tra
transitionMatrix
pypi i transitionMatrix
tra

transitionMatrix

Statistical analysis and visualization of state transition phenomena

by Open Risk

0.5.1 (see all)
pypi i transitionMatrix
Readme

The transitionMatrix Library

.. image:: ../../examples/overview.png

transitionMatrix is a pure Python powered library for the statistical analysis and visualization of state transition phenomena. It can be used to analyze any dataset that captures timestamped transitions in a discrete state space.

  • Author: Open Risk <http://www.openriskmanagement.com>_
  • License: Apache 2.0
  • Development Website: Github <https://github.com/open-risk/transitionMatrix>_
  • Code Documentation: Read The Docs <https://transitionmatrix.readthedocs.io/en/latest/>_
  • Mathematical Documentation: Open Risk Manual <https://www.openriskmanual.org/wiki/Category:Transition_Matrix>_
  • Chat: Open Risk Commons <https://www.openriskcommons.org/c/open-source/transitionmatrix/15>_
  • Training: Open Risk Academy <https://www.openriskacademy.com/login/index.php>_
  • Showcase: Blog Posts <https://www.openriskmanagement.com/tags/transition-matrix/>_

Functionality

You can use transitionMatrix to:

  • Estimate transition matrices from historical event data using a variety of estimators
  • Characterise transition matrices (identify their key properties)
  • Visualize event data and transition matrices
  • Manipulate transition matrices (derive generators, perform comparisons, stress transition rates etc.)
  • Access standardized Datasets for testing
  • Extract and work with credit default curves (absorbing states)
  • Map credit ratings using mapping tables
  • More (still to be documented :-)

Architecture

  • transitionMatrix provides intuitive objects for handling transition matrices individually and as sets (based on numpy arrays)
  • supports file input/output in json and csv formats
  • it has a powerful API for handling event data (based on pandas and numpy)
  • supports visualization using matplotlib

Installation

You can install and use the transitionMatrix package in any system that supports the Scipy ecosystem of tools <https://scipy.org/install.html>_

Dependencies

  • TransitionMatrix requires Python 3 (currently 3.7)
  • It depends on numerical and data processing Python libraries (Numpy, Scipy, Pandas).
  • The Visualization API depends on Matplotlib.
  • The precise dependencies are listed in the requirements.txt file.
  • TransitionMatrix may work with earlier versions of python / these packages but it is not tested.

From PyPI

.. code:: bash

pip3 install transitionMatrix

From sources

Download the sources in your preferred directory:

.. code:: bash

git clone https://github.com/open-risk/transitionMatrix

Using virtualenv

It is advisable to install the package in a virtualenv so as not to interfere with your system's python distribution

.. code:: bash

virtualenv -p python3 tm_test
source tm_test/bin/activate

If you do not have pandas already installed make sure you install it first (this will also install numpy and other required dependencies).

.. code:: bash

pip3 install -r requirements.txt

Finally issue the install command and you are ready to go!

.. code:: bash

python3 setup.py install

File structure

The distribution has the following structure:

::

| transitionMatrix/     Directory with the library source code
| -- model.py           File with main data structures
| -- estimators/        Directory with the estimator methods
| -- statespaces/       Directory with state space objects and methods
| -- creditratings/     Directory with predefined credit rating structures
| -- generators/        Directory with data generator methods
| -- utils/             Directory with helper classes and methods
| -- examples/          Directory with usage examples
| ---- python/          Examples as standalone python scripts
| ---- notebooks/       Examples as jupyter notebooks
| -- datasets/          Directory with a variety of datasets useful for getting started
| -- tests/             Directory with the testing suite

Other similar open source software

  • etm, an R package for estimating empirical transition matrices
  • msSurv, an R Package for Nonparametric Estimation of Multistate Models
  • msm, Multi-state modelling with R
  • mstate, competing risks and multistate models in R
  • lifelines, python survival package
VersionTagPublished
0.5.1
1yr ago
0.5.0
1yr ago
0.4.0
4yrs ago
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