crabbymetrics 0.4.0

Rust-backed econometrics models with a scikit-adjacent Python API.

crabbymetrics

Rust-backed econometrics 🦀🔢 models with a scikit-adjacent Python API. Focus: extremely low dependency (just numpy), simple, fast estimators with robust standard errors and bootstrap support.

Features

• OLS, FixedEffectsOLS, SyntheticControl, ElasticNet, Logit, Multinomial Logit, Poisson, TwoSLS, FTRL
• ElasticNet spans the ridge and lasso corners: use l1_ratio=0.0 for ridge-style shrinkage and l1_ratio=1.0 for lasso-style shrinkage
• PCA and KernelBasis for feature engineering before regression-style estimation
• Optimizers namespace exposing LBFGS, BFGS, NonlinearConjugateGradient, Gauss-Newton least squares, and SimulatedAnnealing
• fit, predict, summary, bootstrap
• HC1 standard errors where applicable

Install

This package is built with pyo3/maturin and ships as native wheels.

uv pip install crabbymetrics

Example

import numpy as np
from crabbymetrics import OLS

x = np.random.randn(200, 3)
beta = np.array([1.0, -2.0, 0.5])
y = 0.3 + x @ beta + np.random.randn(200) * 0.1

model = OLS()
model.fit(x, y)
print(model.summary())

The direct optimizer wrappers live under Optimizers and follow a lightweight scipy-style interface:

import numpy as np
from crabbymetrics import Optimizers

def objective(theta):
    return float((theta[0] - 1.0) ** 2 + 2.0 * (theta[1] + 2.0) ** 2)

def gradient(theta):
    return np.array([2.0 * (theta[0] - 1.0), 4.0 * (theta[1] + 2.0)])

result = Optimizers.minimize_lbfgs(objective, np.array([4.0, 3.0]), gradient)
print(result["x"], result["fun"])

Benchmarks

The latest cross-library runtime snapshot is checked into benchmarks/runtime_comparison.csv with the corresponding plot in benchmarks/runtime_comparison.png.

This benchmark used synthetic problems with p=5, sample sizes from 10^3 to 10^6, fit-only timing, and a 45-second per-fit timeout.

• OLS is competitive already and was faster than both scikit-learn and statsmodels at n=10^6.
• Poisson beats statsmodels comfortably but still trails scikit-learn at larger n.
• Logit and especially MultinomialLogit are the main performance gaps to close before adding more iterative GLM-style estimators.

Development

Create and populate the project virtual environment, then build the extension into that venv.

uv sync
uv run maturin develop

uv run maturin develop is sufficient for rebuilding and reinstalling the package in .venv once the environment exists. If you change Python dependencies or the pyproject.toml metadata, run uv sync again first.

Package versioning is sourced from Cargo.toml. The Python package metadata is dynamic, and commit_tag_release.sh reads the crate version directly before creating the vX.Y.Z tag.

Rendered examples and API docs live under docs/. Rebuild the site with quarto render docs. For the plotting examples, install the docs extra first: uv sync --extra docs.

Wheels

Wheels are platform-specific and included in GitHub releases. See the releases tab.