percent_rank_transform.py

import numpy


class PercentRankTransform(object):
    """
    Transform arbitrary values into percent ranks.
    """

    def __init__(self, n_bins=1e5):
        self.n_bins = int(n_bins)
        self.cdf = None
        self.bin_edges = None

    def fit(self, values):
        """
        Fit the transform using the given values, which are used to
        establish percentiles.
        """
        assert self.cdf is None
        assert self.bin_edges is None
        assert len(values) > 0
        (hist, self.bin_edges) = numpy.histogram(values, bins=self.n_bins)
        self.cdf = numpy.ones(len(hist) + 2) * numpy.nan
        self.cdf[0] = 0.0
        self.cdf[-1] = 100.0
        numpy.cumsum(hist / numpy.sum(hist) * 100.0, out=self.cdf[1:-1])
        assert not numpy.isnan(self.cdf).any()

    def transform(self, values):
        """
        Return percent ranks (range [0, 100]) for the given values.
        """
        assert self.cdf is not None
        assert self.bin_edges is not None
        indices = numpy.searchsorted(self.bin_edges, values)
        result = self.cdf[indices]
        assert len(result) == len(values)
        return result