chowclassifier 1.1.3

Classification of time trends using Chow test

ChowClassifier

Description

There are many application where it is useful to analyse rapidly a large number of time-series for overall trends and possible breakpoint at which the trend changes. For example, spotting increasing trends in potential contaminants concentration from the outputs of non-target screening from high resolution mass spectrometry.

ChowClassifier aims to solve this. It is a script that performs a series of Chow tests on a time-indexed dataset to determine if a breakpoint in the time trends is probable. Two classes Chow and ChewData enable to perform the tests, generate plots and export the results in csv and excel. Dataset with groups can be ran simultaneously with ChewData indicating with namecol the name of the grouping column. Calling run on a ChewData instance will create an instance of Chow for each group and classify them into the following categories.

Breakpoint ?	Category	Description
No	N	non-significant overall trend
No	I	significant increasing overall trend
No	D	significant decreasing overall trend
Yes	NN	non-significant trend on set1 and non-significant trend on set2
Yes	NI	non-significant trend on set1 and significant increasing trend on set2
Yes	ND	non-significant trend on set1 ans significant decreasing trend on set2
Yes	IN	significant increasing trend on set1 and non-significant trend on set2
Yes	ID	significant increasing trend on set1 and significant decreasing trend on set2
Yes	iI	significant increasing trend on both set1 and set2 with greater increase in set2
Yes	Ii	significant increasing trend on both set1 and set2 with greater increase in set1
Yes	DN	significant decreasing trend on set1 and non-significant trend on set2
Yes	DI	significant decreasing trend on set1 and significant increasing trend on set2
Yes	dD	significant decreasing trend on both set1 and set2 with greater decrease in set2
Yes	Dd	significant decreasing trend on both set1 and set2 with greater decrease in set1

where set1 and set2 indicate respectively the data before the breakpoint and after. The decision process for this classification is shown in the following schema:

Chow test

Chow test was first derived by Gregory Chow[^1] in 1960 and later by Franklin Fisher[^2]. We test the significance of the breakpoint under the null hypothesis $Z=\frac{S_c-(S_1+S_2)}{S_1+S_2}\cdot\frac{N_1+N_2-2\cdot k}{k}$ where $k=3$ is the total number of parameters. This follows a F-distribution with $3$ and $N_1+N_2-6$ degrees of freedom, where $S_C$ is the sum of squared residuals of the regression on the full time series, $S_1$, $S_2$ are the sums of squared residuals of the regression on the first, and respectively, the second half of the time series and $N_1$, $N_2$ are the number of observation for each half. See also [^3].

Installation

pip install chowclassifier

Citation

If you use this package in your research, please cite:

Influence of Season on Biodegradation Rates in Rivers Run Tian, Malte Posselt, Luc T. Miaz, Kathrin Fenner, and Michael S. McLachlan Environmental Science & Technology 2024 58 (16), 7144-7153 DOI: 10.1021/acs.est.3c10541

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Use

The script can be ran on any file with python -m chowclassifier -f path/to/file/filename.csv -X xcol -y ycol -n grouping_name or it can be imported:

from chowclassifier import ChewData
# define the path to data
filepath = "example/data"
# define the name of the file containing the data (with extension)
filename = "stocks.csv"
# define the path where figures will be saved
savingpath_figures = 'example/fig'
# what name has the X/time column?
timecol = 'Date'
# what name has the y/value column?
ycol = 'Close'
# what level of confidence? Note, when
# testing multiple breakpoint, a Bonferroni correction will be applied
alpha = 0.01
# what level of confidence? Note, when
# testing multiple breakpoint, a Bonferroni correction will be applied
alpha = 0.01
# initial breakpoint ?
initial_breakpoint = None

C = ChewData(filename = f"{'/'.join([x for x in [filepath,filename] if x not in [None,'']])}",
            timecol = timecol,# name of time column (used as x-axis)
            ycol = ycol,# name for value column (used as y-axis) Leave blank if multiple
            alpha = alpha# level of confidence to use
            )
            timecol = timecol,# name of time column (used as x-axis)
            ycol = ycol,# name for value column (used as y-axis) Leave blank if multiple
            alpha = alpha# level of confidence to use
            )

########## use the code line below if your X/time column is not a number, e.g. a date
########## comment it otherwise
# C.parse_timecol(date_format = '%Y-%m-%d') # 
# C.parse_timecol(date_format = '%Y-%m-%d') # 

C.run(initial_breakpoint = initial_breakpoint)
C.plot(xlabel = 'time',# label for x axis
       ylabel='value',# label for y axis
       title = "Chow Classification",# title of the main plot
       filename = f"{'/'.join([x for x in [savingpath_figures,filename] if x not in [None,'']])}.png",# filename for the figure
       figsize=(16,8),# figure size
       sharey=True # whether the individual plots are forced to share y axis
       )
C.plot_individually(savingpath = savingpath_figures,# Saving path for the figures
                    format = 'png',# figure format
                    xlabel = 'time',# label for x axis
                    ylabel='value',# label for y axis
                    )

C.plot_by_group('g',
                savingpath = savingpath_figures,# Saving path for the figures
                format = 'png',# figure format
                xlabel = 'time',# label for x axis
                ylabel='value',# label for y axis
                plot_overall = True,# Whether to plot an overall trend across groups (including confidence inverval fill)
                plot_individual_fill = True# Whether to plot individual confidence inverval fills
                )
C.run(initial_breakpoint = initial_breakpoint)
C.plot(xlabel = 'time',# label for x axis
       ylabel='value',# label for y axis
       title = "Chow Classification",# title of the main plot
       filename = f"{'/'.join([x for x in [savingpath_figures,filename] if x not in [None,'']])}.png",# filename for the figure
       figsize=(16,8),# figure size
       sharey=True # whether the individual plots are forced to share y axis
       )
C.plot_individually(savingpath = savingpath_figures,# Saving path for the figures
                    format = 'png',# figure format
                    xlabel = 'time',# label for x axis
                    ylabel='value',# label for y axis
                    )

C.plot_by_group('g',
                savingpath = savingpath_figures,# Saving path for the figures
                format = 'png',# figure format
                xlabel = 'time',# label for x axis
                ylabel='value',# label for y axis
                plot_overall = True,# Whether to plot an overall trend across groups (including confidence inverval fill)
                plot_individual_fill = True# Whether to plot individual confidence inverval fills
                )

References

[^1]: Chow, Gregory C. ‘Test of Equality Between Sets of Coefficients in Two Linear Regressions’. Econometrica 28, no. 3 (1960): 591–605. jstor.org/stable/1910133.

[^2]: Fisher, Franklin M. ‘Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note’. Econometrica2 38, no. 2 (1970): 361–66. jstor.org/stable/1913018.

[^3]: Chow test entry on Wikipedia: https://en.wikipedia.org/wiki/Chow_test

Version changes

1.1.1 Fixed empty unused plots, added breakpoint-margin constraints, added test example, added CI. 1.0.10 Minor addition, with show_legend option 1.0.9 Correction of bugs, added jupyter notebook example. 1.0.8 Correction of bugs. 1.0.7 Split main classes and utilities in multiple files, added option to ChewData.plot to have grouped trends, corrected input parsing, corrected inconsistancy with intial_breakpoint/margin Added option to change linestyle by trend individually 1.0.5 Added option to plot confidence interval fill for individual group trends 1.0.4 Added support for plotting individual trends by group 1.0.3 Bug correction 1.0.2 Added support to parse full csv/excel automatically 1.0.1 First implementation of algorithm