Source code for statsmodels.multivariate.manova

# -*- coding: utf-8 -*-

"""Multivariate analysis of variance

author: Yichuan Liu
"""
from __future__ import division

import numpy as np
from statsmodels.base.model import Model
from .multivariate_ols import _multivariate_ols_test, _hypotheses_doc
from .multivariate_ols import _multivariate_ols_fit
from .multivariate_ols import MultivariateTestResults
__docformat__ = 'restructuredtext en'


class MANOVA(Model):
    """
    Multivariate analysis of variance
    The implementation of MANOVA is based on multivariate regression and does
    not assume that the explanatory variables are categorical. Any type of
    variables as in regression is allowed.

    Parameters
    ----------
    endog : array_like
        Dependent variables. A nobs x k_endog array where nobs is
        the number of observations and k_endog is the number of dependent
        variables.
    exog : array_like
        Independent variables. A nobs x k_exog array where nobs is the
        number of observations and k_exog is the number of independent
        variables. An intercept is not included by default and should be added
        by the user. Models specified using a formula include an intercept by
        default.

    Attributes
    ----------
    endog : array
        See Parameters.
    exog : array
        See Parameters.

    References
    ----------
    .. [*] ftp://public.dhe.ibm.com/software/analytics/spss/documentation/statistics/20.0/en/client/Manuals/IBM_SPSS_Statistics_Algorithms.pdf
    """
    def __init__(self, endog, exog, missing='none', hasconst=None, **kwargs):
        if len(endog.shape) == 1 or endog.shape[1] == 1:
            raise ValueError('There must be more than one dependent variable'
                             ' to fit MANOVA!')
        super(MANOVA, self).__init__(endog, exog, missing=missing,
                                     hasconst=hasconst, **kwargs)
        self._fittedmod = _multivariate_ols_fit(self.endog, self.exog)

    def mv_test(self, hypotheses=None):
        if hypotheses is None:
            if (hasattr(self, 'data') and self.data is not None and
                        hasattr(self.data, 'design_info')):
                terms = self.data.design_info.term_name_slices
                hypotheses = []
                for key in terms:
                    L_contrast = np.eye(self.exog.shape[1])[terms[key], :]
                    hypotheses.append([key, L_contrast, None])
            else:
                hypotheses = []
                for i in range(self.exog.shape[1]):
                    name = 'x%d' % (i)
                    L = np.zeros([1, self.exog.shape[1]])
                    L[i] = 1
                    hypotheses.append([name, L, None])

        results = _multivariate_ols_test(hypotheses, self._fittedmod,
                                         self.exog_names, self.endog_names)

        return MultivariateTestResults(results, self.endog_names,
                                       self.exog_names)
    mv_test.__doc__ = (
"""
Linear hypotheses testing

Parameters
----------
""" + _hypotheses_doc + """

Returns
-------
results: MultivariateTestResults

Notes
-----
Testing the linear hypotheses

    L * params * M = 0

where `params` is the regression coefficient matrix for the
linear model y = x * params
""")