from sklearn.decomposition import PCA class LinearPCA: def __init__(self, X, Ncomp=10): ## define color palette to use for plotting #self.__palette = 'YlGn' #numerical_data, categorical_data, scaled_values = col_cat(X) #self.catdata = list(categorical_data.columns) ## input matrix self.__x = X self._varnames = X.columns self._rownames = X.index ## set the number of components to compute and fit the model self.__ncp = Ncomp M = PCA(n_components = self.__ncp) M.fit(self.__x) ######## results ######## # Explained variability self.__pcnames = [f'PC{i+1}({100 * M.explained_variance_ratio_[i].round(2)}%)' for i in range(self.__ncp)] self._Qexp_ratio = pd.DataFrame(100 * M.explained_variance_ratio_, columns = ["Qexp"], index= [f'PC{i+1}' for i in range(self.__ncp)]) # Loadings and scores #scores s = M.transform(self.__x) self.__t = s self._t = s self._r = pd.DataFrame(2*(s-s.min(axis=0))/(s.max(axis=0)-s.min(axis=0)) -1, index= self._rownames) self._r.columns = self.__pcnames # Normalize each loading vector to have unit length self._p = (M.components_ / np.linalg.norm(M.components_, axis=0)).T # Matrix reconstruction or prediction making # self.res = pd.DataFrame() for i in range(self.__ncp): self._xp = np.dot(self.__t[:,i].reshape((-1,1)), self._p[:,i].reshape((1,-1))) # residuals self._e = self.__x - self._xp self.res[self.__pcnames[i]] = np.diag(self._e@self._e.T) #self._res = pd.DataFrame( self._e, columns = self._varnames, index = self._rownames ) self._xp = self.__t @ self._p.T # Compute the cosine similarity between the normalized loading vectors self.lev = {} ## Laverage: leverage values range between 0 and 1 for i in range(self._t.shape[1]): ti = self._t[:,i].reshape((-1,1)) Hat = ti @ np.linalg.pinv(np.transpose(ti) @ ti) @ np.transpose(ti) self.lev[self._r.columns[i]] = ti.ravel() self.leverage = pd.DataFrame(self.lev) ## Hotelling t2 self.eigvals = M.singular_values_**2 self.Lambda = np.diag(self.eigvals) self.T2 = pd.DataFrame() tt = self._r.to_numpy() for i in range(self._t.shape[1]): self.T2[self.__pcnames[i]] = np.diag(self.__t[:,i].reshape((-1,1)) @ np.linalg.inv(np.array(self.Lambda[i,i]).reshape((1,1))) @ np.transpose(self.__t[:,i].reshape((-1,1)))) @property def scores_(self): return pd.DataFrame(self._r) @property def loadings_(self): return pd.DataFrame(self._p, columns=self.__pcnames, index=self._varnames) @property def leverage_(self): return self.leverage @property def residuals(self): return self.res @property def hotelling(self): #return pd.DataFrame(self.T2) return self.T2