# -*- coding: utf-8 -*-
"""
This algorithm determines if a spike train `spk` can be considered as
stationary process (constant firing rate) or not as stationary process (i.e.
presence of one or more points at which the rate increases or decreases). In
case of non-stationarity, the output is a list of detected Change Points (CPs).
Essentially, a det of two-sided window of width `h` (`_filter(t, h, spk)`)
slides over the spike train within the time `[h, t_final-h]`. This generates a
`_filter_process(dt, h, spk)` that assigns at each time `t` the difference
between a spike lying in the right and left window. If at any time `t` this
difference is large 'enough' is assumed the presence of a rate Change Point in
a neighborhood of `t`. A threshold `test_quantile` for the maximum of
the filter_process (max difference of spike count between the left and right
window) is derived based on asymptotic considerations. The procedure is
repeated for an arbitrary set of windows, with different size `h`.
Examples
--------
The following applies multiple_filter_test to a spike trains.
>>> import quantities as pq
>>> import neo
>>> from elephant.change_point_detection import multiple_filter_test
...
>>> test_array = [1.1,1.2,1.4, 1.6,1.7,1.75,1.8,1.85,1.9,1.95]
>>> st = neo.SpikeTrain(test_array, units='s', t_stop = 2.1)
>>> window_size = [0.5]*pq.s
>>> t_fin = 2.1*pq.s
>>> alpha = 5.0
>>> num_surrogates = 10000
>>> change_points = multiple_filter_test(window_size, st, t_fin, alpha,
... num_surrogates, dt = 0.5*pq.s)
References
----------
Messer, M., Kirchner, M., Schiemann, J., Roeper, J., Neininger, R., & Schneider,
G. (2014). A multiple filter test for the detection of rate changes in renewal
processes with varying variance. The Annals of Applied Statistics, 8(4),2027-2067.
Original code
-------------
Adapted from the published R implementation:
DOI: 10.1214/14-AOAS782SUPP;.r
"""
from __future__ import division, print_function, unicode_literals
import numpy as np
import quantities as pq
[docs]def multiple_filter_test(window_sizes, spiketrain, t_final, alpha,
n_surrogates, test_quantile=None, test_param=None,
dt=None):
"""
Detects change points.
This function returns the detected change points, that correspond to the
maxima of the `_filter_processes`. These are the processes generated by
sliding the windows of step `dt`; at each step the difference between spike
on the right and left window is calculated.
Parameters
----------
window_sizes : list of quantity objects
list that contains windows sizes
spiketrain : neo.SpikeTrain, numpy array or list
spiketrain objects to analyze
t_final : quantity
final time of the spike train which is to be analysed
alpha : float
alpha-quantile in range [0, 100] for the set of maxima of the limit
processes
n_surrogates : integer
numbers of simulated limit processes
test_quantile : float
threshold for the maxima of the filter derivative processes, if any
of these maxima is larger than this value, it is assumed the
presence of a cp at the time corresponding to that maximum
dt : quantity
resolution, time step at which the windows are slided
test_param : np.array of shape (3, num of window),
first row: list of `h`, second and third rows: empirical means and
variances of the limit process correspodning to `h`. This will be
used to normalize the `filter_process` in order to give to the
every maximum the same impact on the global statistic.
Returns
-------
cps : list of list
one list for each window size `h`, containing the points detected with
the corresponding `filter_process`. N.B.: only cps whose h-neighborhood
does not include previously detected cps (with smaller window h) are
added to the list.
"""
if (test_quantile is None) and (test_param is None):
test_quantile, test_param = empirical_parameters(window_sizes, t_final,
alpha, n_surrogates,
dt)
elif test_quantile is None:
test_quantile = empirical_parameters(window_sizes, t_final, alpha,
n_surrogates, dt)[0]
elif test_param is None:
test_param = empirical_parameters(window_sizes, t_final, alpha,
n_surrogates, dt)[1]
spk = spiketrain
# List of lists of detected change points (CPs), to be returned
cps = []
for i, h in enumerate(window_sizes):
# automatic setting of dt
dt_temp = h / 20 if dt is None else dt
# filter_process for window of size h
t, differences = _filter_process(dt_temp, h, spk, t_final, test_param)
time_index = np.arange(len(differences))
# Point detected with window h
cps_window = []
while np.max(differences) > test_quantile:
cp_index = np.argmax(differences)
# from index to time
cp = cp_index * dt_temp + h
#print("detected point {0}".format(cp), "with filter {0}".format(h))
# before repeating the procedure, the h-neighbourgs of detected CP
# are discarded, because rate changes into it are alrady explained
mask_fore = time_index > cp_index - int((h / dt_temp).simplified)
mask_back = time_index < cp_index + int((h / dt_temp).simplified)
differences[mask_fore & mask_back] = 0
# check if the neighbourhood of detected cp does not contain cps
# detected with other windows
neighbourhood_free = True
# iterate on lists of cps detected with smaller window
for j in range(i):
# iterate on CPs detected with the j-th smallest window
for c_pre in cps[j]:
if c_pre - h < cp < c_pre + h:
neighbourhood_free = False
break
# if none of the previously detected CPs falls in the h-
# neighbourhood
if neighbourhood_free:
# add the current CP to the list
cps_window.append(cp)
# add the present list to the grand list
cps.append(cps_window)
return cps
def _brownian_motion(t_in, t_fin, x_in, dt):
"""
Generate a Brownian Motion.
Parameters
----------
t_in : quantities,
initial time
t_fin : quantities,
final time
x_in : float,
initial point of the process: _brownian_motio(0) = x_in
dt : quantities,
resolution, time step at which brownian increments are summed
Returns
-------
Brownian motion on [t_in, t_fin], with resolution dt and initial state x_in
"""
u = 1 * pq.s
try:
t_in_sec = t_in.rescale(u).magnitude
except ValueError:
raise ValueError("t_in must be a time quantity")
try:
t_fin_sec = t_fin.rescale(u).magnitude
except ValueError:
raise ValueError("t_fin must be a time quantity")
try:
dt_sec = dt.rescale(u).magnitude
except ValueError:
raise ValueError("dt must be a time quantity")
x = np.random.normal(0, np.sqrt(dt_sec),
size=int((t_fin_sec - t_in_sec) / dt_sec))
s = np.cumsum(x)
return s + x_in
def _limit_processes(window_sizes, t_final, dt):
"""
Generate the limit processes (depending only on t_final and h), one for
each window size `h` in H. The distribution of maxima of these processes
is used to derive threshold `test_quantile` and parameters `test_param`.
Parameters
----------
window_sizes : list of quantities
set of windows' size
t_final : quantity object
end of limit process
dt : quantity object
resolution, time step at which the windows are slided
Returns
-------
limit_processes : list of numpy array
each entries contains the limit processes for each h,
evaluated in [h,T-h] with steps dt
"""
limit_processes = []
u = 1 * pq.s
try:
window_sizes_sec = window_sizes.rescale(u).magnitude
except ValueError:
raise ValueError("window_sizes must be a list of times")
try:
dt_sec = dt.rescale(u).magnitude
except ValueError:
raise ValueError("dt must be a time quantity")
w = _brownian_motion(0 * u, t_final, 0, dt)
for h in window_sizes_sec:
# BM on [h,T-h], shifted in time t-->t+h
brownian_right = w[int(2 * h / dt_sec):]
# BM on [h,T-h], shifted in time t-->t-h
brownian_left = w[:int(-2 * h / dt_sec)]
# BM on [h,T-h]
brownian_center = w[int(h / dt_sec):int(-h / dt_sec)]
modul = np.abs(brownian_right + brownian_left - 2 * brownian_center)
limit_process_h = modul / (np.sqrt(2 * h))
limit_processes.append(limit_process_h)
return limit_processes
[docs]def empirical_parameters(window_sizes, t_final, alpha, n_surrogates, dt=None):
"""
This function generates the threshold and the null parameters.
The`_filter_process_h` has been proved to converge (for t_fin, h-->infinity)
to a continuous functional of a Brownaian motion ('limit_process').
Using a MonteCarlo technique, maxima of these limit_processes are
collected.
The threshold is defined as the alpha quantile of this set of maxima.
Namely:
test_quantile := alpha quantile of {max_(h in window_size)[
max_(t in [h, t_final-h])_limit_process_h(t)]}
Parameters
----------
window_sizes : list of quantity objects
set of windows' size
t_final : quantity object
final time of the spike
alpha : float
alpha-quantile in range [0, 100]
n_surrogates : integer
numbers of simulated limit processes
dt : quantity object
resolution, time step at which the windows are slided
Returns
-------
test_quantile : float
threshold for the maxima of the filter derivative processes, if any
of these maxima is larger than this value, it is assumed the
presence of a cp at the time corresponding to that maximum
test_param : np.array 3 * num of window,
first row: list of `h`, second and third rows: empirical means and
variances of the limit process correspodning to `h`. This will be
used to normalize the `filter_process` in order to give to the every
maximum the same impact on the global statistic.
"""
# try:
# window_sizes_sec = window_sizes.rescale(u)
# except ValueError:
# raise ValueError("H must be a list of times")
# window_sizes_mag = window_sizes_sec.magnitude
# try:
# t_final_sec = t_final.rescale(u)
# except ValueError:
# raise ValueError("T must be a time quantity")
# t_final_mag = t_final_sec.magnitude
if not isinstance(window_sizes, pq.Quantity):
raise ValueError("window_sizes must be a list of time quantities")
if not isinstance(t_final, pq.Quantity):
raise ValueError("t_final must be a time quantity")
if not isinstance(n_surrogates, int):
raise TypeError("n_surrogates must be an integer")
if not (isinstance(dt, pq.Quantity) or (dt is None)):
raise ValueError("dt must be a time quantity")
if t_final <= 0:
raise ValueError("t_final needs to be strictly positive")
if alpha * (100.0 - alpha) < 0:
raise ValueError("alpha needs to be in (0,100)")
if np.min(window_sizes) <= 0:
raise ValueError("window size needs to be strictly positive")
if np.max(window_sizes) >= t_final / 2:
raise ValueError("window size too large")
if dt is not None:
for h in window_sizes:
if int(h.rescale('us')) % int(dt.rescale('us')) != 0:
raise ValueError(
"Every window size h must be a multiple of dt")
# Generate a matrix M*: n X m where n = n_surrogates is the number of
# simulated limit processes and m is the number of chosen window sizes.
# Elements are: M*(i,h) = max(t in T)[`limit_process_h`(t)],
# for each h in H and surrogate i
maxima_matrix = []
for i in range(n_surrogates):
# mh_star = []
simu = _limit_processes(window_sizes, t_final, dt)
# for i, h in enumerate(window_sizes_mag):
# # max over time of the limit process generated with window h
# m_h = np.max(simu[i])
# mh_star.append(m_h)
# max over time of the limit process generated with window h
mh_star = [np.max(x) for x in simu]
maxima_matrix.append(mh_star)
maxima_matrix = np.asanyarray(maxima_matrix)
# these parameters will be used to normalize both the limit_processes (H0)
# and the filter_processes
null_mean = maxima_matrix.mean(axis=0)
null_var = maxima_matrix.var(axis=0)
# matrix normalization by mean and variance of the limit process, in order
# to give, for every h, the same impact on the global maximum
matrix_normalized = (maxima_matrix - null_mean) / np.sqrt(null_var)
great_maxs = np.max(matrix_normalized, axis=1)
test_quantile = np.percentile(great_maxs, 100.0 - alpha)
null_parameters = [window_sizes, null_mean, null_var]
test_param = np.asanyarray(null_parameters)
return test_quantile, test_param
def _filter(t, h, spk):
"""
This function calculates the difference of spike counts in the left and right
side of a window of size h centered in t and normalized by its variance.
The variance of this count can be expressed as a combination of mean and var
of the I.S.I. lying inside the window.
Parameters
----------
h : quantity
window's size
t : quantity
time on which the window is centered
spk : list, numpy array or SpikeTrain
spike train to analyze
Returns
-------
difference : float,
difference of spike count normalized by its variance
"""
u = 1 * pq.s
try:
t_sec = t.rescale(u).magnitude
except AttributeError:
raise ValueError("t must be a quantities object")
# tm = t_sec.magnitude
try:
h_sec = h.rescale(u).magnitude
except AttributeError:
raise ValueError("h must be a time quantity")
# hm = h_sec.magnitude
try:
spk_sec = spk.rescale(u).magnitude
except AttributeError:
raise ValueError(
"spiketrain must be a list (array) of times or a neo spiketrain")
# cut spike-train on the right
train_right = spk_sec[(t_sec < spk_sec) & (spk_sec < t_sec + h_sec)]
# cut spike-train on the left
train_left = spk_sec[(t_sec - h_sec < spk_sec) & (spk_sec < t_sec)]
# spike count in the right side
count_right = train_right.size
# spike count in the left side
count_left = train_left.size
# form spikes to I.S.I
isi_right = np.diff(train_right)
isi_left = np.diff(train_left)
if isi_right.size == 0:
mu_ri = 0
sigma_ri = 0
else:
# mean of I.S.I inside the window
mu_ri = np.mean(isi_right)
# var of I.S.I inside the window
sigma_ri = np.var(isi_right)
if isi_left.size == 0:
mu_le = 0
sigma_le = 0
else:
mu_le = np.mean(isi_left)
sigma_le = np.var(isi_left)
if (sigma_le > 0) & (sigma_ri > 0):
s_quad = (sigma_ri / mu_ri**3) * h_sec + (sigma_le / mu_le**3) * h_sec
else:
s_quad = 0
if s_quad == 0:
difference = 0
else:
difference = (count_right - count_left) / np.sqrt(s_quad)
return difference
def _filter_process(dt, h, spk, t_final, test_param):
"""
Given a spike train `spk` and a window size `h`, this function generates
the `filter derivative process` by evaluating the function `_filter`
in steps of `dt`.
Parameters
----------
h : quantity object
window's size
t_final : quantity,
time on which the window is centered
spk : list, array or SpikeTrain
spike train to analyze
dt : quantity object, time step at which the windows are slided
resolution
test_param : matrix, the means of the first row list of `h`,
the second row Empirical and the third row variances of
the limit processes `Lh` are used to normalize the number
of elements inside the windows
Returns
-------
time_domain : numpy array
time domain of the `filter derivative process`
filter_process : array,
values of the `filter derivative process`
"""
u = 1 * pq.s
try:
h_sec = h.rescale(u).magnitude
except AttributeError:
raise ValueError("h must be a time quantity")
try:
t_final_sec = t_final.rescale(u).magnitude
except AttributeError:
raise ValueError("t_final must be a time quanity")
try:
dt_sec = dt.rescale(u).magnitude
except AttributeError:
raise ValueError("dt must be a time quantity")
# domain of the process
time_domain = np.arange(h_sec, t_final_sec - h_sec, dt_sec)
filter_trajectrory = []
# taken from the function used to generate the threshold
emp_mean_h = test_param[1][test_param[0] == h]
emp_var_h = test_param[2][test_param[0] == h]
for t in time_domain:
filter_trajectrory.append(_filter(t * u, h, spk))
filter_trajectrory = np.asanyarray(filter_trajectrory)
# ordered normalization to give each process the same impact on the max
filter_process = (
np.abs(filter_trajectrory) - emp_mean_h) / np.sqrt(emp_var_h)
return time_domain, filter_process