MinCovDet¶

class ibex.sklearn.covariance.MinCovDet(store_precision=True, assume_centered=False, support_fraction=None, random_state=None)

Bases: sklearn.covariance.robust_covariance.MinCovDet, ibex._base.FrameMixin

Note

The documentation following is of the class wrapped by this class. There are some changes, in particular:

Minimum Covariance Determinant (MCD): robust estimator of covariance.

The Minimum Covariance Determinant covariance estimator is to be applied on Gaussian-distributed data, but could still be relevant on data drawn from a unimodal, symmetric distribution. It is not meant to be used with multi-modal data (the algorithm used to fit a MinCovDet object is likely to fail in such a case). One should consider projection pursuit methods to deal with multi-modal datasets.

Read more in the User Guide.

store_precision : bool
Specify if the estimated precision is stored.
assume_centered : Boolean
If True, the support of the robust location and the covariance estimates is computed, and a covariance estimate is recomputed from it, without centering the data. Useful to work with data whose mean is significantly equal to zero but is not exactly zero. If False, the robust location and covariance are directly computed with the FastMCD algorithm without additional treatment.
support_fraction : float, 0 < support_fraction < 1
The proportion of points to be included in the support of the raw MCD estimate. Default is None, which implies that the minimum value of support_fraction will be used within the algorithm: [n_sample + n_features + 1] / 2
random_state : int, RandomState instance or None, optional (default=None)
If int, random_state is the seed used by the random number generator; If RandomState instance, random_state is the random number generator; If None, the random number generator is the RandomState instance used by np.random.
raw_location_ : array-like, shape (n_features,)
The raw robust estimated location before correction and re-weighting.
raw_covariance_ : array-like, shape (n_features, n_features)
The raw robust estimated covariance before correction and re-weighting.
raw_support_ : array-like, shape (n_samples,)
A mask of the observations that have been used to compute the raw robust estimates of location and shape, before correction and re-weighting.
location_ : array-like, shape (n_features,)
Estimated robust location
covariance_ : array-like, shape (n_features, n_features)
Estimated robust covariance matrix
precision_ : array-like, shape (n_features, n_features)
Estimated pseudo inverse matrix. (stored only if store_precision is True)
support_ : array-like, shape (n_samples,)
A mask of the observations that have been used to compute the robust estimates of location and shape.
dist_ : array-like, shape (n_samples,)
Mahalanobis distances of the training set (on which fit is called) observations.
 [Rouseeuw1984] P. J. Rousseeuw. Least median of squares regression. J. Am Stat Ass, 79:871, 1984.
 [Rousseeuw] A Fast Algorithm for the Minimum Covariance Determinant Estimator, 1999, American Statistical Association and the American Society for Quality, TECHNOMETRICS
 [ButlerDavies] R. W. Butler, P. L. Davies and M. Jhun, Asymptotics For The Minimum Covariance Determinant Estimator, The Annals of Statistics, 1993, Vol. 21, No. 3, 1385-1400
fit(X, y=None)[source]

Note

The documentation following is of the class wrapped by this class. There are some changes, in particular:

Fits a Minimum Covariance Determinant with the FastMCD algorithm.

X : array-like, shape = [n_samples, n_features]
Training data, where n_samples is the number of samples and n_features is the number of features.

y : not used, present for API consistence purpose.

self : object
Returns self.
score(X_test, y=None)

Note

The documentation following is of the class wrapped by this class. There are some changes, in particular:

Computes the log-likelihood of a Gaussian data set with

self.covariance_ as an estimator of its covariance matrix.

X_test : array-like, shape = [n_samples, n_features]
Test data of which we compute the likelihood, where n_samples is the number of samples and n_features is the number of features. X_test is assumed to be drawn from the same distribution than the data used in fit (including centering).

y : not used, present for API consistence purpose.

res : float
The likelihood of the data set with self.covariance_ as an estimator of its covariance matrix.