我今天遇到了同样的问题 .
经过半小时的谷歌搜索,我在numpy / scipy库中找不到任何代码可以帮我做到这一点 .
所以我写了自己的 corrcoef 版本
import numpy as np
from scipy.stats import pearsonr, betai
def corrcoef(matrix):
r = np.corrcoef(matrix)
rf = r[np.triu_indices(r.shape[0], 1)]
df = matrix.shape[1] - 2
ts = rf * rf * (df / (1 - rf * rf))
pf = betai(0.5 * df, 0.5, df / (df + ts))
p = np.zeros(shape=r.shape)
p[np.triu_indices(p.shape[0], 1)] = pf
p[np.tril_indices(p.shape[0], -1)] = pf
p[np.diag_indices(p.shape[0])] = np.ones(p.shape[0])
return r, p
def corrcoef_loop(matrix):
rows, cols = matrix.shape[0], matrix.shape[1]
r = np.ones(shape=(rows, rows))
p = np.ones(shape=(rows, rows))
for i in range(rows):
for j in range(i+1, rows):
r_, p_ = pearsonr(matrix[i], matrix[j])
r[i, j] = r[j, i] = r_
p[i, j] = p[j, i] = p_
return r, p
第一个版本使用np.corrcoef的结果,然后根据corrcoef矩阵的三角形上限值计算p值 .
第二个循环版本只是遍历行,手动执行pearsonr .
def test_corrcoef():
a = np.array([
[1, 2, 3, 4],
[1, 3, 1, 4],
[8, 3, 8, 5]])
r1, p1 = corrcoef(a)
r2, p2 = corrcoef_loop(a)
assert np.allclose(r1, r2)
assert np.allclose(p1, p2)
测试通过,他们是一样的 .
def test_timing():
import time
a = np.random.randn(100, 2500)
def timing(func, *args, **kwargs):
t0 = time.time()
loops = 10
for _ in range(loops):
func(*args, **kwargs)
print('{} takes {} seconds loops={}'.format(
func.__name__, time.time() - t0, loops))
timing(corrcoef, a)
timing(corrcoef_loop, a)
if __name__ == '__main__':
test_corrcoef()
test_timing()
我的Macbook对100x2500矩阵的性能
corrcoef需要0.06608104705810547秒循环= 10 corrcoef_loop需要7.585600137710571秒循环= 10