[ENH] Add poisson regressor with statsmodel

docs/source/api_reference/regression.rst

@@ -211,6 +211,7 @@ Linear regression
     GLMRegressor
     GlumRegressor
     PoissonRegressor
+    StatsmodelsPoissonRegressor
 
 Generalized Additive Models
 ---------------------------

skpro/regression/linear/__init__.py

@@ -6,12 +6,14 @@
 from skpro.regression.linear._glum import GlumRegressor
 from skpro.regression.linear._sklearn import ARDRegression, BayesianRidge
 from skpro.regression.linear._sklearn_poisson import PoissonRegressor
+from skpro.regression.linear._statsmodels_poisson import StatsmodelsPoissonRegressor
 
 __all__ = [
     "ARDRegression",
     "BayesianRidge",
     "GLMRegressor",
     "GlumRegressor",
     "PoissonRegressor",
+    "StatsmodelsPoissonRegressor",
     "DummyProbaRegressor",
 ]

skpro/regression/linear/_statsmodels_poisson.py

@@ -0,0 +1,345 @@
+"""Adapter to statsmodels Poisson regression with probabilistic predictions."""
+
+# copyright: skpro developers, BSD-3-Clause License (see LICENSE file)
+
+import numpy as np
+import pandas as pd
+
+from skpro.regression.base import BaseProbaRegressor
+
+
+class StatsmodelsPoissonRegressor(BaseProbaRegressor):
+    """Poisson regression, adapter to statsmodels discrete Poisson model.
+
+    Direct interface to ``statsmodels.discrete.discrete_model.Poisson``,
+    providing probabilistic predictions via ``skpro.distributions.Poisson``.
+
+    Parameters
+    ----------
+    add_constant : bool, default=True
+        Whether to add an intercept column to the feature matrix.
+
+    offset_var : str or int, default=None
+        Column name or index in X to use as offset. Added to linear prediction
+        with coefficient 1. Removed from the design matrix before fitting.
+
+    exposure_var : str or int, default=None
+        Column name or index in X to use as exposure. ``log(exposure)`` is added
+        to linear prediction with coefficient 1. Removed from design matrix.
+
+    missing : str, default='none'
+        How to handle missing values. Options: ``'none'``, ``'drop'``, ``'raise'``.
+
+    start_params : array_like, optional, default=None
+        Initial guess of the solution for the loglikelihood maximization.
+
+    method : str, default='newton'
+        Optimization method passed to ``fit()``.
+
+    maxiter : int, default=35
+        Maximum number of iterations for the optimizer.
+
+    tol : float, default=1e-8
+        Convergence tolerance for the optimizer.
+
+    disp : bool, default=False
+        Whether to print convergence messages.
+
+    cov_type : str, default='nonrobust'
+        Covariance type for parameter estimates.
+
+    cov_kwds : dict, optional, default=None
+        Extra arguments for covariance calculation.
+
+    Attributes
+    ----------
+    params_ : ndarray
+        Estimated coefficients of the Poisson model.
+
+    pvalues_ : ndarray
+        Two-tailed p-values for the estimated parameters.
+
+    bse_ : ndarray
+        Standard errors of the estimated parameters.
+
+    llf_ : float
+        Log-likelihood of the fitted model.
+
+    aic_ : float
+        Akaike information criterion.
+
+    bic_ : float
+        Bayesian information criterion.
+
+    nobs_ : float
+        Number of observations.
+
+    df_model_ : float
+        Model degrees of freedom (number of regressors excluding intercept).
+
+    df_resid_ : float
+        Residual degrees of freedom.
+
+    Examples
+    --------
+    >>> from skpro.regression.linear import StatsmodelsPoissonRegressor
+    >>> from sklearn.datasets import make_regression
+    >>> import pandas as pd
+    >>> import numpy as np
+    >>>
+    >>> X, y = make_regression(n_samples=100, n_features=2, noise=0.1)
+    >>> y = np.abs(y)  # Poisson requires non-negative targets
+    >>> X = pd.DataFrame(X, columns=["x1", "x2"])
+    >>> y = pd.DataFrame(y, columns=["target"])
+    >>>
+    >>> reg = StatsmodelsPoissonRegressor()
+    >>> reg.fit(X, y)  # doctest: +SKIP
+    StatsmodelsPoissonRegressor(...)
+    >>> y_pred_dist = reg.predict_proba(X)  # doctest: +SKIP
+    """
+
+    _tags = {
+        "authors": ["Ahmed-Zahran02"],
+        "python_dependencies": "statsmodels",
+        "capability:multioutput": False,
+        "capability:missing": False,
+        "X_inner_mtype": "pd_DataFrame_Table",
+        "y_inner_mtype": "pd_DataFrame_Table",
+    }
+
+    def __init__(
+        self,
+        add_constant=True,
+        offset_var=None,
+        exposure_var=None,
+        missing="none",
+        start_params=None,
+        method="newton",
+        maxiter=35,
+        tol=1e-8,
+        disp=False,
+        cov_type="nonrobust",
+        cov_kwds=None,
+    ):
+        self.add_constant = add_constant
+        self.offset_var = offset_var
+        self.exposure_var = exposure_var
+        self.missing = missing
+        self.start_params = start_params
+        self.method = method
+        self.maxiter = maxiter
+        self.tol = tol
+        self.disp = disp
+        self.cov_type = cov_type
+        self.cov_kwds = cov_kwds
+
+        super().__init__()
+
+    def _prep_x(self, X):
+        """Prepare the feature matrix, handling offset/exposure and constant.
+
+        Parameters
+        ----------
+        X : pd.DataFrame
+            Feature matrix.
+
+        Returns
+        -------
+        X_out : pd.DataFrame
+            Prepared feature matrix (constant added, offset/exposure removed).
+        offset_arr : np.ndarray or None
+            Offset values extracted from X, if offset_var is set.
+        exposure_arr : np.ndarray or None
+            Exposure values extracted from X, if exposure_var is set.
+        """
+        from statsmodels.tools import add_constant
+
+        offset_arr = None
+        exposure_arr = None
+        cols_to_drop = []
+
+        offset_var = self.offset_var
+        exposure_var = self.exposure_var
+
+        if offset_var is not None:
+            if isinstance(offset_var, str):
+                offset_arr = X[offset_var].to_numpy().flatten()
+                cols_to_drop.append(offset_var)
+            elif isinstance(offset_var, int):
+                col_name = X.columns[offset_var]
+                offset_arr = X[col_name].to_numpy().flatten()
+                cols_to_drop.append(col_name)
+
+        if exposure_var is not None:
+            if isinstance(exposure_var, str):
+                exposure_arr = X[exposure_var].to_numpy().flatten()
+                cols_to_drop.append(exposure_var)
+            elif isinstance(exposure_var, int):
+                col_name = X.columns[exposure_var]
+                exposure_arr = X[col_name].to_numpy().flatten()
+                cols_to_drop.append(col_name)
+
+        if cols_to_drop:
+            X = X.drop(columns=cols_to_drop)
+
+        if self.add_constant:
+            X = add_constant(X, has_constant="add")
+
+        return X, offset_arr, exposure_arr
+
+    def _fit(self, X, y):
+        """Fit regressor to training data.
+
+        Writes to self:
+            Sets fitted model attributes ending in "_".
+
+        Parameters
+        ----------
+        X : pandas DataFrame
+            Feature instances to fit regressor to.
+        y : pandas DataFrame, must be same length as X
+            Labels to fit regressor to.
+
+        Returns
+        -------
+        self : reference to self
+        """
+        from statsmodels.discrete.discrete_model import Poisson
+
+        self._y_cols = y.columns
+
+        X_prep, offset_arr, exposure_arr = self._prep_x(X)
+
+        y_inner = y.to_numpy()
+        if len(y_inner.shape) > 1 and y_inner.shape[1] == 1:
+            y_inner = y_inner[:, 0]
+
+        sm_model = Poisson(
+            endog=y_inner,
+            exog=X_prep,
+            offset=offset_arr,
+            exposure=exposure_arr,
+            missing=self.missing,
+        )
+
+        self._estimator = sm_model
+
+        fit_kwargs = {
+            "start_params": self.start_params,
+            "method": self.method,
+            "maxiter": self.maxiter,
+            "tol": self.tol,
+            "disp": self.disp,
+            "cov_type": self.cov_type,
+            "cov_kwds": self.cov_kwds if self.cov_kwds is not None else {},
+        }
+
+        self._fitted_model = sm_model.fit(**fit_kwargs)
+
+        # Forward fitted attributes
+        fitted = self._fitted_model
+        self.params_ = fitted.params
+        self.pvalues_ = fitted.pvalues
+        self.bse_ = fitted.bse
+        self.llf_ = fitted.llf
+        self.aic_ = fitted.aic
+        self.bic_ = fitted.bic
+        self.nobs_ = fitted.nobs
+        self.df_model_ = fitted.df_model
+        self.df_resid_ = fitted.df_resid
+
+        return self
+
+    def _predict(self, X):
+        """Predict labels for data from features.
+
+        State required:
+            Requires state to be "fitted" = self.is_fitted=True
+
+        Accesses in self:
+            Fitted model attributes ending in "_"
+
+        Parameters
+        ----------
+        X : pandas DataFrame, must have same columns as X in `fit`
+            data to predict labels for
+
+        Returns
+        -------
+        y : pandas DataFrame, same length as `X`, same columns as `y` in `fit`
+            labels predicted for `X`
+        """
+        X_prep, offset_arr, exposure_arr = self._prep_x(X)
+
+        predict_kwargs = {}
+        if offset_arr is not None:
+            predict_kwargs["offset"] = offset_arr
+        if exposure_arr is not None:
+            predict_kwargs["exposure"] = exposure_arr
+
+        y_pred = self._fitted_model.predict(X_prep, **predict_kwargs)
+        y_pred_df = pd.DataFrame(np.array(y_pred), index=X.index, columns=self._y_cols)
+        return y_pred_df
+
+    def _predict_var(self, X):
+        """Compute/return variance predictions.
+
+        For a Poisson distribution, variance equals the mean.
+        """
+        return self._predict(X)
+
+    def _predict_proba(self, X):
+        """Predict distribution over labels for data from features.
+
+        State required:
+            Requires state to be "fitted".
+
+        Accesses in self:
+            Fitted model attributes ending in "_"
+
+        Parameters
+        ----------
+        X : pandas DataFrame, must have same columns as X in `fit`
+            data to predict labels for
+
+        Returns
+        -------
+        y_pred : skpro BaseDistribution, same length as `X`
+            labels predicted for `X`
+        """
+        from skpro.distributions.poisson import Poisson
+
+        y_pred = self.predict(X).values
+        y_pred_proba = Poisson(mu=y_pred, index=X.index, columns=self._y_cols)
+        return y_pred_proba
+
+    @classmethod
+    def get_test_params(cls, parameter_set="default"):
+        """Return testing parameter settings for the estimator.
+
+        Parameters
+        ----------
+        parameter_set : str, default="default"
+            Name of the set of test parameters to return, for use in tests. If no
+            special parameters are defined for a value, will return ``"default"`` set.
+
+        Returns
+        -------
+        params : dict or list of dict, default = {}
+            Parameters to create testing instances of the class
+            Each dict are parameters to construct an "interesting" test instance, i.e.,
+            ``MyClass(**params)`` or ``MyClass(**params[i])`` creates a valid test
+            instance.
+            ``create_test_instance`` uses the first (or only) dictionary in ``params``
+        """
+        param1 = {}
+        param2 = {
+            "add_constant": True,
+            "method": "bfgs",
+            "maxiter": 100,
+            "tol": 1e-6,
+        }
+        param3 = {
+            "add_constant": False,
+        }
+        return [param1, param2, param3]