bootstrap.py

"""
Bootstrap in Python using numpy ... mind expanding!

source: http://people.duke.edu/~ccc14/pcfb/analysis.html
"""

from collections import namedtuple

import numpy


CI = namedtuple('CI', ['lower', 'upper'])

def bootstrap(data, num_samples, statistic, percentage):
    """
    returns the bootstrap estimate of ci for statistic

    data is a numpy.array
    num_samples (an integer) is the number of samples with replacement to use
    statistic is the statistical (universal) function to compute
    percentage is the confidence interval range

    >>> bootstrap(numpy.array([1, 4, 2, 5, 6, 2, 3, 5]),
    ...           1000,
    ...           numpy.mean,
    ...           95) # doctest: +ELLIPSIS
    CI(lower=..., upper=...)
    """
    N = len(data)
    index = numpy.random.randint(0, N, (num_samples, N))
    samples = data[index]
    alpha = 1 - percentage / 100.
    statistics = numpy.sort(statistic(samples, 1))
    return CI(statistics[int((alpha / 2) * num_samples)],
               statistics[int((1 - alpha / 2) * num_samples)])