Many statistical problems require at some point the estimation of a population’s covariance matrix, which can be seen as an estimation of data set scatter plot shape. Most of the time, such an estimation has to be done on a sample whose properties (size, structure, homogeneity) has a large influence on the estimation’s quality. The sklearn.covariance
package aims at providing tools affording an accurate estimation of a population’s covariance matrix under various settings.
We assume that the observations are independent and identically distributed (i.i.d.).
The covariance matrix of a data set is known to be well approximated with the classical maximum likelihood estimator (or “empirical covariance”), provided the number of observations is large enough compared to the number of features (the variables describing the observations). More precisely, the Maximum Likelihood Estimator of a sample is an unbiased estimator of the corresponding population covariance matrix.
The empirical covariance matrix of a sample can be computed using the empirical_covariance
function of the package, or by fitting an EmpiricalCovariance
object to the data sample with the EmpiricalCovariance.fit
method. Be careful that depending whether the data are centered or not, the result will be different, so one may want to use the assume_centered
parameter accurately. More precisely if one uses assume_centered=False
, then the test set is supposed to have the same mean vector as the training set. If not so, both should be centered by the user, and assume_centered=True
should be used.
Examples:
EmpiricalCovariance
object to data.Despite being an unbiased estimator of the covariance matrix, the Maximum Likelihood Estimator is not a good estimator of the eigenvalues of the covariance matrix, so the precision matrix obtained from its inversion is not accurate. Sometimes, it even occurs that the empirical covariance matrix cannot be inverted for numerical reasons. To avoid such an inversion problem, a transformation of the empirical covariance matrix has been introduced: the shrinkage
.
In the scikit-learn, this transformation (with a user-defined shrinkage coefficient) can be directly applied to a pre-computed covariance with the shrunk_covariance
method. Also, a shrunk estimator of the covariance can be fitted to data with a ShrunkCovariance
object and its ShrunkCovariance.fit
method. Again, depending whether the data are centered or not, the result will be different, so one may want to use the assume_centered
parameter accurately.
Mathematically, this shrinkage consists in reducing the ratio between the smallest and the largest eigenvalue of the empirical covariance matrix. It can be done by simply shifting every eigenvalue according to a given offset, which is equivalent of finding the l2-penalized Maximum Likelihood Estimator of the covariance matrix. In practice, shrinkage boils down to a simple a convex transformation : .
Choosing the amount of shrinkage, amounts to setting a bias/variance trade-off, and is discussed below.
Examples:
ShrunkCovariance
object to data.In their 2004 paper [1], O. Ledoit and M. Wolf propose a formula so as to compute the optimal shrinkage coefficient that minimizes the Mean Squared Error between the estimated and the real covariance matrix.
The Ledoit-Wolf estimator of the covariance matrix can be computed on a sample with the ledoit_wolf
function of the sklearn.covariance
package, or it can be otherwise obtained by fitting a LedoitWolf
object to the same sample.
Examples:
LedoitWolf
object to data and for visualizing the performances of the Ledoit-Wolf estimator in terms of likelihood.Under the assumption that the data are Gaussian distributed, Chen et al. [2] derived a formula aimed at choosing a shrinkage coefficient that yields a smaller Mean Squared Error than the one given by Ledoit and Wolf’s formula. The resulting estimator is known as the Oracle Shrinkage Approximating estimator of the covariance.
The OAS estimator of the covariance matrix can be computed on a sample with the oas
function of the sklearn.covariance
package, or it can be otherwise obtained by fitting an OAS
object to the same sample.
Examples:
OAS
object to data.LedoitWolf
and an OAS
estimator of the covariance.The matrix inverse of the covariance matrix, often called the precision matrix, is proportional to the partial correlation matrix. It gives the partial independence relationship. In other words, if two features are independent conditionally on the others, the corresponding coefficient in the precision matrix will be zero. This is why it makes sense to estimate a sparse precision matrix: by learning independence relations from the data, the estimation of the covariance matrix is better conditioned. This is known as covariance selection.
In the small-samples situation, in which n_samples
is on the order of n_features
or smaller, sparse inverse covariance estimators tend to work better than shrunk covariance estimators. However, in the opposite situation, or for very correlated data, they can be numerically unstable. In addition, unlike shrinkage estimators, sparse estimators are able to recover off-diagonal structure.
The GraphLasso
estimator uses an l1 penalty to enforce sparsity on the precision matrix: the higher its alpha
parameter, the more sparse the precision matrix. The corresponding GraphLassoCV
object uses cross-validation to automatically set the alpha
parameter.
Note
Structure recovery
Recovering a graphical structure from correlations in the data is a challenging thing. If you are interested in such recovery keep in mind that:
GraphLasso
GraphLassoCV
object) will lead to selecting too many edges. However, the relevant edges will have heavier weights than the irrelevant ones.The mathematical formulation is the following:
Where is the precision matrix to be estimated, and is the sample covariance matrix. is the sum of the absolute values of off-diagonal coefficients of . The algorithm employed to solve this problem is the GLasso algorithm, from the Friedman 2008 Biostatistics paper. It is the same algorithm as in the R glasso
package.
Examples:
References:
Real data set are often subjects to measurement or recording errors. Regular but uncommon observations may also appear for a variety of reason. Every observation which is very uncommon is called an outlier. The empirical covariance estimator and the shrunk covariance estimators presented above are very sensitive to the presence of outlying observations in the data. Therefore, one should use robust covariance estimators to estimate the covariance of its real data sets. Alternatively, robust covariance estimators can be used to perform outlier detection and discard/downweight some observations according to further processing of the data.
The sklearn.covariance
package implements a robust estimator of covariance, the Minimum Covariance Determinant [3].
The Minimum Covariance Determinant estimator is a robust estimator of a data set’s covariance introduced by P.J. Rousseeuw in [3]. The idea is to find a given proportion (h) of “good” observations which are not outliers and compute their empirical covariance matrix. This empirical covariance matrix is then rescaled to compensate the performed selection of observations (“consistency step”). Having computed the Minimum Covariance Determinant estimator, one can give weights to observations according to their Mahalanobis distance, leading to a reweighted estimate of the covariance matrix of the data set (“reweighting step”).
Rousseeuw and Van Driessen [4] developed the FastMCD algorithm in order to compute the Minimum Covariance Determinant. This algorithm is used in scikit-learn when fitting an MCD object to data. The FastMCD algorithm also computes a robust estimate of the data set location at the same time.
Raw estimates can be accessed as raw_location_
and raw_covariance_
attributes of a MinCovDet
robust covariance estimator object.
Examples:
MinCovDet
object to data and see how the estimate remains accurate despite the presence of outliers.EmpiricalCovariance
and MinCovDet
covariance estimators in terms of Mahalanobis distance (so we get a better estimate of the precision matrix too).Influence of outliers on location and covariance estimates | Separating inliers from outliers using a Mahalanobis distance |
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© 2007–2016 The scikit-learn developers
Licensed under the 3-clause BSD License.
http://scikit-learn.org/stable/modules/covariance.html