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[MRG] Add Yeo-Johnson transform to PowerTransformer #11520

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merged 44 commits into from Jul 20, 2018

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@NicolasHug
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NicolasHug commented Jul 14, 2018

Reference Issues/PRs

Closes #10261

What does this implement/fix? Explain your changes.

This PR implements the Yeo-Johnson transform as part of the PowerTransformer class.

PowerTransformer currently only support Box-Cox which only works for positive values, Yeo-Johnson works for the whole real line.

Original paper : link.

TODO:

  • Write transform
  • Fix lambda param estimation
  • Write inverse transform
  • Write docs
  • Write tests
  • Update examples

Any other comments?

The lambda parameter estimation is a bit tricky and currently does not work. (should be OK now, see below). Unlike for Box-Cox there's no scipy built-in that we can rely on. I'm having a hard time finding decent guidelines, tried to implement likelihood maximization with the brent optimizer (just like for Box-Cox) but run into overflow issues.

The transform code seems to work though:

boxcox_yeojohnson

which is a reproduction of

blah
From Quantile regression via vector generalized additive models by Thomas W. Yee.

Code for figure (hacky):

import numpy as np
from sklearn.preprocessing import PowerTransformer
import matplotlib.pyplot as plt

yj = PowerTransformer(method='yeo-johnson', standardize=False)
bc = PowerTransformer(method='box-cox', standardize=False)

X = np.arange(-4, 4, .1).reshape(-1, 1)
fig, axes = plt.subplots(ncols=2)

for lmbda in (0, .5, 1, 1.5, 2):
    X_pos = X[X > 0].reshape(-1, 1)
    bc.fit(X_pos)
    bc.lambdas_ = [lmbda]
    X_trans = bc.transform(X_pos)
    axes[0].plot(X_pos, X_trans, label=r'$\lambda = {}$'.format(lmbda))
    axes[0].set_title('Box-Cox')

    yj.fit(X)
    yj.lambdas_ = [lmbda]
    X_trans = yj.transform(X)
    axes[1].plot(X, X_trans, label=r'$\lambda = {}$'.format(lmbda))
    axes[1].set_title('Yeo-Johnson')

for ax in axes:
    ax.set(xlim=[-4, 4], ylim=[-5, 5], aspect='equal')
    ax.legend()
    ax.grid()

plt.show()

NicolasHug added some commits Jul 14, 2018

Fixed lambda param optimization
The issue was from an error in the log likelihood function
@NicolasHug

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NicolasHug commented Jul 14, 2018

Lambda param estimation should be fixed now, thanks @amueller.

Replication of this example with Yeo-Johnson instead of Box-Cox:

figure_1

NicolasHug added some commits Jul 15, 2018

Some first tests
Need to write inverse_transform to continue
# get rid of them to compute them.
_, lmbda = stats.boxcox(col[~np.isnan(col)], lmbda=None)
col_trans = boxcox(col, lmbda)
else: # neo-johnson

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@amueller

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@ogrisel

ogrisel Jul 15, 2018

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Follow the white rabbit.

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@amueller

amueller Jul 15, 2018

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this took me a while.

@amueller

We think it's working now, right? So we need a test for the optimization, and then documentation and adding it to an example?

# when x >= 0
if lmbda < 1e-19:
out[pos] = np.log(x[pos] + 1)
else: #lmbda != 0

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@amueller

amueller Jul 15, 2018

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space after #

n = x.shape[0]
# Estimated mean and variance of the normal distribution
mu = psi.sum() / n

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@amueller

amueller Jul 15, 2018

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do we need from __future__ import division?

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@NicolasHug

NicolasHug Jul 15, 2018

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it's here already

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@amueller

amueller Jul 15, 2018

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thanks, was hard to see from the diff and I was lazy ;)

@@ -2076,7 +2078,7 @@ def test_power_transformer_strictly_positive_exception():
pt.fit, X_with_negatives)
assert_raise_message(ValueError, not_positive_message,
power_transform, X_with_negatives)
power_transform, X_with_negatives, 'box-cox')

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@amueller

amueller Jul 15, 2018

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why is this needed? The default value shouldn't change, right? Or do we want to start a cycle to change the default to yeo-johnson?

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@NicolasHug

NicolasHug Jul 15, 2018

Contributor

I find it clearer and explicit?

I don't know if we'll change the default but it should still be fine as PowerTransform hasn't been released yet AFAIK

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@amueller

amueller Jul 15, 2018

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good point. We should discuss before the release. I think yeo-johnson would make more sense.

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@ogrisel

ogrisel Jul 15, 2018

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The fact that Yeo-Johnson accepts negative values while Box-Cox does not makes me feel like we should use it by default. From a usability point of view, it's nicer to our users.

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@NicolasHug

NicolasHug Jul 15, 2018

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I have the same feeling. Plus, it is designed to be a generalization of Box-Cox, even though that's not strictly the case.

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@amueller

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@NicolasHug

NicolasHug Jul 15, 2018

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shall I change the default then?

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@amueller

amueller Jul 15, 2018

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think so.

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@NicolasHug

NicolasHug Jul 15, 2018

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Done

NicolasHug added some commits Jul 15, 2018

Opt for yeo-johnson not influenced by Nan
Also added related test
pt = PowerTransformer(method=method, standardize=False)
pt.lambdas_ = [lmbda]
X_inv = pt.inverse_transform(X)
pt.lambdas_ = [9999] # just to make sure

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@ogrisel

ogrisel Jul 15, 2018

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Why not:

del pt.lambdas_

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@ogrisel

ogrisel Jul 15, 2018

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Alternatively, create a new pt object from scratch to make the motivation of the test easier to read:

ground_truth_transform = PowerTransformer(method=method, standardize=False)
ground_truth_transform.lambdas_ = [lmbda]
X_inv = pt.inverse_transform(X)

estimated_transform = PowerTransformer(method=method, standardize=False)
X_inv_trans = estimated_transform.fit_transform(X_inv) 
X_inv_trans = pt.fit_transform(X_inv)
assert_almost_equal(0, np.linalg.norm(X - X_inv_trans) / n_samples,
decimal=2)

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@ogrisel

ogrisel Jul 15, 2018

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Please also add an assertion that checks that X_inv_trans.mean(axis=0) is close to [0.] and X_inv_trans.std(axis=0) is close to [1.].

rng = np.random.RandomState(0)
n_samples = 1000
X = rng.normal(size=(n_samples, 1))

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@ogrisel

ogrisel Jul 15, 2018

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to make the test more explicit you can write: X = rng.normal(loc=0., scale=1., size=(n_samples, 1))

@amueller

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amueller commented Jul 15, 2018

If we want this to be the default then this is a blocker, right?

lmbda_no_nans = pt.lambdas_[0]
# concat nans at the end and check lambda stays the same
X = np.concatenate([X, np.full_like(X, np.nan)])

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@ogrisel

ogrisel Jul 15, 2018

Member

To make sure that the location of the NaNs does not impact the estimation:

from sklearn.utils import shuffle
...

X = np.concatenate([X, np.full_like(X, np.nan)])
X = shuffle(X, random_state=0)

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@NicolasHug

NicolasHug Jul 15, 2018

Contributor

Done

@pytest.mark.parametrize("method, lmbda", [('box-cox', .5),
('yeo-johnson', .1)])

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@ogrisel

ogrisel Jul 15, 2018

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Could you add more values for lmbda for each method? E.g.:

[
 ('box-cox', .1),
 ('box-cox', .5),
 ('yeo-johnson', .1),
 ('yeo-johnson', .5),
 ('yeo-johnson', 1.),
]
applied to six different probability distributions: Lognormal, Chi-squared,
Weibull, Gaussian, Uniform, and Bimodal.
The power transform is useful as a transformation in modeling problems where
homoscedasticity and normality are desired. Below are examples of Box-Cox and

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@ogrisel

ogrisel Jul 15, 2018

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I don't understand what "modeling problems where homoscedasticity is desired" mean in this context: to me heteroscedasticity is a property of the noise of the output variable that is not the same for different regions of the input space a conditional model.

It does not seem trivial how power transform can improve homoscedasticity.

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@ogrisel

ogrisel Jul 15, 2018

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Actually, this statement seems to be correct:

http://article.sapub.org/10.5923.j.ajms.20180801.02.html

It might be interesting to try to come up with a good example to show this corrective effect in a (maybe synthetic) linear regression problem. However, this is probably outside of the scope of the current PR.

@amueller amueller added the Blocker label Jul 15, 2018

@amueller amueller added this to the 0.20 milestone Jul 15, 2018

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amueller commented Jul 15, 2018

tagged for 0.20 and added blocker label. I don't like that we keep adding stuff but if we want to make it default we should do it now.

@glemaitre

Couple of opened comments.
If I am not wrong we should have something in the common estimator_checks which force the input to be positive to work with box-cox. We probably want to change this behavior with we change the default.

The power transform method. Currently, 'box-cox' (Box-Cox transform)
is the only option available.
method : str, (default='yeo-johnson')
The power transform method. Available methods are 'box-cox' and

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@glemaitre

glemaitre Jul 16, 2018

Contributor

We can maybe have a bullet point list for each method referring to the reference section.

@@ -2490,12 +2494,18 @@ def fit(self, X, y=None):
self.lambdas_ = []
transformed = []
opt_fun = {'box-cox': self._box_cox_optimize,

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glemaitre Jul 16, 2018

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I would have expect func instead of fun :)

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glemaitre Jul 16, 2018

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optim_function

opt_fun = {'box-cox': self._box_cox_optimize,
'yeo-johnson': self._yeo_johnson_optimize
}[self.method]
trans_fun = {'box-cox': boxcox,

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@glemaitre

glemaitre Jul 16, 2018

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probably transform_function is not so long to be called

return x_inv
def _yeo_johnson_transform(self, x, lmbda):

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glemaitre Jul 16, 2018

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we cannot just define the forward transform and take 1 / _yeo_johnson_transform for the inverse?

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@NicolasHug

NicolasHug Jul 16, 2018

Contributor

The inverse here means f^{-1}, not 1 / f

"""Return the negative log likelihood of the observed data x as a
function of lambda."""
psi = self._yeo_johnson_transform(x, lmbda)
n = x.shape[0]

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@glemaitre

glemaitre Jul 16, 2018

Contributor

n_samples instead

"""Return the negative log likelihood of the observed data x as a
function of lambda."""
psi = self._yeo_johnson_transform(x, lmbda)
n = x.shape[0]

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@glemaitre

glemaitre Jul 16, 2018

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Uhm missing x most probably

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glemaitre Jul 16, 2018

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Oh I see, can we pass x as an argument as well as in the optimize function?

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@NicolasHug

NicolasHug Jul 16, 2018

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yes this is a nested function so x is implicitely passed anyway

# Estimated mean and variance of the normal distribution
mu = psi.sum() / n
sig_sq = np.power(psi - mu, 2).sum() / n

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@glemaitre

glemaitre Jul 16, 2018

Contributor

Stupid question: is sig_sq the variance? If this is the case, you might want to call it var

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@NicolasHug

NicolasHug Jul 16, 2018

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I was following the paper's notation. Should I use mean (or mean_) also then?

@jorisvandenbossche jorisvandenbossche added this to PRs tagged in scikit-learn 0.20 Jul 16, 2018

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NicolasHug commented Jul 16, 2018

I made a quick example to illustrate the use of Yeo-Johnson vs. Box-Cox + offset.

As Box-Cox only accepts positive data, one solution is to shift the data by a fixed offset value (typically min(data) + eps):

test

One thing we see is that the "after offset and Box-Cox" isn't as symmetric as the eo-Johnson and most importantly the values are much higher.

Is it worth adding this as an example @amueller? TBH I wouldn't be able to mathematically or intuitively explain those results.

@TomDLT

TomDLT approved these changes Jul 17, 2018

Thanks for the added tests.
We might want to add them as common tests at some point, but it might be for another pull-request.

self._scaler = StandardScaler()
if force_compute_transform:
transformed = self._scaler.fit_transform(transformed)
self._scaler = StandardScaler(copy=self.copy)

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@TomDLT

TomDLT Jul 17, 2018

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actually you should be able to use copy=False here, since a copy has already been done just before.

NicolasHug added some commits Jul 17, 2018

@glemaitre

Couple of changes

"""Return inverse-transformed input x following Yeo-Johnson inverse
transform with parameter lambda.
Note

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glemaitre Jul 17, 2018

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Notes

"""Return transformed input x following Yeo-Johnson transform with
parameter lambda.
Note

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glemaitre Jul 17, 2018

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Notes

@@ -2566,7 +2720,8 @@ def _check_input(self, X, check_positive=False, check_shape=False,
X : array-like, shape (n_samples, n_features)
check_positive : bool
If True, check that all data is positive and non-zero.
If True, check that all data is positive and non-zero (only if
self.method is box-cox).

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@glemaitre

glemaitre Jul 17, 2018

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only if self.method=='box-cox'

@glemaitre

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glemaitre commented Jul 17, 2018

I am waiting to check the example in the documentation

@NicolasHug

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NicolasHug commented Jul 18, 2018

@glemaitre @ogrisel, I think the plot looks pretty OK now.

@jnothman

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jnothman commented Jul 19, 2018

I'm finding the plots in plot_map_data_to_normal relatively hard to navigate intuitively. It's not a blocker, but I think it needs to look more tabular: at the moment it takes some effort to see that each row is a different transformation; a label on the left of the row would be more helpful.

Also, having the transformations go from left to right and the datasets from top to bottom doesn't look like it would be infeasible, and would be more familiar from plot_cluster_comparison etc.

@jnothman

Can I clarify why plot_all_scaling still only shows box-cox?

@NicolasHug

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NicolasHug commented Jul 19, 2018

Also, having the transformations go from left to right and the datasets from top to bottom doesn't look like it would be infeasible, and would be more familiar from plot_cluster_comparison etc.

Personally I find it easier to compare the transformations when they're stacked on each other, especially since the axes limits are uniform across the plots.

I don't have anything against having the transformation names on the left. It would also make sense to me to have one dataset per column (limiting the plot to 4 rows instead of 8), but that would make the plot wider which can be annoying on mobile.

Thanks for mentioning plot_all_scaling, I missed that one.

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NicolasHug commented Jul 19, 2018

Looks like 14e7c32 broke plot_all_scaling on master:

Traceback (most recent call last):
  File "examples/preprocessing/plot_all_scaling.py", line 71, in <module>
    dataset = fetch_california_housing()
  File "/home/nico/dev/sklearn/sklearn/datasets/california_housing.py", line 128, in fetch_california_housing
    cal_housing = joblib.load(filepath)
  File "/home/nico/dev/sklearn/sklearn/externals/joblib/numpy_pickle.py", line 578, in load
    obj = _unpickle(fobj, filename, mmap_mode)
  File "/home/nico/dev/sklearn/sklearn/externals/joblib/numpy_pickle.py", line 508, in _unpickle
    obj = unpickler.load()
  File "/usr/lib64/python3.6/pickle.py", line 1050, in load
    dispatch[key[0]](self)
  File "/usr/lib64/python3.6/pickle.py", line 1338, in load_global
    klass = self.find_class(module, name)
  File "/usr/lib64/python3.6/pickle.py", line 1388, in find_class
    __import__(module, level=0)
ModuleNotFoundError: No module named 'sklearn.externals._joblib.numpy_pickle'

Should I open an issue for this? I'm not sure if this comes from my env (I created a new one from scratch, still same). Doesn't the CI check that all the examples are passing?

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amueller commented Jul 20, 2018

@NicolasHug it's now "fixed" but you need to remove your scikit_learn_data folder in your home folder.

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NicolasHug commented Jul 20, 2018

Thanks, just updated plot_all_scaling

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ogrisel commented Jul 20, 2018

The matplotlib rendering of the 2 examples is good enough for now:

https://29575-843222-gh.circle-artifacts.com/0/doc/auto_examples/index.html#preprocessing

Merging. Thanks @NicolasHug for this nice contribution!

@ogrisel ogrisel merged commit 2d232ac into scikit-learn:master Jul 20, 2018

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scikit-learn 0.20 automation moved this from Blockers to Done Jul 20, 2018

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amueller commented Jul 20, 2018

yay!

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ogrisel commented Jul 20, 2018

I agree with @jnothman (#11520 (comment)) that using a layout similar to the cluster comparison plot would improve the readability even further but I don't want to delay the release for this.

@NicolasHug NicolasHug deleted the NicolasHug:yeojohnson branch Jul 20, 2018

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GaelVaroquaux commented Jul 20, 2018

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