loc_emp_full.std(1) / np.sqrt(repeat), label="Full data set mean", lw=lw, color="green", ) plt.errorbar( range_n_outliers, err_loc_emp_pure.mean(1), yerr=err_loc_emp_pure.std(1) / np.sqrt(repeat), label="Pure data set mean", lw=lw, color="black", ) plt.title("Influence of outliers on the location estimation") plt.ylabel(r"Error ($||\mu - \hat{\mu}||_2^2$)") plt.legend(loc="upper left", prop=font_prop) plt.subplot(2, 1, 2) x_size = range_n_outliers.size plt.errorbar( range_n_outliers, err_cov_mcd.mean(1), yerr=err_cov_mcd.std(1), label="Robust covariance (mcd)", color="m", ) plt.errorbar( range_n_outliers[: (x_size // 5 + 1)], err_cov_emp_full.mean(1)[: (x_size // 5 + 1)], yerr=err_cov_emp_full.std(1)[: (x_size // 5 + 1)], label="Full data set empirical covariance", color="green", ) plt.plot( range_n_outliers[(x_size // 5) : (x_size // 2 - 1)], err_cov_emp_full.mean(1)[(x_size // 5) : (x_size // 2 - 1)], color="green", ls="--", ) plt.errorbar( range_n_outliers, err_cov_emp_pure.mean(1), yerr=err_cov_emp_pure.std(1), label="Pure data set empirical covariance", color="black", ) plt.title("Influence of outliers on the covariance estimation") plt.xlabel("Amount of contamination (%)") plt.ylabel("RMSE") plt.legend(loc="upper center", prop=font_prop) plt.show() .. rst-class:: sphx-glr-timing **Total running time of the script:** (0 minutes 2.403 seconds) .. _sphx_glr_download_auto_examples_covariance_plot_robust_vs_empirical_covariance.py: .. only:: html .. container:: sphx-glr-footer sphx-glr-footer-example .. container:: binder-badge .. image:: images/binder_badge_logo.svg :target: https://mybinder.org/v2/gh/scikit-learn/scikit-learn/main?urlpath=lab/tree/notebooks/auto_examples/covariance/plot_robust_vs_empirical_covariance.ipynb :alt: Launch binder :width: 150 px .. container:: lite-badge .. image:: images/jupyterlite_badge_logo.svg :target: ../../lite/lab/?path=auto_examples/covariance/plot_robust_vs_empirical_covariance.ipynb :alt: Launch JupyterLite :width: 150 px .. container:: sphx-glr-download sphx-glr-download-jupyter :download:`Download Jupyter notebook: plot_robust_vs_empirical_covariance.ipynb ` .. container:: sphx-glr-download sphx-glr-download-python :download:`Download Python source code: plot_robust_vs_empirical_covariance.py ` .. include:: plot_robust_vs_empirical_covariance.recommendations .. only:: html .. rst-class:: sphx-glr-signature `Gallery generated by Sphinx-Gallery `_