OLS in Python with Dummy Variables - Best Solution? - r

I have a problem I am trying to solve in Python, and I have found multiple solutions (I think) but I am trying to figure out which one is the best. I am hoping to choose libraries that will be supported fully in the future so I do not have to re-write this service.
I want to do an ordinary multi-variate least squares regression with both categorical and continuous dependent variables. The code has to be written in Python, as it is being integrated into a web service. I have been following Pandas quite a bit but never used it, so this seems to be one approach:
SOLUTION 1. https://github.com/pydata/pandas/blob/master/examples/regressions.py
Obviously, numpy/scipy are ideal, but I cant find an example that uses dummy variables (does anyone have one???). I did find this though,
SOLUTION 2. http://www.scipy.org/Cookbook/OLS
which I could modify to support dummy variables, but I do not want to do that if someone else has done it already + I want the numbers to be very similar to R, as I have done most of my analysis offline and I can use these results for unit tests.
And in the example (2) above, I see that I could technically use rpy/rpy2, although that is not optimal because my web service requires yet another piece of technology (R). The good thing about using the interface is the numbers would be identical to my results from R.
SOLUTION 3. http://www.scipy.org/Cookbook/OLS (but using Rpy/Rpy2)
Anyways, I am interested in what everyone's approach would be out of these three solutions, if there are any I am missing ...... and if Panda's is mature enough to start using in a production web service. The key thing here is that I do not want to have to support/patch bug fixes or write anything from scratch if possible. I'm too busy and probably not smart enough :)
Thanks.

You can use statsmodels, which provides many different models and result statistics
If you want to use an R like formula interface, here are some examples and you can look at the corresponding documentation :
http://statsmodels.sourceforge.net/devel/examples/notebooks/generated/contrasts.html
http://statsmodels.sourceforge.net/devel/examples/notebooks/generated/example_formulas.html
If you want a pure numpy version, then here is an old example that does everything from scratch
http://statsmodels.sourceforge.net/devel/examples/generated/example_ols.html#ols-with-dummy-variables
The models are integrated with pandas, and can use pandas DataFrame as the data structure for the dependent and independent variables (endog and exog in statsmodels naming convention).

Related

SAS IML and SAS/R interface

Does one need to have SAS IML installed to use the SAS/R interface? or should/could one use the sas x command to run R and feed data to it?
If you want to actually use the SAS/R interface, then yes, you must license and have SAS/IML installed as it is specifically a feature of SAS/IML (which makes sense, as SAS/IML is SAS's matrix programming language, and R is a matrix programming language).
However, you're welcome to use R the way you describe (by submitting R programs via xcmd); you will, however, need to use a CSV file or similar to exchange data between the two programs. There are several ways to do it, so look at the different options available to see what's easiest for you.
If you're choosing between the different ways to do this, here is a list of the advantages of using IML which serves as a nice comparison between the two (perhaps a biased one (Rick is the lead developer of SAS/IML), but it is sufficiently detailed in what you won't have available to you running it as a separate program that it should be helpful in making the decision).

Fastest way to reduce dimensionality for multi-classification in R

What I currently have:
I have a data frame with one column of factors called "Class" which contains 160 different classes. I have 1200 variables, each one being an integer and no individual cell exceeding the value of 1000 (if that helps). About 1/4 of the cells are the number zero. The total dataset contains 60,000 rows. I have already used the nearZeroVar function, and the findCorrelation function to get it down to this number of variables. In my particular dataset some individual variables may appear unimportant by themselves, but are likely to be predictive when combined with two other variables.
What I have tried:
First I tried just creating a random forest model then planned on using the varimp property to filter out the useless stuff, gave up after letting it run for days. Then I tried using fscaret, but that ran overnight on a 8-core machine with 64GB of RAM (same as the previous attempt) and didn't finish. Then I tried:
Feature Selection using Genetic Algorithms That ran overnight and didn't finish either. I was trying to make principal component analysis work, but for some reason couldn't. I have never been able to successfully do PCA within Caret which could be my problem and solution here. I can follow all the "toy" demo examples on the web, but I still think I am missing something in my case.
What I need:
I need some way to quickly reduce the dimensionality of my dataset so I can make it usable for creating a model. Maybe a good place to start would be an example of using PCA with a dataset like mine using Caret. Of course, I'm happy to hear any other ideas that might get me out of the quicksand I am in right now.
I have done only some toy examples too.
Still, here are some ideas that do not fit into a comment.
All your attributes seem to be numeric. Maybe running the Naive Bayes algorithm on your dataset will gives some reasonable classifications? Then, all attributes are assumed to be independent from each other, but experience shows / many scholars say that NaiveBayes results are often still useful, despite strong assumptions?
If you absolutely MUST do attribute selection .e.g as part of an assignment:
Did you try to process your dataset with the free GUI-based data-mining tool Weka? There is an "attribute selection" tab where you have several algorithms (or algorithm-combinations) for removing irrelevant attributes at your disposal. That is an art, and the results are not so easy to interpret, though.
Read this pdf as an introduction and see this video for a walk-through and an introduction to the theoretical approach.
The videos assume familiarity with Weka, but maybe it still helps.
There is an RWeka interface but it's a bit laborious to install, so working with the Weka GUI might be easier.

Is there any Python equivalent of R's biglm?

I have used biglm in R and found it very useful. Now I need the same type of functionality in python. Any ideas? I have seen that patsy/statsmodels has an incremental mode, but have not been able to find any samples to copy/adapt. Any pointers would be much appreciated.
from a related answer of Nathaniel Smith on the statsmodels mailing list
My incremental LS code might be useful here, it's basically the same
problem:
https://github.com/njsmith/pyrerp/blob/master/pyrerp/incremental_ls.py#L330
The new X'X is the sum of the old X'Xs, then you have to re-do the
scaling and inversion to get the new vcov matrix for the estimates.
Should be doable so long as you know how many data points are in each
and the various sums-of-squares. (The code I linked has some extra
complexity because of handling a particular sort of heteroskedasticity
via FGLS, but it can pretty much be ignored.)
statsmodels doesn't have anything in this area yet.
There is an incremental OLS function in statsmodels, however that was written as helper function for cusum tests (in memory) and hasn't been used or checked for any other purpose:
http://statsmodels.sourceforge.net/devel/generated/statsmodels.stats.diagnostic.recursive_olsresiduals.html

R bindings for Mapnik?

I frequently find myself doing some analysis in R and then wanting to make a quick map. The standard plot() function does a reasonable job of quick, but I quickly find that I need to go to ggplot2 when I want to make something that looks nice or has more complex symbology requirements. Ggplot2 is great, but is sometimes cumbersome to convert a SpatialPolygonsDataFrame into the format required by Ggplot2. Ggplot2 can also be a tad slow when dealing with large maps that require specific projections.
It seems like I should be able to use Mapnik to plot spatial objects directly from R, but after exhausting my Google-fu, I cannot find any evidence of bindings. Rather than assume that such a thing doesn't exist, I thought I'd check here to see if anyone knows of an R - Mapnik binding.
The Mapnik FAQ explicitly mentions Python bindings -- as does the wiki -- with no mention of R, so I think you are correct that no (Mapnik-sponsored, at least) R bindings currently exist for Mapnik.
You might get a more satisfying (or at least more detailed) answer by asking on the Mapnik users list. They will know for certain if any projects exist to make R bindings for Mapnik, and if not, your interest may incite someone to investigate the possibility of generating bindings for R.
I would write the SpatialWotsitDataFrames to Shapefiles and then launch a Python Mapnik script. You could even use R to generate the Python script (package 'brew' is handy for making files from templates and inserting values form R).

R and SPSS difference

I will be analysing vast amount of network traffic related data shortly, and will pre-process the data in order to analyse it. I have found that R and SPSS are among the most popular tools for statistical analysis. I will also be generating quite a lot of graphs and charts. Therefore, I was wondering what is the basic difference between these two softwares.
I am not asking which one is better, but just wanted to know what are the difference in terms of workflow between the two (besides the fact that SPSS has a GUI). I will be mostly working with scripts in either case anyway so I wanted to know about the other differences.
Here is something that I posted to the R-help mailing list a while back, but I think that it gives a good high level overview of the general difference in R and SPSS:
When talking about user friendlyness
of computer software I like the
analogy of cars vs. busses:
Busses are very easy to use, you just
need to know which bus to get on,
where to get on, and where to get off
(and you need to pay your fare). Cars
on the other hand require much more
work, you need to have some type of
map or directions (even if the map is
in your head), you need to put gas in
every now and then, you need to know
the rules of the road (have some type
of drivers licence). The big advantage
of the car is that it can take you a
bunch of places that the bus does not
go and it is quicker for some trips
that would require transfering between
busses.
Using this analogy programs like SPSS
are busses, easy to use for the
standard things, but very frustrating
if you want to do something that is
not already preprogrammed.
R is a 4-wheel drive SUV (though
environmentally friendly) with a bike
on the back, a kayak on top, good
walking and running shoes in the
pasenger seat, and mountain climbing
and spelunking gear in the back.
R can take you anywhere you want to go
if you take time to leard how to use
the equipment, but that is going to
take longer than learning where the
bus stops are in SPSS.
There are GUIs for R that make it a bit easier to use, but also limit the functionality that can be used that easily. SPSS does have scripting which takes it beyond being a mere bus, but the general phylosophy of SPSS steers people towards the GUI rather than the scripts.
I work at a company that uses SPSS for the majority of our data analysis, and for a variety of reasons - I have started trying to use R for more and more of my own analysis. Some of the biggest differences I have run into include:
Output of tables - SPSS has basic tables, general tables, custom tables, etc that are all output to that nifty data viewer or whatever they call it. These can relatively easily be transported to Word Documents or Excel sheets for further analysis / presentation. The equivalent function in R involves learning LaTex or using a odfWeave or Lyx or something of that nature.
Labeling of data --> SPSS does a pretty good job with the variable labels and value labels. I haven't found a robust solution for R to accomplish this same task.
You mention that you are going to be scripting most of your work, and personally I find SPSS's scripting syntax absolutely horrendous, to the point that I've stopped working with SPSS whenever possible. R syntax seems much more logical and follows programming standards more closely AND there is a very active community to rely on should you run into trouble (SO for instance). I haven't found a good SPSS community to ask questions of when I run into problems.
Others have pointed out some of the big differences in terms of cost and functionality of the programs. If you have to collaborate with others, their comfort level with SPSS or R should play a factor as you don't want to be the only one in your group that can work on or edit a script that you wrote in the future.
If you are going to be learning R, this post on the stats exchange website has a bunch of great resources for learning R: https://stats.stackexchange.com/questions/138/resources-for-learning-r
The initial workflow for SPSS involves justifying writing a big fat cheque. R is freely available.
R has a single language for 'scripting', but don't think of it like that, R is really a programming language with great data manipulation, statistics, and graphics functionality built in. SPSS has 'Syntax', 'Scripts' and is also scriptable in Python.
Another biggie is that SPSS squeezes its data into a spreadsheety table structure. Dealing with other data structures is probably very hard, but comes naturally to R. I wouldn't know where to start handling network graph type data in SPSS, but there's a package to do it for R.
Also with R you can integrate your workflow with your reporting by using Sweave - you write a document with embedded bits of R code that generate plots or tables, run the file through the system and out comes the report as a PDF. Great for when you want to do a weekly report, or you do a body of work and then the boss gives you an updated data set. Re-run, read it over, its done.
But you know, your call...
Well, are you a decent programmer? If you are, then it's worthwhile to learn R. You can do more with your data, both in terms of manipulation and statistical modeling, than you can with SPSS, and your graphs will likely be better too. On the other hand, if you've never really programmed before, or find the idea of spending several months becoming a programmer intimidating, you'll probably get more value out of SPSS. The level of stuff that you can do with R without diving into its power as a full-fledged programming language probably doesn't justify the effort.
There's another option -- collaborate. Do you know someone you can work with on your project (you don't say whether it's academic or industry, but either way...), who knows R well?
There's an interesting (and reasonably fair) comparison between a number of stats tools here
http://anyall.org/blog/2009/02/comparison-of-data-analysis-packages-r-matlab-scipy-excel-sas-spss-stata/
I work with both in a company and can say the following:
If you have a large team of different people (not all data scientists), SPSS is useful because it is plain (relatively) to understand. For example, if users are going to run a model to get an output (sales estimates, etc), SPSS is clear and easy to use.
That said, I find R better in almost every other sense:
R is faster (although, sometimes debatable)
As stated previously, the syntax in SPSS is aweful (I can't stress this enough). On the other hand, R can be painful to learn, but there are tons of resources online and in the end it pays much more because of the different things you can do.
Again, like everyone else says, the sky is the limit with R. Tons of packages, resources and more importantly: indepedence to do as you please. In my organization we have some very high level functions that get a lot done. The hard part is creating them once, but then they perform complicated tasks that SPSS would tangle in a never ending web of canvas. This is specially true for things like loops.
It is often overlooked, but R also has plenty of features to cooperate between teams (github integration with RStudio, and easy package building with devtools).
Actually, if everyone in your organization knows R, all you need is to maintain a basic package on github to share everything. This of course is not the norm, which is why I think SPSS, although a worst product, still has a market.
I have not data for it, but from my experience I can tell you one thing:
SPSS is a lot slower than R. (And with a lot, I really mean a lot)
The magnitude of the difference is probably as big as the one between C++ and R.
For example, I never have to wait longer than a couple of seconds in R. Using SPSS and similar data, I had calculations that took longer than 10 minutes.
As an unrelated side note: In my eyes, in the recent discussion on the speed of R, this point was somehow overlooked (i.e., the comparison with SPSS). Furthermore, I am astonished how this discussion popped up for a while and silently disappeared again.
There are some great responses above, but I will try to provide my 2 cents. My department completely relies on SPSS for our work, but in recent months, I have been making a conscious effort to learn R; in part, for some of the reasons itemized above (speed, vast data structures, available packages, etc.)
That said, here are a few things I have picked up along the way:
Unless you have some experience programming, I think creating summary tables in CTABLES destroys any available option in R. To date, I am unaware package that can replicate what can be created using Custom Tables.
SPSS does appear to be slower when scripting, and yes, SPSS syntax is terrible. That said, I have found that scipts in SPSS can always be improved but using the EXECUTE command sparingly.
SPSS and R can interface with each other, although it appears that it's one way (only when using R inside of SPSS, not the other way around). That said, I have found this to be of little use other than if I want to use ggplot2 or for some other advanced data management techniques. (I despise SPSS macros).
I have long felt that "reporting" work created in SPSS is far inferior to other solutions. As mentioned above, if you can leverage LaTex and Sweave, you will be very happy with your efficient workflows.
I have been able to do some advanced analysis by leveraging OMS in SPSS. Almost everything can be routed to a new dataset, but I have found that most SPSS users don't use this functionality. Also, when looking at examples in R, it just feels "easier" than using OMS.
In short, I find myself using SPSS when I can't figure it out quickly in R, but I sincerely have every intention of getting away from SPSS and using R entirely at some point in the near future.
SPSS provides a GUI to easily integrate existing R programs or develop new ones. For more info, see the SPSS Community on IBM Developer Works.
#Henrik, I did the same task you have mentioned (C++ and R) on SPSS. And it turned out that SPSS is faster compared to R on this one. In my case SPSS is aprox. 7 times faster. I am surprised about it.
Here is a code I used in SPSS.
data list free
/x (f8.3).
begin data
1
end data.
comp n = 1e6.
comp t1 = $time.
loop #rep = 1 to 10.
comp x = 1.
loop #i=1 to n.
comp x = 1/(1+x).
end loop.
end loop.
comp t2 = $time.
comp elipsed = t2 - t1.
form elipsed (f8.2).
exe.
Check out this video why is good to combine SPSS and R...
Link
http://bluemixanalytics.wordpress.com/2014/08/29/7-good-reasons-to-combine-ibm-spss-analytics-and-r/
If you have a compatible copy of R installed, you can connect to it from IBM SPSS Modeler and carry out model building and model scoring using custom R algorithms that can be deployed in IBM SPSS Modeler. You must also have a copy of IBM SPSS Modeler - Essentials for R installed. IBM SPSS Modeler - Essentials for R provides you with tools you need to start developing custom R applications for use with IBM SPSS Modeler.
The truth is: both packages are useful if you do data analysis professionally. Sure, R / RStudio has more statistical methods implemented than SPSS. But SPSS is much easier to use and gives more information per each button click. And, therefore, it is faster to exploit whenever a particular analysis is implemented in both R and SPSS.
In the modern age, neither CPU nor memory is the most valuable resource. Researcher's time is the most valuable resource. Also, tables in SPSS are more visually pleasing, in my opinion.
In summary, R and SPSS complement each other well.

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