nns-pm 0.1.1

Python port of nonlinear nonparametric statistics from R NNS

PyNNS

Nonlinear nonparametric statistics in Python.

PyNNS is an alpha Python port of the R NNS 12.0 package. It provides partial-moment statistics, nonlinear dependence, regression, classification, forecasting, bootstrap, and related tools in Python on top of NumPy, SciPy, and Polars.

• PyPI package: nns-pm
• Import name: pynns
• Status: alpha, parity-focused
• R required for normal use: no
• License: GPL-3.0-only

Documentation

• API status and known gaps
• Behavior conventions and intentional divergences
• Benchmarks
• Examples

PyNNS aims to match installed R NNS public behavior where it is stable, documented, and useful. It does not try to reproduce every R internal helper, plotting side effect, data-frame quirk, or hidden runtime data fetch.

Installation

pip install nns-pm

Optional FRED nowcast provider:

pip install "nns-pm[fred]"

The optional FRED provider loads fredapi only when used. PyNNS does not auto-load .env files and does not fetch network data unless an explicit provider is passed.

R and the R NNS package are only needed by maintainers regenerating live parity fixtures. Normal Python users do not need R installed.

Minimal Examples

Partial Moments

import numpy as np
from pynns import lpm, upm

x = np.array([-2.0, -1.0, 0.5, 3.0])

downside = lpm(2, 0.0, x)
upside = upm(2, 0.0, x)

Nonlinear Dependence

import numpy as np
from pynns import nns_dep

x = np.linspace(-2.0, 2.0, 50)
y = x**2

result = nns_dep(x, y)
print(result["Dependence"], result["Correlation"])

Regression

import numpy as np
from pynns import nns_reg

x = np.linspace(-3.0, 3.0, 80)
y = np.sin(x) + 0.2 * x

fit = nns_reg(x, y, point_est=np.array([-1.0, 0.0, 1.0]))
print(fit["Point.est"])

User-Supplied Nowcast Panel

from collections import OrderedDict
from pynns import nns_nowcast_panel

panel = OrderedDict(
    {
        "series_a": [1.0, 1.2, 1.4, 1.5, 1.7],
        "series_b": [2.0, 1.9, 2.1, 2.3, 2.4],
    }
)

forecast = nns_nowcast_panel(panel, h=2, tau=1)

Default live nns_nowcast() fetching is intentionally not implemented. Use nns_nowcast_panel(...) for deterministic data, or nns_nowcast(fetch=True, provider_backend=...) with an explicit provider such as CsvNowcastProvider or optional FredApiNowcastProvider.

Main Features

• Core partial moments: lpm, upm, ratios, co-moments, and partial-moment matrices.
• Dependence, copula, causation, CDF, distance, and normalization helpers.
• Regression, multivariate regression, classification, stack, and boost paths.
• ARMA, VAR, seasonality, and deterministic user-panel nowcasting.
• Monte Carlo and maximum-entropy bootstrap wrappers.
• Stochastic dominance, stochastic superiority, and SD clustering.
• R parity and Python-native invariant tests for public behavior.

Current Limitations

PyNNS is not full R parity yet. The main mathematical gap is dy_d:

• Scalar dy_d(eval_points="last"), "obs", and "apd" have known parity gaps and are kept as xfail tests.
• Vectorized non-mean dy_d and vectorized mixed=True modes are guarded.
• Default hidden live nns_nowcast() provider fetching is guarded by design.
• Direct raw-factor nns_m_reg(..., factor_2_dummy=True) is guarded; use the public nns_reg factor-expansion path instead.

See the API status table for the full status table.

Testing

PyNNS tests public behavior against installed R NNS where useful. Tests compare public keys, shapes, labels, signs, selected variables, and numerical values within documented tolerances.

Exact random-stream parity is not expected for stochastic paths because PyNNS uses NumPy RNG while R NNS uses R's RNG. Those paths are tested structurally and statistically.

Development

uv sync --group dev
uv run pytest
uv run ruff check .
uv run mypy

Offline parity-cache run:

PYNNS_OFFLINE=1 uv run pytest -q -m "not benchmark and not stochastic"

Attribution

NNS was created by Fred Viole as the companion R package to Viole, F. and Nawrocki, D. (2013), Nonlinear Nonparametric Statistics: Using Partial Moments.

Upstream: OVVO-Financial/NNS