Robust Linear Models
====================


.. _robust_models_0_notebook:

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   <div class="highlight"><pre><span class="kn">from</span> <span class="nn">__future__</span> <span class="kn">import</span> <span class="n">print_function</span>
   <span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
   <span class="kn">import</span> <span class="nn">statsmodels.api</span> <span class="kn">as</span> <span class="nn">sm</span>
   <span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
   <span class="kn">from</span> <span class="nn">statsmodels.sandbox.regression.predstd</span> <span class="kn">import</span> <span class="n">wls_prediction_std</span>
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   <h2 id="estimation">Estimation</h2>
   <p>Load data:</p>
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   <div class="highlight"><pre><span class="n">data</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">datasets</span><span class="o">.</span><span class="n">stackloss</span><span class="o">.</span><span class="n">load</span><span class="p">()</span>
   <span class="n">data</span><span class="o">.</span><span class="n">exog</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">add_constant</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">exog</span><span class="p">)</span>
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   <p>Huber&#39;s T norm with the (default) median absolute deviation scaling</p>
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   <div class="highlight"><pre><span class="n">huber_t</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">RLM</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">endog</span><span class="p">,</span> <span class="n">data</span><span class="o">.</span><span class="n">exog</span><span class="p">,</span> <span class="n">M</span><span class="o">=</span><span class="n">sm</span><span class="o">.</span><span class="n">robust</span><span class="o">.</span><span class="n">norms</span><span class="o">.</span><span class="n">HuberT</span><span class="p">())</span>
   <span class="n">hub_results</span> <span class="o">=</span> <span class="n">huber_t</span><span class="o">.</span><span class="n">fit</span><span class="p">()</span>
   <span class="k">print</span><span class="p">(</span><span class="n">hub_results</span><span class="o">.</span><span class="n">params</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">hub_results</span><span class="o">.</span><span class="n">bse</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">hub_results</span><span class="o">.</span><span class="n">summary</span><span class="p">(</span><span class="n">yname</span><span class="o">=</span><span class="s">&#39;y&#39;</span><span class="p">,</span>
               <span class="n">xname</span><span class="o">=</span><span class="p">[</span><span class="s">&#39;var_</span><span class="si">%d</span><span class="s">&#39;</span> <span class="o">%</span> <span class="n">i</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="nb">len</span><span class="p">(</span><span class="n">hub_results</span><span class="o">.</span><span class="n">params</span><span class="p">))]))</span>
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   [-41.02649835   0.82938433   0.92606597  -0.12784672]
   [ 9.79189854  0.11100521  0.30293016  0.12864961]
                       Robust linear Model Regression Results                    
   ==============================================================================
   Dep. Variable:                      y   No. Observations:                   21
   Model:                            RLM   Df Residuals:                       17
   Method:                          IRLS   Df Model:                            3
   Norm:                          HuberT                                         
   Scale Est.:                       mad                                         
   Cov Type:                          H1                                         
   Date:                Tue, 25 Aug 2015                                         
   Time:                        00:45:37                                         
   No. Iterations:                    19                                         
   ==============================================================================
                    coef    std err          z      P&gt;|z|      [95.0% Conf. Int.]
   ------------------------------------------------------------------------------
   var_0        -41.0265      9.792     -4.190      0.000       -60.218   -21.835
   var_1          0.8294      0.111      7.472      0.000         0.612     1.047
   var_2          0.9261      0.303      3.057      0.002         0.332     1.520
   var_3         -0.1278      0.129     -0.994      0.320        -0.380     0.124
   ==============================================================================
   
   If the model instance has been used for another fit with different fit
   parameters, then the fit options might not be the correct ones anymore .
   
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   <p>Huber&#39;s T norm with &#39;H2&#39; covariance matrix</p>
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   <div class="highlight"><pre><span class="n">hub_results2</span> <span class="o">=</span> <span class="n">huber_t</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">cov</span><span class="o">=</span><span class="s">&quot;H2&quot;</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">hub_results2</span><span class="o">.</span><span class="n">params</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">hub_results2</span><span class="o">.</span><span class="n">bse</span><span class="p">)</span>
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   [-41.02649835   0.82938433   0.92606597  -0.12784672]
   [ 9.08950419  0.11945975  0.32235497  0.11796313]
   
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   <p>Andrew&#39;s Wave norm with Huber&#39;s Proposal 2 scaling and &#39;H3&#39; covariance matrix</p>
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   <div class="highlight"><pre><span class="n">andrew_mod</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">RLM</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">endog</span><span class="p">,</span> <span class="n">data</span><span class="o">.</span><span class="n">exog</span><span class="p">,</span> <span class="n">M</span><span class="o">=</span><span class="n">sm</span><span class="o">.</span><span class="n">robust</span><span class="o">.</span><span class="n">norms</span><span class="o">.</span><span class="n">AndrewWave</span><span class="p">())</span>
   <span class="n">andrew_results</span> <span class="o">=</span> <span class="n">andrew_mod</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">scale_est</span><span class="o">=</span><span class="n">sm</span><span class="o">.</span><span class="n">robust</span><span class="o">.</span><span class="n">scale</span><span class="o">.</span><span class="n">HuberScale</span><span class="p">(),</span> <span class="n">cov</span><span class="o">=</span><span class="s">&quot;H3&quot;</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="s">&#39;Parameters: &#39;</span><span class="p">,</span> <span class="n">andrew_results</span><span class="o">.</span><span class="n">params</span><span class="p">)</span>
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   Parameters:  [-40.8817957    0.79276138   1.04857556  -0.13360865]
   
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   <p>See <code>help(sm.RLM.fit)</code> for more options and <code>module sm.robust.scale</code> for scale options</p>
   <h2 id="comparing-ols-and-rlm">Comparing OLS and RLM</h2>
   <p>Artificial data with outliers:</p>
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   <div class="highlight"><pre><span class="n">nsample</span> <span class="o">=</span> <span class="mi">50</span>
   <span class="n">x1</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">linspace</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mi">20</span><span class="p">,</span> <span class="n">nsample</span><span class="p">)</span>
   <span class="n">X</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">column_stack</span><span class="p">((</span><span class="n">x1</span><span class="p">,</span> <span class="p">(</span><span class="n">x1</span><span class="o">-</span><span class="mi">5</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">))</span>
   <span class="n">X</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">add_constant</span><span class="p">(</span><span class="n">X</span><span class="p">)</span>
   <span class="n">sig</span> <span class="o">=</span> <span class="mf">0.3</span>   <span class="c"># smaller error variance makes OLS&lt;-&gt;RLM contrast bigger</span>
   <span class="n">beta</span> <span class="o">=</span> <span class="p">[</span><span class="mi">5</span><span class="p">,</span> <span class="mf">0.5</span><span class="p">,</span> <span class="o">-</span><span class="mf">0.0</span><span class="p">]</span>
   <span class="n">y_true2</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">X</span><span class="p">,</span> <span class="n">beta</span><span class="p">)</span>
   <span class="n">y2</span> <span class="o">=</span> <span class="n">y_true2</span> <span class="o">+</span> <span class="n">sig</span><span class="o">*</span><span class="mf">1.</span> <span class="o">*</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">normal</span><span class="p">(</span><span class="n">size</span><span class="o">=</span><span class="n">nsample</span><span class="p">)</span>
   <span class="n">y2</span><span class="p">[[</span><span class="mi">39</span><span class="p">,</span><span class="mi">41</span><span class="p">,</span><span class="mi">43</span><span class="p">,</span><span class="mi">45</span><span class="p">,</span><span class="mi">48</span><span class="p">]]</span> <span class="o">-=</span> <span class="mi">5</span>   <span class="c"># add some outliers (10% of nsample)</span>
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   <h3 id="example-1-quadratic-function-with-linear-truth">Example 1: quadratic function with linear truth</h3>
   <p>Note that the quadratic term in OLS regression will capture outlier effects. </p>
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   <div class="highlight"><pre><span class="n">res</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">OLS</span><span class="p">(</span><span class="n">y2</span><span class="p">,</span> <span class="n">X</span><span class="p">)</span><span class="o">.</span><span class="n">fit</span><span class="p">()</span>
   <span class="k">print</span><span class="p">(</span><span class="n">res</span><span class="o">.</span><span class="n">params</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">res</span><span class="o">.</span><span class="n">bse</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">res</span><span class="o">.</span><span class="n">predict</span><span class="p">())</span>
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   [ 4.99432391  0.53469925 -0.01466451]
   [ 0.45427426  0.07013381  0.00620576]
   [  4.6277111    4.90336778   5.17413832   5.44002273   5.701021
      5.95713314   6.20835914   6.454699     6.69615274   6.93272033
      7.1644018    7.39119713   7.61310632   7.83012938   8.0422663
      8.24951709   8.45188174   8.64936026   8.84195265   9.02965889
      9.21247901   9.39041299   9.56346083   9.73162254   9.89489812
     10.05328756  10.20679086  10.35540803  10.49913907  10.63798397
     10.77194274  10.90101537  11.02520186  11.14450222  11.25891645
     11.36844454  11.4730865   11.57284232  11.66771201  11.75769556
     11.84279298  11.92300426  11.99832941  12.06876842  12.1343213
     12.19498804  12.25076865  12.30166312  12.34767146  12.38879367]
   
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   <p>Estimate RLM:</p>
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   <div class="highlight"><pre><span class="n">resrlm</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">RLM</span><span class="p">(</span><span class="n">y2</span><span class="p">,</span> <span class="n">X</span><span class="p">)</span><span class="o">.</span><span class="n">fit</span><span class="p">()</span>
   <span class="k">print</span><span class="p">(</span><span class="n">resrlm</span><span class="o">.</span><span class="n">params</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">resrlm</span><span class="o">.</span><span class="n">bse</span><span class="p">)</span>
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   [ 4.90288144  0.52559031 -0.00526136]
   [ 0.12893493  0.01990581  0.00176136]
   
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   <p>Draw a plot to compare OLS estimates to the robust estimates:</p>
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   <div class="highlight"><pre><span class="n">fig</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">figure</span><span class="p">(</span><span class="n">figsize</span><span class="o">=</span><span class="p">(</span><span class="mi">12</span><span class="p">,</span><span class="mi">8</span><span class="p">))</span>
   <span class="n">ax</span> <span class="o">=</span> <span class="n">fig</span><span class="o">.</span><span class="n">add_subplot</span><span class="p">(</span><span class="mi">111</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">y2</span><span class="p">,</span> <span class="s">&#39;o&#39;</span><span class="p">,</span><span class="n">label</span><span class="o">=</span><span class="s">&quot;data&quot;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">y_true2</span><span class="p">,</span> <span class="s">&#39;b-&#39;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&quot;True&quot;</span><span class="p">)</span>
   <span class="n">prstd</span><span class="p">,</span> <span class="n">iv_l</span><span class="p">,</span> <span class="n">iv_u</span> <span class="o">=</span> <span class="n">wls_prediction_std</span><span class="p">(</span><span class="n">res</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">res</span><span class="o">.</span><span class="n">fittedvalues</span><span class="p">,</span> <span class="s">&#39;r-&#39;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&quot;OLS&quot;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">iv_u</span><span class="p">,</span> <span class="s">&#39;r--&#39;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">iv_l</span><span class="p">,</span> <span class="s">&#39;r--&#39;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">resrlm</span><span class="o">.</span><span class="n">fittedvalues</span><span class="p">,</span> <span class="s">&#39;g.-&#39;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&quot;RLM&quot;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">legend</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="s">&quot;best&quot;</span><span class="p">)</span>
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   <h3 id="example-2-linear-function-with-linear-truth">Example 2: linear function with linear truth</h3>
   <p>Fit a new OLS model using only the linear term and the constant:</p>
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   <div class="highlight"><pre><span class="n">X2</span> <span class="o">=</span> <span class="n">X</span><span class="p">[:,[</span><span class="mi">0</span><span class="p">,</span><span class="mi">1</span><span class="p">]]</span> 
   <span class="n">res2</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">OLS</span><span class="p">(</span><span class="n">y2</span><span class="p">,</span> <span class="n">X2</span><span class="p">)</span><span class="o">.</span><span class="n">fit</span><span class="p">()</span>
   <span class="k">print</span><span class="p">(</span><span class="n">res2</span><span class="o">.</span><span class="n">params</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">res2</span><span class="o">.</span><span class="n">bse</span><span class="p">)</span>
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   [ 5.58539353  0.38805413]
   [ 0.39690417  0.03419887]
   
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   <p>Estimate RLM:</p>
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   <div class="highlight"><pre><span class="n">resrlm2</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">RLM</span><span class="p">(</span><span class="n">y2</span><span class="p">,</span> <span class="n">X2</span><span class="p">)</span><span class="o">.</span><span class="n">fit</span><span class="p">()</span>
   <span class="k">print</span><span class="p">(</span><span class="n">resrlm2</span><span class="o">.</span><span class="n">params</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">resrlm2</span><span class="o">.</span><span class="n">bse</span><span class="p">)</span>
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   [ 5.05720928  0.48342808]
   [ 0.11412647  0.0098336 ]
   
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   <p>Draw a plot to compare OLS estimates to the robust estimates:</p>
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   <div class="highlight"><pre><span class="n">prstd</span><span class="p">,</span> <span class="n">iv_l</span><span class="p">,</span> <span class="n">iv_u</span> <span class="o">=</span> <span class="n">wls_prediction_std</span><span class="p">(</span><span class="n">res2</span><span class="p">)</span>
   
   <span class="n">fig</span><span class="p">,</span> <span class="n">ax</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplots</span><span class="p">(</span><span class="n">figsize</span><span class="o">=</span><span class="p">(</span><span class="mi">8</span><span class="p">,</span><span class="mi">6</span><span class="p">))</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">y2</span><span class="p">,</span> <span class="s">&#39;o&#39;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&quot;data&quot;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">y_true2</span><span class="p">,</span> <span class="s">&#39;b-&#39;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&quot;True&quot;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">res2</span><span class="o">.</span><span class="n">fittedvalues</span><span class="p">,</span> <span class="s">&#39;r-&#39;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&quot;OLS&quot;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">iv_u</span><span class="p">,</span> <span class="s">&#39;r--&#39;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">iv_l</span><span class="p">,</span> <span class="s">&#39;r--&#39;</span><span class="p">)</span>
   <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">resrlm2</span><span class="o">.</span><span class="n">fittedvalues</span><span class="p">,</span> <span class="s">&#39;g.-&#39;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&quot;RLM&quot;</span><span class="p">)</span>
   <span class="n">legend</span> <span class="o">=</span> <span class="n">ax</span><span class="o">.</span><span class="n">legend</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="s">&quot;best&quot;</span><span class="p">)</span>
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